|Topics in this issue include:
|Critical System Updates|
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 are currently available for customer testing in New Release.
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 are available in New Release for customer testing.
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 this Monday, October 25.
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.
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.
This new products will be migrated to Green Exchange products in New Release for customer testing Monday, November 8, 2010. This product will use the same SecurityGroup (tag 1151) and Symbol (tag55) as they do today; however the value in tag 207-SecurityExchange will be updated from XNYM to GREE.
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.
Monthly and Seasonal Strip Rainfall Index Futures
Rainfall Index Futures & Strips are geared to the amount of rainfall recorded in a given month in a designated location. They provide a way to:
These instruments will be available for New Release testing on Monday, October 25, 2010.
Brent Look-Alike Crude Oil Options
The Brent Look-Alike Crude Oil option contract will be available in New Release for customer testing Monday, November 1, 2010.
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 new products and Security Definition messages will be available for customers testing on their current channel 32 in New Release environment on Monday, November 1, 2010. Effective Monday, November 8, 2010, these products will be available on the new Green Exchange MDP channel 18 for customer testing in New Release.
These products will be available for trading via CME Globex Sunday, January 23 (trade date Monday, January 24).
These strips will use tag 55-Symbol=DY, tag 1151-SecurityGroup=CSC and tag 762-SecuritySubType=FS.
The new strips are currently available for customer testing in New Release.
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 is currently available for customer testing in New Release.
|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 now open and located at 141 West Jackson in Chicago, IL.
The Briefing Center includes displays of:
Conference room facilities are also available.
To access the Briefing Center, an appointment is 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.
Pre-Open Schedule Change
During the pre-open market state, customers may begin entering, modifying and canceling orders for the next trading day. The pre-open market state is identified in the FIX/FAST Security Status (tag 35-MsgType=f) message in tag 326-SecurityTradingStatus=21.
The new pre-open schedule will be available for customer testing in New Release Monday, November 1.
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.