• CME Globex Notices: April 30, 2018

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      • CME Globex and Market Data Customers
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      • Global Market Solutions and Services
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      • 20180430
      • Notice Date
      • 03 May 2018
    • Critical System Updates

      UpdateUpdate - MDP 3.0 Performance Enhancements - This Week

      † Denotes update to the article

      Effective this Sunday, May 6 (trade date Monday, May 7), CME Group will continue performance improvements on the following CME Globex MDP 3.0 channels. In internal testing, these enhancements improved MDP 3.0 performance up to 60%.

      These enhancements will not impact iLink order routing or market structure dynamics.

      MDP 3.0 Performance Enhancements
      Launch Date Impacted MDP 3.0 Channels
      May 6 CME Globex Interest Rate Futures – 312
      CBOT Globex Interest Rate Futures II – 348
      May 20

      CME Interest Rate Options – 313
      CME Globex FX Futures II – 320
      CME Globex FX Options II – 321
      NYMEX Globex Crude & Crude Refined Futures – 382
      DME Globex Futures - 440

      June 3 CME Globex Equity Futures excluding ES – 318 CBOT Globex Equity Index Futures - 342
      CBOT Globex Interest Rate Options - 345
      CBOT Globex Commodity Futures II – 346
      NYMEX Globex Emissions Futures – 380
      NYMEX Globex Nat Gas & Other Non-Crude Energy Futures - 386

       

      June 10

      CME Globex Equity Futures (ES) – 310
      COMEX Globex Futures - 360
      COMEX Globex Options - 361
      NYMEX Globex Emissions Options - 381
      NYMEX Globex Crude & Crude Refined Options – 383
      NYMEX Globex Metals, Softs & Alternative Markets Futures - 384
      NYMEX Globex Metals, Softs & Alternative Markets Options – 385
      NYMEX Globex Nat Gas & Other Non-Crude Energy Options – 387
      DME Globex Options – 441

      June 24

      CME Globex Equity Options (ES) – 311
      CME Globex Commodity Options – 317
      CME Globex Equity Options excluding ES - 319
      CBOT Globex Commodity Options – 341
      CBOT Globex Equity Index Options – 343
      BMD Globex Futures – 430
      BMD Globex Options - 431
      KRX Globex Futures - 450
      MGEX Globex Options - 461

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      Price Precision Extension - 2018

      CME Group is implementing end-to-end technology changes to support increased price granularity. Currently, CME Group systems support a maximum of 7 decimals. With this initiative, products with up to 9 decimals may be listed and traded. In Q4 2018, pending regulatory approval, the 2 Year Treasury Note futures and spreads will move from 7 decimals to 8 to support trading at 1/8 of 1/32.

      Customers are encouraged to move to support 9 decimals now; but there are no plans to list a product that uses the 9th decimal at this time.

      Starting Sunday, August 12, the price precision extension rollout will begin with MDP 3.0.

      Price Precision Timeline:

       

      For complete updated rollout information and dates, refer to Key Events and Dates in the Client Impact Assessment.

      The Client Impact Assessment includes additional information on the following:

      • CME Globex iLink
      • CME Globex MDP3
      • Streamlined MDP
      • ITC
      • CME Globex Drop Copy
      • Referential Data

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

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      CME Globex API Secure Logon – iLink and Drop Copy

      CME Group is committed to our customers’ information security. To ensure the highest levels of security, CME Group has launched the CME Globex API Secure Logon in Q1 2018 to harden iLink and Drop Copy 4.0 session authentication.

      The new Secure Logon is in production and will be supported in parallel with the current model with surcharges until Friday, June 29. Any iLink or Drop Copy Target sessions that connect using plain text password are subject to surcharges as follows:

      • Sunday April 29 – Friday June 1: $100/session/month
      • Sunday June 3 – Friday June 29: $500/session/month

      Only Secure Logons will be supported starting Sunday, July 1.

      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 is now available for customer testing in New Release.

      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 - CME SOFR Futures and Spreads  - This Week

      † Denotes update to the article

      Effective this Sunday, May 6 (trade date Monday, May 7), the following CME SOFR futures and standard intra-commodity spreads will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.   

      SOFR Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      MDP 3.0 Market Data Channel New Release
      3-Month SOFR Futures SR3 SS 312 Available
      1-Month SOFR Futures SR1 SS 312 Available

      Spread type FS will be not be listed in production for the 1-Month SOFR futures and has been removed from New Release.

      Please Note: The 3-Month SOFR futures and spreads will launch with the June contract at a 0.5 tick. The earliest expiring outright will become .25 eligible on trade date Monday, May 14, 2018. Please refer to SER and Clearing Summary for more details.

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

      Customers should note the named month (e.g., SR3K8) in the external name in MDP 3.0 tag 55-Symbol and iLink tag 107-SecurityDesc does not reflect the last trade date. The instrument last trade date can be found by leveraging FIX tags 865=7 (Last eligible trade date) and 1145-EventTime in the Security Definition (tag 35-MsgType=d) message. As a reminder, CME Group does not recommend parsing the external instrument name to determine instrument characteristics.

      The following inter-exchange and inter-commodity spreads will also be listed for trading on CME Globex.

      SOFR Inter-Commodity Futures Spreads
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Future Tag 762-SecuritySubType MDP 3.0 Market Data Channel New Release
      3-Month SOFR vs. Eurodollar Inter-Commodity Spread SR3 SS IS 312 Available
      1-Month SOFR vs. 30-Day Fed Funds future Inter-Exchange Spread SR1 SY IS 312 Available
      1-Month SOFR vs. 3-Month SOFR future Reduced Tick Inter-Commodity Ratio Spread SR1 SS EF 312 Available
      30-Day Fed Funds futures vs. 3-Month SOFR Reduced Tick Inter-Exchange Ratio Spread ZQ SY EF 348 Available

      Strategy type IS and EF supports inter- and intra-exchanges and products.

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      Implied Functionality on Eurodollar Serial Months - This Week

      Effective this Sunday, May 6 (trade date Monday, May 7), implied functionality will be enabled for all serial Eurodollar futures and calendar spreads on CME Globex.

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

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

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      Globex MDP3 SBE Schema Update - August 12

      Starting Sunday, August 12, in conjunction with the price precision initiative, CME Group will update the schema for all Globex MDP3 SBE market data channels.  Please view the rollout schedule.   This release will not support template extension, however the order of the fields will be preserved in the new templates.  Please review an overview of changes

      The new version 9 schema is currently available on the New Release public FTP.   Customers can begin testing schema version 9 in New Release on Sunday, May 20

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      Streamlined MDP SBE Schema Update - August 26

      Starting Sunday, August 26, in conjunction with the price precision initiative, CME Group will update the schema for streamlined SBE market data channels to support schema version 9 to ensure consistency between market data channels.  Please view the rollout schedule.  This release will not support template extension; however, the order of the fields will be preserved in the new templates. Please review an overview of changes

      The new version 9 schema is currently available on the New Release public FTP.   Customers can begin testing schema version 9 in New Release on Sunday, May 20

      Please Note: The schema update timeline for Streamlined Equity Indices, Eris Exchange and Bitcoin channels will be announced at a later date.

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      Product Launches

      UpdateUpdate - TACO on E-Mini S&P 500 Futures - May 13

      † Denotes update to the article

      Effective Sunday, May 13 (trade date Monday, May 14) and pending all relevant CFTC regulatory review periods, CME will permit Basis Trade at Cash Open (TACO) transactions on E-Mini S&P 500 futures for trading on CME Globex and for submission for clearing via CME ClearPort. A TACO transaction on the E-Mini S&P 500 futures is an outright future trading the differential between the equity future and underlying cash index's marking at the publication of the Special Opening Quotation (SOQ). The TACO instrument is similar to the BTIC (Trade at Cash Close) instrument but uses the cash market open and will trade Sunday – Friday following a unique trading schedule. Due to the uniqueness of the TACO trading schedule, customers should be prepared to manage Fill Notice Execution Reports (tag 35-MsgType=8, tag 39-OrdStatus=1) with different trade dates.  CME Group recommends customers thoroughly test this behavior in New Release.

      TACO on E-Mini S&P 500 Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Market Data Channel
      TACO on E-Mini S&P 500 Futures ESQ 3T 318

      TACO Trading Hours for E-mini S&P Contract:
      Sunday – Friday as follows:

      • Sunday Pre-Open 4:00 pm Central Time (CT)
      • Trading starts on Sunday at 5:00 pm (CT) and stops on Monday at 8:30 am (CT)
      • Monday – Friday trading stops and market close at 8:30 am (CT), ALL day orders eliminated
      • Monday – Thursday Pre-Open 9:30 am (CT)
      • Monday – Thursday trades from 10:00 am (CT) – 4:00 pm (CT)
      • Monday – Thursday Market Halt occurs at 4:00 pm – 5:00 pm (CT) - Globex Maintenance Period NO day orders eliminated
      • Monday – Thursday Pre-Open 4:45 pm (CT)
      • Monday – Thursday trades from 5:00 pm (CT) –  8:30 am (CT) next business day
      • No trading allowed after 8:30 am (CT) on Friday, ALL day orders eliminated

      Please Note: Preliminary and final settlements will be published externally; these prices are not used for Clearing end of day mark to market, the Special Opening Quote (SOQ) for the TACO will be used by Clearing for mark to market purposes.

      The settlement price in Market Data Incremental Refresh (tag 35-MsgType=X, 269=6) message is the price of the last traded differential of the trading session and is used for the following:

      • internal Price Banding
      • display of reference price of the last traded differential on customer systems

      TACO on E-Mini S&P 500 futures are currently available for customer testing in New Release.

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      Product Changes

      New New - Suspension of Bursa Malaysia Derivative (BMD) USD RBD Palm Olein Futures Contracts  - This Week

      On Wednesday, May 2, all maturities for the (BMD) USD RBD Palm Olein futures were suspended from trading on CME Globex until further notice.

      Suspension of Bursa Malaysia Derivative (BMD) USD RBD Palm Olein Futures
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      RBD Palm Olein futures BL FPOL

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      Change to Minimum Price Increment for Palladium Futures and Options - This Week

      Effective this Sunday, May 6 (trade date Monday, May 7), the minimum price increment tag 969-MinPriceIncrement will be changed for the following.

      Palladium Futures and Option
      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
      Palladium Futures PA PD 0.05 0.10
      Palladium Option PAO P3 0.01 0.10

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

      To facilitate the change, customers are asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders after the close on Friday, May 4. After 16:00 CT on Friday, May 4 all remaining GT orders for this future will be cancelled or deleted by the CME Global Command Center (GCC).

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

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      Strike Price Increment for Brent Crude Oil Last Day Financial Calendar Spread Option - 1 Month - May 20

      Effective Sunday, May 20 (trade date Monday, May 21), the strike price listing rules for Brent Crude Oil Last Day Financial Calendar Spread options - 1 Month will be modified on CME Globex.

      Strike Price Increment for Brent Crude Oil Last Day Financial Calendar Spread Option - 1 Month
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current Strike Listing Rule New Strike Listing Rule
      Brent Crude Oil Last Day Financial Calendar Spread Option - 1 Month 9C OT Dynamic strikes only at $0.05 per barrel strike increment. Minimum 20 strikes at $0.05 per barrel strike increment above and below the at-the-money strike then 10 strikes at $0.25 per barrel strike increment above and below the highest and lowest $0.05 per barrel increment strikes then 4 strikes at $0.50 per barrel strike increment above and below the highest and lowest $0.25 per barrel increment strikes plus dynamic strikes at $0.05 per barrel strike increment for the nearest 36 months.
      Dynamic strikes only for months 37+ at $0.05 per barrel strike increment.

      This option will be available for customer testing in New Release on Monday, May 7.

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

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      New New -Listing Cycle Expansion for Black Sea Wheat Financially Settled (Platts) Futures  - June 3

      Effective Sunday, June 3 (trade date Monday, June 4), the listing cycle for Black Sea Wheat Financially Settled (Platts) futures will be expanded on CME Globex.

      Black Sea Wheat Financially Settled (Platts) 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
      Black Sea Wheat Financially Settled (Platts) Futures BWF WP Monthly contracts listed for twelve (12) consecutive months. Monthly contracts listed for fifteen (15) consecutive months.

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

      This change will be available for customer testing in New Release on Monday, June 4.

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      Listing Cycle Changes and Delisting of E-mini Nifty 50 Index Futures - June 28

      On Monday, February 26, the E-mini Nifty 50 Index futures September 2018 and December 2018 contract months were removed from CME Globex.  With this change, the June 2018 contract will be the last available contract month listed for trading. Following the expiration of the June 2018 contract month, on Thursday, June 28, E-mini Nifty 50 Index futures will be delisted and removed from CME Globex at the close of business.

      Listing Cycle Changes and Delisting of E-mini Nifty 50 Index 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
      E-mini Nifty 50 Index Futures MNF FN Four months in the March Quarterly Cycle and two nearest serial months Monthly contracts listed up to and including June 2018

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

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      Events and Announcements

      New New - Reminder - CME Globex Port Closure Policy 

      The CME Group Globex Port Closure Policy is designed to protect CME Group markets and systems from potentially detrimental behavior.

      If the CME Global Command Center (GCC) detects behavior, either iLink or Network based, that may be potentially detrimental to CME Group Globex markets or systems, and this behavior is not corrected in a timely manner, the GCC will take action by either closing the ports for the applicable iLink session, or blocking problematic IP ranges. Please note, all such actions are subject to regulatory review. Invalid logons due to HMAC authentication will be counted towards Automated iLink Port Closure.

      Firms will incur a $1,000 port closure maintenance fee per session (up to $10,000 per event) for behavior which results in the closure of iLink session ports, or IP range blockage by CME Group. Customer iLink sessions that are permissioned to trade CME Group products are governed by this policy and will thus be directly subject to any surcharges imposed under this policy. iLink sessions that are permissioned solely to trade with non-CME Group exchange(s) will be handled in accordance with the rules of that Partner Exchange.

      More information is available here including an FAQ. If you have any questions, please contact the CME Global Command Center at in U.S. at +1 800 438 8616, in Europe at +44 20 7623 4747 or in Asia at +65 6532 5010.

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      New New - CME Group Video: CME Globex Timestamps

      In response to customer inquiries, a new CME Globex Timestamps video is now available from both cmegroup.com and the Client Systems Wiki. Refer to this video to learn how timestamps are assigned in both CME Globex order entry and market data messaging.

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