• CME Globex Notices: August 7, 2017

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions & Services
      • #
      • 20170807
      • Notice Date
      • 07 August 2017
      • Effective Date
      • 10 August 2017
    • Topics in this issue include:

    • Critical System Updates

      New New - iLink Message Specification Update  - This Week

      The iLink message specifications in the Client Systems Wiki has been updated to more accurately reflect validation for Logon (tag 35-MsgType=A) messages sent by the client to CME Globex.

      iLink tag 141-ResetSeqNumFlag is now a Conditionally Required tag in the Logon message.

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      New New - Description Change and Renaming of Rounded and Unrounded Settlements  - This Week

      On Wednesday, August 9, CME Group changed the description and renamed the rounded and unrounded settlement price types in the Client Systems Wiki to provide greater clarity.

      There will be no change to market data messaging behavior or format with this change.

      Renaming of Rounded and Unrounded Settlements
      Current Name New Name Updated Description
      Rounded Settlement at Trading Tick The Settlement at Trading Tick is the instrument’s settlement price rounded to the product’s CME Globex trading tick. Some CME Group products’ trading tick is less granular than their clearing tick (e.g., clearing ticks at a penny, but trading ticks at a nickel). Settlement at Trading Tick prices are often used for front-end display purposes and to calculate net change aligned to the trading tick.
      Unrounded Settlement at Clearing Tick The Settlement at Clearing Tick is the instrument’s settlement price at the Clearing tick precision. This value is used by CME Group Clearing for marking to market and margin calculations.

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      Changes to Committed Cross Transaction Parameters - This Week

      Effective this Sunday, August 13 (trade date Monday, August 14), the Better Price Match (BPM) parameters for the Committed Cross (C-Cross) transactions in all CME and CBOT Interest Rate Options will be changed from 20% to 35%.

      See the complete list of impacted options products.

      This change is currently available for customer testing in New Release.

      A detailed description of the C-Cross process is available here

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      AutoCert+ iLink 2.x Test Suite  - August 21

      Effective Monday, August 21, the following CME Globex iLink related certification test suites will be consolidated into a single test suite named iLink 2.x.

      • iLink
      • iLink MSGW
      • iLink Committed Cross
      • iLink Mass Order Cancel
      • iLink Mass Order Status
      • Mass Quote
      • UDS

      For more information regarding these iLink test suites, please review CME Group Webhelp

      All iLink customers must complete any pending certification test suites by the close on the Friday, August 18, or complete certification using the new iLink 2.x test suite starting Monday, August 21. Please note any pending certification test suites results will not carryover to the new iLink 2.x test suite.

      For questions, 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 regarding logging in or using AutoCert+, technical issues or error messages.

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      Implied Functionality for CME FX Futures and SD Calendar Spreads - September 24

      Effective Sunday, September 24, 2017 (trade date Monday, September 25), implied functionality will be enabled on the following CME FX futures outrights and all SD calendar spreads (i.e. serial-serial, serial-quarterly, quarterly-quarterly) in the first 12 months.

      Implied Functionality for CME FX Futures and SD Calendar Spreads
      Product MDP 3.0:
      Tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      British Pound 6B 6B
      Canadian Dollar 6C 6C
      Euro FX 6E 6E
      Japanese Yen 6J 6J
      Australian Dollar 6A 6A
      Euro/British Pound RP FB

      Implied functionality utilizes bids and offers in both spreads and their outright contracts to provide the most liquid possible markets with the best possible prices. In internal testing, implied functionality increased incremental feed bandwidth up to 13% on the CME Globex FX Futures MDP 3.0 channels 314 and 320.

      To identify CME FX futures products with implied eligibility, the market data Security Definition message (tag 35-MsgType=d) will contain tag 872-InstAttrbValue bit 19-Implied Matching Eligible =1.

      Implied book updates are disseminated via the market data Incremental message (tag 35- MsgType=X ) with tag 269-MDEntryType=E (implied bid) and F (implied offer).

      Implied functionality for CME FX futures is currently available for customer testing.

      Additional detailed information on the implied functionality is available in the Client Systems Wiki.

      For more information please visit cmegroup.com/fxmonthlies.

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      Information Security Update - December 17

      CME Group is committed to our customers’ information security. To deliver the best security and customer experience, effective Sunday, December 17 (trade date Monday, December 18), the listed CME Group services will support Transport Layer Security (TLS) version 1.2 only, and TLS 1.0 and 1.1 will be disabled. Customers are encouraged to upgrade to TLS 1.2 immediately; please contact your system administrator or network provider today to ensure seamless access.

      This change will be effective in New Release on Tuesday, August 29.

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      New Functionality

      Market by Order (MBO) Market Recovery Implied Dissemination Modification - This Week

      Starting this Sunday, August 13 (trade date Monday, August 14), to allow customer systems to efficiently recover market data books, the Market by Order Recovery feed will now include 2nd level (1023-MDPriceLevel) Market by Price implied book depth (tag 269-MDEntryType=E, F).

      Market By Order (MBO) Market Recovery Implied Dissemination Modification
      Group Channel Number Channel Name Production Launch Date
      2 360 COMEX Globex Futures Sunday, August 13
      384 NYMEX Globex Metals, Softs, & Alternative Market Futures
      380 NYMEX Globex Emissions Futures
      386 NYMEX Globex Nat Gas & other Non-Crude Energy Futures
      382 NYMEX Globex Crude & Crude Refined Futures
      440 DME Globex Futures
      340 CBOT Globex Commodity Futures
      346 CBOT Globex Commodity Futures II
      460 MGEX Globex Futures
      344 CBOT Globex Interest Rate Futures
      316 CME Globex Commodity Futures
      430 BMD Globex Futures

      The Market By Order (MBO) Market Recovery Implied Dissemination Update is currently available for customer testing in New Release.

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      Globex Risk Management Enhancements: Inline Credit Controls - This Week

      Effective this Sunday, August 13, 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.

      Risk Administrators are encouraged to register and set limits in all products. Please review the complete ICC enforcement schedule.

      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%).

      Please note: With the introduction of ICC, clients may see minor changes in order entry round trip times (RTT) during large market events.

      Initially, ICC processing for accounts approaching their pre-set threshold level, In-Flight Mitigation(IFM) enabled orders may temporarily violate account limits resulting in a reject. See scenario here. Future phases of ICC will accommodate In-Flight Mitigation and eliminate the temporary account limit violation scenario.

      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.

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      Rounded Intraday Settlement Prices - August 27

      Effective Sunday, August 27 (trade date Thursday, August 31), to provide additional information on intraday settlement prices, CME Group will publish rounded intraday settlements for E-mini S&P 500 futures, in addition to the unrounded prices available today. Rounded intraday settlements are flagged with tag 731=SettlPriceType where bit 2=1 and bit 3=1.

      Market Data Dissemination of Equity Intraday Rounded Settlements Prices
      MDP 3.0 Channel Description MDP 3.0 Channel MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      CME Globex Equity Futures Channel 310 ES ES

      With this change, customers will receive both a rounded and unrounded intraday settlement message. Intraday Settlement Prices are published on the last trading day of the calendar month for E-mini S&P 500 contracts. These prices are sent while the trading session is still active and represent a snapshot valuation of the settlement price at the time that they are published.

      The new prices are currently available for customer testing in New Release. To test tag 731-SettlPriceType (bits 2 and 3) in New Release, 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.

      The MDP 3.0 Market Data Incremental Refresh message including tag 731-SettlPriceType is documented in the Client Systems Wiki.

      Please Note: The rounded intraday settlement prices will also be published via ITC Channel 3.

      ITC Floor Feed testing is not available in New Release. Customers consuming ITC messages can use the following examples for customer testing.

      ITC Feed Market Data Dissemination of Equity Intraday Rounded Settlements Prices
      ITC Channel Description ITC Feed Channel
      CME Open Outcry 3
      Examples of the rounded and unrounded messages published
      on the final day of the month:
      Settlement Message Type
      <SOH>M   FQ S00075081500550 <STX> SP  H18EH182
      0243720+TWS                        S<ETX>
      Futures Intraday Unrounded Settlement
      <SOH>M   FQ S00075241500570 <STX> ES  H18EH182
      0243725+TWS                        S<ETX>
      Futures Intraday Rounded Settlement
      <SOH>M   FQAS00075251500570 <STX> ES  H18EH182
      0243720+TWS                        S<ETX>
      Futures Intraday Unrounded Settlement

      This change does not impact ITC Future Unrounded Settlement for the S&P 500 Futures. 

      The ITC Market Data Message specification for pricing is documented in the Client Systems Wiki.

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      Spread Statistics Change - September 10

      To better align traded volume information across platforms, effective Sunday, September 10 (trade date Monday, September 11), when a spread-of-spreads trades MDP 3.0 will only publish traded volume updates for the top-level spread and the outright legs.

      Today, MDP 3.0 publishes volume updates for the top-level spread, the spread legs and the outright legs. With this change, the spread legs will no longer have a volume update when traded as part of a spread-of-spreads. The following table outlines the new behavior. This change only affects trades for spread-of-spreads. Trades in spreads will continue to function as they do today.

      Current State
      PS Pack Spread – Volume update
      Effective Sunday, September 10
      PS Pack Spread – Volume update
      PK Pack 1 – Volume update PK Pack 1 – No volume update

       Outright leg 1 – Volume update

       Outright leg 1 – Volume update

       Outright leg 2 – Volume update

       Outright leg 2 – Volume update

       Outright leg 3 – Volume update

       Outright leg 3 – Volume update

       Outright leg 4 – Volume update

       Outright leg 4 – Volume update

      PK Pack 2 – Volume update PK Pack 2 – No volume update

       Outright leg 1 – Volume update

       Outright leg 1 – Volume update

       Outright leg 2 – Volume update

       Outright leg 2 – Volume update

       Outright leg 3 – Volume update

       Outright leg 3 – Volume update

       Outright leg 4 – Volume update

       Outright leg 4 – Volume update

      Detailed spread and spread-of-spread information is available in the Client Systems Wiki.

      This change will be available for customer testing in New Release Monday, August 14.

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      CME Globex Execution Information Enhancements - September 10

      Starting Sunday, September 10 (trade date Monday, September 11), CME Group will offer customers the following CME Globex execution information enhancements:

      • Updated STP function - new Common Trade ID automatically traces each individual execution across CME Globex and through clearing
        • iLink tag 37711-MDTradeEntryID
        • MDP 3.0 tag 37711-MDTradeEntryID
        • CME STP and CME STP FIX MDTrdEntrID
      • Real-time trade price adjustments reporting to participating traders and market as a whole via iLink and MDP 3.0 messages
        • Currently, trade price adjustments are only available via Clearing systems
      CME Globex Execution Information Enhancements
      Tag1300-MarketSegmentID Market Segment Launch Schedule
      68 CME Equity futures excluding E-mini S&P Sunday, September 10
      50 CME Eurodollar options Sunday, September 24
      76 NYMEX and COMEX Metals and Alternative Market futures Sunday, September 24
      78 NYMEX Non-Crude Energy futures Sunday, September 24
      54 CME Equity options Sunday, October 22
      56 NYMEX and COMEX options Sunday, October 22
      58 CBOT Treasury options Sunday, October 22
      64 CME E-mini S&P 500 futures Sunday, October 22
      80 NYMEX Crude Energy futures  Sunday, October 22
      84 CBOT Treasury futures Sunday, October 22
      88 CME Globex FX Futures and Options Sunday, October 22
      52 CME FX options Sunday, October 29
      60 CBOT Commodity and Equity options Sunday, October 29
      70 CME Commodity futures Sunday, October 29
      72 CBOT Commodity futures Sunday, October 29
      74 Hosted Partner Exchange markets and NYMEX Emissions futures Sunday, October 29
      82 CME Eurodollar futures Sunday, October 29

      Please review the client impact assessment for information on functionality and messaging impacts and complete rollout schedule.

      These enhancements are now 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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      Self-Match Prevention Enhancements - September 24

      Effective Sunday, September 24 (trade date Monday, September 25) CME Group will launch enhancements to CME Globex Self-Match Prevention (SMP). SMP is optional functionality that allows market participants to prevent the matching of orders for accounts with common ownership if both the buy and sell orders contain the same SMP ID and Globex Firm ID.

      With these enhancements, iLink customers will have the ability to configure SMP functionality across multiple Globex Firm IDs within or across clearing firms. Upon this release, orders submitted with unregistered SMP IDs will be rejected. CME Globex will send a Session Level Reject (tag 35-MsgType=8) message including tag 58=<Reject Reason>. All Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders with unregistered SMP IDs must also be updated to use a registered SMP ID by the close on the Friday before launch. Any remaining GT orders with unregistered SMP IDs will be eliminated at Sunday start-up on launch weekend.

      The Firm Administrator Dashboard interface will continue to be used to request new SMP IDs but will be enhanced to allow existing SMP IDs to be modified to support additional Globex Firm IDs.

      Detailed information, including the launch schedule, is available in the Client Impact Assessment.

      The new SMP enhancements are currently available for customer testing in New Release. Customer certification is not required, but CME Group strongly recommends all system providers test these changes thoroughly in New Release.

      Please note: Clients planning to test the SMP enhancements in New Release must contact their Global Account Manager to receive new SMP IDs, which will be activated after the New Release daily maintenance period (16:00 to 16:45 central time).

      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

      Bursa Malaysia Derivatives Berhad (BMD) FX Futures - Q3 2017

      Pending regulatory approvals, Bursa Malaysia Derivatives (BMD) will list the following FX futures for trading on CME Globex in late Q3 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 available for customer testing in New Release.

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      Product Changes

      New New - Suspension of CME Europe Energy Contracts

      On Friday, August 4, CME Europe suspended the trading of CME Europe futures contracts from trading on CME Globex. This suspension is required to support the orderly wind down of the CME Europe Exchange. Additional information regarding this change can be found in the CME Europe Ltd Exchange Advisory Notice 17-017.

      Suspension of CME Europe Energy Contracts
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Italian Power Peakload (GME) Calendar Month Future

      IPP

      PO

      Italian Power Peakload (GME) Calendar Month Future

      IPB

      PO

      UK Natural Gas Calendar Month Future

      NME

      JQ

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

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      Change to Last Eligible Trade Date For CME Europe Futures  - This Week

      On Friday May 19, CME Europe Limited (CMEEL) advised members and other participants that the last trading date for all remaining Products listed on CMEEL will be Wednesday, August 30. Effective this Sunday, August 13 (for trade date Monday, August 14), the last trade date for all contract months in all remaining CME Europe Limited (CMEEL) products will adjusted to be Wednesday, August 30. This change is required to support the orderly wind down of the CME Europe Exchange. Additional information regarding this change can be found in CME Clearing Europe Notice 17-24.

      Change to Last Eligible Trade Date CME Europe Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      German Power Baseload Calendar Month Future GPB PO
      Italian Power Baseload (GME) Calendar Month Future IPB PO
      Italian Power Peakload (GME) Calendar Month Future IPP PO
      UK Natural Gas Daily Future NDE JQ
      UK Natural Gas Calendar Month Future NME JQ
      Dutch Natural Gas Daily Future TDE JQ
      Dutch Natural Gas Calendar Month Future TME JQ

      This change is currently available in New Release for customer testing.

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

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      Amendment of Circuit Breakers for Metals and Energy Futures - This Week

      Effective this Sunday, August 13 (trade date Monday, August 14), circuit breakers values will be modified for the following Metals and Energy futures.

      Amendment of Circuit Breakers for Metals and Energy 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
      Gold Futures GC GC Level 1: 1000
      Level 2: 2000
      Level 3: 3000
      Level 4: 4000
      Level 5: No Limit
      Level 1: 900
      Level 2: 1800
      Level 3: 2700
      Level 4: 3600
      Level 5: No Limit
      E-micro Gold Futures MGC GC Level 1: 1000
      Level 2: 2000
      Level 3: 3000
      Level 4: 4000
      Level 5: No Limit
      Level 1: 900
      Level 2: 1800
      Level 3: 2700
      Level 4: 3600
      Level 5: No Limit
      Gold Kilo Futures GCK GC Level 1: 1000
      Level 2: 2000
      Level 3: 3000
      Level 4: 4000
      Level 5: No Limit
      Level 1: 900
      Level 2: 1800
      Level 3: 2700
      Level 4: 3600
      Level 5: No Limit
      E-mini Gold Futures QO GC Level 1: 10000
      Level 2: 20000
      Level 3: 30000
      Level 4: 40000
      Level 5: No Limit
      Level 1: 9000
      Level 2: 18000
      Level 3: 27000
      Level 4: 36000
      Level 5: No Limit
      Silver Futures SI SI Level 1: 3000
      Level 2: 6000
      Level 3: 9000
      Level 4: 12000
      Level 5: No Limit
      Level 1: 1200
      Level 2: 2400
      Level 3: 3600
      Level 4: 4800
      Level 5: No Limit
      1,000-oz. Silver Futures SIL SI Level 1: 3000
      Level 2: 6000
      Level 3: 9000
      Level 4: 12000
      Level 5: No Limit
      Level 1: 1200
      Level 2: 2400
      Level 3: 3600
      Level 4: 4800
      Level 5: No Limit
      E-mini Silver Futures QI SI Level 1: 30000
      Level 2: 60000
      Level 3: 90000
      Level 4: 120000
      Level 5: No Limit
      Level 1: 12000
      Level 2: 24000
      Level 3: 36000
      Level 4: 48000
      Level 5: No Limit
      Copper Futures HG HG Level 1: 4000
      Level 2: 8000
      Level 3: 12000
      Level 4: 16000
      Level 5: No Limit
      Level 1: 2000
      Level 2: 4000
      Level 3: 6000
      Level 4: 8000
      Level 5: No Limit
      E-mini Copper Futures QC HG Level 1: 400
      Level 2: 800
      Level 3: 1200
      Level 4: 1600
      Level 5: No Limit
      Level 1: 200
      Level 2: 400
      Level 3: 600
      Level 4: 800
      Level 5: No Limit
      Copper Financial Futures HGS HG Level 1: 400
      Level 2: 800
      Level 3: 1200
      Level 4: 1600
      Level 5: No Limit
      Level 1: 200
      Level 2: 400
      Level 3: 600
      Level 4: 800
      Level 5: No Limit
      Platinum Futures PL PL Level 1: 1000
      Level 2: 2000
      Level 3: 3000
      Level 4: 4000
      Level 5: No Limit
      Level 1: 650
      Level 2: 1300
      Level 3: 1950
      Level 4: 2600
      Level 5: No Limit
      Palladium Futures PA PD Level 1: 10000
      Level 2: 20000
      Level 3: 30000
      Level 4: 40000
      Level 5: No Limit
      Level 1: 6000
      Level 2: 12000
      Level 3: 18000
      Level 4: 24000
      Level 5: No Limit
      NY Harbor ULSD Futures HO CL Level 1: 2500
      Level 2: 5000
      Level 3: 7500
      Level 4: 10000
      Level 5: No Limit
      Level 1: 1500
      Level 2: 3000
      Level 3: 4500
      Level 4: 6000
      Level 5: No Limit
      E-mini Heating Oil Futures QH CL Level 1: 2500
      Level 2: 5000
      Level 3: 7500
      Level 4: 10000
      Level 5: No Limit
      Level 1: 1500
      Level 2: 3000
      Level 3: 4500
      Level 4: 6000
      Level 5: No Limit
      RBOB Futures RB CL Level 1: 2500
      Level 2: 5000
      Level 3: 7500
      Level 4: 10000
      Level 5: No Limit
      Level 1: 1500
      Level 2: 3000
      Level 3: 4500
      Level 4: 6000
      Level 5: No Limit
      E-mini RBOB Gasoline Futures QU CL Level 1: 2500
      Level 2: 5000
      Level 3: 7500
      Level 4: 10000
      Level 5: No Limit
      Level 1: 1500
      Level 2: 3000
      Level 3: 4500
      Level 4: 6000
      Level 5: No Limit
      Henry Hub Natural Gas Futures NG NG Level 1: 1000
      Level 2: 2000
      Level 3: 3000
      Level 4: 4000
      Level 5: No Limit
      Level 1: 300
      Level 2: 600
      Level 3: 900
      Level 4: 1200
      Level 5: No Limit
      Henry Hub Natural Gas Last Day Physically-Delivered Futures MNG NG Level 1: 1000
      Level 2: 2000
      Level 3: 3000
      Level 4: 4000
      Level 5: No Limit
      Level 1: 300
      Level 2: 600
      Level 3: 900
      Level 4: 1200
      Level 5: No Limit
      E-mini Natural Gas Futures QG NG Level 1: 1000
      Level 2: 2000
      Level 3: 3000
      Level 4: 4000
      Level 5: No Limit
      Level 1: 300
      Level 2: 600
      Level 3: 900
      Level 4: 1200
      Level 5: No Limit
      Henry Hub Natural Gas Look-Alike Penultimate Financial Futures HP HX Level 1: 1000
      Level 2: 2000
      Level 3: 3000
      Level 4: 4000
      Level 5: No Limit
      Level 1: 300
      Level 2: 600
      Level 3: 900
      Level 4: 1200
      Level 5: No Limit
      Henry Hub Natural Gas Penultimate Financial Futures NPG HX Level 1: 1000
      Level 2: 2000
      Level 3: 3000
      Level 4: 4000
      Level 5: No Limit
      Level 1: 300
      Level 2: 600
      Level 3: 900
      Level 4: 1200
      Level 5: No Limit
      Henry Hub Natural Gas Look-Alike Last Day Financial Futures HH NG Level 1: 1000
      Level 2: 2000
      Level 3: 3000
      Level 4: 4000
      Level 5: No Limit
      Level 1: 300
      Level 2: 600
      Level 3: 900
      Level 4: 1200
      Level 5: No Limit
      Henry Hub Natural Gas Last Day Financial Futures NN NG Level 1: 1000
      Level 2: 2000
      Level 3: 3000
      Level 4: 4000
      Level 5: No Limit
      Level 1: 300
      Level 2: 600
      Level 3: 900
      Level 4: 1200
      Level 5: No Limit
      Henry Hub Natural Gas Last Day Financial Futures (Daily Units) NNE NG Level 1: 1000
      Level 2: 2000
      Level 3: 3000
      Level 4: 4000
      Level 5: No Limit
      Level 1: 300
      Level 2: 600
      Level 3: 900
      Level 4: 1200
      Level 5: No Limit
      Light Sweet Crude Oil Futures CL CL Level 1: 1000
      Level 2: 2000
      Level 3: 3000
      Level 4: 4000
      Level 5: No Limit
      Level 1: 500
      Level 2: 1000
      Level 3: 1500
      Level 4: 2000
      Level 5: No Limit
      E-mini Crude Oil Futures QM CL Level 1: 1000
      Level 2: 2000
      Level 3: 3000
      Level 4: 4000
      Level 5: No Limit
      Level 1: 500
      Level 2: 1000
      Level 3: 1500
      Level 4: 2000
      Level 5: No Limit
      Crude Oil Financial Futures WS WS Level 1: 1000
      Level 2: 2000
      Level 3: 3000
      Level 4: 4000
      Level 5: No Limit
      Level 1: 500
      Level 2: 1000
      Level 3: 1500
      Level 4: 2000
      Level 5: No Limit
      Brent Last Day Financial Futures BZ OP None Level 1: 500
      Level 2: 1000
      Level 3: 1500
      Level 4: 2000
      Level 5: No Limit

      This change is currently available for customer testing in New Release.

      This product is listed with, and subject to, the rules and regulations of NYMEX and COMEX.

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      Minimum Order Quantity Change for Volatility-Quoted Options  - August 20

      Effective Sunday, August 20 (trade date Monday, August 21), the minimum order quantity for all Volatility-Quoted Options will be reduced from 20 to 10 lots.

      • Australian Dollar
        • Volatility-Quoted Options: tag 6937=VXA, VAA-VAE
      • British Pound
        • Volatility-Quoted Options: tag 6937=VXB, VBA-VBE
      • Swiss Franc
        • Volatility-Quoted Options: tag 6937=VXS, VSA-VSE
      • Canadian Dollar
        • Volatility-Quoted Options: tag 6937=VXC, VCA-VCE
      • Japanese Yen
        • Volatility-Quoted Options: tag 6937=VXJ, VJA-VJE
      • Euro FX
        • Volatility-Quoted Options: tag 6937=VXT, VTA-VTE

      In conjunction with this change, the minimum quantity requirement to trigger a triangulation execution will be set at 10 for the Japanese Yen and Euro FX (already set at 10 for the other currencies).  The alignment of the minimum order quantity for VQO orders with the minimum triangulation quantity across all currency pairs will serve to minimize unfilled quantity on VQO trades.

      The reduced minimum order quantity is currently available in New Release for customer testing.

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      Decommission of MexDer Order Routing Offering - August 25

      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.

      New Release order routing will be decommissioned end of day Wednesday, August 16

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      Group Code Change E-mini S&P 500 Options  - August 27

      Effective Sunday, August 27 (trade date Monday, August 28), the E-mini S&P 500 Options group codes will change for the following products:

      Group Code Change S&P 500 Options
      Product MDP 3.0: tag 6937-Asset Current
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      New
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      E-mini S&P 500 Options ES EZ EW
      E-mini S&P 500 Wednesday Weekly Options E1C- E5C EK EW
      S&P 500 Wednesday Weekly Options S1C- S5C SW OS

      To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for User-Defined Spreads (UDS) only for the affected products by the close on the Friday, August 25.  After 16:00 CT on Friday, August 25 any remaining GT orders on UDS will be cancelled by the CME Global Command Center (GCC). GT orders on outright options will not be impacted.

      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 New - American-Style Mexican Peso Options to European-Style  - August 27

      Effective Sunday, August 27 (trade date Monday, August 28), the following Mexican Peso options will be available for trading on CME Globex, trading floor and for submission for clearing on CME ClearPort with new European-style exercise starting with the January 2018 expiry.  All existing expiries through the December 2017 expiry will expire as American-Style.

      As a result, these options starting with the January 2018 expiry and beyond, not including the May 2018 expiry, were suspended from trading and removed from CME Globex on Thursday, August 10. 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 expiries.

      Trading will not be permitted in these options from Thursday, August 10 through Sunday, August 27. 

      Please Note: The August 2017 through December 2017 and May 2018 expiries will remain active for trading and the product Symbols are not changing.

      American-Style Mexican Peso Options to European-Style
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Options on Mexican Peso/U.S. Dollar (MXN/USD) Futures

       

      6M

       

      MO

       

      Options on Mexican Peso/U.S. Dollar (MXN/USD) Futures - Week 1-5

       

      1M-5M

       

      MO

       

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

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      Last Trading Date for CME Europe Limited (CMEEL) - August 30

      On Friday May 19, CME Europe Limited (CMEEL) advised members and other participants that the last trading date for all remaining Products listed on CMEEL will be August 30. Members with open positions after that last trading date will be closed out in accordance with CME Clearing Europe Rules and in accordance with the Planned Termination Event as described in CME Clearing Europe Notice 17-24.

      Additional information regarding this change can be found in the CME Europe Ltd Exchange Advisory Notice 17-014.

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      New New - Listing of Calendar and Strips Spreads for Listing of Calendar and Strips Spreads for European Power Futures  - September 10

      Effective Sunday, September 10 (trade date Monday, September 11), calendar and strip spreads will be listed on CME Globex for the following European Power futures.

      <
      Listing of Calendar and Strips Spreads for Listing of Calendar and Strips Spreads for European Power Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Listing Schedule Tag 762-SecuritySubType
      German Power Baseload Calendar Month Futures

       

      DEB

       

      PW

       

      6 monthly spreads,
      36 quarterly and yearly spreads 
      SP - Calendar Spread

       

      36 quarterly and yearly strips  SA - Strip

       

      German Power Peakload Calendar Month Futures

       

      DEP

       

      PW

       

        6 monthly spreads,
      36 quarterly and yearly spreads 
      SP - Calendar Spread

       

      36 quarterly and yearly strips  SA - Strip

       

      Italian Power Baseload (GME) Calendar Month Futures

       

      ITB

       

      PW

       

      6 monthly spreads,
      36 quarterly and yearly spreads 
      SP - Calendar Spread

       

      36 quarterly and yearly strips  SA - Strip

       

      Italian Power Peakload (GME) Calendar Month Futures

       

      ITP

       

      PW

       

      6 monthly spreads,
      36 quarterly and yearly spreads 
      SP - Calendar Spread

       

      36 quarterly and yearly strips  SA - Strip

       

      The spreads will be made available for customer testing in New Release on Monday, August 21.

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

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      New New - Change to Minimum Price Increment for Micro Coal (API 5) fob Newcastle (Argus/McCloskey) Futures - September 10

      Effective Sunday, September 10 (trade date Monday, September 11), the minimum price increment tag 969-MinPriceIncrement will be reduced for Micro Coal (API 5) fob Newcastle (Argus/McCloskey) futures.

      Micro Coal (API 5) fob Newcastle (Argus/McCloskey) Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current tag 969 - MinPriceIncrement New tag 969 - MinPriceIncrement
      Micro Coal (API 5) fob Newcastle (Argus/McCloskey) Futures M5F CO 5.0000000 1.0000000

      These futures will be available for customer testing in New Release on Monday, August 21.

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

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      Events and Announcements

      New New - Legacy FirmSoft Decommission  - September 8

      Effective Friday, September 8, at close of business, CME Group will retire the legacy FirmSoft order management tool. After this date, users will be required to use the new version of FirmSoft for all order search, cancellation and reporting needs. Existing FirmSoft users are strongly encouraged to begin using the new version of FirmSoft as soon as possible.

      The new 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

      After Friday, September 8, legacy FirmSoft will be used for administrative purposes only. Authorized FirmSoft administrators will continue to use the legacy FirmSoft tool only to manage entitlements for users.

      For additional information about functionality, please review the FirmSoft Help.

      If you have any questions, please email FirmSoftFeedback@cmegroup.com or contact your Global Account Manager.

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