• CME Globex Notices: October 17, 2016

      • To
      • CME Globex and Market Data Participants
      • From
      • Global Account Management
      • #
      • 20161017
      • Notice Date
      • 17 October 2016
    • Topics in this issue include:

       

      Critical System Updates

      MDP 3.0 Schema

      Starting this Sunday, October 23 (trade date Monday, October 24), CME Group continues implementing new MDP 3.0 SBE schema files to support the upcoming Market by Order, Triangulation and Consolidated Fills initiatives on CME Globex. For more information regarding these initiatives, please see the CME Group Customer Forum. With the new MDP 3.0 SBE schema release, CME Group expects up to a 10% bandwidth increase per market data channel.

      In order to ease customer development efforts, the new SBE schema files will support appended Template Extension. CME Group recommends that the new Schema file be downloaded and implemented on the production launch date for each channel.

      Schema Channel Launch Schedule
      Channels Production New Release
      382 - NYMEX Globex Crude & Crude Refined Futures
      383 - NYMEX Globex Crude & Crude Refined Options
      386 - NYMEX Globex Nat Gas & other Non-Crude Energy Futures
      387 - NYMEX Globex Nat Gas & other Non-Crude Energy Options
      410 - CME Europe Globex Futures
      411 - CME Europe Globex Options
      October 23, 2016 Available
      340 - CBOT Globex Commodity Futures
      346 - CBOT Globex Commodity Futures II
      341 - CBOT Globex Commodity Options
      460 - MGEX Globex Futures
      461 - MGEX Globex Options
      January 8, 2017 Available
      342 - CBOT Globex Equity Index Futures
      343 - CBOT Globex Equity Index Options
      344 - CBOT Globex Interest Rate Futures
      345 - CBOT Globex Interest Rate Options
      January 22, 2017 Available
      430 - BMD Globex Futures
      431 - BMD Globex Options
      450 - KRX Globex Futures
      Administrative Messages for TCP Replay
      January 22, 2017 Available

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      Update - Streamlined SBE Market Data Protocol

      Denotes update to the article

      Effective this Sunday, October 23, 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 November 13 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

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      Match Algorithm Changes for Eurodollar Options on Futures

      Effective this Sunday, October 23 (trade date Monday, October 24), and pending completion of all regulatory review periods, the CME Globex match algorithm for options on CME Eurodollar futures and for options on CME Bundle futures will be changed from Eurodollar Option (tag 1142-MatchAlgorithm=Y) to Threshold Pro-Rata with LMM (tag 1142=Q).

      Match Algorithm Changes for Eurodollar Options on Futures
      Configuration Current New
      Match Algorithm Y Q
      Top Order Percent Allocation 25% 25%
      Top Order Minimum Allocation (Contracts) 50 50
      Top Order Maximum Allocation (Contracts) 24,999 1,500

      The Threshold Pro-Rata with LMM (Q) algorithm is used for CME Globex trading in options on Treasury futures. It is an enhanced pro-rata algorithm that incorporates a Lead Market Maker (LMM) allocation after TOP order allocation and before pro-rata trade matching.  Details on matching algorithm types are available in the CME Group Client Systems Wiki.  The matching algorithm type is defined in tag 1142-MatchAlgorithm in the MDP 3.0 Security Definition message.

      All products subject to this change are listed on and subject to the rules and regulations of CME, and are as shown in the following exhibit.

      Products Affected (MC = MidCurve)

      Product MDP 3.0: tag 6937-Asset Outrights
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      User-Defined Spreads
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group (UDS)
      2-Year Eurodollar Bundle Options BU2 U1 U$
      3-Year Eurodollar Bundle Options BU3 U1 U$
      5-Year Eurodollar Bundle Options BU5 U1 U$
      Eurodollar Option 1 Yr MC Wk 1 E01 E0 U$
      Eurodollar Option 1 Yr MC Wk 2 E02 E0 U$
      Eurodollar Option 1 Yr MC Wk 3 E03 E0 U$
      Eurodollar Option 1 Yr MC Wk 4 E04 E0 U$
      Eurodollar Option 1 Yr MC Wk 5 E05 E0 U$
      Eurodollar Option 2 Yr MC Wk 1 E21 E2 U$
      Eurodollar Option 2 Yr MC Wk 2 E22 E2 U$
      Eurodollar Option 2 Yr MC Wk 3 E23 E2 U$
      Eurodollar Option 2 Yr MC Wk 4 E24 E2 U$
      Eurodollar Option 2 Yr MC Wk 5 E25 E2 U$
      Eurodollar Option 3 Yr MC Wk 1 E31 E3 U$
      Eurodollar Option 3 Yr MC Wk 2 E32 E3 U$
      Eurodollar Option 3 Yr MC Wk 3 E33 E3 U$
      Eurodollar Option 3 Yr MC Wk 4 E34 E3 U$
      Eurodollar Option 3 Yr MC Wk 5 E35 E3 U$
      Eurodollar Options GE ZE U$
      Eurodollar 1yr MC Options GE0 E0 U$
      Eurodollar 2yr MC Options GE2 E2 U$
      Eurodollar 3yr MC Options GE3 E3 U$
      Eurodollar 4yr MC Options GE4 E4 U$
      Eurodollar 5yr MC Options GE5 E5 U$
      Options on Eurodollar Futures Calendar Spread SPO 8I 8G

      The new match algorithm for all products subject to this change will is currently available for customer testing in New Release.

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      Changes to BM&F BOVESPA (BVMF) Order Routing Offering

      Effective end of day Friday, October 28, order routing and market data for BM&F BOVESPA (BVMF) products will no longer be available via the CME Globex platform. Existing order routing customers to BVMF markets should contact their Brazilian broker. Customers wishing to pursue market access to BVMF markets may also contact BVMF at +55 11 2565-5000 (dial ‘0’ for English, then ‘2’ for Trading).

      Please Note: CME Group’s New Release environment connection to BVMF’s test environment will be discontinued on Friday, October 21. This change will occur one week prior to the Production environment decommission on Friday, October 28.

      Customers wishing to pursue market access to CME Group markets should contact Global Account Management in the U.S. at +312 634 8700, in Europe at +44 203 379 3754, or in Asia at +65 6593 5505.

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      New - Order Eliminations on User-Defined Spreads

      Effective close of business Friday, October 28, all resting Good ‘Till Cancel (GTC) orders on User-Defined Spreads will be eliminated for the following Market Segments:

      • 54 - CME Equity options
      • 56 - NYMEX and COMEX options

      These eliminations are required due to operational maintenance.

      Resting GTCs on UDS for these markets in New Release will be eliminated this Friday, October 21.

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      New - Change to Velocity Logic Parameters for Live Cattle and Feeder Cattle

      Effective Tuesday, November 1, CME Group will reduce the parameters to trigger Velocity Logic (VL) for Live Cattle from $3.00 (0.03) to $1.00 (0.01), and Feeder Cattle from $3.00 (0.03) to $1.25 (0.0125).  All other VL parameters will remain the same.

      Velocity Logic parameters for CME Globex products are defined in the CME Globex Product Reference in the Client Systems Wiki.

      If you have any questions, please contact the CME Global Command Center in the U.S. at +1 800 438 8616, in Europe at +44 800 898 013 or in Asia at +65 6532 5010.

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      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.

      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.

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      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.

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      Trade Summary OrderID Opt-in Update

      Starting 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
      1 385 NYMEX Globex Metals, Softs, & Alternative Market Options
      1 360 COMEX Globex Futures
      1 361 COMEX Globex Options
      1 380 NYMEX Globex Emissions Futures Sunday, January 8, 2017
      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 Monday, October 24, 2016
      2 315 CME Globex FX Options Monday, October 24, 2016
      2 316 CME Globex Commodity Futures Available
      2 317 CME Globex Commodity Options Monday, October 24, 2016
      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

       

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      Update - New Market Segment for FX Futures and Options

      The launch of new market segments for FX futures and options scheduled for Sunday, January 8, has been postponed. CME Group will launch new market segments for FX futures and options markets to support the upcoming Triangulation initiative on CME Globex. More information on the launch dates, customer mock trading session and new config.xml files will be announced in future CME Globex notices.

      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 †TBD †TBD
      CME Globex FX Futures 314 62 88 †TBD †TBD

      There will be no changes to MDP 3.0 channels, 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 created on Market Segment ID 52 after their close on the Friday prior the production launch date.  All remaining GT orders for these User Defined Spreads will be cancelled by the CME Global Command Center (GCC). GTC and GTD order for he FX options, futures and futures spreads will not be affected by this change.

      To ensure customer can access, trade and process market data for these market segment changes, CME Group will host a mock trading session. All customers who support these market segments are strongly encouraged to participate.

      For more information regarding this initiative, please visit the CME Group Customer Forum page.

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      New Functionality

      Change to Top Order Functionality

      Effective this Sunday, October 23 (trade date Monday, October 24), the Top order allocation functionality will be modified for all applicable CME Globex markets. Today, Top eligibility on a Good ‘Til Cancel (GTC)/Good ‘Til Date (GTD) order persists over the weekend. With this change, Top eligibility will only apply for the trading week in which the order improved the market.

      More information on Top allocation and CME Globex matching algorithms is available in the Client Systems Wiki. Details on the matching algorithm for each CME Globex market are available in the CME Globex Product Reference Sheet.

      This change is currently available in New Release for customer testing.

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      Update - Bitcoin Pricing Data via Streamlined SBE

      Denotes update to the article

      Effective Sunday, November 13 (trade date Monday, November 14), CME Group and Crypto Facilities (CF) will launch two bitcoin-pricing products designed to give clients a reliable reference rate price source for digital assets.

      The pricing data will be disseminated via a streamlined Simple Binary Encoding (SBE) market data feed. This feed will publish the following Bitcoin standardized reference rate and real time index pricing data:

      • CME CF Bitcoin Reference Rate (BRR) provides a final settlement price in U.S. dollars shortly after 4 p.m. London time each day.
      • CME CF Bitcoin Real Time Index (BRTI) allows users real-time access to bitcoin prices.

      The client impact assessment provides functionality and messaging information.

      A new certification test suite in AutoCert+ for Bitcoin pricing data via streamlined SBE will be available on Monday, October 24.

      Please note: Certification for streamlined CME CF Bitcoin pricing data is not mandatory for client systems already certified for streamlined SBE Equity Indices.

      A new SBE config.xml file for production will be available from CME Group FTP site on †Monday, October 31. The production channels for Bitcoin pricing data will be available for customers and broadcasting heartbeats on †Monday, October 31.

      Streamlined SBE for Bitcoin pricing data is currently available in New Release for customer testing.

      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.

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      Volatility-Quoted Options

      The launch of the following volatility-quoted options scheduled for Sunday, October 23, 2016, has been postponed. Effective Sunday, November 13, 2016 (trade date Monday, November 14), volatility-quoted options are scheduled to launch on six FX options products: Euro FX, British pound, Japanese Yen, Canadian Dollar, Swiss Franc and Australian Dollar in both American-style and new European-style options expiring at 2 p.m. Central Time (CT).

      Volatility-quoted options is a functionality that allows CME Globex clients to trade an option contract with an 'auto-hedge' into the corresponding quarterly month of the underlying futures contract. When a volatility trade occurs, CME will use a standardized option pricing model to create a delta neutral combination of premium options and futures, and exchange these between the buyer and seller.

      All of the volatility-quoted options products are currently available in the New Release for customer testing.

      To ensure customers can access, trade and process the market data for the new volatility-quoted FX options, CME Group will hold a mock trading session on Saturday, November 12. All customers and trading system providers who plan to support these products are strongly encouraged to participate. For more information about the Mock Trading Sessions, please view the mock trading session script.

      More information on these new products and the associated messaging and functionality enhancements is available in the Volatility-Quoted Options Client Impact Assessment.

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      Product Launches

      NY RBOB (Argus) Gasoline Futures

      Effective this Sunday, October 23 (trade date Monday, October 24), NY RBOB (Argus) Gasoline futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      NY RBOB (Argus) Gasoline Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      NY RBOB (Argus) Gasoline Futures NYA RF
      NY RBOB (Argus) vs. RBOB Gasoline Futures NYR RF

      These futures are currently available for customer testing in New Release.

      Please view New Product Summary.

      These contracts are listed with, and subject to, the rules and regulations of NYMEX.

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      Fuel Oil Crack Spread Average Price Options

      Effective this Sunday, October 23 (trade date Monday, October 24), the following Fuel Oil average priced options (APOs) will be listed for trading on CME Globex and for submission for clearing on CME ClearPort.

      Fuel Oil Crack Average Priced Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group (UDS)
      3.5% Fuel Oil Barges FOB Rdam (Platts) Crack Spread (1000mt) Average Price Option BCO EF EX
      Singapore Fuel Oil 380cst (Platts) Brent Crack Spread (1000mt) Average Price Option SCO EF EX

      These average price options are currently available for customer testing in New Release.

      Please view New Product Summary.

      These contracts are listed with, and subject to, the rules and regulations of NYMEX.

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      Platinum/Palladium Spread Futures

      Effective this Sunday, October 23 (trade date Monday, October 24), the following Platinum/Palladium Spread futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Platinum/Palladium Spread Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Platinum/Palladium Spread Futures PPS PU

      These futures are currently available for customer testing in New Release.

      Please view New Product Summary.

      These contracts are listed with, and subject to, the rules and regulations of NYMEX.

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      COMEX – Ratio and Spread Futures

      Effective this Sunday, October 23 (trade date Monday, October 24), the following COMEX Ratio and Spread futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      COMEX- Ratio and Spread Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Gold/Silver Ratio Futures GSR GV
      Gold/Platinum Spread Futures GPS GP

      These futures are currently available for customer testing in New Release.

      Please view New Product Summary.

      These contracts are listed with, and subject to, the rules and regulations of COMEX.

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      Listing Dairy Product Butterfly Spreads

      Effective this Sunday, October 23 (trade date Monday, October 24), butterfly spreads will be listed on CME Globex for the following dairy futures for the four nearest monthly butterflies and four nearest quarterly (January, April, July, October) maturities.

      Listing Dairy Futures Butterfly Spreads
      Product MDP 3.0: tag 6937-
      Asset
      MDP 3.0 tag 1151-
      Security Group
      iLink: tag 107 - SecDesc
      MDP 3.0 tag - 55 Symbol
      Tag 762-
      SecuritySubType
      Class III Milk Futures DC DC DC:BF V6-X6-Z6
      DC:BF X6-Z6-F7
      DC:BF Z6-F7-G7
      DC:BF F7-G7-H7
      DC:BF J7-K7-M7
      DC:BF N7-Q7-U7
      DC:BF V7-X7-Z7
      DC:BF F8-G8-H8
      BF (Butterfly Spread)
      Class IV Milk Futures GDK DC GDK:BF V6-X6-Z6
      GDK:BF X6-Z6-F7
      GDK:BF Z6-F7-G7
      GDK:BF F7-G7-H7
      GDK:BF J7-K7-M7
      GDK:BF N7-Q7-U7
      GDK:BF V7-X7-Z7
      GDK:BF F8-G8-H8
      BF (Butterfly Spread)
      Cash Settled Cheese Futures CSC DY CSC:BF V6-X6-Z6
      CSC:BF X6-Z6-F7
      CSC:BF Z6-F7-G7
      CSC:BF F7-G7-H7
      CSC:BF J7-K7-M7
      CSC:BF N7-Q7-U7
      CSC:BF V7-X7-Z7
      CSC:BF F8-G8-H8
      BF (Butterfly Spread)
      Cash Settled Butter Futures CB CB CB:BF V6-X6-Z6
      CB:BF X6-Z6-F7
      CB:BF Z6-F7-G7
      CB:BF F7-G7-H7
      CB:BF J7-K7-M7
      CB:BF N7-Q7-U7
      CB:BF V7-X7-Z7
      CB:BF F8-G8-H8
      BF (Butterfly Spread)
      Nonfat Dry Milk Futures GNF DC GNF:BF V6-X6-Z6
      GNF:BF X6-Z6-F7
      GNF:BF Z6-F7-G7
      GNF:BF F7-G7-H7
      GNF:BF J7-K7-M7
      GNF:BF N7-Q7-U7
      GNF:BF V7-X7-Z7
      GNF:BF F8-G8-H8
      BF (Butterfly Spread)
      Dry Whey Futures DY DY DY:BF V6-X6-Z6
      DY:BF X6-Z6-F7
      DY:BF Z6-F7-G7
      DY:BF F7-G7-H7
      DY:BF J7-K7-M7
      DY:BF N7-Q7-U7
      DY:BF V7-X7-Z7
      DY:BF F8-G8-H8
      BF (Butterfly Spread)

      The spreads are currently available for customer testing in New Release.

      These contracts are listed with, and subject to, the rules and regulations of CME.

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      Additional CME Europe FX Futures

      Effective this Sunday, October 23 (trade date Monday, October 24), additional CME Europe FX futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort; subject to regulatory approval.

      Additional CME Europe FX Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      U.S. Dollar/Polish Zloty Futures UPL 9P
      U.S. Dollar/Norwegian Krone Futures UNO 9N
      U.S. Dollar/Swedish Krona Futures USW 9K
      Australian Dollar/Japanese Yen Futures AJD 9A
      Euro/Australian Dollar Futures EAS 9E
      Euro/Canadian Dollar Futures ECA 9C

      These futures are currently available for customer testing in New Release.

      Please view New Product Summary.

      These contracts are listed with, and subject to, the rules and regulations of CME Europe.

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      UK NBP Natural Gas (USD/MMBtu) (ICIS Heren) Front Month Future

      Effective this Sunday, October 23 (trade date Monday, October 24), the UK NBP Natural Gas (USD/MMBtu) (ICIS Heren) Front Month Future will be listed for trading on CME Globex and for submission to clearing via CME ClearPort; subject to regulatory approval.

      UK NBP Natural Gas (USD/MMBtu) (ICIS Heren) Front Month Future
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      UK NBP Natural Gas (USD/MMBtu) (ICIS Heren) Front Month Future NUE JQ

      These futures are currently available for customer testing in New Release.

      These contracts are listed with, and subject to, the rules and regulations of CME Europe.

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      Bursa Malaysia Derivative Berhad (BMD) Tin Futures

      Effective Sunday, October 30 (trade date Monday, October 31), Bursa Malaysia Derivatives (BMD) is scheduled to list Tin futures for trading on CME Globex.

      Bursa Malaysia Derivative Berhad (BMD) Tin Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Trading Hours
      Tin Futures FTIN BN First Trading Session
      9:00 a.m. - 12:00 p.m. Malaysian Standard Time (MST)
      8:00 p.m. - 11:00 p.m. Central Time (CT)
      Second Trading Session
      1:30 p.m. -  3:00 p.m. (MST)
      12:30 a.m. - 2:00 a.m. (CT)

      These futures are currently available in New Release for customer testing.

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      Product Changes

      Implied Options Functionality on EU Wheat Options

      Effective this Sunday, October 23 (trade date Monday, October 24), CME Group will enable implied options functionality on the EU Wheat Options listed for trading on CME Globex. Additional information on implied options functionality is available in the Client Systems Wiki.

      Implied Options Functionality on EU Wheat Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group (UDS)
      EU Wheat Options WEO M3 M4

      This change is currently available in New Release for customer testing.

      These contracts are listed with, and subject to, the rules and regulations of CBOT.

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      New - Renaming DME Fuel Oil Products

      Effective this Sunday, October 23 (trade date Monday, October 24), the following DME Fuel Oil futures will be renamed as follows.

      DME Fuel Oil Products
      Current Product Name New Product Name iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Middle East Fuel Oil 180 cst (S&P Global Platts) Futures Middle East Fuel Oil 180 cst (Platts) Futures DHE DE
      Middle East Fuel Oil 380 cst (S&P Global Platts) Futures Middle East Fuel Oil 380 cst (Platts) Futures DES DE
      Singapore vs. Middle East Fuel Oil 180 cst Spread (S&P Global Platts) Futures Singapore vs. Middle East Fuel Oil 180 cst Spread (Platts) Futures DSM DE
      Singapore vs. Middle East Fuel Oil 380 cst Spread (S&P Global Platts) Futures Singapore vs. Middle East Fuel Oil 380 cst Spread (Platts) Futures DSI DE

      These contracts are listed with, and subject to, the rules and regulations of DME.

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      Listing Expansion for Aluminum A380 Alloy (Platts) Futures

      Effective Sunday, October 30 (trade date Monday, October 31), the listing cycle for the Aluminum A380 Alloy (Platts) futures will be expanded from 12 consecutive months to the current year plus the next calendar year on CME Globex.

      Listing Expansion for Aluminum A380 Alloy (Platts) Futures
      Product MDP 3.0: tag 6937-Asset MDP 3.0 tag 1151 - Security Group Current Listing Cycle New Listing Cycle
      Aluminum A380 Alloy (Platts) Futures A38 ST 12 consecutive months Current year plus the next calendar year

      This change will be available in New Release for customer testing on Monday, October 24.

      These futures are listed with, and subject to, the rules and regulations of CME.

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      New - Listing Live Cattle Futures and Options for February 2018 Contract

      Effective Sunday, November 6 (trade date Monday, November 7), the February 2018 maturity month for Live Cattle futures and options will be listed on CME Globex and clearing submission via CME ClearPort.

      Listing Live Cattle Futures and Options for February 2018 Contract Months
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Live Cattle Futures LE LE
      Live Cattle Options LE L0

      These changes will be available for customer testing in New Release on Monday, October 31.

      These contracts are listed with, and subject to, the rules and regulations of CME.

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      Change to Maximum Order Quantity for Energy Option Products

      Effective Sunday, November 13 (trade date Monday, November 14), the maximum order quantity, tag 1140-MaxTradeVol, for the Energy Options in the following groups will be changed from 999 to 2,499. Tag 1140-MaxTradeVol can be found in the security definition message.

      Change to Maximum Order Quantity for All Natural Gas Options
      Product MDP 3.0 tag 6937-Asset tag 1140-MaxTradeVol(Current) tag 1140-MaxTradeVol (New)
      Natural Gas Options GZ 999 2,499
      Natural Gas Options ON 999 2,499
      Natural Gas Options LG 999 2,499
      WTI Crude Oil Options LO 999 2,499
      Brent Crude Oil Options OT 999 2,499
      Brent Crude Oil Futures-Style Margin Options PR 999 2,499

      This change is currently available for customer testing in New Release.

      These contracts are listed with, and subject to, the rules and regulations of NYMEX.

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      Changes for Implied Futures Functionality

      Effective Sunday, November 13 (trade date Monday, November 14), the second-generation implied functionality will be removed from all remaining eligible markets on Market Segments 70, 76, 82, 84 and 86, including all intra- and inter-commodity spreads. First generation implied functionality will still be supported.  The market segment id can be identified in tag 1300-MarketSegmentID in the security definition message.

      Information on second-generation implied functionality is detailed in the Client Systems Wiki.

      Changes for Implied Futures Functionality
      Tag1300-MarketSegmentID Market Segment
      70

      CME Commodity Futures, MGEX Futures

      76

      COMEX Futures, NYMEX Metals, Softs, & Alternative Market Futures

      82 CME Interest Rate Futures
      84 CBOT Interest Rate Futures
      86 CME Europe Futures and Options

      This change will be available for customer testing in New Release on Monday, October 31.

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      New - NYMEX Options on Futures Changes

      Effective Sunday, November 13 (trade date Monday, November 14), pending all relevant CFTC regulatory review periods, the number of exchange-defined option instruments for the following NYMEX Natural Gas options will be reduced on CME Globex. Customers will continue to have the ability to create strikes as per the product Rulebook listing rules via the User-Defined Instruments functionality. UDI functionality allows users to dynamically create options strikes that co-exist with exchange-listed strikes and supports the most efficient use of product resources.

      NYMEX Options on Futures Changes
      NYMEX Natural Gas MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Natural Gas Option (European) LNE LG
      Natural Gas Option (American) ON ON
      Natural Gas (Henry Hub) Last-day Financial 3 Month Spread Option G3B ON
      Natural Gas (Henry Hub) Last-day Financial Option AE7 GZ
      Natural Gas (Henry Hub) Last-day Financial 1 Month Spread Option G4X ON
      Natural Gas 1 Month Calendar Spread Option IAY ON
      Henry Hub Natural Gas Financial Calendar Spread Option - Four Month G10 ON

      These products will be available for customer testing in New Release on Monday, October 31.

      These contracts are listed with, and subject to, the rules and regulations of NYMEX.

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      New - Additional Fixing Prices for E-mini S&P 500 Futures and Yen-Denominated Nikkei Futures

      Effective Sunday, November 20 (trade date Monday, November 21), CME Group will begin disseminating additional fixing prices for E-mini S&P 500 futures and Yen-Denominated Nikkei futures.

      Fixing Price is a volume-weighted average price mid-point of the bid/ask quotes of the associated future from CME Globex as well as actual trade prices for a defined time span. The additional E-mini S&P 500 futures fixing price will be calculated Monday through Friday from 14:59:30 to 15:00:00 Japan time and published at 15:00:00 Japan time. The Yen-Denominated Nikkei futures fixing price will be calculated Monday through Friday from 16:29:30 to 16:30:00 London time and published at 16:30:00 London Time.

      Additional Fixing Price for E-mini S&P 500 Futures and Yen-Denominated Nikkei Futures
      Product MDP 3.0 tag 6937 -
      Asset
      MDP 3.0 tag 1151 -
      Security Group
      ITC Commodity Code
      E-mini S&P 500 Futures ES ES EJF
      Nikkei/Yen Futures NIY N1 NEF

      Fixing Price data blocks are sent in the MDP 3.0 Market Data Incremental Refresh (tag 35-MsgType=X) with the following attributes:

      • Tag 279- MDUpdateAction will be set to 0 = New
      • Tag 269-MDEntryType will be set to W = Fixing Price
      • Tag 5796-Trading Reference will display the date for which the marker price was calculated

      The additional fixing prices will be available in New Release for customer testing on Monday, October 31.

      These contracts are listed with, and subject to, the rules and regulations of CME.

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      New - Listing Cycle Resumption for Black Sea Wheat Futures

      Effective Sunday, November 20 (trade date Monday, November 21), Black Sea Wheat futures will resume the following listing cycle on CME Globex and clearing submission via CME ClearPort.

      Listing Cycle Resumption for Black Sea Wheat Futures
      Product MDP 3.0 tag 6937 -
      Asset
      MDP 3.0 tag 1151 -
      Security Group
      Listing Cycle
      Black Sea Wheat BSW BW Two months of March, May, July, September, and December

      These changes will be available for customer testing in New Release on Monday, October 31.

      These contracts are listed with, and subject to, the rules and regulations of CBOT.

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      Events and Announcements

      Messaging Efficiency Program Q4 2016 Benchmarks

      The Q4 2016 CME Globex Messaging Efficiency Program Product Group Benchmarks are now available online. The Product Group Benchmark Ratios are published quarterly, unless business circumstances for a particular product or product group require changes to be implemented more frequently.

      Additionally, on Monday, October 3, various product groups and levels were added to the Messaging Efficiency Program; however, surcharges will not take effect until trade date November 1.

      CME Globex firms who exceed the benchmark ratios in the new product groups and are currently signed-up to receive Messaging Efficiency Program e-mail notifications will be informed of any theoretical surcharges via a sample e-mail notification.

      The CME Globex Messaging Efficiency Program creates fair business guidelines by which customers are billed a surcharge for overly high message rates.

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

      CME Group Security Ecosystem

      CME Group is committed to our customers’ information security. To deliver the best security and customer experience, as announced in the recent CME Group Customer Forums, all certified customer-facing applications that support human-to-machine authentication to CME Group systems will be required to support strong passwords, encryption of confidential and sensitive data, and two-factor authentication by the end of 2016.These requirements apply to both customer-facing services connected to CME Group and to their services exposed to clients.

      Please contact your Global Account Manager or third-party provider with any questions.

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