|Topics in this issue include:
|Critical System Updates|
CME Globex Network Migration to New Data Center
A client impact overview is also available.
Final Mock Trading Session
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.
Volume Controls for iLink Order Messaging
Implementing this volume control for new order and order cancel/replace messaging is designed to:
Please note the volume control for order cancel (tag 35=F) messaging will remain at the current 1,000 MPS threshold during trading hours, but will be set to 100 MPS on Sundays 3:00 p.m. – 5:00 p.m. CT, and Mondays – Thursdays 4:30 p.m. – 5:00 p.m. CT.
The volume controls for new order and order cancel/replace messages will be available for customer testing in New Release this Monday, October 18.
The CME Globex Market Performance Protection Policy is available online.
For more information, please contact the CME Globex Control Center at 312.456.2391.
Channel 11 - CME FX Futures
Channel 12 - CME FX Options
The change will not impact the volatility-quoted FX options on channel 6.
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 will be available in New Release for customer testing this Monday, October 18.
Expanded Security Definition Messages for User-Defined Spreads
New tags for UDS Security Definition Messages
In addition, tag 600-LegSymbol, in the repeating group tag 555-NoLegs, will now identify the Symbol (tag 55) for each leg. Currently, tag 600 always contains [N/A].
The expanded Security Definition messages will be launched according to the following schedule:
There will be no template changes for this launch.
The expanded Security Definition messages are currently available for customer testing in the New Release environment.
The new tags will be used to indentify:
All customer order routing systems must support and accurately populate these new tags, and complete the mandatory certification via AutoCert+ by June 5.
The new tags are available in New Release for customer testing.
There are no impacts to FIX/FAST market data with this launch.
A client impact assessment is available online
This launch will impact the Security Definition (tag 35-MsgType=d,) and Security Status (tag 35=f) messages. Details on the enhancements are available in the Client Impact Assessment.
Certification is not required and there are no new templates. Customers and system providers are encouraged to test the enhancements thoroughly in New Release starting Monday, October 24.
COMEX, NYMEX, and DME Futures Enhancements
The messaging and functionality impacts are documented online in the Client Impact Assessment.
CME Group recommends all system providers supporting NYMEX, COMEX or DME futures test these changes thoroughly in New Release.
EUA and CER Futures Calendar and Intercommodity Spreads
The calendar spreads will use the value SP in tag 762-SecuritySubType. The intercommodity spreads will use the value IS in tag 762-SecuritySubType.
These new futures spreads are available in New Release for customer testing.
Effective this Sunday, October 17 (trade date Monday, October 18), a new intercommodity spread for the Cheese vs. Class III Milk futures will be available for trading on the CME Globex platform.
The Cheese vs. Class III Milk intercommodity spread will be listed with tag 1151-SecurityGroup=CSC, tag 55-Symbol=DY and tag 762-SecuritySubType=IS.
This new intercommodity spread is available in New Release for customer testing.
Options on Weekly NASDAQ-100 and Weekly E-mini NASDAQ-100 Futures
These NASDAQ-100 weekly options will expand the number of available expirations and provide our customers with more trading opportunities and increased flexibility for more efficient position management.
Benefits include expanded trading choices, certainty of exercise, and the precision and flexibility of additional listings.
A weekly expiration will be available for every Friday of the contract month except for the third Friday, the expiration day of existing American-style quarterly and serial options. In months that have five Fridays (October 2010, for example), a Week 5 weekly expiration will be listed for trading.
These new options are available in New Release for customer testing.
Crude Oil Volatility Index (VIX®) Futures and Gold Volatility Index (VIX®) Futures
These two futures contracts are based on volatility indexes that combine NYMEX’s and COMEX’s options market data on CME Globex for the crude oil and gold with the Chicago Board Options Exchange (CBOE) Volatility Index® (VIX®) methodology. The Crude Oil Index will be a 30-day forward looking index value on option implied volatility while the Gold will be a 60-day forward looking index value on option implied volatility. These contracts will be listed on NYMEX (Crude Oil VIX) and COMEX (Gold VIX), and subject to, the rules and regulations of NYMEX, COMEX and Chicago Mercantile Exchange Inc.
These new futures are available in New Release for customer testing.
On-The-Run U.S. Treasury Futures
The OTR Treasury futures listing cycle will correspond to the U.S. Treasury auction cycle for 2-year, 5-year, and 10-year Treasury notes. Details on the OTR Treasury futures listing cycle are available online.
The OTR Treasury spreads will use a new external name naming convention. The external naming convention will contain the actual ratio and both maturities for the underlying contracts.
View the Tentative Auction Schedule of U.S. Treasury Securities online.
The new On-The-Run (OTR) Treasury Futures are available in New Release for customer testing.
Daily European Union Allowance (EUA) Futures
In addition, the Daily EUA Futures contract will be the first CME Globex daily expiration futures contract, and as such represents new functionality within CME Globex. For the Daily EUA Futures contract, the listing schedule will include two (2) daily contracts available for trading at any one time: the current trade date and the following trade date (the contract date). On the last trade date, trading will halt at 11:00 a.m. Central Time (CT) (5: 00 p.m. (UK) local time) and the Exchange for Related Position (EFRP) transaction session will end at 12:00 p.m. (CT) (6:00 PM (UK) local time).
Please note: During the week of October 31 through November 7 due to the end of British Summer Time (BST), trading will halt at 12:00 p.m. (CT) and the EFRP transaction session will end at 1:00 p.m. (CT).
The FIX/FAST Security Definition message (tag 35-MsgType=d) is being modified to support this new functionality. The following FIX tags will be leveraged for the Daily EUA Futures contract, as follows:
For daily expiration futures contracts:
To support extended testing time for this new daily expiration futures product type and the associated messaging tags, the Security Definition messages are available in New Release, Certification and Production environments for CME Globex. The Daily EUA Futures contract will be actionable in both the New Release and Certification test environments, but will be non-actionable in the CME Globex Production environment.
We advise customers to test this new product under current production code in the Certification test environment, and under the NYMEX-enhanced functionality in New Release test environment.
Green Exchange Product Migration
As previously announced, Green Exchange products will be available for trading via CME Globex and privately-negotiated transactions may be submitted for clearing through CME ClearPort. Upon the Transition, an additional number of NYMEX emissions products currently listed on the CME Globex platform will be migrated to the Green Exchange.
Currently, select Green Exchange products are available for customer testing in New Release. Effective Monday, November 1, 2010, the following NYMEX products will be migrated to Green Exchange products in New Release for customer testing. These products will use the same SecurityGroup (tag 1151) as they do today; however the value in tag 207-SecurityExchange will be updated from XNYM to GREE. In addition, the value in tag 55-Symbol will be changed for the Green Exchange products.
The FIX/FAST market data for these products will continue to be broadcast on channel 32 of the Market Data Platform, as it is today. With this launch, channel 32 will have market data for both NYMEX and Green Exchange futures products.
These products will be available for trading via CME Globex Sunday, January 23 (trade date Monday, January 24).
These new products and Security Definition messages will be available for customer testing in New Release environment Monday, November 1, 2010.
European-style Weekly S&P 500 and E-mini S&P 500 Options Strike Changes
DJIA and E-mini Dow Options Strike Changes
This will follow the existing strike listing rule of ± 10% at 50-point intervals for the nearest expiring options in the quarterly cycle.
These strips will use tag 55-Symbol=DY, tag 1151-SecurityGroup=CSC and tag 762-SecuritySubType=FS.
The new strips will be available for customer testing in New Release this Monday, October 18, 2010.
Effective Sunday, October 31 (trade date Monday, November 1), at CME Globex customers’ requests, Display Quantity orders (also known as Iceberg and Max Show orders) will no longer be supported for CME Interest Rate options. Any New Order (tag 35-MsgType=D) or Order Cancel/Replace Request (tag 35=G) messages with tag 210-MaxShow populated will be rejected via an Execution Report-Reject message (tag 35-MsgType=8, tag 39-OrdStatus=8), with tag 103-OrdRejectReason=1013 and tag 58-Text=Invalid order qualifier 'Order's group: symbol is ineligible for Display Quantity Order.
This change will be available for customer testing in New Release this Monday, October 18.
|Events & Announcements|
CME Co-Location Services Details and Application Process
If you are interested in having the lowest possible latency connection to the CME Globex platform, contact your Global Account Manager today.
Please note the Application Period will close on Wednesday, October 27, 2010 at 5:00 p.m. Central Time.
Learn more about CME Co-Location Services, visit www.cmegroup.com/colo
To request additional information and to apply, please contact your Global Account Manager at +1.312.634.8700 in the United States; +44.20.7796.7100 in Europe; and +65.6593.5574 in Asia.
For your convenience, the CME Co-Location Briefing Center is coming soon and will be located at 141 West Jackson in Chicago, IL.
The Briefing Center will include displays of:
Conference room facilities will also available.
To access the Briefing Center, an appointment will be needed. Please contact your Global Account Manager for further information and to schedule an appointment today.
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 will be distributed to Class A clearing firms on Monday, October 4. Idle session IDs that have not been granted an exemption will be deleted at end of day November 5, 2010.
CME Group's Technology Conference is a one-day event that hosts engaging speakers and expert practitioners with knowledge of relevant technologies and trends related to the financial industry. Presentations will be aligned with each of the following topics:
This complimentary conference welcomes developers, technology managers and testers who are interested in learning about how and where to apply these new technologies.
We have limited capacity, so registration is on a first-come, first-served basis.
Click here to register.
Messaging Policy Q4 Benchmarks
The benchmarks are published quarterly and are based on the per-product Volume Ratios, including the prior quarter's roll trading.
The CME Globex Messaging Policy creates fair business guidelines by which customers are billed a surcharge for overly high message rates. Under the CME Globex Messaging Policy, each clearing member firm (active or inactive clearing member firms which maintain relationships with CME Clearing) must not exceed product-specific benchmarks, tailored to the valid trading strategies of each market. CME Group calculates benchmarks based on a per-product Volume Ratio.