iLink Enhancements for BM&FBOVESPA via CME Globex
Effective this Sunday, February 12, 2012, a number of iLink enhancements will be launched for the Brazilian Mercantile and Futures Exchange/Sao Paulo Stock Exchange (BM&FBOVESPA) order routing solution.
In addition, BM&FBOVESPA markets will not support the following order types:
- Market Order with Protection
- Stop Order with Protection
A customer mock trading session will be offered this Saturday, February 11. CME Group strongly encourages that all BM&FBOVESPA North-to-South order routing customers and system providers participate in the mock trading session to ensure their ability to trade BM&FBOVESPA products via CME Globex. Detailed information for the mock trading session is now available online. Customers who plan to participate are requested to register with their Global Account Manager.
The client impact assessment is available online. The enhancements are currently available for customer testing in New Release.
iLink Enhancement for Order Handling Flag
Effective second quarter 2012, in response to clearing firm requests and in conjunction with a Futures Industry Association (FIA) initiative, iLink order routing will launch support for FIX tag 1031-CustOrderHandlingInst. This tag will allow trading and clearing firms to identify the source of any order.
The value submitted on a new order in tag 1031-CustOrderHandlingInst will be passed through to the CME Clearing House at trade, and populated on all FIXML trade confirmation and allocation messages. It will also be supported by the CME Clearing House Give-up Payment System (GPS).
When tag 1031-CustOrderHandlingInst is submitted on the New Order (tag 35-MsgType=D), it will be returned on all associated Execution Reports (tag 35=8).
||A = Phone simple
B = Phone complex
C = FCM-provided screen
D = Other-provided screen
E = Client-provided platform controlled by FCM
F = Client-provided platform direct to exchange
G = FCM API or FIX
H = Algo Engine
J = Price at Execution (price added at Initial order entry, trading, middle office or time of give-up)
W = Desk – Electronic
X = Desk – Pit
Y = Client – Electronic
Z = Client – Pit
||Defines source of original order
Further information on New Release testing and launch dates will be published as it is available. Please contact the CME Clearing House at 312.207.2525 with any questions.
User-Defined Spreads: Covereds Execution Enhancement
Effective Sunday, March 25, 2012 (trade date Monday, March 26), the execution for User-Defined Spreads (UDS):Covereds will be enhanced to better ensure delta neutrality.
Currently, the matching process allows aggressors to incrementally trade a Covered option without being allocated any futures to satisfy the delta neutrality. Starting Sunday, March 25, 2012, the Covered matching algorithm will track executions of a resting order such that when the executed quantity of a customer’s option order results in an accumulated delta futures allocation at or above 0.5, a futures contract is allocated to the next fill.
We recommend all system providers supporting Covereds test this enhancement thoroughly in New Release starting on Monday, February 27. Details on UDS:Covereds functionality are available online.