|Topics in this issue include:
|Critical System Updates|
Heartbeats on FIX/FAST Snapshot Recovery and SecurityDefinition Replay Channels
These heartbeat messages will facilitate connection verification during Sunday start-up, as customers connect but data is not yet available for replay. Currently, customers have to wait until data begins flowing on the replay channels to verify connectivity.
Heartbeats were broadcast during last Sunday's start-up; however, the launch is being delayed to allow additional customer testing time. Detailed information on this change is available online in the Client Impact Assessment in section 2.1. The heartbeat messages at start-up are currently available in New Release for customer testing.
Elimination of Exchange-Defined Options Strategies on CME Globex
The decommission of CMEG options EDS will happen on the following timeline:
The following resources are available for UDS functionality:
Variable Quantity Products
Please note: At customers' requests, to support an extended testing time for these new product types and messaging tags, these products are available as betas in New Release. Customers should re-load the instruments each week at startup to ensure any changes to the instruments are captured.
Effective this Sunday, April 26, 2009, the FIX/FAST Security Definition message (tag 35-MsgType=d) will be enhanced to support the upcoming launch of variable quantity energy products on CME Globex. These products have a fixed contract size and a multiplier, which is applied to the number of lots traded to calculate the total Cleared Quantity. The Cleared Quantity varies within a product based upon the instrument's maturity.
With this launch, the new tag 996-UnitofMeasure will be populated with a unit of measure for the contract size for all outright instruments listed on CME Globex.
A Client Impact Assessment is available online that details the FIX/FAST messaging impacts and order entry display considerations to support these new products.
This launch will result in a new template for SecurityDefinition messages. The updated template is now available in New Release and production. Please note: CME Group recommends customer systems pull the templates from the CME Group ftp site every week, prior to Sunday start.
Display Factor Change for E-mini Gold Futures
CME Group recommends all customers purge and re-load their instrument databases to ensure they have complete and up-to-date Security Definition (tag 35=d) messages every week.
Implied Functionality for 3-Month OIS vs Eurodollar Intercommodity Spreads
To support this launch, the Symbol (FIX tag 55) for the 3-month OIS futures and spreads will be changed to GE. Currently, these instruments use F2.
The Symbol change for the 3-month OIS futures and spreads, and implied functionality for the 3-month OIS vs Eurodollar futures intercommodity spread, is currently available for customer testing in New Release.
Implied Functionality for 3-Year U.S. Treasury Note Calendar Spreads
Implied functionality for the 3-Year U.S. Treasury Note futures calendar spreads will be available for customer testing in New Release Thursday, May 7.
Energy TAS Pricing Changes
Currently on CME Globex, these products trade at settlement price equals 100, with valid trade prices ranging from 110 to 90.
With this change, settlement price will equal 0, and valid trade prices will range from -10 to 10. Thus, these instruments may trade at both negative and zero price.
As a reminder, instruments eligible to trade at negative prices are identified by tag 871=24, tag 872=11 in the Security Definition (tag 35=d) message. Instruments eligible to trade at zero prices are identified by tag 871=24, tag 872=16 in the Security Definition message.
The TAS products with the new pricing convention will be available for customer testing in New Release on Monday, June 1.
|Events & Announcements|
To provide a robust customer testing environment as close to production as possible, CME Group is harmonizing the New Release environment Sunday, May 10. This synchronization will result in listed instruments in New Release better matching those listed in production; for instance, strike prices will match. The following impacts will occur: