|Topics in this issue include:
|Critical System Updates|
New Market Data Channel for OneChicago Single Stock Futures
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.
SSF market data in New Release is available on the new channel now for customer testing.
The following new tags will be published in the Security Definition (tag 35-MsgType=d) message:
The following new information will be published in the Market Data Snapshot Full Refresh (tag 35=W) messages:
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
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.
Horizontals (HO) UDS will be harmonized so all product complexes have the same construction:
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:
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:
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
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
The tag 48 harmonization is currently available for customer testing in New Release.
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.
iLink Enhancements for BM&F BOVESPA on CME Globex
These enhancements include:
A customer mock trading session will be offered on Saturday, September 26.
A client impact assessment is now available online. The enhancements are currently available for testing in New Release.
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%.
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
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:
This change is currently available for customer testing in New Release.
Listing of U.S. Treasury Bond Futures for December 2010 Delivery and Companion Options
Please refer questions on this subject to:
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.
This change is currently available in New Release for customer testing.
|Events & Announcements|
CME Group - BM&F BOVESPA Mock Trading Session
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 firstname.lastname@example.org 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
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.
Complete iLink Certification via AutoCert+
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: