|Topics in this issue include:
|Critical System Updates|
Effective 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. A subset of Market Data Platform channels are currently available in production for parallel testing.
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 and on the parallel Market Data Platform channels in production. Information on this release can be found online in the FIX/FAST 2.0 Client Impact Assessment.
Mock Trading Session
The mock session overview has been updated with new information for the June 5 session. CME Group encourages all participants to review the updated overview.
This allows customers to test their systems for both the current and the new order book reset functionality in New Release prior to the FIX/FAST 2.0 launch on June 6. The Order Book Reset function is one of the tests required for the mandatory FIX/FAST 2.0 certification.
Both the current and new order book reset methods are detailed in the FIX/FAST 2.0 Client Impact Assessment.
For questions, please contact CSET at 312.930.2322.
FIX tag 64-SettleDate on Production Parallel Channels
A new configuration file for the Production environment, named config20.xml, is available on the ftp.cmegroup.com site. This file contains five channels utilizing the FIX/FAST 2.0 format. These channels have new IP addresses and ports. The balance of channels in this file are in the FIX/FAST 1.6 format with the current multicast IPs and ports.
Please note: the new tag 64-SettleDate will be added to the Market Data Incremental Refresh (tag 35-MsgType=X) settlement messages this weekend for the parallel channels CME Equity futures (307), CME Interest Rate options (310), and CME FX futures (311). Tag 64-SettleDate is also available for testing on all channels in the New Release environment.
The impacted channels are listed below.
Channel 7 - CME Equity Futures
Channel 8 - CME Equity Options
Channel 32 - NYMEX Metals, Softs and Alternative Markets and COMEX Futures
Channel 37 - NYMEX Metals, Softs and Alternative Markets and 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. Information on the new channels will be added to the config.xml file this Sunday, May 23. The channels will be available for customers and broadcasting heartbeats as of Sunday, June 6.
These new channels are currently available in New Release for customer testing.
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 are currently available for customer testing in the New Release environment.
New Variable Quantity Energy Futures
These new variable quantity products are defined as follows:
These products are currently available for customer testing in New Release.
The CME Globex codes for the Vintage 2009 futures will be tag 55-Symbol=VO and tag 1151-SecurityGroup=VAF.
The Environmental Protection Agency's (EPA) Clean Air Act Amendments of 1990 set a goal of reducing annual sulfur dioxide emissions. Reductions in SO2 emissions are facilitated through a market-based cap and trade system - the centerpiece of the EPA's Acid Rain Program. The new sulfur dioxide contracts will allow more flexibility in trading attributable to the vintage mechanism of this product. Compliance emitters under the EPA's Program can now have physically delivered previous vintage SO2 certificates for compliance purposes.
The new SO2 Emission Allowance Vintage 2009 futures are currently available for customer testing in New Release.
Cash-Settled Cheese Futures and Options
The CME Globex codes for Cash-Settled Chees futures and spreads will be tag 55-Symbol=DY and tag 1151-SecurityGroup=CSC. Options on futures will have tag 55-Symbol=CQ and tag 1151-SecurityGroup=CSC.
Cheese is made from Class III milk. Dry whey is a byproduct of processing the milk into cheese. Manufacturers, processors, food companies and others have used the Class III contract to meet their hedging needs since 1996 and the Dry Whey futures contract launched in 2007. The Cheese futures will complete the dairy crush with which the original commodity as well as its product and byproducts can be hedged.
The Cash-Settled Cheese product will be available for customer testing in New Release Monday, June 5.
Maximum Order Quantity Changes for NYMEX and COMEX Products
FIX tag 1147-UnitofMeasureQty and tag 996-UnitofMeasure
Please note: CME Group recommends tags 1147 and 996 only be used for futures and variable quantity products. The information in these tags is not supported for options and future spreads.
Tags 1147 and 996 are sent in the SecurityDefinition message (tag 35-MsgType=d) and are used together to determine the contract size for the futures instrument. For example, for a Eurodollar futures contracts, tag 1147-UnitofMeasureQty=1000000 and tag 996-UnitofMeasure=USD indicate a contract size of USD $1,000,000. More information on these tags is available in the FIX/FAST Message Specifications and, for variable quantity products, in the Variable Quantity Client Impact Assessment.
With this launch, the following valid values will be added for tag 996-UnitofMeasure:
The following values will no longer be valid for tag 996-UnitofMeasure:
|Events & Announcements|
iLink Production IP Address Migration
A client impact overview is also available.
If you have any questions regarding this migration, please contact your Global Account Manager at 312.634.8700 in the U.S.; +44 (0) 20 7796 7100 in Europe; or +852.3101.7696 in Asia.