DME Products and Mock Trading Session
The DME Oman Crude Oil and Oman Crude Oil Financial futures and future spreads are now available for customer testing in the CME Globex New Release environment.
CME Globex product specifications are available online now. These products will be listed with implied functionality turned on. Complete product specs, including trading hours, are available on the DME web site.
A mock trading session in the CME Globex production environment will be held Saturday, January 24. Detailed information on the session is published in the DME Mock Trading Script.
DME products are scheduled to launch for trading electronically exclusively on the CME Globex platform effective Monday, February 2, 2009, subject to final DME board approval of the definitive agreement. The arrangement remains subject to negotiation of definitive documents and obtaining all necessary regulatory approvals.
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.
Turkish Lira Futures
Effective Sunday, January 25, 2009 (trade date Monday, January 26), Turkish Lira futures will be launched on the CME Globex platform, denominated in both U.S. dollars (USD/TRY) as well as euros (EUR/TRY).
Turkish lira pricing is typically not as tightly arbitraged as other currencies, and as such can present opportunities for profit. Since the introduction of the New Turkish Lira in 2004, the lira has seen unprecedented growth, even rising against the U.S. dollar and euro in recent years. With a growing industrial sector, Turkey has been repeatedly cited as a country with an emerging market for upcoming years.
USD/TRY and EUR/TRY Futures and Options
|USD/TRY futures calendar spreads
|EUR/TRY futures calendar spreads
These products are currently available for customer testing in the New Release environment.
FX Futures Schedule Change
Effective Sunday, February 8, 2009 (trade date Monday, February 9), at customers’ request, the Sunday open for all FX futures and future spreads on CME Globex will be updated. FX futures markets will open on Sunday at 5:00 p.m. Central time (CT). Currently, these markets open at 3:00 p.m. CT.
KCBT Value Line Options Maximum Order Quantity Change
Effective Sunday, January 25, 2009 (trade date Monday, January 26), to create consistency in the equity options markets, the maximum order quantity for all KCBT Value Line options listed on CME Globex will be reduced to 1,500. Currently, the maximum order quantity is 49,999.
The maximum order quantity for every instrument listed on CME Globex is identified in tag 1140-MaxTradeVol, in the Security Definition (tag 35=d) message.
This change is now available for customer testing in New Release.
Treasury Implied Intercommodity Spreads (ICS) Changes
Due to feedback from the trading community, effective Sunday, February 8 (trade date Monday, February 9), CME Group will modify the construction and external instrument name for all the implied intercommodity Treasury spreads (ICS). The changes include:
ICS will be listed with a variable number of contracts for the front leg. Currently, the front leg always consists of 10 contracts. The sum of the legs in a single ICS instrument cannot exceed 40 contracts.
External Naming Convention Changes
The external naming convention will contain the actual ratio instead of the decimal representation of the ratio value.
- Convention Spread, Ratio, Maturity
- New external name NOB 11-07 H9
- Current external name: NOB 16666 H9
- Defined ratio 11:7
Implied intercommodity spreads (ICS) are an exchange-defined spread type created to address specific trader requirements for flexibility in spread trading different instruments. ICS allow users the opportunity to manage risk using combined components of the Treasury yield curve. ICS functionality offers intercommodity spreading between:
- Different term Treasury futures contracts
- Swap futures contracts and Treasury futures contracts
The new ICS instruments are currently available for testing in New Release.
|Events & Announcements
Router Replacement – CME DIRECTLink 20 and 40mbps Subscribers
Commencing January 20, 2009, CME Globex Services will be contacting via email all 20 and 40mbps CME DIRECTLink customers to begin the process of replacing their existing 2821 Cisco routers with the higher capacity 6504 Cisco routers. The new, higher capacity 6504 Cisco routers will be better able to support the anticipated increases in market data messaging rates from:
- 10-deep futures FIX/FAST market data, beginning in Q1 2009
- ITC migration (ITC and FIX/FAST in parallel)
- 3-deep options FIX/FAST market data expansion
CME Globex Messaging Volume Controls
Latencies in CME Globex markets can be caused by customers sending messages at sustained, high frequencies. To protect all market participants from the negative effects of this extraordinary and excessive messaging, CME Group is implementing automated controls at the iLink session level to monitor for excessive new order (tag 35-MsgType=D) and order cancel/replace (tag 35=G) messaging. If an iLink session exceeds the designated message per second (MPS) threshold over a rolling three second window, subsequent messaging will be rejected until the average MPS rate falls below the threshold. Effective Sunday, January 25, 2009, this threshold will be set to 750 MPS. We expect to further lower the threshold to 500 MPS in the future. Normally, messaging from customers does not approach the 500 MPS threshold.
Implementing this volume control for new order and order cancel/replace messaging is designed to:
- Support valid trading activity; and,
- Prevent a malfunctioning trading system from impacting the markets.
Please note: the volume control for order cancel (tag 35=F) messaging remains at the current 1,000 MPS threshold.
For more information, please contact the CME Globex Control Center at 312.456.2391.
CME Globex Disaster Recovery Connectivity Test
CME Group is committed to the protection of its members, employees and stakeholders, and has a long history of successfully managing risk. In keeping with those traditions, CME Group has a comprehensive business continuity program in place.
CME Group offers two programs for business continuity testing: CME Globex DR Connectivity testing and Simulated CME Globex DR testing. A CME Globex DR event is defined when CME Group switches client systems processing from the CME Globex production environment to the CME Globex DR environment. This environment provides a redundant standby system upon a failure or abnormal termination of the CME Globex Production environment. During a CME Globex DR Connectivity test, participating customers connect to CME Globex, front-end applications, support tools and supplemental information to ensure a smooth recovery in the case of an actual business continuity interruption. The next CME Globex DR Connectivity test is scheduled for Saturday, February 21.
Simulated CME Globex DR testing sessions are scheduled for March and September 2009. More information on these sessions will be available in February via the CME Globex Notices.
The CME Globex DR Connectivity testing, conducted monthly, is designed to ensure that customers can establish a connection to the DR environment in case of an emergency. 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 Impact Assessment.