|Topics in this issue include:
|Critical System Updates|
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.
Complete information on these messaging enhancements is detailed in the FIX/FAST and iLink Message Enhancements Client Impact Assessment.
These messaging enhancements are currently available for customer testing in New Release.
FX Futures Enhancements
This launch will also result in significantly reduced message response times. Already among the fastest in the industry, this upgrade is expected to reduce response times by an average of 40-50%.
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%.
Please note: all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders will be deleted from CME Globex prior to the open on February 8. To allow customers a chance to re-enter GTC and GTD orders, the FX futures markets will pre-open early on Sunday, February 8, at 1:00 p.m. Central time. The settlement prices distribution for all FX futures instruments will be broadcast early, between 12:30-1:00 p.m. CT.
We recommend all system providers supporting FX futures test these changes thoroughly in New Release. These enhancements will all be available in New Release for customer testing on Monday, December 22.
DME Products Launch for Testing in New Release
CME Globex product specifications are available online now.
DME products are scheduled to launch for trading on CME Globex in Q1 2009.
Please note: all currently connected customers may begin front-end testing with these new instruments upon New Release launch. However, to complete end-to-end testing through clearing, customers must be permissioned to trade DME products via the CME Connection Agreement Schedule 6, Clearing Firm Guarantee. The Schedule 6 is available at www.cmegroup.com/connectionagreement.
European-style AUD/USD Premium- and Volatility-Quoted Options
These new options and strategies will be available for customer testing in New Release Monday, December 8.
Coal is the principal fuel for generating electricity in the United States, accounting for approximately 55% of total electricity output. This coal futures contract is designed to provide both the coal mining and electric power industries with a range of risk management opportunities.
These futures will use the SecurityGroup (FIX tag 1151) QLD and Symbol (tag 55) UX. They will be listed with a CME Globex MinPriceIncrement (tag 969) of 1 and a price DisplayFactor (tag 9787) of 0.01.
With this launch, calendar spreads and futures strips will also be available for trading.
These new futures and spreads will be available for customer testing in New Release Tuesday, December 9.
Implied Functionality for Treasury & Swaps Intercommodity Spreads
This launch is designed to ensure there is no disruption to activity during the roll to the March contract. By December 14, the majority of market liquidity should have migrated to the March contracts.
Detailed information on this launch is available in the Client Impact Assesment.
Implied Commodity Butterfly Spreads
Implied functionality for instruments on CME Globex is indicated in the FIX/FAST Security Definition Message (tag 35-MsgType=d, tag 1144-ImpliedMarketIndicator=3).
The implied functionality for Commodity butterfly spreads will be available for testing in New Release on Monday, December 8.
Matching Algorithm Change for Commodity Futures
The matching algorithm indicator is sent in the FIX/FAST Security Definition message for each instrument on CME Globex (tag 35-MsgType=d, tag 1142-MatchAlgorithm).
This change will be available for customer testing in New Release on Monday, December 8.
|Events & Announcements|
Customers that have failed to migrate off RLC-format market data will be surcharged this week, retroactive to the original deadline of October 17, amounting to a total of $12,000.00 per customer site. Subsequent surcharges will be assessed per week, per site† for customers who continue to pull RLC-format market data as follows:
The legacy RLC-format market data will be eliminated in production on December 26, 2008. RLC-format market data has been retired in Certification and will be retired in New Release at close of business on Friday, December 13.
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.
†A site is defined as a primary and backup network connection pulling market data directly from CME Globex.
Saturday FIX/FAST Testing
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.