• CME Globex Notices: January 11, 2010

      • To
      • CME Globex Customers
      • From
      • CME Global Account Management
      • #
      • 20100111
      • Notice Date
      • 11 January 2010
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launch
      Product Changes
      Events and Announcements
      Critical System Updates

      FIX/FAST 2.0 Launch 
      Effective Sunday, April 25, 2010, CME Globex will launch FIX/FAST 2.0 in production, on a subset of Market Data Platform channels. As of Sunday, May 9, CME Globex market data will be disseminated exclusively in FIX/FAST 2.0 format.

      The FIX/FAST 2.0 format is not backward-compatible to the current FIX/FAST format.

      To ensure uninterrupted access to CME Globex market data, all current customer systems are required to develop to FIX/FAST 2.0 and complete mandatory certification via AutoCert+.

      The AutoCert+ test suite for FIX/FAST 2.0 certifies for four new functionalities:

      • Multiple book depth per channel
      • Product statistics reset process
      • Mid-week User-Defined Spread (UDS) deletions
      • Recovery process

      CME Group strongly recommends all systems test thoroughly in New Release prior to attempting AutoCert+ certification.

      FIX/FAST 2.0 will be available for customer testing in the New Release environment Monday, February 1.

      The new FIX/Fast 2.0 templates for production will be available from the  CME Group FTP site on April 10, 2010.

      Information on this release, including launch and mock trading dates, can be found online in the  FIX/FAST 2.0 Client Impact Assessment.

      New Functionality

      CME Equity Futures Enhancements
      Effective Sunday, January 31, 2010, CME Group will implement a number of internal improvements to the CME Equity futures and future spreads markets. These changes are expected to reduce iLink order entry round trip times approximately 20%.

      There will be no changes to functionality or messaging format with these performance improvements. Good 'Till Cancelled and Good 'Till Date (GTC/GTD) orders will not be impacted.

      Please contact your  CME Globex Account Manager with any questions or concerns at 312.634.8700.

      CBOT and CME Commodity and Weather, KCBT and MGEX Futures Enhancements

      Effective first quarter 2010, a number of enhancements will be introduced for CME and CBOT Commodity and Weather, Kansas City Board of Trade (KCBT) and Minneapolis Grain Exchange (MGEX) futures and future spreads on CME Globex.

      CBOT and CME Commodity and Weather, KCBT and MGEX Futures Enhancements

      Product Complex New Release Launch Production Launch
      CME Commodity and Weather Futures Available Now Sunday, March 7
      CBOT Commodity Futures
      KCBT Futures
      MGEX Futures
      Available Now Sunday, March 28

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

      CME Group recommends all system providers supporting Commodity futures test these changes thoroughly in New Release.

      Product Launches

      New Weekly OneChicago Single Stock Futures on CME Globex
      Effective tomorrow, Friday, January 15, 2010, new weekly single stock futures (SSF) from OneChicago will be available for trading on the CME Globex electronic trading platform.

      These contracts will be eligible for trading on Friday and will expire the following Friday, for a total of six trading days. Weekly contracts will not be listed for the week ending on the third Friday of the month, since that is the normal product expiration. The weekly SSFs will trade alongside the current standard, monthly products. Position rolling will not be allowed in these products.

      The tag 1151-SecurityGroup values will be constructed with the following weekly codes appended:

      • Week 1 – 5C
      • Week 2 – 6C
      • Week 3 – none
      • Week 4 – 7C
      • Week 5 – 8C

      The underlying stocks which will have the weekly expiring futures on them will be announced by OneChicago after the close of business of Wednesday, for launch that Friday. The initial weekly SSFs will be for Sears Holding and GE.

      Initial Weekly OneChicago SSFs

      Product tag 1151-SecurityGroup
      Week One Week Two Week Four Week Five
      Sears Holding SHLD5C SHLD6C SHLD7C SHLD8C
      General Electric GE5C GE6C GE7C GE8C

      These weekly SSFs are currently available for customer testing in New Release.

      Argus Sour Crude Index Financial Futures
      Effective Sunday, January 24 (trade date Monday, January 25), Argus Sour Crude Index Financial futures and future spreads will be listed for trading on the CME Globex electronic trading platform. Calendar and intercommodity spreads will also be available.

      ASCI Financial Futures

      Futures Product Tag 1151-SecurityGroup Tag 55-Symbol Tag 762-SecuritySubType
      ASCI Financial futures A0X CL  
      ASCI Financial calendar spread SP
      ASCI Financial vs. Light Sweet Crude Oil (WTI) IS

      These futures and spreads are currently available for customer testing in New Release.

      Product Changes

      Futures Calendar Spreads for NYMEX TAS Futures
      Effective Sunday, January 24 (trade date Monday, January 25), calendar spreads for the following NYMEX TAS futures will be listed for trading on the CME Globex platform.

      • Heating Oil TAS (tag 1151-SecurityGroup=HOT)
      • RBOB TAS (RBT)
      • Crude Oil TAS (CLT)
      • Natural Gas TAS (NGT)

      These calendar spreads will use the value EC in tag 762-SecuritySubType.

      These new futures spreads are currently available in New Release for customer testing.

      FIX tag 55-Symbol Consolidation for FX Options
      Effective Sunday, January 24, the Symbol (FIX tag 55) for FX options will be consolidated:

      FX Options tag 55-Symbol Consolidation

      Product tag 1151-SecurityGroup tag 55-Symbol NEW tag 55-Symbol
      EUR/GBP European-style Weekly options XB# 1P XB
      CAD/USD options 6C OV XD
      CAD/USD European-style Weekly Options XD# 1D
      RMB/USD Weekly Options RB# 1R 0R
      RMB/EUR Options RME 2R
      RMB/EUR Weekly Options RE# 3R
      RMB/JPY Options RMY 4R
      RMB/JPY Weekly Options RN# 5R
      EUR/CHF Options RF RZ X8
      EUR/GBP Options RP OP
      PLN/EUR Options EPL RC
      ILS/USD Weekly Options IS# I1 I0
      JPY/USD Options 6J OJ XJ
      JPY/USD European-style Weekly Options #O 1O
      KRW/USD Weekly Options KR# 1K 0K
      CHF/USD Options 6S OF XS
      CHF/USD European-style Weekly Options XS# 0G

      To facilitate this consolidation, all existing FX options User-Defined Spreads (UDS) will be eliminated at end of day Friday, January 22. Customers must cancel all resting GTC/GTD orders on FX options UDS by close of business on January 22. Customers may replace eliminated UDS per the normal process beginning Sunday, January 24.

      These instruments with consolidated tag 55 values are currently available in New Release for customer testing.

      Events & Announcements

      iLink Session ID Auto-Deletion Process

      Monday, November 23, CME Group implemented a new iLink session ID auto-delete process.

      Idle iLink session IDs needlessly consume resources and make load balancing and resource allocation planning more difficult. CME Group is committed to managing session IDs to ensure the best performance on CME Globex for our customers. The iLink session ID auto-delete process helps ensure these resources are managed proactively and consistently across the marketplace.

      Details on the process are available  online. The first e-mail notifications were distributed to Class A clearing firms on Monday, November 23. Idle session IDs that have not been granted an exemption will be deleted at end of day Friday, January 22, 2010.