|Topics in this issue include:
|Critical System Updates|
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 is included in the config.xml file, and the channels are currently available for customers and broadcasting heartbeats.
These new channels are currently available in New Release for customer testing.
Bursa Malaysia Derivatives Products on CME Globex
New and existing CME Group customers who would like to trade BMD products must establish all appropriate agreements and accounts with a Bursa Malaysia Clearing Firm to be authorized to trade BMD products. Contact your Global Account Manager at CME Group for more information.
FIX/FAST-format market data will be enhanced to support BMD products on CME Globex as outlined in the Bursa Malaysia Derivatives Client Impact Assessment. There are no impacts to iLink order routing for this launch.
BMD products are currently available in New Release for customer testing.
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 is currently available for customer testing in New Release.
Trading Hours and FIX tag 55-Symbol Changes for Random Length Lumber Futures and Options
In addition, this weekend the FIX tag 55-Symbol values for Random Length Lumber futures, options and spreads will change:
To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for Random Length Lumber futures and options after their close tomorrow, Friday, June 18. After 16:00 CT tomorrow, all remaining GTC and GTD orders for these products will be cancelled by the CME Globex Control Center (GCC).
These changes are currently available for customer testing in New Release.
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:
3-Deep Options Market Data
On Sunday, August 22, the market data book depth for the remaining top-of-book only options channels, CME Interest Rates (10), CME Commodity (14), Non-Crude Energy (36), NYMEX Alternative Markets (37), CBOT Commodity (112) and MGEX (119), will change to three deep.
This change will result in a move to the incremental book management style from the current overlay style, as reflected in tag 279-MDUpdateAction in the Market Data Incremental Refresh message (tag 35=X). Valid values for this tag will now include 0 (New), 1 (Change) and 2 (Delete).
The book depth for every instrument on CME Globex is detailed in tag 264-MarketDepth in the Security Definition (tag 35-MsgType=d). CME Group strongly recommends customer applications utilize tag 264 to identify the supported instrument book depth level dynamically. CME Group also recommends all customer applications should be designed to leverage all possible values for tag 279-MDUpdateAction in the Market Data Incremental Refresh message (tag 35=X) for all markets and channels, to minimize the impact of future book depth changes.
The FIX/FAST Software Development Kit, including details on book management in the Core Functionality module, is available online. Please contact Certification Support for Electronic Trading ( CSET) at 312.930.2322 for development assistance.
Implied functionality is being disabled in the CBOT Corn futures from August 29, 2010, through December 31, 2010, to determine if more robust markets in highly liquid contracts can be improved without the implied spreads. We will monitor the market during this period for signs of market quality degradation and, if observed, we will reinstate the implied functionality. Based on the assessment over this period, a decision on the use of the implied spreading functionality for corn futures going forward will be made. More information on this change is available online.
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|
Customer iLink and Drop Copy Production IP Address Migration
A client impact overview is also available.
Connectivity and Logon Test
The connectivity and logon test will be offered this Saturday, June 19, 7:00 - 10:00 a.m. Central time (CT). Advanced registration with your Global Account Manager is required to participate.
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.