• CME Globex Notices: March 21, 2011

      • To
      • CME Globex Customers
      • From
      • Global Account Management
      • #
      • 20110321
      • Notice Date
      • 21 March 2011
    • Topics in this issue include:
      Critical System Updates
      Product Launches
      Product Changes
      Events and Announcements


      Critical System Updates

      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 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.

      Product Launches

      New Energy Crack Spreads
      Effective this Sunday, March 27 (trade date Monday, March 28), the following new energy 1:1 crack spreads will be listed on CME Globex:

      • Heating Oil vs. Brent Crude Oil Last Day Financial
      • RBOB Gasoline vs. Brent Crude Oil Last Day Financial

      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 is now available for customer testing in New Release.


      NEW Kansas City Monthly and Seasonal Strip Rainfall Index Futures
      Effective this Sunday, March 27 (trade date Monday, March 28), the following monthly and Seasonal Strip Rainfall Index futures will be listed for trading on CME Globex:

      Kansas City Monthly and Seasonal Strip Rainfall Index Futures

      Location tag 55-Symbol tag 1151-SecurityGroup
      Monthly Mar Apr May June July Aug Sep Oct
      Kansas City HW KC KCH KCJ KCK KCM KCN KCQ KCU KCV

      Weekly Russian Ruble Options
      Effective Sunday, April 10 (trade date Monday, April 11), Weekly Russian Ruble options will be listed for trading on CME Globex.

      Weekly Russian Ruble Options

      Location tag 55-Symbol tag 1151-SecurityGroup
      Week 1 6R1 UO
      Week 2 6R2
      Week 3 6R3
      Week 4 6R4
      Week 5 6R5

      These products will be available for customer testing in New Release this Monday, March 28.


      August vs. November Soybean Calendar Spread Option (CSO)
      Effective Sunday, April 10 (trade date Monday April 11), options on the August vs November Soybean futures calendar spread will be listed for trading on the CME Globex platform.

      August vs. November Soybean Calendar Spread Option (CSO)

      Option Tag 1151-SecurityGroup tag 55-Symbol
      Aug-Nov Soybean CSO Q1 SZ4

      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 this Monday, March 28.

      Product Changes

      NEW Early Listing for July and November 2013 Soybean Options
      Effective Thursday March 24, CME Group will list the July 2013 and November 2013 maturities in Soybean Options (tag 1151-SecurityGroup=OZS).


      Energy Futures Intercommodity Spreads Delisting
      Effective at the close of business this Friday, March 25, the following intercommodity futures spreads will be delisted:

      • Light Sweet Crude Oil vs. Russian Export Blend Crude Oil (REBCO)
      • Brent Crude Oil Last Day Financial vs. Russian Export Blend Crude Oil (REBCO)
      • Russian Export Blend Crude Oil (REBCO) vs. Russian Export Blend Crude Oil (REBCO) Financial
      • NYMEX Ethanol vs. RBOB Gasoline

      Pine Prairie Energy Center Natural Gas Futures – Variable Quantity
      Effective Sunday, April 10 (trade date Monday, April 11), the Pine Prairie Energy Center Natural Gas futures will be modified to Variable Quantity contracts:

      • Pine Prairie Energy Center (PPEC) Physically Delivered Natural Gas Daily/Weekend Futures (tag 1151-SecurityGroup=PPD, tag 55-Symbol=NJ)
      • Pine Prairie Energy Center (PPEC) Physically Delivered Natural Gas BALMO Futures (tag 1151-SecurityGroup=PPB, tag 55-Symbol=NJ)
      • Pine Prairie Energy Center (PPEC) Physically Delivered Natural Gas Monthly Futures (tag 1151-SecurityGroup=PPM, tag 55-Symbol=NJ)

      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:

      • Tag 1231-MinLotSize=2500
      • Tag 1439-FlowScheduleType=2 (calendar days per month)
      • Tag 231-ContractMultiplier=number of calendar days
      • Tag 996-UnitofMeasure=MMBtu
      • Tag 5849-OriginalContractSize=2500
      • Tag 1435-ContractMultiplierUnit=2 (multiplied by day)

      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 are currently available in New Release for customer testing.


      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 is available for customer testing in New Release.


      NEW FIX tag 55-Symbol Changes for Energy Futures and Future Spreads
      Effective Sunday, May 1, 2011, the FIX tag 55-Symbol values for Energy futures and future spreads will be changed as follows:

      FIX tag 55-Symbol Changes for Energy Futures and Future Spreads

      Futures and Spreads Tag 1151-SecurityGroup Current tag 55-Symbol New tag 55-Symbol
      Oman Crude Oil Financial ZGD CL DE
      Oman Crude Oil OQD
      Intercommodity Spreads ZGD-OQD
      ASCI Financial A0X CL OP
      Brent Crude Oil Last Day Financial BZ
      Crude Oil Volatility Index CVF
      European Gasoil (ICE) GLI
      Gulf Coast Gasoline LR
      Gulf Coast Harbor ULSD LU
      Gulf Coast Sour Crude Oil MB
      New York Harbor Ethanol QEN
      REBCO RE
      REBCO Financial REB
      Intercommodity Spreads BZ-REB, BZ-RE, RE-REB, LR-LU
      Cross-Symbol Intercommodity Spreads CL-BZ, CL-RE, CL-REB, A0X-CL, LR-RB, LU-HO, MB-CL, QEN-RB CL IE
      Inter-exchange Spreads - Light Sweet Crude Oil CL-OQD, CL-ZGD CL WD
      BZ Inter-exchange Spreads BZ-OQD, BZ-ZGD CL BD

      Market Data Platform channels and implied functionality will not be impacted.

      To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for the impacted futures and spreads after their close on Friday, April 29. After 16:00 CT on Friday, April 29, all remaining GTC and GTD orders for these products will be cancelled by the CME Globex Control Center (GCC).

      These changes will be available for customer testing in New Release Monday, April 4.

      Events & Announcements

      Implied Delay Functionality for Grain Futures
      Effective this 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.


      NEW CME Group Internal Recovery Simulation Exercise
      On Saturday, April 2, 2011, CME Group will conduct an internal recovery simulation exercise, during which iLink messages will be replayed into the CME Globex production environment. During this test, order routing messages will be transmitted via CME Group-initiated connections using iLink session IDs. As a result, customers may be unable to connect their iLink sessions.

      Please note that CME Group strongly recommends that customers not connect their iLink and Drop Copy systems on Saturday, April 2. At the conclusion of testing CME Group will clear all test data in preparation for the regular market open on Sunday, April 3. In the event customers must bring up their systems on Saturday, we strongly encourage customers to verify that all test data from Saturday is cleared out of their systems prior to Sunday start-up.

      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.