|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
In internal testing environments, the enhancements for COMEX have resulted in significantly reduced message response times. Already among the fastest in the industry, this upgrade is expected to reduce iLink and FIX/FAST response times by an average of 30%. As a result of the reduced message response times, bandwidth utilization in these futures markets is expected to ultimately increase by as much as 30%.
Please note: for the COMEX futures launch on November 7, customers are asked to please cancel all Good ‘Till Cancel (GTC) and Good 'Till Date (GTD) orders for these COMEX futures and futures spreads after their respective closes on Friday, November 5. After 16:15 CT on Friday, November 5, all remaining GTC and GTD orders for these products will be cancelled by the CME Globex Control Center (GCC).
GTC and GTD orders for COMEX futures and futures spreads may be re-entered during an extended pre-open period, starting at 15:00 CT, on Sunday, November 7. TAS products will pre-open at their normal time, 16:15 CT. If you have any questions, please contact the CME Globex Control Center at 312.456.2391 or in Europe at 44.20.7623.4708.
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.
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 are currently available in New Release for customer testing.
Brent Look-Alike Crude Oil Options
The Brent Look-Alike Crude Oil option contract will be available in New Release for customer testing this Monday, November 1, 2010.
Green Exchange Product Migration
As previously announced, following the Transition, Green futures products will continue to be available for trading via CME Globex and privately-negotiated transactions accepted for submission for clearing through CME ClearPort. In addition, with the Transition, ten Green options products (currently available for trading on the New York trading floor) will be transitioned to and newly listed for trading on the CME Globex platform.
Currently, select Green products are available for customer testing in New Release on the Market Data Platform channel 32. The remaining changes to New Release will be rolled in as follows:
Cash-Settled Cheese Futures Strips
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 this 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.
For confirmation as to whether implied functionality is enabled for any instrument on CME Globex, please refer to Tag 1144-ImpliedMarketIndicator of the FIX/FAST Security Definition message (tag 35-MsgType=d).
|Events & Announcements|
CME Co-Location Services Details
If you are interested in having the lowest possible latency connection to the CME Globex platform, contact your Global Account Manager today.
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 this Monday, November 1.
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