• CME Globex Notices: April 28, 2008

      • To
      • CME Globex Customers
      • From
      • CME Globex Account Management
      • #
      • 20080428
      • Notice Date
      • 28 April 2008
    • Topics in this issue include:
      Critical System Updates
      Product Changes
      Events and Announcements


      Critical System Updates

      Book Depth Change for U.S. Treasury, Swap and Fed Fund Options
      Effective this 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
      Due to the growth in the number of options instruments listed on the CME Globex platform, and in response to customers' requests to reduce the large number of options instruments to download and manage, CME Group is accelerating the previously announced change to the Eurodollar options strategies instrument management. Previously scheduled for Sunday, May 18, this change will now take effect this Sunday, May 4.

      With this change, CME Group will 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 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 an eliminated strategy instrument will be rejected by CME Globex.

      Customers can use User-Defined Spreads (UDS) functionality to create and trade any desired options strategy. Please contact your front-end system provider for more information.

      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.

      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.

      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 8.

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

      Product Changes

      Matching Algorithm Changes for Legacy CBOT Interest Rate and Commodity Futures
      In response to customer feedback and in the interest of the market, CME Group will revise the Split FIFO/Pro Rata (K) allocation algorithm for selected CBOT markets. With this change, the pro rata allocation matching behavior will more closely follow the behavior of that on e-cbot by allocating a quantity of one contract to orders that have an allocation value of less than one (the amount calculated to allocate). The revised K algorithm will also be applied to additional products, as detailed below. Currently, the K algorithm is only applied to the 2-Year U.S. Treasury Note futures.

      The Split FIFO/Pro Rata algorithm assigns TOP priority to an order that
      • betters the market, and
      • meets the minimum volume threshold.
      The Split FIFO/Pro Rata algorithm also establishes a volume cap that limits the quantity a priority order can receive.
      Allocation Sequence
      1. TOP Order percentage Allocation (with Minimum/Maximum)
      2. LMM
      3. Remaining quantity split - X% FIFO, X% Pro Rata (fields must sum to 100%)
        1. X% FIFO (based on remaining quantity * FIFO %)
        2. Pro Rata with Min (based on remaining quantity * Pro Rata %)
      4. Pro Rata Leveling (new allocation)
      5. Timestamp Priority (any remainder from Pro Rata)
      If a product does not have any registered LMMs, the LMM allocation is skipped. The FIFO percentage in the third allocation may be set to zero, which will result in a 100% Pro Rata with Min allocation. Only the 2-Year Treasury Note futures have a FIFO allocation at the third step.
      The new Pro Rata Leveling component within the K algorithm will also be applied to other products on the following schedule:
      May 4
      • 2-Year Treasury Note futures, legs and spreads
      • Legacy CBOT Agricultural futures, legs and spreads
      May 9
      • 5-Year Treasury Notes futures calendar spreads
      • 10-Year Treasury Note and 30-Year Bond futures Reduced Tick Spreads
      May 18
      • 5-, 10- and 30-Year Interest Rate Swap futures, legs and spreads
      Late June
      • Fed Funds futures, legs and spreads
      More information on this algorithm, including allocation examples, is available in the  CBOT Merger Client Impact Assessment.
      Customers can determine the matching algorithm assigned to each product from FIX tag 1142-Match Algorithm, in the FIX/FAST Security Definition (tag 35=d) market data message.

      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.

      NEW E-mini S&P MidCap 400 - E-mini Russell 2000 Intercommodity Spread
      Effective Sunday, May 18, 2008 (trade date Monday, May 19), a new intercommodity spread for the E-mini S&P® MidCap 400® versus E-mini Russell 2000® futures will be available for trading on the CME Globex platform.

      These 1:1 ratio intercommodity spreads will use Strategy Type Indicator EC.

      CME Group is launching these intercommodity spreads to help customers looking for a way to transfer their E-mini Russell 2000 open interest to a liquid trading alternative. Traders can go long or short the spread, which enables you to simultaneously establish a one-to-one position on the underlying futures contracts. For more information, visit  www.cmegroup.com/equities.

      Events & Announcements

      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. CME Group encourages all directly connected customers review the  DR Client Impact Assessment.

      Jackson Direct Launch
      The new Jackson Direct connectivity solution launches today.

      Jackson Direct is a customer-managed 40Mbps direct connection to the CME Globex fiber network from the Chicago Board of Trade building at 141 W. Jackson, Chicago, IL 60604.

      CME Group will begin accepting Jackson Direct orders, via Schedule 2 to the  CME Connection Agreement, on Thursday, May 1.

      More information, including an FAQ and connectivity guide, is available on the  CME Group Web site.

      CME Globex Trader Decommission Postponed
      At customers' request, CME Group has agreed to maintain CME Globex Trader for one additional month, until end of day Friday, June 27. This extension only applies to customers who access CME Globex Trader over the Internet or dedicated lines with existing user IDs. No new IDs will be issued. It will not be available on the trading floor at the Chicago Board of Trade building at 141 W. Jackson.

      Please note this is the last possible extension CME Group will be able to provide; no further extensions will be granted.

      If you have questions, please contact your CME Globex Account Manager at 312.634.8700; or at +44.20.7796.7100 in Europe or +852.3101.7696 in Asia.