• CME Globex Notices: February 20, 2017

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Account Management
      • #
      • 20170220
      • Notice Date
      • 20 February 2017
    • Topics in this issue include:

       

      Critical System Updates

      Streamlined SBE Market Data Protocol

      Effective this 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

      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 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 this 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.

      CME 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.

      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.

      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

      Update - Triangulation Functionality for Australian Dollar

      † Denotes update to the article

      Effective this 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 Certification for customer testing.  Starting Monday, March 6, Triangulation will also be enabled in New Release to facilitate the upcoming Market By Order Market Data launch for CME Globex FX Futures and CME Globex FX Options on MDP 3.0 channel 314 and 315.

      †Triangulation Functionality for Australian Dollar
      Environment Now through March 4 Effective March 6
      MBO on Channels 314 and 315 Triangulation MBO on Channels 314 and 315 Triangulation
      New Release Available Not Available Available Available
      Certification Not available Available Not available Available

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      Settlement Enhancements

      Effective Sunday, March 12 (trade date Monday, March 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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      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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      New - Mass Quote Cancel Enhancements

      Effective Sunday, May 7 (trade date Monday, May 8), in addition to the current Mass Quote Cancel functionality, CME Group will offer customers the ability to cancel their Mass Quotes based on the Quote Set ID.

      Cancel by Quote Set enhancements support cancellation of quote sets with a single Quote Cancel (tag 35-MsgType=Z) message as follows:

      • Cancel a designated quote set by Quote Set ID; client system provided unique identifier.
      • Cancel a side (Buy/Sell) of the designated Quote Set ID.

      The client impact assessment provides functionality and messaging information.

      Certification for Cancel by Quote Set is not mandatory for client systems already certified for the Mass Quote test suite.

      These enhancements will be available in New Release for customer testing on Monday, March 13.

      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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      Product Launches

      California Emissions Futures

      Effective this 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 are currently available for customer testing in New Release.

      Please see New Product Summary.

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

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      Crude Oil Strips and Spreads

      Effective this Sunday, February 26 (trade date Monday, February 27), strips and calendar spreads will be listed for the following crude oil futures on CME Globex.

      Crude Oil Strips and Spreads
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Tag 762-SecuritySubType
      WTI-Brent Futures BK CC SB (Balanced Strip Spread)
      WTI-Brent Bullet Futures ABY CC SP (Standard Calendar Spread)
      FS (FS Strip)
      SB (Balanced Strip Spread)
      Canadian Light Sweet Oil (Net Energy) Index Futures CIL BB SP (Standard Calendar Spread)
      FS (FS Strip)
      SB (Balanced Strip Spread)
      Argus LLS VS. WTI (Argus) Trade Month Futures AE5 CC SP (Standard Calendar Spread)
      FS (FS Strip)
      SB (Balanced Strip Spread)
      WTI Midland (Argus) vs. WTI Financial Futures AFF CC SP (Standard Calendar Spread)
      FS (FS Strip)
      SB (Balanced Strip Spread)
      WTS (Argus) vs. WTI Trade Month Futures AFH CC SP (Standard Calendar Spread)
      FS (FS Strip)
      SB (Balanced Strip Spread)
      Canadian Heavy Crude Oil Index (Net Energy) Futures WCC BB SP (Standard Calendar Spread)
      FS (FS Strip)
      SB (Balanced Strip Spread)
      LLS (Argus) vs. WTI Financial Futures AWJ CC SP (Standard Calendar Spread)
      FS (FS Strip)
      SB (Balanced Strip Spread)
      Mars (Argus) vs. WTI Financial Futures AYX CC SP (Standard Calendar Spread)
      FS (FS Strip)
      SB (Balanced Strip Spread)
      Mars (Argus) vs. WTI Trade Month Futures AYV CC SP (Standard Calendar Spread)
      FS (FS Strip)
      SB (Balanced Strip Spread)
      WTI Midland (Argus) vs. WTI Trade Month Futures WTT CC SP (Standard Calendar Spread)
      FS (FS Strip)
      SB (Balanced Strip Spread)
      Argus Sour Crude Index (“ASCI”) vs. WTI Diff Spread Calendar Month Futures 38 CC SP (Standard Calendar Spread)
      FS (FS Strip)
      SB (Balanced Strip Spread)
      LOOP Crude Oil Storage Futures LPS BB SP (Standard Calendar Spread)
      FS (FS Strip)
      SB (Balanced Strip Spread)
      LOOP Gulf Coast Sour Crude Oil Futures MB OP SP (Standard Calendar Spread)
      FS (FS Strip)
      SB (Balanced Strip Spread)
      WTI Houston (Argus) vs. WTI Trade Month Futures HTT CC SP (Standard Calendar Spread)
      FS (FS Strip)
      SB (Balanced Strip Spread)
      WTI Houston (Argus) vs. WTI Financial Futures HIL CC SP (Standard Calendar Spread)
      FS (FS Strip)
      SB (Balanced Strip Spread)
      Clearbrook Bakken Sweet Crude Oil Index (Net Energy) Futures CSW BB SP (Standard Calendar Spread)
      FS (FS Strip)
      SB (Balanced Strip Spread)
      Guernsey Light Sweet Crude Oil Index (Net Energy) Futures GSW BB SP (Standard Calendar Spread)
      FS (FS Strip)
      SB (Balanced Strip Spread)

      A detailed description of the futures strips and spreads is available in the Client Systems Wiki.

      The strips and spreads are 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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      Freight Route Liquid Petroleum Gas (Baltic) Average Price Option

      Effective Sunday, March 12 (trade date Monday, March 13), Freight Route Liquid Petroleum Gas (Baltic) Average Price Option will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Listing Crude Oil Strips and Spreads
      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)
      Freight Route Liquid Petroleum Gas (Baltic) Average Price Option

       

      FLO

       

      FA

       

      FC

       

      These futures will be available for customer testing in New Release on Monday, February 27.

      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 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.

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      Product Changes

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

      Effective this 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.

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      Amendment of Circuit Breakers for Turkish Lira Futures

      Effective this Sunday, February 26 (trade date Monday, February 27), circuit breakers values will increase for the following Turkish Lira futures.

      Amendment of Circuit Breakers for Turkish Lira Futures
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current Circuit Breaker Settings New Circuit Breaker Settings
      Turkish Lira Euro Futures TRE FL Level 1: 400
      Level 2: 800
      Level 3: 1200
      Level 4: 1600
      Level 1: 1200
      Level 2: 2400
      Level 3: 3600
      Level 4: 4800
      Turkish Lira Futures TRY TR

      The settings for all CME Globex products are in the GCC product reference spreadsheet.

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

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      Listing Live Cattle Futures and Options for June 2018

      Effective Sunday, March 5 (trade date Monday, March 6), the June 2018 contract month for Live Cattle futures and options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Live Cattle Futures and Options for June 2018
      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

      The June 2018 contract month is 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 - Decommission of MexDer Order Routing Offering

      Effective end of day Friday, August 25, Globex order routing and market data for MexDer products will no longer be available via the CME Globex platform.  Existing order routing customers to MexDer markets and customers wishing to pursue market access to MexDer should contact Laura Vazquez at lvazquez@grupobmv.com.mx or +(52 55) 53 42 9840.  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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