|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.
CME Globex Performance Enhancements
Please note: as a result of the reduced message response times, bandwidth utilization in these futures markets is expected to ultimately increase by as much as 20%.
This upgrade is designed to enhance our liquid, efficient and competitive marketplace for participants worldwide. It is scheduled for a phased launch as follows:
Scheduled for Sunday, November 2
Scheduled for Sunday, November 9
Scheduled for Sunday, November 16
Scheduled for Sunday, November 23
FX futures are scheduled for a number of enhancements in Q1 2009 that will include performance improvements.
Book Depth Change for Equity, Commodity, FX and Energy 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.
iLink and FIX/FAST Message Enhancements
Certification is not required for these iLink or Market Data Platform FIX/FAST enhancements. Complete testing in the iLink test suite of AutoCert+ is strongly recommended. Details on the iLink test suite in AutoCert+ are available online.
Complete information on these messaging enhancements is detailed in the FIX/FAST and iLink Message Enhancements Client Impact Assessment.
These messaging enhancements will be available for customer testing in New Release starting Thursday, November 6.
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 are currently available in New Release.
A Client Impact Assesment is now available with detailed information.
New Options Order Types & Qualifiers
The Minimum Quantity and Hidden Quantity order qualifiers will be available for customer testing in all options markets in New Release next Thursday, October 16. Market with Protection order type will be available for customer testing in all options markets in New Release starting Monday, October 20.
Hot Rolled Steel Futures
The CME Globex product specifications are detailed below.
Hot Rolled Steel futures and spreads are currently available for customer testing in the New Release environment.
Random Length Lumber Futures and Options
Random Length Lumber futures provide a way to:
These new futures and options are currently available for customer testing in New Release.
Euro-Denominated S&P 500 Futures
This new product combines the leading U.S large-cap market benchmark with one of the world's most widely used currencies, all in a single electronic trade. The contract, which will be available exclusively on CME Globex, has a contract multiplier of 50 euros and presents many compelling benefits, including:
The Euro-denominated E-mini S&P 500 futures and calendar spreads are currently available for customer testing in New Release.
Implied Functionality for OIS Futures
Implied functionality integrate bids and offers in both spreads and their outright contracts to provide the most liquid possible markets with the best possible prices.
Implied functionality is indicated in the FIX/FAST Security Definition message (tag 35-MsgType=d), in tag 1144-ImpliedMarketIndicator, where 3 indicates Implied In and Out.
Implied functionality for OIS futures and future spreads will be turned on for customer testing in New Release and Certification Monday, October 20.
|Events & Announcements|
Columbus Day Holiday Schedule
Options Unavailable in New Release
Please contact CSET with any questions or concerns.
FIX/FAST Migration Updates
The support surcharges schedule remains as previously communicated. Surcharges will accrue beginning the week of October 20, but will be assessed only if the customer has not migrated to FIX/FAST by Sunday, November 16.
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.
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.
Saturday FIX/FAST Testing
There will be no replay windows on October 11 and 25.
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.
CME Globex will continue to observe Daylight Saving Time and the new schedule. For the week of November 2 only, for RLC-format messages, there is an issue with the timestamp in the Market Data Platform message headers. More information is available online.
Time-dependent front-end trading applications may be affected by this change. Please contact your front-end system provider for more information before November 2, 2008.