|Topics in this issue include:
|Critical System Updates|
SenderCompID Validation on Cancel and Cancel/Replace Request
Any Order Cancel Requests or Cancel/Replace Requests submitted with a tag 49 value that does not match the value in the original New Order message will be rejected.
This validation is currently available for customer testing in New Release.
Market Depth Change to 10-Deep for Futures
There is no change for implied market data book depth.
A mock trading session, to better support customer testing, will be held Saturday, May 30, 9 - 10 a.m. CT, for CME Equity futures on channel 7. 10-deep FIX/FAST market data will be broadcast at production levels for all products on the listed channels. CME Group strongly recommends participants also test the market recovery snapshots to ensure there is no negative system impact to recovery. Participants may also submit orders via iLink.
During the mock, FirmSoft will not be available, and price banding and limits will not be in effect.
CME Globex Control Center support will be available for mock participants at 312.456.2391. Customers are encouraged to dial into the teleconference for information related to the mock trading session at 866.548.4703 or 719.785.9423, passcode 584529.
Customers are required to register by noon Friday, May 29, to participate in these mock trading sessions with your CME Globex Account Manager.
Please note: customers should not make any changes to resting GTC/GTD orders during the mock session.
More details on this launch and the required customer development is available online in the Client Impact Assessment.
The 10-deep futures order book are currently available in New Release for customer testing.
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.
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
A mock trading session, to support customer readiness, will be held this Saturday, May 9, 9 - 10 a.m. CT, for the new variable quantity futures. Participants may submit orders via iLink and receive FIX/FAST market data messaging. During the mock, end-to-end testing through CME Clearing will be supported. FirmSoft will be available. Price banding and limits will not be in effect. CME Globex Control Center support will be available for mock participants at 312.456.2391. Customers are encouraged to dial into the teleconference for information related to the mock trading session at 866.548.4703 or 719.785.9423, passcode 584529. A mock trading script is available online.
Customers are required to register by noon tomorrow, Friday, May 8, to participate in these mock trading sessions with your CME Globex Account Manager.
A Client Impact Assessment is available online that details the FIX/FAST messaging impacts and order entry display considerations to support these new products.
The FIX/FAST Security Definition message (tag 35-MsgType=d) has been enhanced to support the upcoming launch of variable quantity energy products on CME Globex. 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.
The updated template for SecurityDefinition messages is now available in all customer-facing environments. Please note: CME Group recommends customer systems pull the templates from the CME Group ftp site every week, prior to Sunday start.
Options on Commodity Futures Calendar Spreads
These products are options on the price differential between two contract months, rather than on the underlying asset itself. Therefore, they offer alternative hedging capabilities compared to standard options, and can provide a more precise hedge against adverse movements in price spreads in the grain and oilseed markets. Calendar spread options are sensitive only to the value and volatility of the spread itself, rather than the price of the underlying commodity. They are more efficient than combining options on 2 different months in an effort to replicate the spread, and provide a better risk management device for hedgers and market participants exposed to calendar spread risks.
These options will be listed with the futures calendar spread as the indicated underlying. In line with the current listing of Eurodollar calendar spread options, there will not be a synthetic future listed. These options will support zero and negative strike prices.
These options will be available for customer testing in New Release on Monday, May 18.
Implied Functionality for 3-Year U.S. Treasury Note Calendar Spreads
Implied functionality for the 3-Year U.S. Treasury Note futures calendar spreads is now available for customer testing in New Release.
Options Pre-Open on CME Globex
The pre-open market state is a predetermined time before the trading session opens when customers can begin entering, modifying and canceling orders for the following trading day.
The schedules for all options markets on CME Globex are available online.
The pre-open market states are currently available for customer testing in New Release for all options on CME Globex.
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.
This tag 55-Symbol consolidation will be available in New Release for customer testing Monday, May 18.
|Events & Announcements|
As a reminder, CME Group publishes updated messaging policy benchmarks at the start of each quarter, based on the per-product Volume Ratios including the prior quarter's roll trading.
The CME Group Messaging Policy benchmarks are available online.
CME Globex Disaster Recovery Connectivity Testing
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 Overview.
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:
These streamlined GCC telephone menu options will go into effect Sunday, May 17, 2009:
For GCC administrative assistance, please call 312.580.5387.
Customers using the Certification and New Release environments should continue calling CSET directly at 312.930.2322.
Customers trading OneChicago Single Stock Futures should continue calling 312.424.8500 for OneChicago assistance.