• CME Globex Notice: February 28, 2011

      • To
      • CME Globex Customers
      • From
      • Global Account Management
      • #
      • 20110228
      • Notice Date
      • 28 February 2011
    • Topics in this issue include:
      Critical System Updates
      Product Launches
      Product Changes
      Events and Announcements

      Critical System Updates

      NEW CME Globex Performance Enhancements for Equity, FX and Agriculture Futures
      CME Group is implementing an upgrade to the following futures markets on the CME Globex electronic trading platform that will result in significantly reduced message response times. Already among the fastest in the industry, in internal testing environments this upgrade reduced iLink and FIX/FAST response times by an average of 10%.

      • Sunday, March 20
        • CME Equity futures and future spreads
        • CBOT Equity futures and future spreads
      • Sunday, March 27
        • FX futures and future spreads
      • Sunday, April 3
        • CME Agriculture futures and future spreads
        • CBOT Agriculture futures and future spreads

      Please note: as a result of the reduced message response times, bandwidth utilization in these futures markets is expected to ultimately increase by as much as 10%. There will be no changes to functionality or messaging format with these performance improvements. Good 'Till Cancelled and Good 'Till Date (GTC/GTD) orders will not be impacted. This upgrade is designed to enhance our liquid, efficient and competitive marketplace for participants worldwide.

      FIX/FAST Settlement Enhancements
      Effective Sunday, April 3, FIX/FAST settlement enhancements will launch on CME Globex.

      These enhancements will enable customer systems to uniquely identify the daily settlement price type:


      • Actual Preliminary
      • Rounded Preliminary
      • Final
      • Theoretical Final

      This launch will impact the settlement data blocks on Market Data Incremental Refresh (tag 35-MsgType=X) and Security Definition (tag 35-MsgType=d) messages. Details on the enhancements are available in the   Client Impact Assessment.

      In addition, the following tag values will no longer be sent in the Market Data Incremental Refresh (tag 35-MsgType=X). As of this release, customer system must not rely on these values:

      • tag 269-MDEntryType=M (Prior)
      • tag 286-OpenCloseSettleFlag=4 (Price entry from previous day)

      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 on Monday, February 21.

      New Mandatory iLink Tags
      The new mandatory FIX tags which will enhance customer support and assist in market oversight are currently accepted in production on inbound iLink messages. Customers may begin populating these tags now; the final deadline is June 5, 2011. The five new tags will be used to identify:

      • Front-end system
        • Should reflect the gateway application logging into the iLink session id
      • Automated trading indicator flag
        • Does not have to dynamically change on a per-order basis from manual to automated
      • Country of origin
        • Should reflect trader’s primary location; does not have to dynamically change based on trader's current location
        • For automated systems, the tag should denote the location of the system operator, not the trading system

      To ensure customer readiness CME Group recommends the following action items must be completed prior to the June 5, deadline:

      • System Providers
          All customer order routing systems must complete the mandatory certification via AutoCert+ and support the population of the new tags; CME recommends this be completed by early April 2011 to allow customers sufficient time to download the software and populate the tags prior to June 5th.
      • Trading customers
        • Ensure customer country/state information is gathered in preparation of populating the tags. This should be completed prior to an updated trading system being deployed.
        • Implement any proprietary or third-party software that enables populating the new mandatory tags.
        • Populate the new tags prior to June 5.

      These tags are available in New Release for customer testing. There are no impacts to FIX/FAST market data with this launch. Please contact your   Global Account Manager with any questions.

      Please see the updated   Client Impact Document for a more detailed description of technical and data requirements.

      Product Launches

      E-mini S&P 500 Select Sector Index Futures
      Effective Sunday, March 14 (trade date, Monday, March 15), the following   E-mini S&P 500 Select Sector Index futures will be listed for trading on CME Globex:

      E-mini S&P 500 Select Sector Index Futures

      Futures Tag 1151-SecurityGroup tag 55-Symbol
      Consumer Discretionary Sector Index XAY SS
      Consumer Staples Sector Index Futures XAP
      Energy Sector Index Futures XAE
      Financial Sector Index Futures XAF
      Health Care Sector Index Futures XAV
      Industrial Sector Index Futures XAI
      Materials Sector Index Futures XAB
      Technology Sector Index Futures XAK
      Utilities Sector Index Futures XAU

      These new futures are currently available for customer testing in New Release.

      Product Changes

      9 Month Eurodollar Double Butterfly Listing
      Effective, Sunday, March 13 (trade date Monday, March 14), CME Group will add 9 month double butterfly spreads for the Eurodollar. (tag 1151-Security Group GE).

      Double Butterfly consists of 4 instruments within the same product group and equally distributed maturity months (e.g., Z7-H8-M8-U8). Further details are available in the   Electronic Trading Concepts. Double Butterfly spreads are identified with DF in tag 762-SecuritySubType in the Security Definition (tag 35-MsgType=d) message.

      The 9 month double butterfly spreads are currently available for customer testing in New Release.

      S&P 500 Technology SPCTR and S&P 500 Financial SPCTR Futures Delisting
      Effective close of business Friday, March 18, the following products will be delisted:

      • S&P 500 Technology SPCTR Futures (tag 1151-SecurityGroup=TEC)
      • S&P 500 Financial SPCTR futures (tag 1151-SecurityGroup=FIN)

      E-Mini Copper Futures Expanded Listing Rules
      Effective Sunday, March 20 (trade date Monday, March 21), CME Group will expand the listing rules for the E-Mini Copper futures contact (tag 1151-SecurityGroup=QC) for trading on CME Globex. The listing rules are as follows:

      E-Mini Copper Futures Expanded Listing Rules

      Products Current Listing Rules New Listing Rules
      E-mini Copper Futures Twenty-three consecutive calendar months following, but not including, the current month. Twenty-three consecutive calendar months following, but not including, the current month.

      March, May, July, September and December maturities will also be listed in the third through fifth years.

      NEW FIX tag 996-UnitOfMeasure Change for Green Exchange CERplus Futures and Intercommodity Spreads
      Effective Sunday, April 17, (trade date Monday, April 18), the UnitofMeasure (FIX tag 996) for CERplusSM products will change as follows:

      FIX tag 996-UnitOfMeasure Change for Green Exchange CERplus Futures and Intercommodity Spreads

      Futures Tag 1151-SecurityGroup Current tag 996- UnitofMeasure New tag 996-UnitofMeasure
      CERplusSM Futures CPL CER RCER
      CERplusSM (CPL) vs. In Delivery Month European Union Allowance (EAF) Intercommodity Spread CPL
      In Delivery Month Certified Emission Reduction (CRE) Futures vs. CERplusSM (CPL) Intercommodity CRE

      The unit of measure change for CERplusSM product will be available for customer testing in New Release Monday, March 21.

      Events & Announcements

      NEW Market Data Notices Subscriptions
      If you are interested in receiving information on product launches and changes affecting Open Outcry, CME Clearport, S&P Indexes and ITC 2.1 Specification changes, please register  online to receive the Market Data Notices.

      iLink Session ID Auto-Deletion Process
      Effective Monday, January 31, CME Group will implement the quarterly iLink session ID auto-delete process.

      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, January 31. Class A clearing firms will have 30 days to review their idle session IDs. All idle session IDs will be deleted at end of day March 11.

      Implied Delay Functionality for Grain Futures
      Effective Sunday, March 27, CME Globex will remove the 10-second implied delay functionality for the market opening process for all CBOT, MGEX and KCBT Grain futures complexes. With this change, these markets will imply immediately after the open. The delay functionality was originally implemented on December 6, 2009.

      The change is currently available for customer testing in the New Release.

      If you have any questions, please contact the CME Globex Control Center at 312-456-2391, in Europe at 44-20-7623-4708, or in Asia at 65-6223-1357.

      CME Co-Location Services Capacity Update
      As our valued customer, we would like to update you on the capacity status of CME Co-Location Services.

      If you are interested in applying for space at CME Group’s co-location facility and haven’t already done so, please note CME Group will begin accepting requests for available space on April 4, 2011. Requests submitted on or after April 4, will be reviewed on a first come, first serve basis based on available capacity at the time of the request.

      To request legal and product related materials to review prior to April 4, or for additional information, please contact your   Global Account Manager at 312-634-8700, in Europe at 44-20-7796-7100, or in Asia at 65-6593-5574.