• CME Globex Notices: September 11, 2017

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions & Services (GMSS)
      • #
      • 20170911
      • Notice Date
      • 11 September 2017
      • Effective Date
      • 14 September 2017
    • Critical System Updates

      UpdateUpdate - New IPs and Ports for New Release and Certification Sessions  - September 21

      † Denotes update to the article

      In Q1 2018, CGW sessions will move to the MSGW-style Application Level Fault Tolerance, with an enforced primary gateway. To facilitate customer testing, effective 8 p.m. Central Time Thursday, September 21, all Drop Copy 4.0 for CGW and iLink CGW sessions in the New Release and Certification environments will use new IPs and ports. The new IPs and ports will be emailed to each session’s registered contact by the end of this week.

      All Drop Copy 4.0 for CGW and iLink CGW sessions must migrate to the new IPs and ports to continue accessing the CME Globex Certification and New Release environments. The current IPs and ports will be disabled during the normal daily maintenance window on Thursday, September 21.

      Please contact CSET or your Global Account Manager with any questions.

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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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      Changes in Timing and Frequency for Publishing VOI Messages - October 29

      Effective Sunday, October 29 (trade date October 30), to provide more timely information, CME MDP 3.0 will publish preliminary Daily Cleared Volume and Open Interest (VOI) market data messages earlier. With this change, the redundant preliminary VOI messages will no longer be published.

      Changes in Timing and Frequency for Publishing VOI Messages:

      • First round of preliminary VOI messages will be published current calendar day (except Friday), after the trading session ends.
        • Between 6:30 pm – 6:45 pm Central time (CT) Monday – Thursday for COMEX, DME, and NYMEX.
        • Between 8:00 pm – 8:30 pm (CT) Monday – Thursday for CBOT and CME.
        • Friday’s preliminary VOI will be published on Sunday at 3:05 pm.
        • Currently, the first preliminary VOI message is published on the next calendar day (except Friday). Current publication times are available in the Client Systems Wiki.
      • Second round of preliminary VOI messages will be eliminated.
      • Final VOI messages will continue to be published the next calendar day (except Friday’s final VOI will continue to be published on Monday).
        • Between 8:00 am - 8:30 am Monday – Friday for all CME Group exchanges and DME.

      Customers can determine the trading reference date by leveraging tag 5796-TradingReferenceDate in the cleared volume and open interest messages to identify the trading session date.

      Please note: The publication timing and frequency of VOI messages for ITC messages, KRX Exchange, BMD Exchange and MGEX Exchange are not impacted by this change. MDP 3.0 VOI messages will be published significantly earlier than the ITC VOI messages.

      These changes will be available for customer testing in New Release on Monday, September 18.

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      New New - Streamlined MDP SBE Schema Update  - November 19

      Starting Sunday, November 19, CME Group will update the schema for all streamlined SBE market data channels to support schema version 8 to ensure consistency between market data channels.  

      Streamlined MDP SBE Schema Update
      SBE Channel Type SBE Channel Production Schema New Release Schema
      Current Version Version 8 Current Version Version 8
      Eris Exchange 246 Version 8 Available Version 8 Available
      Block Trades 230, 231, 232, 233, 234 Version 4 November 19 Version 8 Available
      OTC Daily 200, 201 Version 6 January 21 Version 6 October 22
      Equity Indices 210, 211, 212 Version 4 January 21 Version 4 October 22
      Bitcoin 213 Version 6 January 21 Version 6 October 22

      With this change, the schema file for Streamlined Market Data for Block Trades will be modified as follows:

      • Template MDIncrementalRefreshTradeBlocks340 will migrate to MDIncrementalRefreshTradeBlocks349
        • Tag 60-TransactTime will support uInt64NULL datatype on template MDIncrementalRefreshTradeBlocks349
        • Tag 75-TradeDate will be added to template MDIncrementalRefreshTradeBlocks349
        • Tag 271-MDEntrySize will support Decimal64 datatype on template MDIncrementalRefreshTradeBlocks349

      Please Note: With this schema update, there are no template format changes for Streamlined Market Data OTC Daily, Equity Indices, Eris Exchange or Bitcoin channels.

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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 is currently available for customer testing in New Release and Certification.

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      New New - Market Segment Change and New Market Data Platform Channel Launch  - Q4 2017

      Effective Q4 2017, the 30 Day Federal Funds futures and future spreads (MDP 3.0 tag 6937-Asset=ZQ) will be moved to a different Market Segment and market data will be published on a new MDP 3.0 channel. No new Market Segments are being introduced. There will be no changes to MDP 3.0 functionality or messaging format.

      Product Current New
      MDP 3.0 Channel Tag 1300-MarketSegmentID MDP 3.0 Channel Tag 1300-MarketSegmentID
      30 Day Federal Funds futures and future spreads 344 84 348 82

      Drop Copy 4.0 sessions will support this market segment change. 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.

      The multicast address, source IPs and TCP address for the new MDP 3.0 channel 348 will be:

      Production Channel 348 Multicast/TCP Address Source IPs
      Incremental A 224.0.31.71 205.209.223.80
      205.209.221.80
      Incremental B 224.0.32.71 205.209.211.80
      205.209.212.80
      Instrument Replay A 224.0.31.113 205.209.222.85
      205.209.222.73
      Instrument Replay B 224.0.32.113 205.209.214.48
      205.209.213.48
      MBP Snapshot A 224.0.31.92 205.209.222.87
      205.209.222.77
      MBP Snapshot B 224.0.32.92 205.209.214.52
      205.209.213.52
      MBO Snapshot A 233.72.75.39 205.209.222.108
      205.209.222.109
      MBO Snapshot B 233.72.75.102 205.209.214.64
      205.209.213.64

       

      New Release Channel 348 Multicast/TCP Address Source IPs
      Incremental A 224.0.28.29 69.50.112.92
      Incremental B 224.0.28.156 69.50.112.92
      Instrument Replay A 224.0.28.113 69.50.112.85
      Instrument Replay B 224.0.28.240 69.50.112.85
      MBP Snapshot A 224.0.28.71 69.50.112.81
      MBP Snapshot B 224.0.28.198 69.50.112.81
      MBO Snapshot A 233.119.149.29 69.50.112.29
      MBO Snapshot B 233.119.149.160 69.50.112.29

       

      Certification Channel 348 Multicast/TCP Address Source IPs
      Incremental A 233.158.8.29 69.50.112.22
      Incremental B 233.158.8.156 69.50.112.22
      Instrument Replay A 233.158.8.113 69.50.112.69
      Instrument Replay B 233.158.8.240 69.50.112.69
      MBP Snapshot A 233.158.8.71 69.50.112.124
      MBP Snapshot B 233.158.8.198 69.50.112.124
      MBO Snapshot A 224.0.25.69 69.50.112.18
      MBO Snapshot B 224.0.25.70 69.50.112.18

      The complete rollout schedule is as follows:

      • September 21: New Release
        • New MDP 3.0 channel start publishing heartbeats
        • Updated Config.xml file available
      • October 2: New Release
        • 30 Day Federal Funds futures and future spreads move to Market Segment 82
        • Market data published on new MDP channel
        • Config.xml files updated to include product
      • Q4 2017: Production and Certification
        • New MDP 3.0 channel start publishing heartbeats
        • Updated Config.xml file available
        • 30 Day Federal Funds futures and future spreads move to Market Segment 82
        • Market data published on new MDP channel
        • Config.xml files updated to include product

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      CME Globex API Secure Logon – iLink and Drop Copy  - Q1 2018

      CME Group is committed to our customers’ information security. To ensure the highest levels of security, CME Group will continue hardening iLink and Drop Copy 4.0 session authentication at logon in Q1 2018 with the launch of CME Globex API Secure Logon.

      In production, the new logon will be supported in parallel with the current model until Friday, April 27, 2018. After this date, iLink and Drop Copy 4.0 sessions will only be allowed to logon with the new Secure Logon process. Customers are strongly encouraged to make the change in advance of the cutoff to ensure no business interruption.

      CME Globex API Secure Logon includes:

      • Security credentials
      • New logon procedure
      • New iLink and Drop Copy message tags

      The client impact assessment provides more detailed process and messaging information.

      A new iLink and Drop Copy certification suite will be available in AutoCert+ on Monday, October 16, 2017. iLink and Drop Copy 4.0 customer systems must complete this mandatory certification.

      The CME Globex API Secure Logon will be available for customer testing in New Release.

      CME Globex API New Release Launch Schedule Production Launch Schedule Legacy Logon Decommission
      Drop Copy 4.0 Monday, October 2, 2017 Sunday, January 7, 2018 COB Friday, April 27, 2018
      iLink:
      • Convenience Gateway
      • Market Segment Gateway
      Monday, October 16, 2017 Sunday, January 21, 2018 COB Friday, April 27, 2018

      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

       

      UpdateUpdate - Self-Match Prevention Enhancements - October 1

      † Denotes update to the article

      The Self-Match Prevention (SMP) enhancements launch scheduled for Sunday, September 24, has been rescheduled to Sunday, October 1 (trade date Monday, October 2). 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.

      To opt into Self-Match Prevention functionality, executing firms must submit orders and mass Quotes with a registered SMP ID in tag 7928-SelfMatchPreventionID.

      Starting Sunday, September 10, customers may register one or more CME Globex Firm IDs to their SMP IDs via the Firm Administrator Dashboard. Before Sunday, September 30, SMP will continue to function within a single Globex Firm ID as it does today.

      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).

      CME Group will offer a mock trading session on Saturday, September 30, for customers test their Self-Match Prevention configuration in the CME Globex production environment. Customers are required to register to participate in the mock trading session. Please review the mock trading session script for additional information.

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      CME Globex Execution Information Enhancements - October 22

      On Sunday, October 22 (trade date Monday, October 30), CME Group will continue to implement 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
      • Spread trade cancellation reporting for both the spread and legs via iLink and MDP 3.0 messages
        • Currently, CME Globex sends the iLink Execution Report - Trade Cancellation message (tag 35-MsgType=8, tag 39-OrdStatus=H) for legs only
      CME Globex Execution Information Enhancements
      Tag1300-MarketSegmentID Market Segment Launch Schedule
      50 CME Eurodollar options Sunday, October 22
      76 NYMEX and COMEX Metals and Alternative Market futures Sunday, October 22
      78 NYMEX Non-Crude Energy futures Sunday, October 22
      54 CME Equity options Sunday, October 29
      56 NYMEX and COMEX options Sunday, October 29
      58 CBOT Treasury options Sunday, October 29
      64 CME E-mini S&P 500 futures Sunday, October 29
      80 NYMEX Crude Energy futures  Sunday, October 29
      84 CBOT Treasury futures Sunday, October 29
      88 CME Globex FX Futures and Options Sunday, October 29
      52 CME FX options Sunday, November 19
      60 CBOT Commodity and Equity options Sunday, November 19
      70 CME Commodity futures Sunday, November 19
      72 CBOT Commodity futures Sunday, November 19
      74 Hosted Partner Exchange markets and NYMEX Emissions futures Sunday, November 19
      82 CME Eurodollar futures Sunday, November 19

      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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      Product Launches

      FOB Australia Hard Coking Coal (TSI) Futures - October 1

      Effective Sunday, October 1 (trade date Monday, October 2), FOB Australia Premium Hard Coking Coal (TSI) futures will list for trading on CME Globex and for submission for clearing via CME ClearPort.

      FOB Australia Hard Coking Coal (TSI) Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      FOB Australia Premium Hard Coking Coal (TSI) Futures ACT CO

      These futures will be available for customer testing in New Release on Monday, September 18.

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

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      Gold London Trade At Marker - October 22

      Effective Sunday, October 22 (trade date Monday, October 23), Gold London Trade At Marker First PM will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Gold London Trade At Marker
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Gold London Trade At Marker First PM GCD GM

      The Gold London Trade At Marker First PM is currently available for customer testing in New Release.

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

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      Bursa Malaysia Derivatives Berhad (BMD) FX Futures

      Pending regulatory approval, Bursa Malaysia Derivatives (BMD) will list the following FX futures contracts for trading on CME Globex. A new launch date will be announced in future CME Globex notices.

      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 contracts are currently available for customer testing in New Release.

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      Product Changes

      Fix Tag Changes for Daily Natural Gas Options - October 1

      Effective Sunday, October 1 (trade date Monday, October 2), the FIX tags will be changed for Daily Natural Gas options.

      • tag 55-Symbol for iLink, and
      • tag 1151-SecurityGroup for MDP 3.0
      Fix Tag Changes for Daily Natural Gas Options
      Product MDP 3.0: tag 6937-Asset Current MDP 3.0 tag 1151 - Security Group New MDP 3.0 tag 1151 - Security Group
      Daily Natural Gas Options KDB GZ (UDS: G2) ON (UDS: 1T)

      These options will be available for customer testing in New Release on Monday, September 18.

      To facilitate this change, 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 Friday, September 29. After 16:00 CT on Friday, September 29, any remaining GT orders on UDS will be cancelled or deleted by the CME Global Command Center (GCC). GT orders on outright options will not be impacted.

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

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      Strike Price Increment for Daily Crude Oil Options - October 1

      Effective Sunday, October 1 (trade date Monday, October 2), the strike price listing rules for Daily Crude Oil Options will be modified to list strike prices ATM ± 40 in $0.25 intervals. Currently, the strike listing rule is ATM ± 20 in $0.50 intervals.

      Strike Price Increment for Daily Crude Oil Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Daily Crude Oil Options ICD LO

      The existing dynamic strike generation rule will also change to $0.25 intervals.

      These options will be available for customer testing in New Release on Monday, September 18.

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      Change to Minimum Price Increment and Fix Tag Changes for Henry Hub Natural Gas Last Day Financial Options - October 1

      Effective Sunday, October 1 (trade date Monday, October 2), the minimum price increment tag 969-MinPriceIncrement and FIX tags will be changed for the Henry Hub Natural Gas Last Day Financial Options.

      • tag 55-Symbol for iLink, and
      • tag 1151-SecurityGroup for MDP 3.0
      Change to Minimum Price Increment and Fix Tag Changes for Henry Hub Natural Gas Last Day Financial 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
      Current
      tag 969 – MinPrice Increment
      New
      tag 969 – MinPrice Increment
      Henry Hub Natural Gas Last Day Financial Options AE7 GZ (UDS: G2) LG (UDS: 1T) 1.0000000 10.0000000

      To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for the impacted options after the close on Friday, September 29. After 16:00 CT on Friday, September 29, all remaining GTC and GTD orders for these options will be cancelled by the CME Group Global Command Center (GCC).

      These options will be available for customer testing in New Release on Monday, September 18.

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

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      Resumption of Listing Cycle for Corn and Mini Corn Futures - October 8

      Effective Sunday, October 8 (trade date Monday, October 9), the listing cycle for Corn and Mini Corn futures will resume on CME Globex, beginning with the July 2020 and December 2020 contract months.

      Resumption of Listing Cycle for Corn and Mini Corn Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Corn Futures ZC ZC
      Mini-Corn Futures XC XC

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

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

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      American-Style Mexican Peso Options to European-Style - January 2

      Effective Tuesday, January 2, 2018, the full conversion from American-style to European-style exercise will occur and the Security Definition messages and Referential files will reflect European-style exercise. 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.

      The change will be available in New Release for customer testing on Monday, November 8.

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      Events and Announcements

      New New - Disaster Recovery (DR) Testing  - October 14

      CME Group is committed to the protection of its members, employees and stakeholders and has a long history of successfully managing risk. In keeping with those traditions, CME Group has a comprehensive business continuity program in place. To ensure customer readiness, CME Group will offer CME Globex & Clearing Disaster Recovery (DR) Failover testing, in conjunction with the Futures Industry Association (FIA) test on Saturday, October 14.

      The CME Globex & Clearing DR Failover test is designed to ensure customers can successfully failover to the CME Globex & Clearing DR environment, send orders and fallback to the production environment in case of an emergency.

      A detailed time line and testing script is available on the FIA's website.

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      Legacy FirmSoft Decommission  - October 27

      Effective Friday, October 27, 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, October 27, 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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