|Topics in this issue include:
|Critical System Updates|
The theoretical settlement data blocks contain the theoretical settlement price for an instrument. They are sent daily by product group, following the close of the trading session. They are similar to the Closing and Settlement Price data blocks, but will contain tag 64-SettlDate and tag 286-OpenCloseSettlFlag.
Tag 279-MDUpdateAction will be set to 0 = New and tag 269-MDEntryType will be set to 6 = Settlement Price. Tag 64-SettlDate will be present and tag 286-OpenCloseSettlFlag will be set to 5 = Theoretical Price.
Detailed information is available in the Elimination of ITC-format Market Data client impact, Section 2.3 Theoretical Settlement Data Block.
Theoretical settlement blocks will be rolled out for the remaining FIX/FAST Market Data Platform channels. The schedule will be announced in future editions of the CME Globex Notices.
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.
Please note: CME Group is requesting customers cancel all GTC and GTD orders for:
after the markets close on Friday, October 30. Any remaining GTC and GTD orders for these instruments will be cancelled by the CME Globex Control Center (GCC) after 4:20 p.m. CT, Friday, October 30.
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 is currently available in the production folder of the CME Group ftp site. Per the normal process, the current template is still available as well.
A mock trading session for customers interested in trading or supporting these new inter-exchange spreads will be held Saturday, November 7. Details are available online.
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 Price Synchronization Functionality
Effective this Sunday, November 1, the listing cycle for the Soybean Crush spreads will be expanded to match the Soybean Oil and Meal futures cycle and to add the December-December-January spreads. These additional contracts will use the new naming convention and are currently available for customer testing in New Release.
Effective Sunday, October 18, the external naming convention for Soybean Crush futures spread was modified, to ensure a unique value in tag 107-SecurityDesc, for all future listings to SOM:SI MY-MY-MY. Currently, these spreads used the naming convention SOM:SI MY.
There is no change to the currently listed crush spreads.
Currently, these futures use the Variable Tick Tables (VTT) 5 and 7. Both VTT 5 and 7 have a fixed tick size of 1, as outlined in the FIX/FAST Message Specifications module of the FIX/FAST SDK.
These changes are currently available in the New Release environment for customer testing.
The previously announced change to the ZAR/USD Display Factor has been cancelled.
These changes are currently available in New Release for customer testing.