|Topics in this issue include:
|Critical System Updates|
Book Depth Change for U.S. Treasury, Swap and Fed Fund Options
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.
Eurodollar Options Strategies on CME Globex
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
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.
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.
Matching Algorithm Changes for Legacy CBOT Interest Rate and Commodity Futures
Butterfly and Condor Spreads for KCBT and MGEX Futures
These new futures spreads will be available in New Release for customer testing Monday, May 5.
E-mini S&P MidCap 400 - E-mini Russell 2000 Intercommodity Spread
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 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 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
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.