|Topics in this issue include:
|Critical System Updates|
CME Globex Performance Enhancements for Equity, FX and Agriculture Futures
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.
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:
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
To ensure customer readiness CME Group recommends the following action items must be completed prior to the June 5, deadline:
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.
Crack spreads track the refining process of cracking crude oil into different fuel products and are composed of contract combinations that represent same-month crude oil and refined energy products. 1:1 Crack spreads (two-legged Cracks) are intercommodity spreads in which the trader buys the distilled contract (gasoline or heating oil) and sells the crude oil contract.
These crack spreads are identified with C1 in tag 762-SecuritySubType and have implied functionality.
The new crack spreads will be available for customer testing in New Release this Monday, March 21.
These products will be available for customer testing in New Release Monday, March 28.
August vs. November Soybean Calendar Spread Option (CSO)
In addition a new synthetic future will be launched for the options on August vs. November Soybean future calendar spread.
The new future will have tag 1151-SecurityGroup=QC4 and tag 55-Symbol=08. Settlement prices will be published for the new synthetic future to support customers’ options pricing model.
The options (tag 1151=SZ4) will identify QC4 as the underlying contract in tag 309-UnderlyingSecurityID of the Security Definition (tag 35-MsgType=d) FIX/FAST message.
The August vs. November Soybean calendar spread option and synthetic future will be available for customer testing in New Release on Monday, March 28, 2011.
Delisting of In Delivery Month European Union Allowance Futures March 2011 Maturity
9 Month Eurodollar Double Butterfly Listing
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.
E-Mini Copper Futures Expanded Listing Rules
Pine Prairie Energy Center Natural Gas Futures – Variable Quantity
These are variable quantity contracts, as defined in the FIX/FAST Security Definition message (tag 35-MsgType=d) in tags 871=24, 872=18. The quantity will be defined as:
The Daily/Weekend (PPD) and BALMO (PPB) futures are daily contracts (tags 871=24, 872=19 in the Security Definition message).
In anticipation of these changes, the current PPEC futures will be removed from the CME Globex platform at the close of business on Friday, March 25.
These new futures will be available in New Release for customer testing Monday, March 21.
FIX tag 996-UnitOfMeasure Change for Green Exchange CERplus Futures and Intercommodity Spreads
The unit of measure change for CERplusSM product will be available for customer testing in New Release Monday, March 21.
|Events & Announcements|
Implied Delay Functionality for Grain Futures
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.
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.