• CME Globex Notices: April 14, 2008

      • To
      • CME Globex Customers
      • From
      • CME Globex Account Management
      • #
      • 20080417
      • Notice Date
      • 17 April 2008
    • Topics in this issue include:
      Critical System Updates
      Product Launches
      Product Changes
      Events and Announcements

       

      Critical System Updates

      NEW Request for Cross on CME Globex 
      Effective Sunday, May 11 (trade date Monday, May 12), the method for submitting a Cross order on CME Globex will change for legacy CME Commodity, FX and Equity options to use the New Order Cross (FIX tag 35-MsgType=s) message. Currently, these products use the Quote Request (tag 35-MsgType=R) message with tag 54-Side=8.

      With this change, the Quote Request method for cross orders will no longer be supported on CME Globex.

      Please note: legacy CBOT options remain ineligible for Cross orders on CME Globex.

      In addition to the technical changes, the regulatory requirements and process will also change. More information is available in the  Regulatory Advisory.

      Cross order eligibility is defined in positions 789, RFC Eligible Flag, and 800, RFQ for Cross Eligible Flag. For more information please review the Cross Order section of the  Options module of the iLink SDK.

      These products with RFC eligibility will be available for customer testing in New Release Monday, April 21. Customer applications are required to certify for the New Order Cross message before submitting cross orders in production. Please contact your trading application provider for more information.


      NEW FIX/FAST 1.2
      On Sunday, June 1 (trade date Monday, June 2), CME Group is scheduled to release FIX/FAST 1.2. This release introduces enhancements to the Market Data Incremental Refresh (tag 35-MsgType=X), Security Definition (tag 35-MsgType=d) and Market Data Snapshot Full Refresh (tag 35-MsgType=W) messages.

      This release will be available for customer testing in New Release Thursday, May 1.

      Detailed information on FIX/FAST 1.2 is available in the  FIX/FAST 1.2 Client Impact Assessment.

      Product Launches

      Options on Frozen Pork Belly Futures
      Effective Sunday, April 27 (trade date Monday, April 28), options on Frozen Pork Belly futures will be listed for trading on the CME Globex platform.

      These options will support User-Defined Spreads (UDS) functionality upon launch.

      Options on Frozen Pork Belly Futures

      Product Instrument
      Group Code
      Product Code MDP Channel
      Frozen Pork Belly Options Outrights 5P GPB 14
      Frozen Pork Belly Options Spreads 8P

      These products are currently available for customer testing in New Release and Certification.


      Nonfarm Payroll Futures and Options
      Effective Sunday, April 27 (trade date Monday, April 28), CME Group is launching futures and options on the U.S. Bureau of Labor Statistics' (BLS) Nonfarm Payroll data exclusively on the CME Globex platform.

      These new products will allow customers to directly manage exposure to the government labor number and offset positions in the financial markets.

      Please note: these options are eligible for negative strike prices. More information on negative strike prices on the CME Globex platform is available  online.

      Nonfarm Payroll Futures & Options

      Product Instrument Group Code Product Code MDP Channel
      Nonfarm Payroll Futures NP NFP 9
      Nonfarm Payroll Options on Futures 1F NFP 10

      More information is available  online.

      Nonfarm Payroll futures and options are available for customer testing in Certification and New Release.

      Product Changes

      NEW Delisting Monthly and Seasonal Frost Days Futures
      Effective at close of business this Friday, April 18, the Monthly and Seasonal Frost Days futures (CME Globex product code FZ) will be delisted from all venues.

      There is no open interest in these contracts. CME Group will re-list these products, with the same product and clearing codes but refined contract specifications, in the near future.


      NEW Calendar Spreads for Uranium Futures
      Effective Sunday, April 27 (trade date Monday, April 28), calendar spreads (Strategy Type Code SP for NYMEX Uranium futures will be listed for trading on the CME Globex platform.

      These future calendar spreads are available for customer testing in New Release.


      NEW User-Defined Spreads for KCBT and MGEX Options
      Effective Sunday, April 27 (trade date Monday, April 28), full User-Defined Spreads (UDS) functionality, including Covereds and Combos, will be implemented on the following KCBT and MGEX options on futures.

      Effective Sunday, April 27 (trade date Monday, April 28), the Matching Algorithm Indicator for the Euroyen TIBOR future Packs (Strategy Type Code PK) and Bundles (Strategy Type Code FB) will be modified to read F for FIFO, to match the outright futures and current matching behavior. Currently, the Packs and Bundles show a T.

      UDS-Eligible KCBT and MGEX Options

      Options on Futures CME Globex
      Product Code
      Outright Instrument
      Group Code
      UDS Instrument
      Group Code
      MGEX National Corn Index OIC O1 2F
      MGEX National Soybean Index OIS O2 2G
      MGEX Soft Red Winter Wheat Index OIW O3 3F
      MGEX Hard Red Winter Wheat Index OIH O4 3G
      MGEX Hard Red Spring Wheat Index OIP O5 4F
      MGEX Hard Red Spring Wheat OMW O6 4G
      KCBT Wheat OKE OK 1G

      UDS functionality for these products will be enabled for customer testing in New Release this Monday, April 21.


      Euroyen TIBOR Futures Packs and Bundles Algorithm Indicator Change

      The Matching Algorithm Indicator can be found in the Instrument Creation (MO) message, position 685.

      This change is available for testing in New Release.


      NASDAQ-100 and E-mini NASDAQ-100 Options Strike Range Changes
      Effective Sunday, April 27 (trade date Monday, April 28), the strike listing ranges will change for the options on NASDAQ-100® and E-mini NASDAQ-100 futures.

      NASDAQ-100 & E-mini NASDAQ-100 Options Strikes

      Product Product Code Strike Interval Current Listings New Listings
      NASDAQ-100 Options ND 25 basis points ATM ± 15% ATM ± 30%
      E-mini NASDAQ-100 Options NQ 25 basis points ATM ± 15% ATM ± 30%

      These new strikes are currently available for customer testing in New Release.


      Book Depth Change for U.S. Treasury, Swap and Fed Fund Options
      Effective Sunday, May 4 (trade date Monday, May 5), in response to customer requests, the market data book depth for all U.S. Treasury, Swap and Fed Fund options on futures on Market Data Platform channel 116 will change to three deep. Currently, these markets only support top-of-book market depth.

      This change will impact both the FIX/FAST- and RLC-format market data books. The complete list of impacted products is available  below.

      For FIX/FAST, this change will result in a move to the incremental book management style from the current overlay style, as reflected in tag 279 MDUpdateAction in the Market Data Incremental Refresh message (tag 35=X). Valid values for this tag will now include 0 (New), 1 (Change) and 2 (Delete).

      The book depth for every instrument on CME Globex is detailed in tag 264 MarketDepth in the Security Definition (tag 35=d). CME Group strongly recommends customer applications utilize tag 264 to identify the supported instrument book depth level dynamically. CME Group also recommends all customer applications should be designed to leverage all possible values for tag 279 MDUpdateAction in the Market Data Incremental Refresh message (tag 35=X) for all markets and channels, to minimize the impact of future book depth changes.

      The FIX/FAST Software Development Kit, including details on book management in the Core Functionality module, is available   online. Please contact Customer Support for Electronic Trading (CSET) at 312.930.2322 for development assistance.

      This book depth change is now available for customer testing in New Release.

      Options with Three-Deep Market Data

      Product Instrument
      Group Code
      Product Code MDP Channel
      Binary Options on the Target Fed Funds Rate Outrights C8 BUS 116
      Binary Options on the Target Fed Funds Rate Spreads B1
      5-Year Interest Rate Swap Outrights Y5 OSA
      5-Year Interest Rate Swap Spreads 05
      10-Year Interest Rate Swap Outrights AT OSR
      30-Year U.S. Treasury Bond Outrights UZ OZB
      30-Year U.S. Treasury Bond Spreads U3
      5-Year U.S. Treasury Note Outrights 0N OZF
      5-Year U.S. Treasury Note Spreads 9S
      10-Year U.S. Treasury Note Outrights TE OZN
      10-Year U.S. Treasury Note Spreads T$
      30-Day Fed Funds Outrights CF OZQ
      30-Day Fed Funds Spreads FO
      2-Year U.S. Treasury Note Outrights N2 OZT
      2-Year U.S. Treasury Note Spreads 2$


      Eurodollar Options Strategies on CME Globex
      Effective Sunday, May 18 (trade date Monday, May 19), the Eurodollar options strategies instrument management will change to allow CME Group to eliminate strategies that, due to market movement, are outside the listing range. Currently, all strategies once listed are maintained through to expiration regardless of market activity. This change will allow CME Group to better manage the volume of listed instruments.

      This is the process currently in place for Equity options strategies. The new elimination process only applies to Eurodollar options strategies; there is no change for option outrights, futures or future spreads.

      Any orders submitted for a eliminated strategy instrument will be rejected by CME Globex.

      CME Group recommends all customers purge and re-load their instrument databases weekly from the FIX/FAST Security Definition or RLC Instrument Creation (MO) market data messages every week. There is no impact for customers who follow this recommendation; by completing a weekly refresh you will capture the current listed instruments. Please contact your front-end system provider for more information.

      This change is currently implemented in New Release.


      NEW Butterfly and Condor Spreads for KCBT and MGEX Futures
      Effective Sunday, May 18 (trade date Monday, May 19), Butterfly (Strategy Type Code BF) and Condor (CF) future spreads listings will be expanded on the following products:

      Butterfly and Condor Spreads Listings

      Futures CME Globex
      Product Code
      Current Butterfly
      Spreads Listings
      New Butterfly
      Spreads Listings
      Current Condor
      Spreads Listings
      New Condor
      Spreads Listings
      MGEX Hard Red Spring Wheat MWE 2 5 2 7
      KCBT Wheat KE 3 5 3 7

      These new futures spreads will be available in New Release for customer testing Monday, May 5.

      Events & Announcements

      NEW CME Globex Disaster Recovery Program
      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.

      CME Group offers two programs for business continuity testing: CME Globex DR Connectivity testing and Simulated CME Globex DR testing.

      The CME Globex DR Connectivity testing, conducted monthly, is designed to ensure that customers can establish a connection to the DR environment in case of an emergency. Customers are required to register in advance to participate by e-mail. Disaster Recovery IPs and ports will be distributed by your CME Globex Account Manager in the near future.

      Complete information on the CME Group business continuity program and the CME Globex DR Connectivity testing, including testing session dates, is available  online.


      NEW Cancel on Disconnect Available Now!
      CME Group is now offering Cancel on Disconnect, another new risk management service. Upon an involuntarily dropped CME Globex-to-iLink-user connection, Cancel On Disconnect (COD) cancels all resting session/day futures and options orders for that user.

      COD Features

      • Opt-in, subscription-based
      • Free service

      For more information, please visit  www.cmegroup.com/cod or contact your CME Globex Account Manager at 312.634.8700; or at +44.20.7796.7100 in Europe or +852.3101.7696 in Asia.


      Drop Copy Available Now!
      CME Group is now offering Drop Copy, a new risk management service that allows customers to receive real-time copies of CME Globex execution report and reject messages as they are sent over iLink sessions.

      This important service will be available without charge through Q2 2009. Beginning in Q3 2009, a monthly support charge will be assessed to cover the cost for this service. As a result, we anticipate that fees will be tiered based upon the number of iLink source sessions requested.

      Drop Copy is currently available in New Release for customer testing. A brief certification via AutoCert+ is mandatory to access Drop Copy in production.

      For more information, please visit  www.cmegroup.com/dropcopy or contact your CME Globex Account Manager at 312.634.8700; or at +44.20.7796.7100 in Europe or +852.3101.7696 in Asia.