• CME Globex Notices: March 13, 2017

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Account Management
      • #
      • 20170313
      • Notice Date
      • 13 March 2017
    • Topics in this issue include:

       

      Critical System Updates

      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.

      To ensure customers can access, trade and process the market data for Market By Order (MBO), CME Group held a mock trading session this Saturday, March 11. Customers must register with their Global Account Manager (GAM) for this session in advance. During this mock trading session, customers may test MDP 3.0 Market Data, Order Entry, and Trade Matching. For more information about the Mock Trading Session, please view the mock trading session script. All customers and trading system providers who plan to support MBO are strongly encouraged to participate.

      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 will continue 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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      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
      Streamlined FIX/FAST and ITC 2 Production New Release Client Impact Assessment
      FIX/FAST and ITC2 Blocks NYMEX/COMEX/DME March 31 March 31 Blocks Streamlined Conversion to SBE
      FIX/FAST Eris Exchange April 21 April 21 Eris Exchange Streamlined Conversion to SBE

      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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      New Functionality

      Globex Risk Management Enhancements: Inline Credit Controls

      In Q2 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, 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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      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 are 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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      Settlement Enhancements

      Effective Sunday, May 21 (trade date Monday, May 22), 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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      Product Launches

      Net Energy Monthly Index Crude Oil Futures

      Effective Sunday, March 26 (trade date Monday, March 27), the following Net Energy Monthly Index Crude Oil futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Net Energy Monthly Index Crude Oil Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Western Canadian Select Oil (Net Energy) Monthly Index Futures WCW BB
      Light Sweet Oil (Net Energy) Monthly Index Futures LSW BB
      Synthetic Sweet Oil (Net Energy) Monthly Index Futures SSW BB

      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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      Monday S&P 500 and E-mini S&P 500 Options

      Effective Sunday, April 2 (trade date Monday, April 3), S&P 500 Monday Weekly options and E-mini S&P 500 Monday Weekly options will be listed for trading on the venues listed below.

      Monday S&P 500 and E-mini S&P 500 Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      MDP 3.0 ta 1151-Security Group (UDS)

       

      Venue

       

      E-mini S&P 500 Monday Weekly Options

       

      E1A-E5A

       

      EW

       

      1V

       

      • CME Globex
      • Submission for clearing via CME ClearPort
      S&P 500 Monday Weekly Options

       

      S1A-S5A

       

      OS

       

      4V

       

      • CME Globex
      • CME trading floor
      • Submission for clearing via CME ClearPort

      These options will be available for customer testing in New Release on Monday, March 20.

      Please see New Product Summary.

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

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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

      New - Delisting and Removal of RINs 2014 and 2015

      On Monday, March 13, the RINs Futures were delisted, and on Friday, March 17, these RINs products will be removed from CME Globex at close of business.

      Delisting and Removal of RINs 2014 and 2015
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      D4 Biodiesel RINs (Argus) 2014 Futures D44 RI
      D5 Advanced Biofuel RINs (Argus) 2014 Futures D54 RI
      D6 Ethanol RINs (Argus) 2014 Futures D64 RI
      D4 Biodiesel RINs (Argus) 2015 Futures D45 RI
      D5 Advanced Biofuel RINs (Argus) 2015 Futures D55 RI
      D6 Ethanol RINs (Argus) 2015 Futures D65 RI

      These futures currently has no open interest.

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      New - Delisting and Removal of European Hot Rolled Coil Futures and Steel Billet, FOB Black Sea (Platts) Futures

      On Monday, March 13, the following European Hot Rolled Coil, Ex-Works Ruhr Germany (Platts) futures and Steel Billet, FOB Black Sea (Platts) futures were delisted, and on Friday, March 17, these futures will be removed from CME Globex at close of business.

      Delisting and Removal of European Hot Rolled Coil Futures and Steel Billet, FOB Black Sea (Platts) Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      European Hot Rolled Coil, Ex-Works Ruhr Germany (Platts) Futures NSF ST
      Steel Billet, FOB Black Sea (Platts) Futures SSF ST

      These futures currently have no open interest.

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      Change to Korea Exchange (KRX) KOSPI 200 Future (K2F) Unit of Measure Quantity

      Effective Sunday, March 26 (trade date Monday, March 27), Korea Exchange (KRX) will change the Unit of Measure Quantity for the KOSPI 200 futures.

      Change to Korea Exchange (KRX) KOSPI 200 Future (K2F) Unit of Measure Quantity
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current tag 1147-   UnitOfMeasureQty New tag 1147-   UnitOfMeasureQty
      KOSPI 200 futures K2F K2 500,000 250,000

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

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

       

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      Changes to Non-Reviewable Ranges and Price Bands for Non-fat Dry Milk Futures

      Effective Sunday, March 26 (trade date Monday, March 27), the Non-Reviewable Ranges and Price Bands will be modified for following product.

      Changes to Non-Reviewable Ranges and Price Bands for Non-fat Dry Milk Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current Non-Reviewable Range New Non-Reviewable Range Current Price Banding New Price Banding
      Non-fat Dry Milk Futures GNF DC 750 1500 1500 3000

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

      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.

       

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      European-Style FX Options

      Effective Sunday, March 26 (trade date of March 27), the following CME FX options will be available for trading on CME Globex, trading floor and for submission for clearing on CME ClearPort with new European-style exercise.

      On Thursday, March 9, these options were temporarily suspended from trading and removed from CME Globex. This temporary suspension is required to support the conversion of these options from American-style to European-style exercise.  Currently, there is no open interest or resting orders in these contracts.

      Trading will not be permitted in these options from Thursday, March 9 through Sunday, March 26.

      Please note: Symbols are not changing.

      FX Options American to European Style Conversion
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Options on Brazilian Real/U.S. Dollar (BRL/USD) Futures BR OR
      Options on Brazilian Real/U.S. Dollar (BRL/USD) Futures - Week 1-5 1R-5R OR
      Options on New Zealand Dollar/U.S. Dollar (NZD/USD) Futures 6N 2N
      Options on New Zealand Dollar/U.S. Dollar (NZD/USD) Futures - Week 1-5 1Z-5Z 2N
      Options on Russian Ruble/U.S. Dollar (RUB/USD) Futures 6R UO
      Options on Russian Ruble/U.S. Dollar (RUB/USD) Futures - Week 1-5 6R1-6R5 UO
      Options on Czech Koruna/U.S. Dollar (CZK/USD) Futures CKO FR
      Options on Czech Koruna/Euro (CZK/EUR) Cross Rate Futures ECZ 8A
      Options on Hungarian Forint/U.S. Dollar (HUF/USD) Futures HFO 8K
      Options on Hungarian Forint/Euro (HUF/EUR) Cross Rate Futures EHU X8
      Options on Polish Zloty/U.S. Dollar (PLN/USD) Futures PLZ P6
      Options on Polish Zloty/Euro (PLN/EUR) Cross Rate Futures EPL 8M
      Options on Israeli Shekel/U.S. Dollar (ILS/USD) Futures ILS I0 (I Zero)
      Options on Israeli Shekel/U.S. Dollar (ILS/USD) Futures - Week 1-5 IS1-IS5 I0 (I Zero)
      Options on Chinese Renminbi/U.S. Dollar (RMN/USD) Futures RMB 0R (Zero R)
      Options on Chinese Renminbi/U.S. Dollar (RMB/USD) Futures - Week 1-5

                    RB1-RB5

      0R (Zero R)
      Options on Korean Won/U.S. Dollar (KRW/USD) Futures KRW 0K (Zero K)
      Options on Korean Won/U.S. Dollar (KRW/USD) Futures - Week 1-5 KR1-KR5 0K (Zero K)
      Options on Euro/British Pound Sterling (EUR/GBP) Cross Rate Futures RP 8E
      Options on Euro/British Pound Sterling (EUR/GBP) Cross Rate Futures - Week 1-5 1E-5E 8E
      Options on Euro/Japanese Yen (EUR/JPY) Cross Rate Futures RY 8H
      Options on Euro/Japanese Yen (EUR/JPY) Cross Rate Futures - Week 1-5 1H-5H 8H
      Options on Euro/Swiss Franc (EUR/CHF) Cross Rate Futures RF 8C
      Options on Euro/Swiss Franc (EUR/CHF) Cross Rate Futures - Week 1-5 1I-5I 8C
      Options on Chinese Renminbi/Euro (RMB/EUR) Cross Rate Futures RME 8O
      Options on Chinese Renminbi/Euro (RMB/EUR) Cross Rate Futures - Week 1-5 RE1-RE5 8O

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

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

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      New - Implied Functionality on Henry Hub Natural Gas Futures Butterfly Spreads

      Effective Sunday, March 26 (trade date Monday, March 27), CME Group will enable implied functionality on the existing 12 consecutive Henry Hub Natural Gas futures butterfly spreads listed for trading on CME Globex. Additional information on implied order functionality is available in the Client Systems Wiki.

      Implied Functionality on Henry Hub Natural Gas 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
      Henry Hub Natural Gas Futures NG NG

      NG:BF J7-K7-M7
      NG:BF K7-M7-N7
      NG:BF M7-N7-Q7
      NG:BF N7-Q7-U7
      NG:BF Q7-U7-V7
      NG:BF U7-V7-X7
      NG:BF V7-X7-Z7
      NG:BF X7-Z7-F8
      NG:BF Z7-F8-G8
      NG:BF F8-G8-H8

      BF
      (Butterfly Spread)

      These futures will be available for customer testing in New Release on Monday, March 20.

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

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      Listing Cycle Expansion for Calendar Spreads for Henry Hub Last-day Financial Futures

      Effective Sunday, April 2 (trade date Monday, April 3), the listing cycle for the following Calendar Spreads for Henry Hub Last-day Financial Futures will be expanded on CME Globex, and clearing submission via CME ClearPort.

      Listing Cycle Expansion for Calendar Spreads for Henry Hub Last-day Financial Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current Listing Schedule New Listing Schedule
      Henry Hub Last-day Financial Futures HH NG 24 consecutive months 36 consecutive months

      Please Note: Only the first 24 consecutive months will be implied.

      These futures will be available for customer testing in New Release on Monday, March 20.

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

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      Listing Cycle Expansion for TAS on Live Cattle and Lean Hog Futures

      Effective Sunday, April 2 (trade date Monday, April 3), the listing cycle for the Live Cattle TAS futures and Lean Hog TAS futures will be expanded on CME Globex.

      TAS on Live Cattle and Lean Hog Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current Listing Schedule New Listing Schedule
      Live Cattle TAS Futures LET TH First two contract months First three contract months
      Lean Hogs TAS Futures HET TH First two contract months First three contract months

      These futures will be available for customer testing in New Release on Monday, March 20.

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

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      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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      Events and Announcements

      New - New Version of FirmSoft

      CME Group is excited to announce a new version of FirmSoft. Existing FirmSoft users may now use CME Group Login credentials to access and explore the new version of FirmSoft.

      Login to the new version of FirmSoft

      The new version of FirmSoft offers:

      • a new look and feel
      • ability to search and cancel by Market Segment Gateway ID
      • mobile-friendly access from any internet enabled device

      For additional information about functionality, please review the new version of FirmSoft Help System

      The current version of FirmSoft will be decommissioned at a later date, which will be announced in future FirmSoft notices.

      We look forward to receiving your feedback.

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      Amendments to the Exercise and Assignment Rules for CME FX Options

      Effective this Friday, March 24, the exercise and assignment rules for all CME FX options contracts will be amended on the CME trading floor and CME Globex and for submission for clearing via CME ClearPort.

      Additional information on these changes is available in the Clearing House Notice.

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

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      Amendments to the Exercise and Assignment Rules for CME FX Options

      Effective Friday, March 24, the exercise and assignment rules for all CME FX options contracts will be amended on the CME trading floor and CME Globex and for submission for clearing via CME ClearPort.

      Additional information on these changes is available in the Clearing House Notice.

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

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