|Topics in this issue include:
|Critical System Updates|
Market Depth Change to 10-Deep for DME Futures
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.
10-deep futures order book for DME instruments on channel 28 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.
New FIX/FAST Template and ITC 2.1 Decommission
This launch will result in a new template for Incremental Refresh messages. Please note: CME Group recommends customer systems pull the templates from the CME Group ftp site every week, prior to Sunday start.
More information on these changes to the Incremental Refresh messages, and the elimination of ITC 2.1, is available online.
The new template and enhanced Incremental Refresh messages will be available in New Release this Monday, June 8.
Elimination of Exchange-Defined Options Strategies on CME Globex
CMEG currently prelists approximately 360,000 options spreads per week, known as Exchange-Defined Spreads (EDS). Less than 1% of the more than 360,000 EDS have activity. Due to customer and system provider demand, CMEG has chosen to remove all EDS and make all option strategies user defined. A User-Defined Spread (UDS) is an option spread that a trader creates by defining the spread's legs and ratios. CME Globex receives these legs and creates a tradable instrument that is disseminated to the entire market. If the created spread matches a known CMEG spread type (e.g., straddle), CME Globex will properly identify the spread as that type.
On November 1:
The following resources are available for UDS functionality:
CBOT Equity Futures Enhancements
This launch will also result in reduced message response times. Already among the fastest in the industry, this upgrade is expected to reduce response times by an average of 20-40%.
Please note: all CBOT Equity Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders will be deleted from CME Globex prior to the open on August 30.
We recommend all system providers supporting CBOT Equity futures test these changes thoroughly in New Release starting Monday, June 29.
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 are currently available for customer testing in New Release.
This tag 55-Symbol consolidation is currently available in New Release for customer testing.
|Events & Announcements|
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.