• CME Globex Notices: November 6, 2017

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      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions & Services
      • #
      • 20171106
      • Notice Date
      • 06 November 2017
      • Effective Date
      • 09 November 2017
    • Critical System Updates

      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 Available
      Equity Indices 210, 211, 212 Version 4 January 21 Version 4 Available
      Bitcoin 213 Version 6 January 21 Version 6 Available

      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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      Market Segment Change and New Market Data Platform Channel Launch  - January 21

      Effective Sunday, January 21, (trade date Monday, January 22), 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, TCP address, and ports for the new MDP 3.0 channel 348 (CBOT Interest Rate Futures II) will be:

      CBOT Interest Rate Futures II
      Production Channel 348 Multicast/TCP Address Port Source IPs
      Incremental A 224.0.31.71 14348 205.209.223.80
      205.209.221.80
      Incremental B 224.0.32.71 15348 205.209.211.80
      205.209.212.80
      Instrument Replay A 224.0.31.113 14348 205.209.222.85
      205.209.222.73
      Instrument Replay B 224.0.32.113 15348 205.209.214.48
      205.209.213.48
      MBP Snapshot A 224.0.31.92 14348 205.209.222.87
      205.209.222.77
      MBP Snapshot B 224.0.32.92 15348 205.209.214.52
      205.209.213.52
      MBO Snapshot A 233.72.75.39 23348 205.209.222.108
      205.209.222.109
      MBO Snapshot B 233.72.75.102 22348 205.209.214.64
      205.209.213.64

       

      CBOT Interest Rate Futures II
      New Release Channel 348 Multicast/TCP Address Port Source IPs
      Incremental A 224.0.28.29 14348 69.50.112.92
      Incremental B 224.0.28.156 15348 69.50.112.92
      Instrument Replay A 224.0.28.113 6348 69.50.112.85
      Instrument Replay B 224.0.28.240 7348 69.50.112.85
      MBP Snapshot A 224.0.28.71 6348 69.50.112.81
      MBP Snapshot B 224.0.28.198 7348 69.50.112.81
      MBO Snapshot A 233.119.149.29 21348 69.50.112.29
      MBO Snapshot B 233.119.149.160 22348 69.50.112.29

       

      CBOT Interest Rate Futures II
      Certification Channel 348 Multicast/TCP Address Port Source IPs
      Incremental A 233.158.8.29 14348 69.50.112.22
      Incremental B 233.158.8.156 15348 69.50.112.22
      Instrument Replay A 233.158.8.113 6348 69.50.112.69
      Instrument Replay B 233.158.8.240 7348 69.50.112.69
      MBP Snapshot A 233.158.8.71 6348 69.50.112.124
      MBP Snapshot B 233.158.8.198 7348 69.50.112.124
      MBO Snapshot A 224.0.25.69 21348 69.50.112.18
      MBO Snapshot B 224.0.25.70 22348 69.50.112.18

      The complete rollout schedule is as follows:

      • October 29: Production
        • New MDP 3.0 channel start publishing heartbeats
        • Updated Config.xml file available
      • November 19: Certification
        • New MDP 3.0 channel start publishing heartbeats
        • Updated Config.xml file available
      • January 21: Production and Certification
        • 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

      The new MDP channel and Market Segment move is currently available for customer testing in New Release.

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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 is currently available in AutoCert+. 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 Available Sunday, January 7, 2018 COB Friday, April 27, 2018
      iLink:
      • Convenience Gateway
      • Market Segment Gateway
      Available 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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      iLink Convenience Gateways Fault Tolerance Changes  - February 4

      To simplify the iLink Fault Tolerance, effective Sunday, February 4, (trade date Monday, February 5), all Convenience Gateway (CGW) iLink sessions will move to MSGW-style Application Level Fault Tolerance, with an enforced primary gateway. CGW session connectivity and login behavior will exactly match the MSGW current state.

      Upon launch, all CGW iLink sessions will have a designated host that is primary and another that is designated backup. CGW customers must successfully logon to their designated primary IPs and ports before attempting to logon to the backup.

      If the primary CGW fails, customers who logon without the fault tolerance must reestablish the connection to the newly promoted primary.  For customers who logon with the fault tolerance, the newly promoted primary will send a Heartbeat message with a Fault Tolerance Indicator (FTI) of ‘P’ in the tag 49-SenderCompID to notify the primary status of CGW connectivity.

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

      A new CGW Fault Tolerance certification test suite will be available in Autocert+ on Monday, November 20.  Certification via AutoCert+ is optional.

      Drop Copy is not impacted by this change.

      If you have any questions or concerns, please contact your Global Account Manager 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

      CME Globex Execution Information Enhancements - November 19

      On Sunday, November 19 (trade date Monday, November 20), 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
      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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      Mass Quote Protections Enhancements for Triangulation  - December 3

      Effective Sunday, December 3 (trade date Monday, December 4), to prevent over-filling across resting mass quotes in multiple Volatility-Quoted Options (VQO) and Premium-Quoted Options (PQO) strike prices, Mass Quote Protections(MQPs) will be evaluated inter-event for a Triangulation implied trade originating from an aggressing futures order.

      With this release, there will be a change to the MQP Thresholds – Execution (Y) for Triangulation implied trades that occur in the futures order book. There are no MQP calculation changes to Triangulation implied trades that occur in the VQO and PQO order book.

      • Execution (Y) 
        • The number of executions will increment only once per an aggressor order. Currently, the number of executions increments each time a fill occurs.
      • Delta (D) 
        • The VQO delta MQP will not be incremented for triangulation implied trades that occur in the futures order book. The PQO delta MQP will continue to be incremented.

      Additional information and examples on MQPs for Triangulation are available in the Client Systems Wiki.

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

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      Update Update - CME FX Link  - February 25

      † Denotes update to the article

      On †Sunday, February 25 (for trade date Monday, February 26), CME Group is launching CME FX Link a new spot FX basis spread on CME Globex. CME FX Link will provide unique new capital, margin and operational benefits for the FX marketplace by efficiently linking trading activity in FX Futures and OTC Spot FX via CME Globex.

      Spot FX basis spreads will be offered between OTC Spot FX and CME FX futures for the following six currency pairs:

      • EUR/USD
      • JPY/USD
      • GBP/USD
      • CAD/USD
      • AUD/USD
      • MXN/USD

      Additional information CME Globex processing and messaging impacts for CME FX Link is available in the Client Impact Assessment.

      CME STP and CME STP FIX will support trade confirmations.

      The CME FX Link will be available for customer testing in New Release on Thursday, November 16.

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      Product Launches

      Changes to E-mini S&P MidCap 400 Options on Futures - November 19

      Effective Sunday, November 19 (for trade date Monday, November 20), new European-style E-mini S&P MidCap 400 options on futures will be listed for the two nearest non-quarterly months, expiring on the 3rd Friday.

      European-style E-mini S&P 400 Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      E-mini S&P 400 Week 3 Options ME3 MC

      The new European-style E-mini S&P MidCap 400 options is currently available for customer testing.

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      Copper Premium Grade A CIF Shanghai (Metal Bulletin) Futures  - November 19

      Effective Sunday, November 19 (trade date Monday, November 20), Copper Premium Grade A CIF Shanghai (Metal Bulletin) futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Copper Premium Grade A CIF Shanghai (Metal Bulletin) Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Copper Premium Grade A CIF Shanghai (Metal Bulletin) Futures CUP ST

      The Copper Premium Grade A CIF Shanghai (Metal Bulletin) futures will be available for customer testing in New Release on Monday, November 13.

      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

      Listing Cycle Expansion for Natural Gas Options and Combos  - November 12

      Effective this Sunday, November 12 (trade date Monday, November 13), the listing cycle for the following Natural Gas Options and Combos will be expanded on CME Globex.

      Please note: The Combo serves as the synthetic underlying future product to the options.

      Listing Cycle Expansion for Natural Gas Options and Combos
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current Listing Schedule New Listing Schedule
      Natural Gas Option on Calendar Futures Strip A6J GZ 5 consecutive Calendar Strips 11 consecutive Calendar Strips
      Natural Gas Option on Calendar Futures Strip Combo U8P 08 5 consecutive Calendar Strips 11 consecutive Calendar Strips
      Natural Gas Option on Summer Futures Strip A4D GZ 5 consecutive Summer Strips 10 consecutive Summer Strips
      Natural Gas Option on Summer Futures Strip Combo U8R 08 5 consecutive Summer Strips 10 consecutive Summer Strips
      Natural Gas Option on Winter Futures Strip A6I GZ 5 consecutive Winter Strips 10 consecutive Winter Strips
      Natural Gas Option on Winter Futures Strip Combo H8U 08 5 consecutive Winter Strips 10 consecutive Winter Strips

      These options and combos are currently available for customer testing.

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

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      Extend Agency Cross (A-Cross) for all NYMEX and COMEX Energy and Metals Products  - November 19

      Effective Sunday, November 19 (trade date Monday, November 20), CME Group will extend Agency Cross capability to include all NYMEX and COMEX energy and metals contracts on CME Globex.

      Currently, the A-Cross functionality is only available in eligible NYMEX and COMEX futures and options products.

      The A-Cross functionality for these products is currently available in New Release for customer testing.

      Certification is mandatory for all customers who intend to leverage the cross functionality on futures and options contracts.

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      New New - Renaming Singapore Gasoil 10 ppm (Platts) vs. Singapore Gasoil (Platts) Futures  - December 3

      Effective Sunday, December 3 (trade date Monday, December 4), the Singapore Gasoil 10 ppm (Platts) vs. Singapore Gasoil (Platts) futures will be renamed as Singapore Gasoil (Platts) vs. Singapore Gasoil 500 ppm (Platts) futures.

      Renaming Singapore Gasoil 10 ppm (Platts) vs. Singapore Gasoil (Platts) Futures
      Current Product Name New Product Name MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Singapore Gasoil 10 ppm (Platts) vs. Singapore Gasoil (Platts) Futures

       

      Singapore Gasoil (Platts) vs. Singapore Gasoil 500 ppm (Platts) Futures

       

      STT RF

      In addition, on Sunday, December 3 the listing cycle will resume on CME Globex. With this resumption, the previously removed contract months beyond December 2017 will be relisted as “Monthly contracts listed for the current year plus next two calendar years”.

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

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

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      New New - Singapore Gasoil Futures - December 3

      Effective Sunday, December 3 (trade date Monday, December 4), the following Singapore Gasoil futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Singapore Gasoil Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Singapore Gasoil 500 ppm (Platts) Futures GHS CP
      Singapore Gasoil 500 ppm (Platts) BALMO Futures GHB CP
      Mini Singapore Gasoil 500 ppm (Platts) Futures MGO CP
      Singapore Gasoil 500 ppm (Platts) vs. Low Sulphur Gasoil Futures SGG CP
      Singapore Jet Kerosene (Platts) vs. Gasoil 500 ppm (Platts) Futures RHS CP
      Singapore Jet Kerosene (Platts) vs. Gasoil 500 ppm (Platts) BALMO Futures RHB CP
      Singapore Gasoil 500 ppm (Platts) Dubai (Platts) Crack Spread Futures GDH CP
      Singapore Gasoil (Platts) Dubai (Platts) Crack Spread Futures GDL CP

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

      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 and Strategy Type for 5-Year USD MAC Swap Futures  - December 3

      Effective Sunday, December 3 (trade date Monday, December 4), the minimum price increment tag 969-MinPriceIncrement will be changed for the following MAC Swap futures and spreads. With this change, the spread type (tag 762-SecuritySubType) will change from Futures – Reduced Tick (RT) to Futures – Standard Calendar Spread (SP). The minimum price increment for the calendar spread will be unchanged.

      5-Year USD MAC Swap Futures Minimum Price Increment Change
      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
      5-Year USD MAC Swap Futures F1U SF 0.0156250 0.0078125
      5-Year MAC Swap vs. 10-Year MAC Swap FNU IV 0.0156250 0.0078125

       

      5-Year USD MAC Swap Futures Strategy Type Change
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current tag 762 - SecuritySubType New tag 762 - SecuritySubType
      5-Year USD MAC Swap Futures F1U SF RT SP

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

      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, 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 20.

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      Events and Announcements

      CME SFTP Server Upgrade  - November 18

      Effective Saturday, November 18, the CME SFTP Production servers will be upgraded. There are no changes to the SFTP site name, IP address or the connectivity methods. Additionally, there are no changes required on the firms’ side. We are asking firms to participate in testing when we go live on Saturday, November 18. This upgrade affects the below CME SFTP sites:

      • Web based: sftpng.cmegroup.com - port 22
      • WAN based: 167.204.41.33 - port 22

      Testing:

      • Testing include connectivity to CME SFTP and uploading or downloading prior data file into/from the customer designated account Outgoing or Incoming folders.
      • If you are uploading a test file, we recommend that customers insert the word “TEST” in the file name.
      • For downloading file from the Outgoing folder, we recommend that firms download a prior day file.
      • Customers can connect to CME SFTP using their credentials currently used in Production either via userid/password or via public keys.

      To register to participate in either test, please contact CCS@cmegroup.com or call +1 312 207 2525 with your contact information and your preferred testing date.

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