|Topics in this issue include:
|Critical System Updates|
CME Group has discovered a number of issues with the CME Globex enhancements introduced February 1, 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 969-MinPriceIncrement for VTT-eligible FX Futures
FIX tag 11-ClOrdID & Clearing Messages
tag 78-NoAlloc and tag 79-AllocAccount
tag 39-OrdStatus and 150-ExecType for Futures Spreads
tag 151-LeavesQty for Futures Fill And Kill (FAK) Orders
3-Deep CME & CBOT Equity, FX Options Market Data
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-MsgType=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.
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. A mock trading session is scheduled for Saturday, March 7; further details will be announced in the CME Globex Notices.
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, and the Security Definition (tag 35=d) message will be enhanced to explicitly identify outright and implied book depth.
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. The enhancements and the new templates for the Security Definition and Security State messages will be launched April 19, 2009.
There is no change for implied market data book depth.
More details on this launch and the required customer development is available online in the Client Impact Assessment.
The 10-deep futures order book will be phased into the New Release environment for customer testing over three weekends:
The enhancements and template changes for the Security Definition (35=d) and Security State (35=f) messages will be launched March 8, 2009.
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.
Options Strategies on CME Globex
The decommission of CMEG options EDS will happen on the following timeline:
Please note: the following exclusions to the spread type harmonization apply:
The following resources are available for UDS functionality:
Australian Weather Futures
More information on these new weather products and the entire suite of temperature-based instruments is available online.
These Australian Weather futures are currently available for customer testing in New Release.
The Forex E-Micros are a series of innovative smaller-sized FX contracts, designed to enable retail traders and investors to cost-effectively access the security, transparency and liquidity of CME Group's FX products. The Forex E-micro contracts will be one-tenth the size of the corresponding CME FX contracts, making them accessible to active individual traders, small Commodity Trading Advisers (CTAs), and Small Medium Enterprises (SMEs).
More information on these new FX futures is available online.
These futures and calendar spreads will be available for customer testing in the New Release environment Monday, March 9.