• CME Globex Notices: May 19, 2008

      • To
      • CME Globex Customers
      • From
      • CME Globex Account Management
      • #
      • 20080522
      • Notice Date
      • 22 May 2008
    • Topics in this issue include:
      Critical System Updates
      Product Launches
      Product Changes
      Events and Announcements


      Critical System Updates

      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 is now available for customer testing in New Release.

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

      Product Launches

      NEW NYMEX LCH ECM & MTF Products on CME Globex
      As previously announced, this summer NYMEX and LCH.Clearnet are launching a broad range of global energy products for trading on the CME Globex platform. NYMEX is offering a new and distinct slate of OTC and futures products for clearing through LCH.Clearnet through two new exchanges: NYMEX ECM and NYMEX MTF. The initial slate will encompass the global benchmark oil contracts, including WTI, Brent and Gasoil, as well as key natural gas and electricity contracts. These new products will be cleared by LCH.Clearnet using existing and widely distributed clearing technology, thus optimizing operational efficiencies for market participants.

      This historic alliance will deliver improved capital and operational efficiencies through wider execution capabilities, broader credit intermediation and margining benefits for customers and market participants.

      More information on the arrangement and benefits for market participants is available at  www.nymexonlchclearnet.com.

      Please note: the NYMEX ECM contracts require development to support trading of these unique products. Detailed development information is available in the  NYMEX ECM and NYMEX MTF Products on CME Globex Client Impact Assessment. The complete lists of new products are available in the  NYMEX ECM Snapshot and  NYMEX MTF Snapshot.

      These products will be available for customer testing in the New Release environment on Monday, June 9. A mock trading session will be held Saturday, June 28. More information will be available soon.

      Product Changes

      Security Description Naming Convention Change for Binary Options Strategies on Target Federal Funds Rate Futures
      Effective Sunday, June 1, in all customer-facing environments, the Security Description naming convention for strategies on the Binary Options on Target Federal Funds Rate futures will change to use the left-most three bytes for strike price. The Security Description currently uses the right-most three bytes for the strike price. This change will ensure unique Security Descriptions can be maintained regardless of market movement. There is no impact on option outrights; this change only affects the exchange-defined options strategies.

      For example, currently the Security Description for a Christmas Tree strategy, with leg strike prices of 6000, 6125 and 6250, is BUS:XTU8C000 125 250. With this change, the Security Description for the same strategy will be BUS:XTU8C600 612 625.

      This change will affect the iLink and FIX/FAST tag 107-SecurityDesc; and the RLC Instrument Creation (MO) message position 72-91, Complete Instrument Code.

      Please note, CME Group strongly recommends customers do not parse the Security Description. Complete instrument information for all products is available in the FIX/FAST Security Definition (tag 35-MsgType=d) and RLC MO messages.


      NYMEX SO2 Emissions Futures Extension
      Effective Sunday, June 1, 2008 (for trade date Monday, June 2), the NYMEX SO2 Emissions futures listed on CME Globex (RSN) will be extended to 91 contract months. This change will allow customers to trade SO2 Emissions futures through December 2015. Currently, 36 months are listed for trading on CME Globex.

      These additional contract months are currently available in Certification for customer testing.

      More information on this extension to NYMEX SO2 Emissions futures is available from NYMEX Product Marketing at 212.299.2301.


      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. Previously, the K algorithm was 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:
       
      June 22
      • 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.
      Events & Announcements

      NEW Market Regulation Update to Rule 576, tag 50 ID Registration
      CME Group updated Rule 576 for both the CME and CBOT Rulebooks on Friday, May 16. Rule 576 relates to the identification of CME Globex operators and the registration of FIX tag 50. Please see the updated rule and the Market Regulation Advisory Notice  online.


      CME Globex Memorial Day Holiday Schedule
      The CME Globex Memorial Day holiday schedule is now available  online.


      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.