|Topics in this issue include:
|Critical System Updates|
These changes and the new message templates are now available for customer testing in the New Release environment.
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.
Book Depth Change for Equity, Commodity, FX and NYMEX Options on CME Globex
This change will impact both the FIX/FAST- and RLC-format market data books. The complete list of impacted products is available online.
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.
Implied Functionality Enhancements & Implied Treasury Intercommodity Spreads
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 immediately. The new implied intercommodity Treasury spreads will be available in New Release on September 29.
A Client Impact Assesment is now available with detailed information.
Risk administrators will be able to define trading limits and select real-time actions if those limits are exceeded, including:
CME Globex Credit Controls functionality will be made available in two phases.
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.
†MY = maturity Month and Year
These products are currently available for customer testing in New Release.
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.
Russell 2000 Future Extension of CME Globex Listing for September 2008
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:
Equity Options Strike Changes
These options are currently available for customer testing in New Release.
RGGI Futures Expansion
These additional contracts will be available for customer testing in New Release this Monday, September 15.
|Events & Announcements|
CME Group - BM&FBOVESPA Mock Trading Session
Mock trading accounts, broker requirements and credit controls configuration details have been published by BM&FBOVESPA to the brokerage community. English-language versions are 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.
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.
Saturday FIX/FAST Testing
The replay window this Saturday, September 13, will be 30 minutes only, from 11:30 a.m. to noon. The full hour replay window will be available next 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.
The indicative quoting functionality is no longer required, due to market liquidity and market maker responsiveness throughout the trading session.
With this change, customers will see the following market data changes: