Technology Enhancements

To serve you better and ensure that  CME Group provides the best-in-class technology, we are working constantly to introduce enhanced functionality and improved performance.

Includes the following services:

  • CME ClearPort
  • CME Direct
  • CME Globex
Enhancements Service Production New Release
Streamlined SBE Market Data Protocol CME Globex
Starting June 12 Available
Market By Order Market Data CME Globex December 4 Available
Indicative Opening Enhancements CME Globex
December 4 Available
Update - Trade Summary OrderID Opt-in Update CME Globex
December 4 Available
Update - New Market Segment for FX Futures and Options CME Globex
January 22 November 21
CME FX Displayed Quantity (Iceberg) Orders CME Globex
December 4 November 21
User-Defined Instruments Expansion CME Globex
December 18 November 28
SecurityAltID Update for Eris Exchange CME Globex
March 12 December 5
Settlement Enhancements CME Globex
February 12 December 5

Streamlined SBE Market Data Protocol

Effective Sunday, January 22, CME Group will continue implementing Streamlined Simple Binary Encoding (SBE) market data protocol. Streamlined SBE will replace the existing streamlined FIX/FAST market data protocol to align the market data protocol with MDP 3.0 encoding format.

Please refer to the table for the implementation schedule and client impact assessments.

Streamlined SBE Market Data Protocol
SBE Feed Production New Release Client Impact Assessment Availability
Blocks Available Available Blocks Streamlined Conversion to SBE
Equity Indices - S&P & Dow Jones Available Available Equity Indices Streamlined Conversion to SBE
Eris Available Available Eris Exchange Streamlined Conversion to SBE
OTC-EOD Available Available OTC-EOD Streamlined Conversion to SBE
Equity Indices - Bloomberg January 22 Available Equity Indices Streamlined Conversion to SBE

A new SBE config.xml file for production is now available for customer download from CME Group FTP site.

The new Streamlined SBE schema is currently available in New Release.

Customer systems receiving market data via Streamlined SBE must complete a mandatory certification suite for each market type.

Streamlined FIX/FAST and ITC 2 Blocks Decommission

The following streamlined FIX/FAST and ITC 2 Blocks feeds will be decommissioned in the New Release and Production environments as follows:

Streamlined FIX/FAST and ITC 2 Blocks Decommission
SBE Feed Production New Release
FIX/FAST and ITC2 Blocks CME/CBOT/CME Europe December 30 December 30
FIX/FAST and ITC2 Blocks NYMEX/COMEX/DME March 31 March 31
FIX/FAST Equity Indices – Bloomberg, S&P & Dow Jones January 20 January 20
FIX/FAST Eris Exchange April 21 April 21
FIX/FAST OTC-EOD December 30 December 30

To support the new schema rollout for OTC-EOD the CME FTP site will be updated as follows:

Production:ftp://ftp.cmegroup.com/SBEFix/Production/Templates/
Schema Version Current December 4, 2016
V5 streamlinemktdata.xml streamlinemktdata_v5.xml
V6 streamlinemktdata_v6.xml streamlinemktdata.xml

All other streamlined channels will continue to send data on current schema versions.

Market By Order Market Data

Starting Sunday, December 4 (trade date Monday, December 5), to increase market transparency and customer choice, CME Group will offer Market by Order (MBO) information in-line with the current Market by Price (MBP) for CME Globex markets.

Market Data Platform with MBO will feature:

  • Ability to view individual queue position and size of individual orders at a price while remaining anonymous
  • Existing channels enhanced to provide both MBO and MBP data on a single feed
  • CME Direct support
  • Exchange and asset class roll out model

The client impact assessment provides functionality and messaging information.

MBO is now available in New Release for customer testing. Please view the updated MBO rollout schedule for production.

With the introduction of MBO overall incremental feed bandwidth is expected to increase 30-40%. During peak times the number of incremental feed packets per millisecond may increase up to 40-50%.

The MBO certification suite is now available in AutoCert+ for customer testing. Customer systems who choose to process MBO via CME Globex must complete this certification.

To ensure customers can access, trade and process the market data for Market By Order (MBO), CME Group will hold a mock trading session on Saturday, November 12. All customers and trading system providers who plan to support MBO are strongly encouraged to participate. For more information about the Mock Trading Session, please view the mock trading session script.

Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

Indicative Opening Enhancements

Starting Sunday, December 4 (trade date Monday, December 5), CME Group will introduce an enhancement to Indicative Opening behavior to increase transparency and provide market participants with Indicative Opening Quantity. With this enhancement, a new MDP3 Indicative Opening Quantity (IOQ) statistic will be sent with the Indicative Opening Price (IOP). The tag will represent the probable aggregated quantity of all orders executed during the opening. The IOQ will include max show and stop order quantity.

Along with this change, the logic for calculating the book quantity during the pre-open and reserve states will also be updated.

The client impact assessment provides dates, functionality and messaging information.

Indicative Opening Enhancements is now available in New Release for customer testing. Please view the Indicative Opening Enhancements Rollout Schedule for production launch dates.

Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

Update - Trade Summary OrderID Opt-in Update

Denotes update to the article

Starting this Sunday, December 4 (trade date Monday, December 5), to increase transparency and simplify CME Globex functionality, all tag 37-OrderID values will be published in the Market Data Incremental Refresh Trade Summary messages.

With this release, iLink will no longer support FIX tag 1091-PreTradeAnonymity. CME Globex will not send tag 1091 to client systems, even when submitted on the original message.

Trade Summary OrderID Opt-in Release Schedule
Group Channel Number Channel Name New Release Date Production Date
1 384 NYMEX Globex Metals, Softs, & Alternative Market Futures Available Sunday, December 4, 2016
1 360 COMEX Globex Futures
1 385 NYMEX Globex Metals, Softs, & Alternative Market Options Sunday, January 8, 2017
1 361 COMEX Globex Options
1 380 NYMEX Globex Emissions Futures
1 381 NYMEX Globex Emissions Options
1 440 DME Globex Futures
1 441 DME Globex Options
1 382 NYMEX Globex Crude & Crude Refined Futures Sunday, January 22, 2017
1 383 NYMEX Globex Crude & Crude Refined Options
1 386 NYMEX Globex Nat Gas & other Non-Crude Energy Futures
1 387 NYMEX Globex Nat Gas & other Non-Crude Energy Options
1 410 CME Europe Globex Futures
1 411 CME Europe Globex Options
2 340 CBOT Globex Commodity Futures Available Sunday, March 26, 2017
2 346 CBOT Globex Commodity Futures II
2 341 CBOT Globex Commodity Options
2 342 CBOT Globex Equity Index Futures
2 343 CBOT Globex Equity Index Options
2 344 CBOT Globex Interest Rate Futures
2 345 CBOT Globex Interest Rate Options
2 460 MGEX Globex Futures
2 461 MGEX Globex Options
2 310 CME Globex Equity Futures

Available

2 311 CME Globex Equity Options
2 312 CME Globex Interest Rate Futures
2 313 CME Globex Interest Rate Options
2 318 CME Globex Equity Futures - excludes E-mini S&P 500
2 319 CME Globex Equity Options - excludes E-mini S&P 500
2 314 CME Globex FX Futures Available
2 315 CME Globex FX Options Available
2 316 CME Globex Commodity Futures Available
2 317 CME Globex Commodity Options Available
2 320 CME Globex FX Futures II
2 321 CME Globex FX Options II
2 430 BMD Globex Futures
2 431 BMD Globex Options
2 450 KRX Globex Futures

Update - New Market Segment for FX Futures and Options

Denotes update to the article

Starting Sunday, January 22, CME Group will launch a new market segment for some CME FX futures and options markets to support the upcoming Triangulation initiative. For more information, please visit the CME Group Customer Forum page.

The market segment for FX futures and options markets will be changed as follows:

Market Segment Changes for FX Futures and Options
Product MDP 3.0 Channel Current Tag 1300-
MarketSegemntID
New Tag 1300-
MarketSegemntID
Production Launch New Release Launch
CME Globex FX Options 315 52 88 January 22 Available
CME Globex FX Futures 314 62 88 February 5 December 13

There will be no changes to MDP 3.0 functionality or messaging format associated with these market segment changes.

Please note: There are no market segment changes for CME Globex FX Futures II and CME Globex FX Options II on MDP 3.0 channel 320 and 321, respectively.

To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for all User-Defined Spreads (UDS) on Market Segment ID 52 by the close on Friday, January 20. Any remaining GT orders on UDS will be cancelled by the CME Global Command Center (GCC). GT orders on CME FX outright options, futures and futures spreads will not be cancelled.

The new MDP 3.0, Market Segment Gateway, and DropCopy 4.0 config.xml files will be available for customer download in the following environments as follows:

  • New Release – Available
  • Production – Sunday, January 8, 2017

The new MDP 3.0 config.xml files will contain old and new Source IPs for MDP 3.0 channels 314 and 315. The old Source IP addresses will be removed on Monday, December 19, in new release and Sunday, February 12, in production. If a firewall or network device is configured with the Source IP information, please correct your configuration to use the entire range of eligible addresses.

Drop Copy 4.0 will supports this new market segment. As a reminder, customers must manage the relationship between Drop Copy 4.0 sessions and corresponding IP addresses and market segments within their risk management systems.

To ensure customers can access, trade and process market data for these market segment changes, CME Group will host a mock trading session on Saturday, January 21. All customers who support these market segments are strongly encouraged to participate. More information on the customer mock trading session will be announced in future CME Globex notices.

CME FX Displayed Quantity (Iceberg) Orders

Effective Sunday, December 4, the Displayed Quantity order qualifier will be enabled for all CME FX futures and options markets, except the following groups:

CME FX Displayed Quantity
Product Futures/Options Quoting Style iLink tag 55-Symbol
MDP 3.0 tag 1151-SecurityGroup
Australian Dollar Futures Premium 6A
  Options Premium 0A, ZA, XA
  Options Volatility 3U, 3A
British Pound Futures Premium 6B
  Options Premium XB, YB, 2B
  Options Volatility 3P, B3
Canadian Dollar Futures Premium 6C
  Options Premium 2C, XD, CD
  Options Volatility 3D, 3C
EuroFX Futures Premium 6E
  Options Premium XT, XE, 2E
  Options Volatility 3R, 3E
Japanese Yen Futures Premium 6J
  Options Premium QJ, XJ, 2J
  Options Volatility 3Q, 3Y
Swiss Franc Futures Premium 6S
  Options Premium XS, YS, 2S
  Options Volatility 3W, 3S

Customers will be able to define the Displayed Quantity in tag 210-MaxShow of the New Order or Cancel/Replace Request (tag 35-MsgType=G) messages.  More information on Display Quantity is available in the iLink Order Qualifiers.

The Displayed Quantity order functionality will be available for these markets in New Release for customer testing on Monday, November 21.

User-Defined Instruments Expansion

Effective Sunday, December 18 (trade date Monday, December 19), User-Defined Instruments (UDI) will be listed on CME Globex whenever the option strike is created on CME ClearPort for trade submission. With this launch, UDIs may be published on any options channel.

UDIs are disseminated with the Market Data Security Definition (tag 35-MsgType=d) message with tag 9779-UserDefinedInstrument=Y. Customers can submit quotes and orders against the UDI and also incorporate the UDI into User-Defined Spreads.

Flex options created on the trading floor will not be added to CME Globex.

This enhancement will be available for customer testing in New Release Monday, November 28.

SecurityAltID Update for Eris Exchange

Effective Monday, March 12, the Eris Exchange SBE Streamlined feed will add tag 455-SecurityAltID support for the Market Data Security Definition (tag 35-MsgType=d) and Market Data Incremental Refresh (tag 35-MsgType=X) trade messages. The Eris Exchange SBE channel will also migrate to SBE schema version 6 to support this change.

Additional details are outlined in the Eris SBE migration client impact.

Tag 455-SecurityAltID will be available in New Release for customer testing Monday, December 5.

Settlement Enhancements

Effective Sunday, February 12 (trade date Monday, February 13), new settlement information will be available on CME MDP 3.0.

  • Tag 731-SettlePriceType (bits 1 and 2) will be fully supported to identify theoretical vs. actual and rounded vs. unrounded settlement prices
    •  Tag 731 is published on the Incremental Refresh, Security Definition and Snapshot Full Refresh messages (35=X, d or W)
  • The Cabinet settlement price will be published in tag 270-MDEntryPx when tag 269-MDEntryType=6 messages for settlements

These settlement enhancements will be available for customer testing in New Release on Monday, December 5.

Includes the following services:

  • STP
  • Drop Copy
  • ConfirmHub

Includes the following services:

  • CME Globex Credit Controls (GC2)
  • Risk Management Interface (RMI)
  • CME Account Manager

Includes the following services:

  • Firm Admin Dashboard
  • AutoCert+

More on CME Globex

Development Overview
This section provides an overview of iLink order entry interface to CME Globex and market data interface for CME Globex.

Risk Management Tools
A suite of tools designed to protect CME Globex customers and clearing firms.

Client Systems Wiki
Visit our wiki for comprehensive info about trading on CME Globex.

 

Resources

CME Group Login
CME Group Login is a self-managed, centralized user profile service that authenticates access to CME Group applications and services.

GCC
Support from the CME Global Command Center (GCC).

CME Globex Notices
Provides information on critical system updates, new functionality, product launches and more.

 

Contact Us

Global Account Management (GAM)
U.S.: +1 312 634 8700
Europe: +44 20 3379 3754
Asia: +65 6593 5505
globalaccountmanagement@cmegroup.com

CME Global Command Center
U.S.: +1 800 438 8616
Europe: +44 20 7623 4747
Asia: +65 6532 5010
Email: gcc@cmegroup.com
Website: www.cmegroup.com/gcc

Certification Support for Electronic Trading (CSET)
U.S.: +1 312 930 2322
Europe: +44 20 3379 3803
Asia: +65 6593 5593
Email: cset@cmegroup.com