|Topics in this issue include:
|Critical System Updates|
iLink and FIX/FAST Message Enhancements
The Client Impact Assessment has been updated to include additional details on cancel confirmations for unsolicited cancels. Complete information on these messaging enhancements is detailed in the FIX/FAST and iLink Message Enhancements Client Impact Assessment.
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.
These messaging enhancements are currently available for customer testing in New Release.
10-Deep Futures Market Data
This launch will impact all client systems because all systems must process all 10 levels, even if you choose to display 5-deep order books.
Also with this launch, the FIX/FAST Security State (tag 35-MsgType=f) message will be enhanced to provide more detailed information on the market state of an instrument.
The Security Definition (tag 35=d), Market Data Incremental Refresh (tag 35=X) and Security State (tag 35=f) messages will be impacted by this launch. More details on the 10-deep order book and the required customer development is available online in the Client Impact Assessment.
The 10-deep futures order book will be available in the New Release environment for customer testing in Q1. The precise launch schedule will be announced next week in the CME Globex Notices.
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 3:00 p.m. Central time.
We recommend all system providers supporting FX futures test these changes thoroughly in New Release. These enhancements are currently available in New Release for customer testing.
Higher-Order User-Defined Spreads Harmonization
Please note: the following exclusions apply:
CME Group-recognized option spread types are documented online.
The harmonization will be available for testing in New Release on Monday, March 23.
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 this 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
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.
These products are currently available for customer testing in the New Release environment.