• CME Globex Notices: September 1, 2008

      • To
      • CME Globex Customers
      • From
      • CME Globex Account Management
      • #
      • 20080901
      • Notice Date
      • 01 September 2008
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      Events and Announcements
      Critical System Updates

      FIX/FAST Enhancements
      At customers' request, to facilitate the migration to the FIX/FAST market data format, CME Group is introducing the following enhancements to FIX/FAST on the Market Data Platform effective Sunday, September 28, 2008. As a result of these changes, nine message templates will be updated. Templates are available for customers' download at  ftp.cme.com. Please note: CME Group recommends all customers download the templates weekly, before Sunday market open, to ensure your systems are using the current templates.

      • New FIX tag 5799-MatchEventIndicator added to the Market Data Incremental Refresh (tag 35=X). This tag indicates the beginning of a new match event. The tag will be set to 1 in the trade report block for a new trade event. If there is no value present, then the message is not the beginning of a match event.
        • For example, in an Incremental Refresh message reporting trades for the following match events:
          1. An order with 10 lots matches against 10 orders of 1 lots
          2. An order with 5 lots matches against a 3-lot and a 2-lot order
        • The Incremental Refresh message will contain a total of 12 blocks. Blocks 1 and 11 will have tag 5799=1 to indicate that block 1 is the first trade report for event 1 and block 11 is the first trade report for event 2. All other blocks will not have tag 5799.
      • New FIX tag 5770-PriceRatio added to the Security Definition (tag 35-MsgType=d). This tag defines the ratios for the new implied Treasury intercommodity spreads. Detailed information on these new products and the messaging change is available in the  Implied Functionality Enhancements client impact.
      • Changed tag number for the AggressorSide indicator to 5797, for FIX compliancy.

      These changes and the new message templates are now available for customer testing in the New Release environment.

      Order Status Enhancements
      CME Group is launching enhancements to both the inbound Order Status Request and outbound Execution Report - Order Status iLink messages. Scheduled to launch October 5, 2008, these enhancements will provide more precise and current state information on working orders.

      These enhancements provide:

      • The most current state in the order chain is always reflected in the Execution Report - Order Status Reponse Message
      • Cumulative order quantity reflects the actual quantity in the most current state in the order chain.
      • More precision on the details of the order state.

       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.

      New Functionality

      Implied Functionality Enhancements & Implied Treasury Intercommodity Spreads
      On Sunday, November 2, 2008 (trade date Monday, November 3), CME Group is scheduled to launch enhancements to the implied functionality on CME Globex. This launch will also include new implied intercommodity spreads for Treasury futures, available for trading Sunday, November 16 (trade date Monday, November 17).

      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. The new implied intercommodity Treasury spreads will be available in New Release on September 29.

       Client Impact Assesment is now available with detailed information.

      CME Globex Credit Controls
      CME Globex Credit Controls provides pre-execution risk controls that enable administrators to set credit limits through the new Real-time Order Control (ROC) tool.

      Risk administrators will be able to define trading limits and select real-time actions if those limits are exceeded, including:

      • e-mail notification
      • order blocking
      • order cancellation

      CME Globex Credit Controls functionality will be made available in two phases.

      Phase 1
      • Enables risk administrators to maintain manual credit control limits by setting a maximum order size and the capability to block new orders
        • Note: Risk administrators will not be able to view executing firms positions during this phase
      • Available now in New Release
      • Scheduled to launch Sunday, September 28
      Phase 2
      • Includes all functionality from Phase 1, plus:
        • Automated credit control management defined by firm administrators
        • View current positions by executing firm
        • Auto cancel orders
      • Available 1Q09 in New Release
      • Scheduled to launch 1Q09
       Client Overview is now available with detailed information.
      Product Launches

      3-Month OIS Futures
      Effective this Sunday, September 7, 2008 (for trade date Monday, September 8), 3-Month Overnight Index Swap (OIS) futures will launch on the CME Globex platform.

      The new OIS futures will track the overnight effective Federal Funds rate, a major benchmark for the U.S. short-term interest rate market. The contract will reflect the Federal Funds rate compounded over a three-month period that ends on the contract's expiration date. Because the OIS futures contract will cover the same time period as a Eurodollar future, the contract will provide market participants with a direct and efficient way to trade the spread between 3-month LIBOR and 3-month overnight financing costs.

      Calendars, packs and bundle spreads will also be available for trading with this launch, along with intercommodity spreads for OIS vs. Eurodollar futures.

      3-Month OIS Futures

      Product Group Code Product Code Strategy Type Code
      OIS Future F2 OSS  
      OIS Calendar Spread OSSMY-OSSMY SP
      OIS Pack OSS:PK PK
      OIS Bundle OSS:FB FB
      OIS-Eurodollar Intercommodity Spread OSSMY-GEMY IS

      MY = maturity Month and Year

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

      NEW 7-Year Interest Rate Swap Futures
      Effective Sunday, September 21 (trade date Monday, September 22), 7-Year Interest Rate Swap futures will launch on the CME Globex platform.

      These new futures will provide even more flexibility in developing risk management and trading strategies for the medium term sector of the yield curve. In addition, the launch of 7-Year Interest Rate Swap futures offers spread opportunities with 10-Year Treasury Note futures, which will be enhanced by the November introduction of implied intercommodity spreads for U.S. Treasury and CBOT Interest Rate Swap futures.

      Reduced tick calendar and butterfly spreads will also be available for trading with this launch.

      7-Year Interest Rate Swap Futures

      Product Group Code Product Code Strategy Type Code
      7-Year Swap Futures ZB 7I (seven-eye)
      7-Year Calendar Spread 7IMY-7IMY RT
      7-Year Butterfly Spread 7I:BF MY-MY-MY BF

      MY = maturity Month and Year

      These products will be available for customer testing in New Release this Monday, September 8.

      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 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.

      Product Changes

      FX Strike Harmonization
      Effective this Sunday, September 7, 2008 (for trade date Monday, September 8), CME Group is expanding the strike listings for FX options on CME Globex in the following products:

      Strike Listing Rules for FX Options

      Products Product Code Strike Listing Rules
      Current New
      Australian dollar
      Options 6A ATM ± 8 ATM ± 21
      Weekly Options 6A1-6A5
      Volatility-Quoted Options V6A
      Volatility-Quoted Weekly Options VA1-VA5
      British pound
      Options 6B ATM ± 8 ATM ± 24
      Weekly Options 6B1-6B5
      European-style Options XB ATM ± 24
      European-style Weekly Options XB1-XB5
      Volatility-Quoted Options V6B ATM ± 8
      Volatility-Quoted Weekly Options VB1-VB5
      European-style Volatility-Quoted Options VXB ATM ± 24
      European-style Volatility-Quoted Weekly Options VBA-VBE
      Canadian dollar
      Options 6C ATM ± 24 ATM ± 24
      Weekly Options 6C1-6C5
      European-style Options XD
      European-style Weekly Options XD1-XD5
      Volatility-Quoted Options V6C
      Volatility-Quoted Weekly Options VC1-VC5
      European-style Volatility-Quoted Options VXC
      European-style Volatility-Quoted Weekly Options VCA-VCE
      Euro FX
      Options 6E ATM ± 24 ATM ± 24
      Weekly Options 6E1-6E5
      European-style Options XT
      European-style Weekly Options 1Q-5Q
      Volatility-Quoted Options V6E
      Volatility-Quoted Weekly Options VE1-VE5
      European-style Volatility-Quoted Options VXT
      European-style Volatility-Quoted Weekly Options VTA-VTE
      Japanese Yen
      Options 6J ATM ± 30 ATM ± 30
      Weekly Options 6J1-6J5
      European-style Options XJ
      European-style Weekly Options 1O-5O
      Volatility-Quoted Options V6J ATM ± 12
      Volatility-Quoted Weekly Options VJ1-VJ5
      European-style Volatility-Quoted Options VXJ ATM ± 30
      European-style Volatility-Quoted Weekly Options VJA-VJE
      Swiss Franc
      Options 6S ATM ± 4 ATM ± 12
      Weekly Options 6S1-6S5
      European-style Options XS ATM ± 12
      European-style Weekly Options XS1-XS5
      Volatility-Quoted Options V6S ATM ± 4
      Volatility-Quoted Weekly Options VS1-VS5
      European-style Volatility-Quoted Options VXS ATM ± 12
      European-style Volatility-Quoted Weekly Options VSA-VSE

      The expanded strike listings will provide greater flexibility for customer strategies focused on out-of-the-money options. This change will also provide a consistent quoting surface across CME Globex European- and American-style options, and across the same options traded electronically and via open outcry.

      In addition, the listed strikes will be reduced to ATM ± 2 for all of the following options on FX cross rate futures:

      • Euro FX/British pound Cross (RP)
      • Euro FX/Czech koruna Cross (ECZ)
      • Euro FX/Hungarian forint Cross (EHU)
      • Euro FX/Polish zloty Cross (EPL)
      • Euro FX/Swiss franc (RF)
      • Euro FX/Japanese yen Cross (RY)
      • Chinese renminbi/Euro FX Cross (RME)
      • Chinese renminbi/Euro FX Cross Weekly (RE1-RE5)
      • Chinese renminbi/Japanese yen Cross (RMY)
      • Chinese renminbi/Japanese yen Cross Weekly (RN1-RN5)

      These changes are now available for customer testing in New Release.

      Russell 2000 Future Extension of CME Globex Listing for September 2008
      Under current listing procedures for floor-traded equity index contracts, CME Group lists one contract month (September 2008) for big Russell 2000 futures contracts on CME Globex for the overnight trading session. Typically, when rollover occurs on the floor (next rollover date is Thursday, September 11), the contract month listed on CME Globex would switch to the deferred quarterly contract month (December 2008). Because our contractual listing rights to the Russell 2000 expire with the September 2008 contract and no December contract will be available, we are extending the CME Globex listing of September 2008 big Russell 2000 futures contracts from Thursday, September 11 to Friday, September 19, 2008 at 8:30 a.m. Central time (CT).

      Termination of trading for the Russell 2000 futures on CME Globex will be the same as the E-mini Russell 2000 futures and options - 8:30 a.m. CT on Friday, September 19, 2008. For more information, please contact:

       Paul Millhuff, CME Globex Control Center, 312-456-2391
       Brett Vietmeier, Director, Equity Products, 312-930-3394

      NEW Equity Options Strike Changes
      Effective Sunday, September 21, 2008 (trade date Monday, September 22), at customers' requests, the strike listing rules for the following Equity options will be modified.

      Equity Options Strike Listings Change

      Options Product Code Strike Intervals Current Listing Rules New Listing Rules
      NASDAQ-100 ND 5 points ATM ± 7.5%
      10 points ATM ± 30%
      25 points ATM ± 30%
      E-mini NASDAQ-100 NQ 10 points ATM ± 7.5% ATM ± 30%
      25 points ATM ± 30%
      E-mini S&P MidCap 400 EMD 5 points ATM ± 10% ATM ± 20%

      These options will be available for customer testing in New Release Monday, September 8.

      Events & Announcements

      CME Group - BM&FBOVESPA Mock Trading Session
      CME Group and BM&FBOVESPA will hold a mock trading session Saturday, September 13. This session will allow customers to test order routing through CME Globex to BM&FBOVESPA in the production environment. Please note: customer systems must be certified to participate.

      Mock trading accounts, broker requirements and credit controls configuration details will be published by BM&FBOVESPA to the brokerage community next week. English-language versions will also be available in the  Documents section of the joint web site.

      More information on the CME Group and BM&FBOVESPA partnership is available  online. The  Client Overview, with development and certification information to support CME Globex-BM&FBOVESPA order routing, is also available.

      Please contact your  CME Globex Account Manager at 312.634.8700 with any questions.

      Update FIX/FAST Migration Updates
      Migration & the Elimination of RLC Format
      Customers must complete their migration to FIX/FAST from the legacy RLC format market data by October 17, 2008.

      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:

      • $2,000 per week in October
      • $4,000 per week in November
      • $6,000 per week in December

      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.

      Production Market Data Platform Channel Information Now Available
      To facilitate the ongoing FIX/FAST migration, CME Group is making the production multicast channel information available to all customers. Only certified applications are permitted to utilize the FIX/FAST channels in the production environment.

      Information on accessing production FIX/FAST channels and templates is available in the  Core Functionality module of the FIX/FAST SDK.

      Saturday FIX/FAST Testing
      Through Saturday, October 4, CME Group will replay production-speed market data in the production environment for FIX/FAST and RLC formats. This Saturday, September 6, the replay will be broadcast for 30 minutes, from 11:30 a.m. to noon Central time (CT). The following Saturday replay windows will be available for one hour, from 11:30 a.m. to 12:30 p.m. CT.

      There will be no replay window on Saturday, September 20.

      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  attached market data channels for FIX/FAST and RLC formats will be available.

      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.