iLink Infrastructure Changes and Performance Enhancements
CME Group is implementing an iLink infrastructure upgrade to the CME Globex electronic trading platform that will result in reduced message response times. Already among the fastest in the industry, this upgrade is expected to ultimately reduce average round trip times by 10%. As a result, bandwidth utilization is expected to increase by as much as 10%. This upgrade is designed to enhance our liquid, efficient and competitive marketplace for participants worldwide.
To reduce market risk, the upgrades will be phased in from July 12 through August 9.
Please contact your CME Globex Account Manager with any questions; or the CME Globex Control Center at 312.456.2391.
New FIX/FAST Template and ITC 2.1 Decommission
To allow more time for customer testing, the FIX/FAST enhancements to facilitate the elimination of CME Globex ITC2.1 market data were postponed. These enhancements are now scheduled to launch on all production Market Data Platform channels this Sunday, July 26, 2009. Information on current testing opportunities and required customer actions are detailed below.
CME Group has published a new FIX/FAST template in production for the X message, with the new tags for:
- Theoretical Settlement Data Block
- Open Interest Data Block
- Cleared Volume Data Block
- Fixing Price Data Block
These tags are not currently published in production on any of the existing channels. However, CME Group recommends customer systems pull the templates from the CME Group ftp site every week, prior to Sunday start.
The template.xml file on the CME Group ftp site includes the new template for the X message, template ID 77. Customers who download the templates every week, as recommended by CME Group, will be able to test the new data blocks on the new Market Data Platform channels.
All existing channels will continue to use their current templates until the enhancements launch on July 26.
Testing FIX/FAST market data with New Data Blocks
Market data messages with the new tags are published in production on two new Market Data Platform channels. These parallel channels 7, CME Equity futures, and 11, CME FX futures. To test with these new channels, customers must download the new template for the X message.
The configuration information for these two parallel channels is:
The information for these new channels is not available in the config.xml file.
Testing New Data Blocks Only
Customers can test these new data blocks and the template for the enhanced Incremental Refresh messages in Certification, on a new Market Data Platform Channel. This channel in certification publishes only the new data blocks; normal FIX/FAST market data is not available. Customers must access the new channels in production to receive the full complement of FIX/FAST market data, including the new data blocks.
More information on these changes to the Incremental Refresh messages, and the elimination of ITC 2.1, is available online.
Elimination of Exchange-Defined Options Strategies on CME Globex
To allow more time for trader education and systems’ readiness, CME Group has postponed the planned delisting of all options EDS until November 1, 2009.
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:
- CMEG will add the following recognized UDS spread types: Jelly Roll, Iron Butterfly, Guts, 3-way Straddle vs. Call, and 3-way Straddle vs. Put
- CMEG will no longer pre-list any options spreads. Existing EDS will be removed, and no new EDS will be added. All option spreads must be created by traders using their trading software’s UDS functionality.
- All system providers that support option spreads must have developed to the UDS functionality properly identifying UDS' that match CMEG recognized spread types
- Currently available in New Release
The following resources are available for UDS functionality:
Equity Futures Enhancements
In the second half of 2009, a number of enhancements will be introduced for CME and CBOT Equity futures and future spreads on CME Globex.
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 20 - 40% for CBOT Equity futures, and 40-50% for CME Equity futures.
Please note: as a result of the reduced message response times, bandwidth utilization in these futures markets may ultimately increase by as much as 20%.
|Futures Product Complex
||New Release Launch
||Mock Trading Session
|CBOT Equity Futures
||Saturday, August 22
||Sunday, August 30
|CME Equity Futures
||Monday, August 3
||Saturday, September 26
||Sunday, October 4
The messaging and functionality impacts are documented online in the Client Impact Assessment.
Please note: all Equity Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders will be deleted from CME Globex prior to the open on launch weekend.
We recommend all system providers supporting Equity futures test these changes thoroughly in New Release.
Sulfur Dioxide Futures
Effective this Sunday, July 26 (trade date Monday, July 27), Sulfur Dioxide (SO2) emission 25-allowance futures will be listed for trading on CME Globex.
The CME Globex product codes for these futures will be:
- SO2 Emission 25-allowance Non-Vintage: SNV
- SO2 Emission 25-allowance Vintage 2010: V10
- SO2 Emission 25-allowance Vintage 2011: V11
- SO2 Emission 25-allowance Vintage 2012: V12
- SO2 Emission 25-allowance Vintage 2013: V13
- SO2 Emission 25-allowance Vintage 2014: V14
They will be listed with tag 55-Symbol=VO.
The Environmental Protection Agency's (EPA) Clean Air Act Amendments of 1990 set a goal of reducing annual sulfur dioxide emissions. Reductions in SO2 emissions are facilitated through a market-based cap and trade system - the centerpiece of the EPA's Acid Rain Program. The new sulfur dioxide contracts will allow more flexibility in trading attributable to the vintage mechanism of this product. Compliance emitters under the EPA's Program can now have physically delivered previous vintage SO2 certificates for compliance purposes.
The contracts will be 25 SO2 emission allowance units in size with a minimum price fluctuation of $0.10 per SO2 emission allowance ($2.50 per contract). The first listed month will be the August 2009 contract. Contracts without a specified vintage year will be listed for 36 consecutive months. Contracts with a specified vintage year will be listed for two front months and two front Decembers.
The new SO2 emission 25-allowance futures are currently available for customer testing in New Release.
New Options on Commodity Futures Calendar Spreads
Effective this Sunday, July 26 (trade date Monday, July 27), options on the following commodity futures calendar spreads will be available on CME Globex for trading.
In addition, with this launch the strike interval for all longer-dated Commodity calendar spread options on Corn, Wheat and Soy beans, will be changed to 5 cent increments.
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.
Additional Options on Commodity Futures Calendar Spreads
|Futures Calendar Spread
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 additional options on Commodity futures calendar spreads are currently available for customer testing in New Release.
Implied Intercommodity Soybean Crush Future Spread
Effective Sunday, August 2 (trade date Monday, August 3), implied intercommodity Soybean Crush futures spreads will be listed for trading on CME Globex.
Implied intercommodity spreads are an exchange-defined spread type created to address specific trader requirements for flexibility in spread trading different instruments. Soybean Crush spreads allow traders to better manage risk using combined components of the Soybean, Soybean oil and Soybean meal markets in a single instrument. The spread is constructed as follows:
- First leg: 11 Soy Meal futures contracts
- Second leg: 9 Soy Oil futures contracts
- Third leg: 10 Soy Bean futures contracts
The spread price will be anchored to the current market price of the Soy Meal futures and will be calculated: (leg 1 * 0.22) + (leg 2 * 0.11) - leg 3.
The implied Soybean Crush spreads will use the new value SI (ess-eye) in tag 762-SecuritySubType and will be listed with tag 1151-SecurityGroup=SOM and tag 55-Symbol=ZS.
Soybean Crush spreads are currently available for customer testing in New Release.
Weekly S&P 500 Options
Effective Sunday, August 23 (trade date Monday, August 24), S&P 500 and E-mini S&P 500 weekly options will launch on CME Globex. They will be listed with full User-Defined Spreads (UDS) functionality.
Weekly options on the standard and E-mini S&P 500 futures contracts will expire European-style on the first and second Friday of each month. The new product will complete the suite of S&P 500 options products that include end of month, serial and quarterly expiration cycles. Expanding the number of expirations is designed to provide more trading opportunities and increased flexibility for more efficient position management.
Weekly Options on S&P 500 Futures
|Standard Week 1
|Standard Week 2
|E-mini Week 1
|E-mini Week 2
These new options will be available for customer testing Monday, August 10.
FIX tag 55-Symbol Consolidation for SPCTR Futures
Effective this Sunday, July 26, the Symbol (FIX tag 55) for the Financial and Technology SPCTR futures and future spreads will be consolidated:
SPCTR Complex Futures Symbol Consolidation
|Financial SPCTR futures & spreads
|Technology SPCTR futures & spreads
These instruments with the new tag 55 are currently available in New Release for customer testing.
Implied Functionality Changes for Energy Futures
Effective Sunday, August 2, 2009, implied functionality for all energy futures contracts in the CL group (tag 55-Symbol=CL) will be available for the first 12 months only. Currently, implied functionality for these products is supported for the first 24 months.
The following products are listed in the CL group:
- Brent Crude Oil Last Day (tag 1151-SecurityGroup=BZ)
- Crude Oil (CL)
- Heating Oil (HO)
- Gulf Coast Gasoline (LR)
- Gulf Coast ULS Diesel (LU)
- NY Harbor ULS Diesel (LH)
- NYMEX Ethanol (QEN)
- RBOB (RB)
- Russian Export Blend Crude Oil (REBCO) (RE)
Each implied instrument listed on CME Globex is identified in the Security Definition (tag 35-MsgType=d) message in tag 1144-ImpliedMarketIndicator=3.
This change is currently available for customer testing in New Release.
Minimum Tick Increase for 30-Year U.S. Treasury Bond Futures
Effective Sunday, August 30, the minimum trading tick for 30-Year U.S. Treasury Bond futures will be increased from the current 1/2 of 1/32nd to a full 1/32nd.
This change only affects the outright futures. There is no change to the minimum trading tick for the futures spreads.
Increasing the tick size is designed to broaden participation from active traders who provide much-needed liquidity to this important sector of the Treasury market. For more information about the tick size change, please visit www.cmegroup.com/ir.
These futures with the new tick increment are currently available for customer testing in New Release.
|Events & Announcements
Drop Copy Charges Begin October 1
When CME Group introduced Drop Copy functionality in April 2008, we stated we would begin charging for it in the second half of 2009. Consistent with that plan, effective Thursday, October 1, 2009, CME Group will begin charging for the Drop Copy groups used to logically combine the drop copy data feed for related iLink source sessions.
The first Drop Copy group per legal entity with an executed CME Customer Connection Agreement will be free. Each additional Drop Copy group will cost $500.00 per month. Since Drop Copy customers dictate the number of Drop Copy groups they require, each firm can manage its own costs for the service. There is no limit to the number of iLink source session IDs that a firm can combine in a single Drop Copy group.
This pricing structure is designed to partially subsidize the costs of this important risk management service, while ensuring all clearing firms can utilize Drop Copy for risk management best practices.
For more information, including an FAQ and client overview, please visit www.cmegroup.com/dropcopy.