• CME Globex Notices: July 19, 2010

      • To
      • CME Globex Customers
      • From
      • Global Account Management
      • #
      • 20100719
      • Notice Date
      • 19 July 2010
      • Effective Date
      • 19 July 2010
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      Events and Announcements

      Critical System Updates

      Update CME Globex Data Center Migratio
      n As previously announced, to accommodate continued growth, CME Group is expanding its infrastructure and moving to a new state-of-the-art data center. Detailed information on this migration is available  online.

       client impact overview is also available.

      Second Mock Trading Session
      The second mock trading session, to ensure customers can connect to, receive market data and trade from the new CME Globex data center, will be offered Saturday, July 24, 8:00 a.m. – 2:30 p.m. Central time. An  overview of the mock trading session is now available. Customers must  register online 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.

      New Functionality

      Bursa Malaysia Derivatives Products on CME Globex
      Effective Sunday, September 19, 2010 (Chicago time)/Monday, September 20 (Malaysia time), pending Malaysian Securities Commission approval, Bursa Malaysia Derivatives™ products will be available for trading on the CME Globex platform.

      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.

      Product Launches

      Dow Jones CME FX$INDEX Futures
      Effective this Sunday, July 25 (trade date Monday, July 26), Dow Jones CME FX$Index futures will be listed for trading on CME Globex.

      The contract is based on a new, inversely quoted, currency-weighted index and is designed for efficient hedging against a basket of the most frequently traded CME FX futures: the Euro FX, Japanese yen, British pound, Swiss franc, Canadian dollar and Australian dollar contracts, all traded against the U.S. dollar. The basket is weighted to reflect world trade but also refined to allow more precise hedging. More information is available  online.

      The Dow Jones CME FX$Index futures will be listed with tag 1151-SecurityGroup=FXD and tag 55-Symbol=DX.

      This new FX future is currently available for customer testing in New Release.

      Options on Corn-Wheat Intercommodity Spread
      Effective this Sunday, July 25 (trade date Monday, July 26), options on the Corn-Wheat futures intercommodity spread will be listed for trading on CME Globex.

      Corn-Wheat intercommodity spread options will provide market participants with a new alternative for trading the relationship between corn and wheat, which are closely linked by market fundamentals such as available planting acreage, demand for feed and the impact of weather.

      These options will be listed with tag 1151-SecurityGroup=ZCW and tag 55-Symbol=Q3.

      The options on the Corn-Wheat futures intercommodity spread are currently available for customer testing in New Release.

      Product Changes

      FX Options VTT Eligibility
      Effective this Sunday, July 25, the following CME FX options on futures will change to the variable minimum tick increment of 02. Currently, these instruments use a fixed tick increment.

      • EUR/CHF (tag 1151-SecurityGroup=RF)
      • EUR/JPY (tag 1151=RY)
      • EUR/GBP (tag 1151=RP)

      The Variable Tick Table (VTT) values and corresponding minimum tick increments per price are defined in the instrument’s Security Definition message (tag 35-MsgType=d) in the repeating group tag 871-InstAttribType=23, tag 872-InstAttribValue=variable tick table value, as described in the  FIX/FAST Message Specifications module of the FIX/FAST SDK.

      These options with the VTT enabled are currently available for customer testing in New Release.

      3-Deep Options Market Data
      Effective 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), MGEX (119) and KCBT (121), 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.

      All options channels in New Release are currently three-deep for customer testing.

      Implied Functionality for CBOT Corn Futures 
      As previously announced, effective August 29, 2010, implied functionality will be disabled for CBOT corn futures and spreads (tag 1151-SecurityGroup=ZC).

      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.