Topics in this issue include:

• Critical System Updates
  • New Market Segment for FX Futures and Options - This Week
  • Streamlined SBE Market Data Protocol - February 26
  • CME FX Futures Changes - February 26
  • SecurityAltID Update for Eris Exchange - March 12
  • Market By Order Market Data - March 26 ^Update
  • Indicative Opening Enhancements - March 26
  • Trade Summary OrderID Opt-in Update - March 26
• New Functionality
  • Settlement Enhancements - February 12
  • Triangulation Functionality for Australian Dollar - February 26
  • Globex Risk Management Enhancements: Inline Credit Controls - Q1 2017
• Product Launches
  • Metro Area Housing Index Options - This Week
  • CME FX Futures Changes - February 26
  • California Emissions Futures - February 26
  • Bursa Malaysia Derivatives Berhad (BMD) FX Futures - Q2 2017 ^Update
• Product Changes
  • Trading Time Change for the CME Europe U.S. Dollar/Brazilian Real - February 12
  • Changes to Maximum Order Quantity, Non-Reviewable Range, and Price Banding for Various Energy Products - February 19 ^Update
  • First Trade Date Change for South American Short-Dated New Crop Soybean Options - February 26 ^New
• Events and Announcements
  • CME FX Futures Changes - February 26

Critical System Updates

New Market Segment for FX Futures and Options

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:

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:

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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Streamlined SBE Market Data Protocol

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.

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:

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.

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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Update - Market By Order Market Data

† 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:

• 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.

† 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.

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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.

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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
  • Currently, MDP 3.0 publishes a value of zero when an option settles to cabinet.

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.

Triangulation is available in Certification for customer testing.

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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>.

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 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.

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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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.

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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Update - Bursa Malaysia Derivatives Berhad (BMD) FX Futures

† 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.

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

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Product Changes

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).

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

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

† 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.

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New - First Trade Date Change for South American Short-Dated New Crop Soybean Options

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.

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

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