• CME Globex Notices: May 02, 2011

      • To
      • CME Globex Customers
      • From
      • Global Account Manangement
      • #
      • 20110502
      • Notice Date
      • 02 May 2011
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      Events and Announcements

      Critical System Updates

      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.

      New Functionality

      S&P Indexes via Streamlined FIX/FAST
      In late Q2 2011, CME Group is launching streamlined FIX/FAST, a new version of the FIX/FAST market data format, optimized for non-actionable price data. The initial launch of streamlined FIX/FAST will support S&P Indices market data. Streamlined FIX/FAST has a   dedicated message specification distinct from the CME Globex FIX/FAST format and a new template.

      Please note: CME Group recommends customer systems pull the templates from the CME Group ftp site every week, prior to Sunday start.

      To ensure S&P customers currently receiving ITC 2.1 market data have sufficient time to develop, certify (if applicable), and deploy the streamlined FIX/FAST solution, ITC 2.1 market data format will continue to be disseminated for approximately 5 months following the streamlined FIX/FAST launch.

      Effective Monday, May 9, 2011, new functionality will only be implemented on streamlined FIX/FAST. Index launches will be supported on both ITC 2.1 and the new streamlined FIX/FAST.

      Streamlined FIX/FAST will be available in New Release for customer testing on Monday, May 9, 2011.

      Detailed information for S&P Indices via streamlined FIX/FAST is available online in the   Client Impact Assessment.

      MexDer Markets via CME Globex
      In early Q3 2011, MexDer, Mercado Mexicano de Derivados markets will be available via CME Globex for iLink order routing and FIX/FAST market data. CME Group customers who would like to trade MexDer products must establish all appropriate agreements and accounts to be authorized to trade MexDer products. CME Group customers interested in accessing MexDer products via the CME Globex platform must develop and complete certification for new functionality and messaging specific to MexDer markets.

      Please contact your   Global Account Manager for further information.


      MexDer market data via CME Globex will utilize a new FIX/FAST template. The new template is currently available in New Release. A new mandatory certification suite will be available Monday, May 2, in AutoCert+ for customer systems planning to support MexDer via CME Globex.

      MexDer markets via CME Globex are currently available New Release for customer testing.

      The  client impact assessment provides detailed functionality and messaging for customer systems interested in supporting MexDer products via CME Globex.

      Product Launches

      10-Year Sovereign Yield Spread Futures
      Effective Sunday, May 22 (trade date Monday, May 23),   CME 10-Year Sovereign Yield Spread (Sovys) futures will be listed for trading on the CME Globex platform.

      Based on pair-wise spreads of government bond yields of France, Germany, Italy, the Netherlands, UK and the U.S., 10-Year Sovys futures wrap a sovereign yield spread into a single futures contract. 10-Year Sovys futures make trading and monitoring of sovereign bond spread exposures simpler, more cost-effective, and more efficient than ever before.


      10-Year Sovereign Yield Spread Futures

      Product Tag 1151-SecurityGroup tag 55-Symbol
      US-UK Sovereign Yield Spread Futures SKV TY
      US-De Sovereign Yield Spread Futures SEV
      US-Fr Sovereign Yield Spread Futures SFV
      US-It Sovereign Yield Spread Futures STV
      US-Nd Sovereign Yield Spread Futures SDV
      UK-De Sovereign Yield Spread Futures KEV
      UK-Fr Sovereign Yield Spread Futures KFV
      UK-It Sovereign Yield Spread Futures KTV
      UK-Nd Sovereign Yield Spread Futures KDV
      De-Fr Sovereign Yield Spread Futures DFV
      De-It Sovereign Yield Spread Futures DTV
      De-Nd Sovereign Yield Spread Futures DNV

      These products are currently available for customer testing in New Release.

      Weekly Corn Soybeans, and Wheat Options
      Effective Sunday, May 22 (trade date Monday, May 23),   Weekly Corn, Soybean, and Wheat options will be listed for trading on CME Globex.

      Product Tag 1151-SecurityGroup tag 55-Symbol
      Corn Options ZC1-ZC5 OC
      Soybean Options ZS1-ZS5 SQ
      Wheat Options ZW1-ZW5 OW

      These products will be available for customer testing in New Release Monday, May 9.

      Product Changes

      NEW Expansion of Russian Ruble Options Strike Price Listings
      Effective Sunday, May 22 (trade date Monday, May 23), CME Group will increase the number of Russian Ruble options strike price listings for RUB/USD options (tag 1151-SecurityGroup=6R) for trading on CME Globex.

      CME Group will increase the number of Russian Ruble options strike price listings from ± 8 ATM to ± 25 ATM from the strike prices nearest the previous day’s settlement price.

      The expanded strike price listing will be available for customer testing in New Release Monday May 9.

      NEW Operational Minimum Tick Change for EUR/CHF, EUR/GBP, and EUR/SPY Futures Calendar Spreads
      Effective Sunday, June 5 (trade date Monday, June 6), the minimum tick increment will change for the following futures calendar spreads.


      This is an operational change only and under CME Rules 30301.D.Price Increment, 30601.D.Price Increments and 30401.D Price Increments, intra-currency spreads have been allowed on CME Globex at half-ticks.

      Minimum Tick Change for Euro/FX Swiss Franc, Euro/ FX British Pound, and Euro/FX Japanese Yen Futures Calendar Spreads

      Product Tag 1151–SecurityGroup Tag 55–Symbol Current Tick Tag 969-MinPriceIncrement New Tick Tag 969-MinPriceIncrement
      EUR/CHF RF XR .0001 .00005
      EUR/GBP RP .00005 .000025
      EUR/JPY RY .01 .005

      To support these spreads with smaller tick increments than the outright legs, tag 762 will change to a RT from the current value of SP. Details on spread types are available in the   Electronic Trading Concepts.

      These changes will be available for customer testing in New Release on May 23, 2011.

      NEW E-mini MSCI Index Futures Delisting
      Effective close of business Friday, June 17 2011, the following E-mini MSCI Index futures will be delisted:

      • E-mini MSCI Emerging Markets Index futures (tag 1151-SecurityGroup=EMI)
      • E-mini MSCI EAFE Index futures (tag 1151-SecurityGroup=EFE)
      Events & Announcements

      Revised iLink Session ID Auto-Deletion Process
      Effective this Monday, May 9, CME Group will implement a revised quarterly iLink session ID auto-delete process. CME Group will replace the previous login requirement to avoid auto-deletion with a minimum message threshold requirement. This threshold will initially be set at 100 messages over a 6-month period; any iLink session ID with fewer than 100 messages will be flagged for deletion. For the purposes of this policy, a message is defined as an order, modify, cancel or mass quote.

      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, May 9. Class A clearing firms will have six weeks to review their idle session IDs. All idle session IDs will be deleted at end of day June 24.

      CME Co-Location Services Capacity Update Reminder
      As our valued customer, we would like to update you on the capacity status of CME Co-Location Services, for our Phase 1 launch.

      If you are interested in applying for space at CME Group's co-location facility and haven't already done so, CME Group is now accepting requests for space. Requests submitted will be reviewed on a first come, first serve basis based on available capacity at the time of the request.

      Additionally, please note, if you are interested in participating in our Phase 1 launch, all contracts must be submitted by May 16, 2011.

      To request legal and product related materials, 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.