Topics in this issue include:
Effective this 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:
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.
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 is currently available in New Release for customer testing.
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.
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.
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.
† Denotes update to the article
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:
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.
† Please Note: The CBOT channels 342, 343, 344, and 345 MBO production launch date has been moved from April 9 to April 2.
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.
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.
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 |
Effective Sunday, February 12 (trade date Monday, February 13), new settlement information will be available on CME MDP 3.0.
These settlement enhancements are currently available for customer testing in New Release.
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.
Triangulation is available in Certification for customer testing.
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:
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.
Effective this 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.
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.
† Denotes update to the article
Pending regulatory approvals, Bursa Malaysia Derivatives (BMD) will list the following FX futures for trading on CME Globex in †Q2 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.
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.
† Denotes update to the article
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. The maximum order quantity tag 1140-MaxTradeVol can be found in the security definition message.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 changes will be available for customer testing in New Release on Monday, February 6.
These contracts are listed with, and subject to, the rules and regulations of NYMEX.
Effective Sunday, February 26 (trade date Monday, February 27), the first trade date for the South American Short-Dated New Crop Soybean options will be modified on CME Globex.
First Trade Date Change for South American Short-Dated New Crop Soybean Options | ||||
---|---|---|---|---|
Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Current First Trade Date | New First Trade Date |
South American Short-Dated New Crop Soybean Options | SRS | SQ | First trading day following the expiration of the May standard Soybean option (Currently April 24, 2017). | First trading day following the expiration of the March standard Soybean option (will be February 27, 2017). |
These contracts are listed with, and subject to, the rules and regulations of CBOT.