• CME Globex Notices: September 21, 2009

      • To
      • CME Globex Customers
      • From
      • CME Globex Account Management
      • #
      • 20090921
      • Notice Date
      • 21 September 2009
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Changes
      Events and Announcements


      Critical System Updates

      New Market Data Channel for OneChicago Single Stock Futures
      Effective Sunday, October 4, FIX/FAST market data for all OneChicago Single Stock Futures (SSF) listed on CME Globex will be available on a new Market Data Platform channel, channel ID 17.

      This change only affects the FIX/FAST market data messages currently available on CME Globex (i.e., Security Definition, Security Status and settlement prices). All other market data information (i.e., prices) is available only directly from OneChicago.

      Port and multicast addresses for the new Market Data Platform channel will be available in the config.xml file on  ftp.cmegroup.com, as outlined in the  Core Functionality module of the FIX/FAST SDK.

      SSF market data in New Release is available on the new channel now for customer testing.


      New FIX/FAST Enhancements
      Effective Sunday, October 18, 2009, a number of enhancements will be launched for the FIX/FAST market data on CME Globex.

      The following new tags will be published in the Security Definition (tag 35-MsgType=d) message:

      • TradingReferenceDate (tag 5796)
      • OpenInterestQty (5792)
      • ClearedVolume (5791)

      The following new information will be published in the Market Data Snapshot Full Refresh (tag 35=W) messages:

      • New valid values for tag 269-MDEntryType
      • Fixing price
      • Opening price

      There will be a new FIX/FAST template for the Security Definition (tag 35=d) message with this launch. The new template will be available in the production folder of the  CME Group ftp site effective Sunday, October 4.

      Detailed information on this launch is available  online in the client impact assesment.

      These changes are now available for customer testing in New Release.


      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.

      November 1

      Horizontals (HO) UDS will be harmonized so all product complexes have the same construction:

      • Buy deferred front leg with strike 1
      • Sell near back leg with strike 1

      This will be a change for Equity, Commodity, NYMEX and COMEX options markets, and the pricing will be reversed from the current convention in these markets. With this change, all existing horizontal UDS in the Equity, Commodity, NYMEX and COMEX options markets will be removed.

      Diagonal (DG) UDS will be added as a recognized UDS spread type in all CME Globex options markets:

      • Buy deferred front leg with strike 1
      • Sell near back leg with strike 2

      The horizontal harmonization and the new diagonal recognized UDS spread type are currently available for customer testing in New Release.

      CMEG will add the following recognized UDS spread types:

      • Jelly Roll
      • Iron Butterfly
      • Guts
      • 3-way
      • Straddle vs. Call
      • 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.

      These new recognized spread types are currently available in New Release.

      The following resources are available for UDS functionality:


      iLink tag 48-SecurityID Change
      Effective Sunday, November 8, 2009, FIX tag 48-SecurityID in iLink messages will be changed to match the current format and data type of tag 48-SecurityID in the FIX/FAST market data messages.

      This harmonization of tag 48-SecurityID will provide customers a key for linking FIX/FAST and iLink messaging for a particular instrument.

      With this launch, CME Globex will always send the new format for tag 48 in iLink, even if customer systems submit the old format. For instance, if the customer submits a new order with tag 48=CME009606070, CME Globex will respond with tag 48=960607

      FIX tag 48 Harmonization

        Current FIX/FAST Current iLink New iLink
      Examples 960607 CME009606070 960607
      Type integer 12 string 12 integer 12

      The tag 48 harmonization is currently available for customer testing in New Release.


      Energy Inter-Exchange Spreads on CME Globex
      Effective Sunday, November 15, 2009, four NYMEX-DME implied inter-exchange spreads will be listed for trading on CME Globex.

      Inter-exchange spreads are implied futures spreads in which the two legs originate from different exchanges. They consist of buying the front leg (exchange A) and selling the back leg (exchange B), with both legs having the same maturity. For inter-exchange spreads, tag 762-SecuritySubType will be set to IS. Inter-exchange spreads are implied IN and OUT, from the individual legs IN to the inter-exchange spread or conversely from the inter-exchange spread OUT to the respective future outrights. These will be the first inter-exchange spreads listed on CME Globex.

      This launch will impact all customers receiving FIX/FAST market data, even if you do not plan on supporting the new spreads. There will be a new FIX/FAST template for the Security Definition (tag 35-MsgType=d) message for this launch. The new template will be available in the production folder of the  CME Group ftp site effective Sunday, October 4.

      The messaging and functionality impacts are documented online in the  Client Impact Assessment. This launch is currently available in New Release for customer testing.

      New Functionality

      iLink Enhancements for BM&F BOVESPA on CME Globex 
      Effective this Sunday, September 27, 2009, a number of iLink order entry enhancements and new functionality will be launched for the BM&F BOVESPA products listed on CME Globex.

      These enhancements include:

      • New supported order types for BM&F BOVESPA
      • New supported tags
      • Updated functionality to match current CME Globex behavior

       customer mock trading session will be offered on Saturday, September 26.

       client impact assessment is now available online. The enhancements are currently available for testing in New Release.


      Equity Futures Enhancements
      Effective Sunday, October 4, 2009, a number of enhancements will be introduced for CME 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 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%.

      Equity Futures Enhancements Launch Schedule

      Futures Product Complex New Release Launch Production Launch
      CME Equity Futures Available now Sunday, October 4

      The messaging and functionality impacts are documented online in the   Client Impact Assessment.

      Please note: CME Group is requesting customers cancel all GTC and GTD orders in the CME Equity futures markets after the close, 3:15 p.m. Central time (CT), Friday, October 2. Any remaining GTC and GTD orders in the CME Equity futures markets will be cancelled by the CME Globex Control Center (GCC) after 3:20 p.m. CT, Friday, October 2. Customers may re-enter GTC and GTD orders during a special extended pre-open, 3:00 to 5:00 p.m. CT, Sunday, October 4.

      We recommend all system providers supporting Equity futures test these changes thoroughly in New Release.


      iLink Enhancements for FIX tags 151-LeavesQty and 14-CumQty
      Effective Sunday, October 4, 2009, the FIX tags 151-LeavesQty and 14-CumQty will be modified only for Execution Report-Acknowledgements on Cancel/Replace Requests with In Flight Mitigation (IFM) enabled. These changes will only apply to Equity and FX futures, and to all options markets.

      Currently, when a customer submits a Cancel/Replace Request with IFM on an order that is partially filled, tags 151 and 14 in the Execution Report-Acknowledgement are not populated correctly.

      With this change, when a customer submits a Cancel/Replace Request with IFM on an order that is partially filled, the Execution Report-Acknowledgement will correctly include:

      • The remaining working quantity of the Cancel/Replace order size (minus the partially filled quantity) in tag 151
      • The cumulative quantity traded in tag 14

      This change is currently available for customer testing in New Release.

      Product Changes

      Listing of U.S. Treasury Bond Futures for December 2010 Delivery and Companion Options
      Effective immediately, to facilitate maintenance of the Chicago Board of Trade’s U.S. Treasury Bond Futures and Options complex, trading shall be suspended indefinitely in the following contracts:

      • U.S. Treasury Bond Futures for delivery in December 2010 (per CBOT Rule 18102.)
      • Corresponding Options (per CBOT Rule 18A01.A. and 18B01.A.)

      Please refer questions on this subject to:

       
      Peter Barker  peter.barker@cmegroup.com 312.930.8554
      Daniel Grombacher  daniel.grombacher@cmegroup.com 312.634.1583
      Jonathan Kronstein  jonathan.kronstein@cmegroup.com 312.930.3472
      Frederick Sturm  frederick.sturm@cmegroup.com 312.930.1282

      New Pricing Unit for Weather Products 
      Effective this Sunday, September 27, 2009, the pricing unit for the following European weather products will change from British Pounds (GBP) to Euros (EUR):

      • Barcelona
      • Berlin
      • Madrid
      • Oslo
      • Rome
      • Stockholm

      These products have zero open interest today. This same change will occur for the Amsterdam, Essen and Paris futures in November.

      The pricing unit for every instrument listed on CME Globex is identified in the Security Definition (tag 35-MsgType=d) message in tag 15-Currency.

      European Weather CAT Futures - GBP to EUR

      European City Monthly Code Starting Apr Starting May Starting Jun Starting Jul Starting Aug Starting Sep
      Amsterdam G2 G2J G2K G2M G2N G2Q G2U
      Barcelona G8 G8J G8K G8M G8N G8Q G8U
      Berlin G3 G3J G3K G3M G3N G3Q G3U
      Essen G4 G4J G4K G4M G4N G4Q G4U
      Madrid GQ GQJ GQK GQM GQN GQQ GQU
      Oslo HL HLJ HLK HLM HLN HLQ HLU
      Paris G1 G1J G1K G1M G1N G1Q G1U
      Rome G9 G9J G9K G9M G9N G9Q G9U
      Stockholm G5 G5J G5K G5M G5N G5Q G5U

      European Weather Heating Futures - GBP to EUR

      European City Monthly Code Starting Oct Starting Nov Starting Dec Starting Jan Starting Feb Starting Mar
      Amsterdam D2 D2V D2X D2Z D2F D2G D2H
      Barcelona D8 D8V D8X D8Z D8F D8G D8H
      Berlin D3 D3V D3X D3Z D3F D3G D3H
      Essen D4 D4V D4X D4Z D4F D4G D4H
      Madrid DQ DQV DQX DQZ DQF DQG DQH
      Oslo D6 D6V D6X D6Z D6F D6G D6H
      Paris D1 D1V D1X D1Z D1F D1G D1H
      Rome D9 D9V D9X D9Z D9F D9G D9H
      Stockholm D5 D5V D5X D5Z D5F D5G D5H

      This change is currently available in New Release for customer testing.

      Events & Announcements

      NEW CME Group - BM&F BOVESPA Mock Trading Session
      CME Group and BM&F BOVESPA will hold a mock trading session this Saturday, September 26. This session will allow customers to test iLink enhancements and new functionality through CME Globex to BM&F BOVESPA in the production environment. Please note: customer systems must be certified to participate.

      Mock trading accounts, broker requirements, credit controls configuration details and a mock script will be published by BM&F BOVESPA to the brokerage community this week. English-language versions will also be available. Registration for the mock with BM&F BOVESPA is required; please contact the BM&F BOVESPA Control Center at 55 11 25655333 or  controlcenter@bmf.com.br to register and obtain the script.

      More information on the CME Group and BM&F BOVESPA partnership is available  online. The  Client Overview, with development and certification information to support CME Globex-BM&F BOVESPA order routing, is also available.

      Please contact the  BM&F BOVESPA Control Center with any questions.


      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.


      NEW Complete iLink Certification via AutoCert+
      The session core tests for iLink certification of session management and sequencing are now available on the AutoCert+ iLink test suite. Now customers can complete their iLink certification via AutoCert+. Certification via the legacy tool, AutoCert, is no longer required.

      As a result, CME Group will retire AutoCert effective Friday, October 2, 2009.

      Please note: currently certified applications are not required to re-certify under AutoCert+. Status for all applications that successfully certified via AutoCert will be migrated to the AutoCert+.

      AutoCert+ is now the sole automated test tool for all certification testing including:

      • iLink
        • Session Core tests
          • Session Management
          • Sequencing
        • Business Core tests
          • Limit Orders
          • Market Orders
          • Stop Orders
          • Stop-Limit Orders
          • Market-Limit Orders
          • Cancel/Replace Requests
          • Quote Request
      • FIX/FAST
      • User-Defined Spreads
      • Drop Copy
      • Volatility-Quoted Options
      • BM&F BOVESPA

      Please contact  CSET or your  CME Globex Account Manager.