• CME Globex Notices: May 3, 2010

      • To
      • CME Globex Customers
      • From
      • Global Account Management
      • #
      • 20100503
      • Notice Date
      • 03 May 2010
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      Events and Announcements

      Critical System Updates

      FIX/FAST Market Data Platform Channel Changes
      Effective June 20, a few Market Data Platform channels will be split to better manage messaging rates and performance.

      The impacted channels are listed below.

      Channel 7 - CME Equity Futures

      • The current channel 7 will broadcast only CME E-mini S&P 500 futures (tag 55-Symbol=ES)
      • New channel 15 will broadcast all CME Equity futures except CME E-mini S&P 500 futures

      Channel 8 - CME Equity Options

      • The current channel 8 will broadcast only CME E-mini S&P options (tag 55-Symbol=EZ, EW)
      • New channel 16 will broadcast all CME Equity options except CME E-mini S&P 500 options

      Channel 32 - NYMEX Metals, Softs and Alternative Markets and COMEX Futures

      • The current channel 32 will broadcast only NYMEX Metals, Softs and Alternative Markets futures
      • New channel 33 will broadcast all COMEX futures

      Channel 37 - NYMEX Metals, Softs and Alternative Markets and COMEX Options

      • The current channel 37 will broadcast only NYMEX Metals, Softs and Alternative Markets options
      • New channel 38 will broadcast all COMEX options

      Current channel configuration information is available on the ftp.cmegroup.com site as outlined in the  Core Functionality module of the FIX/FAST Software Development Kit.

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

      FIX/FAST 2.0 Launch 

      Effective this Sunday, May 9, 2010, CME Globex will launch FIX/FAST 2.0 for production parallel testing, on a subset of new Market Data Platform channels. As of Sunday, June 6, CME Globex market data will be disseminated exclusively in FIX/FAST 2.0 format. This launch introduces a number of customer-requested enhancements to support trading and market data strategies.

      The FIX/FAST 2.0 format is not backward-compatible to the current FIX/FAST format. Even if a customer does not want to take advantage of these enhancements, 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+.

      FIX/FAST 2.0 is currently available for customer testing in the New Release environment. Information on this release can be found online in the  FIX/FAST 2.0 Client Impact Assessment. The client impact assessment has been updated with new information about settlement price enhancements.

      Production Parallel Testing
      This Sunday, May 9, five production parallel channels will be made available for customer testing purposes only. CME Group strongly recommends customers using the production parallel channels continue to rely on the current, FIX/FAST 1.6-format channels for their trading activity.

      CME Group will make available a new configuration file for the Production environment, named config20.xml. This file will contain 5 channels utilizing the FIX/FAST 2.0 format. These channels will have new IP addresses and ports. The balance of channels in this file will be in the FIX/FAST 1.6 format with the current multicast IPs and ports.

      Mock Trading Sessions
      Another mock trading session for FIX/FAST 2.0 in the CME Globex production environment will be offered this Saturday, May 8, 9:00 - 10:00 a.m. Central time. An  overview of the mock trading session is available online. Customers must  register online to participate.

      A third mock trading session has been added to the schedule. On Saturday, June 5, all current production channels will broadcast FIX/FAST 2.0-format. More information will be available in upcoming CME Globex and Quote Vendor Notices.

      Please contact  Global Account Management with any questions about these mock sessions.

      Settlement Enhancements
      The  FIX/FAST 2.0 Client Impact Assessment has been updated with detailed information on the new settlement enhancements. Customers are encouraged to review the updated FIX/FAST 2.0 Client Impact Assessment.

      New Functionality

      Update Postponed CME Globex Performance Enhancements
      The performance enhancements for Interest Rate, NYMEX Energy, NYMEX and COMEX Metal, and select CBOT Commodity futures have been postponed. The new production launch date will be announced in upcoming CME Globex Notices.

      Product Launches

      Update International Skimmed Milk Powder Futures and Options Postponed
      The launch of International Skimmed Milk Powder futures and options on the CME Globex platform, previously scheduled for this weekend, has been postponed. The new launch date will be announced in upcoming CME Globex Notices.

      CME Crude Palm Oil Futures
      Effective Sunday, May 23 (trade date Monday, May 24), CME Crude Palm Oil futures and calendar spreads will be listed for trading on the CME Globex platform.

      With this launch CME Group customers will be able to trade the world's most-consumed edible oil in a cash-settled, dollar-denominated contract, with the safety and liquidity of CME Group. This expansion of the edible oil product suite also creates opportunities for cross-trading with soybean oil based on the historically strong correlation between these products. Together, crude palm oil and soybean oil account for about 61 percent of all the edible oil in the world.

      Crude Palm Oil futures will have tag 1151-SecurityGroup=CPO and tag 55-Symbol=UC. It is listed on CME (tag 207=XCME) and market data will be distributed on the CME Commodity Futures Market Data Platform channel (13).

      The new dollar-denominated Crude Palm Oil futures are currently available for customer testing in the New Release environment.

      NEW Ultra Treasury Bond Options
      Effective Sunday, June 6 (trade date Monday, June 7), options on Ultra Treasury Bond (Ultra T-Bond) futures will be listed for trading on the CME Globex platform.

      The Ultra T-Bond futures contract is the fastest growing interest rate futures product ever introduced by the CME Group exchanges. Adding options to this robust futures market will provide even more opportunities for market participants seeking longer-dated, off-balance sheet exposure in Treasury markets.

      Ultra T-Bond options will have tag 1151-SecurityGroup=OUB and tag 55-Symbol=UB. It is listed on CBOT (tag 207=XCBT) and market data will be distributed on the CBOT Interest Rate Options Market Data Platform channel (116).

      The new Ultra T-Bond options will be available for customer testing in the New Release environment Monday, May 24.

      Product Changes

      Asian Metals Futures Delisting
      Effective this Sunday, May 9, the following Asian Metal futures will be delisted:

      • Asian Gold futures (tag 1151-SecurityGroup=QS)
      • Asian Platinum futures (tag 1151=QR)
      • Asian Palladium futures (tag 1151=QT)

      NEW FX Options Trading Hours Change
      Effective this Monday, May 10, the afternoon trading halt in the following FX options markets, from 7:15 a.m. - 2:00 p.m. Central time, will be eliminated. With this change, the trading schedule for these FX options markets on CME Globex will match the trading schedule of the rest of the FX options markets.

      FX Options Trading Schedule Change

      Options Outrights
      tag 55-Symbol
      User-Defined Spreads
      tag 55-Symbol
      tag 1151-SecurityGroup
      Brazilian Real OR 0L BR
      Czech Koruna FR 0L CKO
      Hungarian Forint HFO
      Polish Zloty PLZ
      Euro FX/British Pound X8 3J RP
      Euro FX/Czech Koruna ECZ
      Euro FX/Hungarian Forint EHU
      Euro FX/Japanese Yen RY
      Euro FX/Polish Zloty EPL
      Euro FX/Swiss Franc RF

      Minimum Tick Increment Change for Euroyen TIBOR
      Effective Sunday, May 16 (trade date Monday, May 17), the front four quarterly Euroyen TIBOR futures and all related spreads, and the corresponding serial and quarterly Euroyen TIBOR options, (tag 1151-SecurityGroup=EJ will begin trading in 0.25 basis point increments. All other maturities will continue to have a 0.50 basis point increment.

      Futures and future spreads will be implied only within the front four quarterly expirations. Futures spreads between the front four quarterly contracts and deferred expiration months; e.g., June 2010 (Q1) vs June 2011 (Q5), will be eligible to trade in .25 basis point increments, but will not be implied.

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

      NEW 3-Year U.S. Treasury Note Calendar Spreads Implied Functionality
      Effective Sunday, May 16, implied functionality will be turned off for all 3-Year U.S. Treasury Note futures calendar spreads (tag 1151-SecurityGroup=Z3N).

      Implied functionality is indicated for every instrument on CME Globex in the FIX/FAST Security Definition message (tag 35-MsgType=d), in tag 1144-ImpliedMarketIndicator.

      Events & Announcements

      iLink Session ID Auto-Deletion Process
      Effective Monday, April 5, CME Group implemented the quarterly 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. An e-mail notification was distributed to Class A clearing firms on Monday, April 5. Idle session IDs that have not been granted an exemption will be deleted at end of day Friday, May 7, 2010.