|Critical CME Globex Updates|
CME Group has discovered a number of issues with last weekend's CME Globex enhancements, as detailed below. After a thorough investigation, we are addressing these issues as quickly as possible. We are communicating these now to minimize additional customer impacts.
These are presented in order of likely impact. The table below presents these in chronological order by fix date.
FIX tag 11-ClOrdID & Clearing Messages
tag 11 & Futures Stop Orders
tag 11 & Futures Good 'till Date Order Eliminations Execution reports-Elimination (tag 35=8, tag 39=C) messages for futures GTD orders do not include tag 11. This will be corrected this Sunday, February 8.
tag 78-NoAlloc and tag 79-AllocAccount
tag 5797-AggressorSide for Futures Trades
Single Stock Futures
tag 39-OrdStatus and 151-LeavesQty for Futures Spreads
tag 151-LeavesQty for Futures Fill And Kill (FAK) Orders
|Legacy MO.dat File Elimination|
Effective Sunday, March 29, 2009, the MO.dat file, previously used with the legacy RLC market data format to obtain instrument definitions, will no longer be available.
All customer systems should use the FIX/FAST Security Definition (tag 35-MsgType=d) messages to populate their instrument databases. The Security Definition message contains all the necessary instrument characteristics and are broadcast at startup and upon mid-week instrument creation on the market data incremental channels; they are always available in a replay loop on the Instrument Definition feeds. Because the messages are segregated by channel (exchange, product complex and instrument type), customers can connect and download only those channels in which they are interested. For more information on FIX/FAST and Security Definition messages, please see the FIX/FAST Software Development Kit.
Please note: to ensure customer systems have the most current instruments, CME Group recommends all customers purge and re-load their instrument databases from the Security Definition market data messages every week.
Please contact CSET for more info at 312.930-2322.
|FX Futures Enhancements - This Weekend!|
As previously announced, this Sunday, February 8, 2009 (trade date Monday, February 9), a number of enhancements will be introduced for FX futures and future spreads on CME Globex. The messaging and functionality impacts are documented online, and have been updated with more information on the addition of milliseconds to time stamps and order quantity for cancel confirmations.
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. To help customers prepare for these enhancements, a mock trading session was held last Saturday, January 31.