|Topics in this issue include:
|Critical System Updates|
Order Status Enhancements
These enhancements provide:
A Client Impact Assesment is now available with detailed information. CME Group strongly recommends all front-end trading systems completely test the enhanced order status messaging in New Release, available now.
Implied Functionality Enhancements
With this launch, Eurodollar Pack Spreads, including Pack Butterflies, will support implied functionality for the first 10 years listed.
Customers and system providers are not required to certify for these enhancements; however, CME Group encourages all system providers to complete testing with these new instruments and functionality in the New Release environment starting September 11.
A Client Impact Assesment is now available with detailed information.
Options on Eurodollar Futures Calendar Spreads
Eurodollar calendar spread options are designed to help market participants better manage risk exposures specifically tied to the slope of the Eurodollar rate curve. Call options will be exercisable into one long nearby Eurodollar futures contract and one short deferred Eurodollar futures contract, for example June 2008 (long) and June 2009 (short). Put options will be exercisable into a short nearby Eurodollar future and a long deferred one.
These options will be listed with the futures calendar spread as the indicated underlying. There will not be a synthetic future listed, as is the current practice for the NYMEX complex options on CME Globex. These options will support zero and negative strike prices.
These options and strategies are now available for customer testing in New Release.
Regional Greenhouse Gas Initiative (RGGI) CO2 Allowance Futures on CME Globex
The new RGGI CO2 Allowance futures will be available for customer testing in the New Release and Certification environments Monday, August 11.
NYMEX LCH ECM & MTF Products on CME Globex
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 are currently available for customer testing in the New Release environment. The mock trading session previously scheduled for June 28 has been cancelled. End-to-end testing to the LCH Clearing House is available in the New Release environment for configured customers. Please contact CSET at 312.930.2322 or your CME Globex Account Manager at 312.634.8700 to be configured.
Changes for Legacy CBOT Commodity Products
Please note: the intercommodity spreads for legacy CBOT commodity futures will also reflect these new Maximum Order Quantity limits. The Maximum Order Quantity for each instrument can be found in tag 1140-MaxTradeVol, in the FIX/FAST Security Definition message (tag 35-MsgType=d).
Along with these maximum order quantity changes, the FIFO component of the allocation algorithm (K) will be changed from zero to 10 percent. This change will apply to the following futures:
Allocating a percentage of the trade to FIFO will reward those users who leave resting orders in the book. As we continue to refine the algorithm, we will be able to increase participation utilizing a combination of FIFO, leveling, Pro Rata, and priority (TOP) elements.
These changes are currently available for customer testing in New Release.
Israeli Shekel Calendar Spreads Algorithm Change
This change will go into effect in all CME Globex environments this Sunday, August 3 (trade date Monday, August 4).
The allocation algorithm is defined in FIX tag 1142-MatchAlgorithm, in the FIX/FAST Security Definition message (35=d).
30-Day Fed Funds Futures and Options Enhancements
All these changes and the new 12-month futures strips are currently available in New Release for customer testing.
The Instrument Group Code can be found in the Security Definition (tag 35-MsgType=d) FIX/FAST message, tag 55-Symbol; and in the Instrument Creation (MO) RLC-format message at position 70.
These changes are now available for customer testing in New Release.
|Events & Announcements|
CME Globex Disaster Recovery Connectivity Testing
Customers are required to register in advance to participate online. Disaster Recovery IPs and ports have been distributed by your CME Globex Account Manager.
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 Overview.
CME Clearing360 Trade Reporter
This new application is called CME Clearing360 Trade Reporter and will be accessible through CME EOS Trader, which is one of the applications using the API. Using the web-based Trade Reporter application, a trader can report a block trade for any block eligible CME Group product.
Clearing360 and the Trade Reporter system will:
Bottom line: your trading will be more efficient
The following CME Group products are eligible for block trade clearing through Trade Reporter.
Interest Rate Products
For more information, including how to obtain access to Trade Reporter, please contact your CME Globex Account Manager.
The mandatory certification for FIX/FAST can be completed through AutoCert+ in Certification. More information is available in the AutoCert+ User Guide. FIX/FAST is currently available for customer testing in the New Release and Certification environments.
After October 17, support surcharges will be assessed for each site still receiving RLC format market data:
The legacy RLC format market data will be eliminated no later than the end of December 2008. Please note that we cannot extend RLC broadcast beyond the December deadline, due to internal system dependencies. The FIX/FAST Software Development Kit, including Market Data Platform channel definitions and reference code, is available online.
On Sunday, October 14, 2007, CME Group launched the new FIX/FAST market data format on the CME Globex platform. FIX/FAST is the basis of a new industry standard for market data and improves bandwidth scalability. The new format is based on FIX and FAST protocols for increased efficiency. FIX provides the core message structure and syntax while the FAST protocol increases optimization.
FIX/FAST Market Data Statistics
Saturday FIX/FAST Testing
There will be no replay window on the Labor Day holiday weekend, Saturday, August 30.
The data disseminated during each Saturday's replay window will be captured during the prior mid-week trading.
CME Group recommends all system providers purge and reload their instrument databases every week. To support testing during these replay windows, the FIX/FAST Security Definition (tag 35=d) and RLC Instrument Creation (MO) messages from the prior week will be available on the instrument definition channels each Saturday morning starting at 10:00 a.m.
Support will be available; customers may call 312.715.6003 with any questions during the replay windows.
The following market data channels for FIX/FAST and RLC formats will be available:
Channel definitions, including IPs and ports, are available online:
Please contact your CME Globex Account Manager with any questions at 312.634.8700; in Europe at +44.20.7796.7100; or in Asia at +852.3101.7696.