• CME Globex Notices: January 23, 2017

      • To
      • CME Globex and Market Data Participants
      • From
      • Global Account Management
      • #
      • 20170123
      • Notice Date
      • 23 January 2017
    • Topics in this issue include:

       

      Critical System Updates

      New Market Segment for FX Futures and Options

      Effective Sunday, February 5, 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-
      MarketSegmentID
      New Tag 1300-
      MarketSegmentID
      Production Launch New Release Launch
      CME Globex FX Futures 314 62 88 February 5 Available

      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.

      Drop Copy 4.0 will support 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.

      Config.xml Files

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

      • New Release – Available
      • Production – Available

      To support the new config.xml files rollout, the CME FTP and SFTP site will be updated as follows:

      Production
      FTP Site: ftp.cmegroup.com/SBEFix/Production/Configuration/
      SFTP Site: sftpng.cmegroup.com/MSGW/Production/Configuration/
      CME Globex Platform Directory Location Current February 5
      MDP 3.0 FTP Site config.xml
      (Updated with new Source IPs for channel 315)
      config.xml
      (Updated with new Source IPs for channel 314)
      MSGW SFTP Site MSGW config.xml
      (contains new Source IPs )
      MSGW config.xml
      (No Change)
      Drop Copy 4.0 SFTP Site DropCopy config.xml
      (contains new Source IPs )
      DropCopy config.xml
      (No Change)

      Starting Sunday, February 5, new MDP 3.0 config files will contain new Source IPs for MDP 3.0 channels 314 and 315.

      Feed A :
      205.209.221.53
      205.209.223.54

      Feed B:
      205.209.212.51
      205.209.211.52

      Customers who restrict market data flow via the source IPs must download and implement MDP 3.0 config.xml file on the production launch date prior to market open for each channel.

      Please contact the Global Command Center (GCC) in the U.S. +1 800 438 8616, in Europe at +44 20 7623 4747 or in Asia at +65 6532 5010 with any production questions.

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      Update - Streamlined SBE Market Data Protocol

      † Denotes update to the article

      Effective †Sunday, February 26, 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 †February 26 Available Equity Indices Streamlined Conversion to SBE

      Starting †Sunday, February 12, tag 60-TransactTime on all SBE Equity Indices channels will no longer populate the time, only the date. This change will be available in New Release for customer testing on Monday, January 30.

      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 February 10 February 10
      FIX/FAST OTC-EOD February 10 February 10
      FIX/FAST Equity Indices – Bloomberg, S&P & Dow Jones February 24 February 24
      FIX/FAST and ITC2 Blocks NYMEX/COMEX/DME March 31 March 31
      FIX/FAST Eris Exchange April 21 April 21

      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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      CME FX Futures Changes

      Effective Sunday, February 26 (trade date Monday, February 27), CME Globex will list monthly futures for the first three non-quarterly expiration months (in addition to current Quarterly expiration months)  on the following CME FX futures. With this launch, the SD calendar spread will have a reduced minimum tick for consecutive month calendar spreads while all other non-consecutive month spreads will align to minimum tick increments of existing quarterly spreads.

      CCME FX Futures Changes
      Product Outright Minimum Tick
      (tag 969-MinPriceIncrement)
      Consecutive Months SD Spreads Non-Consecutive Months SD Spreads
      Euro FX (6E) 0.5 0.1 0.5
      Euro/British Pound (RP) 5 1 2.5
      Japanese Yen (6J) 0.5 0.1 0.5
      British Pound (6B) 1 0.1 1
      Australian Dollar (6A) 1 0.1 0.5
      Canadian Dollar (6C) 0.5 0.1 0.5

      Only the quarterly months of March, June, September and December will be subject to the Messaging Efficiency Program calculations.

      These changes are 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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      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 is currently available in New Release for customer testing.

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      Market By Order Market Data

      Effective Sunday, March 26 (trade date Monday, March 27), to increase market transparency and customer choice, CME Group will continue the rollout Market by Order (MBO) 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.

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      Indicative Opening Enhancements

      Effective Sunday, March 26 (trade date Monday, March 27), CME Group continues implementing the 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

      Effective Sunday, March 26 (trade date Monday, March 27), 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
      Channel Number Channel Name Production Date
      340 CBOT Globex Commodity Futures Sunday, March 26, 2017
      346 CBOT Globex Commodity Futures II
      341 CBOT Globex Commodity Options
      342 CBOT Globex Equity Index Futures
      343 CBOT Globex Equity Index Options
      344 CBOT Globex Interest Rate Futures
      345 CBOT Globex Interest Rate Options
      460 MGEX Globex Futures
      461 MGEX Globex Options
      310 CME Globex Equity Futures
      311 CME Globex Equity Options
      312 CME Globex Interest Rate Futures
      313 CME Globex Interest Rate Options
      318 CME Globex Equity Futures - excludes E-mini S&P 500
      319 CME Globex Equity Options - excludes E-mini S&P 500
      314 CME Globex FX Futures
      315 CME Globex FX Options
      316 CME Globex Commodity Futures
      317 CME Globex Commodity Options
      320 CME Globex FX Futures II
      321 CME Globex FX Options II
      430 BMD Globex Futures
      431 BMD Globex Options
      450 KRX Globex Futures

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      New Functionality

      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 are currently available for customer testing in New Release.

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      Triangulation Functionality for Australian Dollar

      Effective Sunday, February 26 (trade date Monday, February 27), CME Group will enable Triangulation functionality for Australian Dollar futures and options listed for trading on CME Globex. Additional information on triangulation functionality is available in the Client Systems Wiki.

      With this launch, CME Globex will implement functionality that provides liquidity between volatility-quoted options, premium-quoted options, and the related underlying futures market. The liquidity across these order books is supported by implied functionality and standard option pricing model calculations.

      Customer Testing

      Currently, Triangulation is available in New Release for customer testing. Market by Order (MBO) is disabled in New Release for the impacted MDP 3.0 channels, CME Globex FX Futures (314) and CME Globex FX Options (315). Starting Monday, January 30, Triangulation will migrate to the Certification environment for customer testing, and MBO functionality will be re-enabled in New Release.

      Environment Now through January 28 Effective January 30
      MBO on Channels 314 and 315 Triangulation MBO on Channels 314 and 315 Triangulation
      New Release Not available Available Available Not available
      Certification Not available Not available Not available Available

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      Globex Risk Management Enhancements: Inline Credit Controls

      In Q1 2017, in addition to existing risk management controls, CME Group will offer optional, more granular pre-trade risk management capability through the In-Line Credit Control (ICC) tool.

      The ICC tool allows Clearing Member Firms and Executing Firms to set daily position limits for CME Globex orders, per product, at the account level through Account Manager.

      The new functionality will feature:

      • Daily quantity position limits applied per product at the account level.
      • Positions reset to flat at the end of the day. Good 'Til Cancel (GTC) and Good 'Til Date (GTD) orders will roll-over to be calculated in the next day’s working orders.
      • No latency differential; all orders are subject to the same ICC processing.
      • Both Clearing Member Firm and Executing Firm Risk Admins can register accounts and set limits.
        • The most restrictive limit applies.
        • Clearing Member Firm and Executing Firm Risk Admins can view each other's account limits.
        • Clearing Member Firms and Executing Firms cannot change the other's limit.
      • Email alerts can be set up when pre-set threshold level breaches occur (for example, at 80%).

      See more on Viewing and Managing Inline Credit Control Limits and Configuring Alerts and Policies for Inline Credit Controls.

      For registered client systems, a new or cancel/replace order that violates specified position limits will be rejected. CME Globex will send a Session Level Reject (tag 35-MsgType=3) message including tag 58=<Reject Reason>.

      Reject Reason Tag 58-Text
      Position Limit Violation Position Limit Violation for Account: <Account>, Position Increase: <position> makes position above the BUY Position Limit: <Limit> by amount: <Amount>. Limit set by CMF for Product Code: <Product Code>
      Position Limit Violation for Account: <Account>, Position Increase: <position> makes position above the BUY Position Limit: <Limit> by amount: <Amount>. Limit set by EF for Product Code: <Product Code>
      Account Policy Violation Pre-Trade Registration Violation: Account: <Account> is not Registered for this Executing Firm
      Product Policy Violation Pre-Trade Registration Violation: Account: <Account> is not Registered to Trade Product Code: <Product Code>
      UDS Covereds Policy Violation Pre-Trade Registration Violation: Account: <Account> is not Registered to Trade UDS Covereds
      Account Deactivation Violation Pre-Trade Registration Violation: Account: <Account> has been Suspended from Trading by the CMF for this Executing Firm

      This new functionality is currently available for customer testing in New Release.

      Please contact your Global Account Manager with any questions on onboarding and testing In-line Credit Controls functionality in New Release 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.

      Please contact Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803 or in Asia at +65 6593 5593 with questions while testing in New Release.

      Please contact the Global Command Center (GCC) in the U.S. +1 800 438 8616, in Europe at +44 20 7623 4747 or in Asia at +65 6532 5010 with any production questions.

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      Product Launches

      Metro Area Housing Index Options

      Effective Sunday, February 5 (for trade date Monday, February 6), the following Metro area Housing Index options will be listed for trading on CME Globex and for submission for clearing on CME ClearPort.

      Metro Area Housing Index 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)
      Options on Boston Housing Index Futures BOS A7 A8
      Options on Denver Housing Index Futures DEN A7 A8
      Options on Las Vegas Housing Index Futures LAV A7 A8
      Options on Miami Housing Index Futures MIA A7 A8
      Options on San Diego Housing Index Futures SDG A7 A8
      Options on San Francisco Housing Index Futures SFR A7 A8
      Options on Washington DC Housing Index Futures WDC A7 A8

      These options 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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      New - California Emissions Futures

      Effective Sunday, February 26 (trade date Monday, February 27), California Emissions futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      California Emissions Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      CBL California Carbon Allowance Vintage-Specific 2016 Futures C6C VX
      CBL California Carbon Allowance Vintage-Specific 2017 Futures C7C VX
      CBL California Carbon Allowance Vintage-Specific 2018 Futures C8C VX
      CBL California Carbon Allowance Vintage-Specific 2019 Futures C9C VX
      CBL California Carbon Allowance Vintage-Specific 2020 Futures CC0 VX

      These futures will be available for customer testing in New Release on Monday, February 13.

      Please see New Product Summary.

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

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      Bursa Malaysia Derivatives Berhad (BMD) FX Futures

      Pending regulatory approvals, Bursa Malaysia Derivatives (BMD) will list the following FX futures for trading on CME Globex in Q1 2017.

      Bursa Malaysia Derivatives Berhad (BMD) FX Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      BMD Mini CNH/MYR Futures MFCM BR
      BMD Mini USD/MYR Futures MFUM BM

      These are currently will be available for customer testing in New Release.

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      Product Changes

      New - Suspension for Trading of Cocoa Product Contract Months

      On Monday, January 23, at the close of business, CME Europe Limited suspended from trading all Contract Months from (and including) the May 2017 Contract Month onwards in the following CME Europe agricultural products:

      Suspension From Trading of Cocoa Product Contract Months
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Cocoa Future CCP JX
      Cocoa Financial Future CCC EC
      Cocoa Option CEY JY

      The March 2017 contract will remain available for trading and any open interest in this contract will remain unaffected by the suspension.

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      Trading Time Change for the CME Europe U.S. Dollar/Brazilian Real

      Effective Sunday, February 12 (trade date Monday, February 13), CME Group will change the termination of trading time for the CME Europe U.S. Dollar/Brazilian Real futures and options to 9:15 a.m. Central Tim (CT).

      Termination of Trading Time Change for the CME Europe U.S. Dollar/Brazilian Real
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current Termination of Trading Hours New Termination of Trading Hours
      U.S. Dollar / Brazilian Real (USD/BRL) Cash Settled Future BRL JL Trading terminates at 13:15 hours (Sao Paulo time), which is usually 15:15 London time. Trading terminates at 09:15 hours Chicago time, which is usually 15:15 hours London time. 

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

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      New - Changes to Maximum Order Quantity, Non-Reviewable Range, and Price Banding for Various Energy Products

      Effective Sunday, February 19 (trade date Tuesday, February 21), the Maximum Order Quantity, Non-Reviewable Range, and Price Banding will be modified for various Energy products.

      These changes will be available for customer testing in New Release on Monday, February 6.

      The Maximum Order Quantity, Non-Reviewable Range, and Price Bands settings for every CME Globex product are defined in the CME Globex Product Reference Sheet.

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

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