• CME Globex Notices: April 9, 2012

      • To
      • CME Globex Customers
      • From
      • Global Account Management
      • #
      • 20120409
      • Notice Date
      • 09 April 2012
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      Events and Announcements
      Critical System Updates

      Changes to Source IPs for the Market Data Platform B Feed for Non-GLink Connections
      Effective Sunday, June 17, 2012, CME Group will be changing multicast source IPs for the B feed only for non-  GLink connections. If a firewall or network device is configured with the source IP information, please correct your configuration to use the entire range of eligible addresses. Port, multicast addresses, and source IPs for each Market Data Platform channel are available in the config.xml file on the  FTP site as outlined in the Core Functionality of the  FIX/FAST SDK.

      Market data will be broadcast on all CME Group FIX/FAST channels in the production environment for customer testing on Saturday, June 16. Market data will be broadcast from the new B feed source IPs.

      • 8:30 - 9:00 a.m. CT: Connectivity testing
      • 9:00 - 10:00 a.m. CT: FIX/FAST market data replay

      As a reminder, CME Group requires that customers configure servers to connect to the Market Data Platform ports and multicast addresses for each desired channel. CME Group does not recommend restricting data flow via the source IPs, as these may change without notice.

      If you have any questions or concerns, please contact your  Global Account Manager. If you experience any connectivity issues, please contact the CME Globex Control Center directly at 312.456.2391.

      New Functionality

      User-Defined Spreads: Covereds Execution Enhancement
      Effective this Sunday, April 15 (trade date Monday, April 16), the execution for User-Defined Spreads (UDS):Covereds will be enhanced to better ensure delta neutrality.

      Currently, in certain scenarios, the matching process may result in a Covered trade that is under- or over-allocated on the futures fills. 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.

      The enhancement is scheduled for a phased launch as follows:

      • Sunday, April 15
        • CME Interest Rate Options
        • CBOT Interest Rate Options
        • COMEX Options
        • Green Exchange Options
        • NYMEX Crude Options
        • NYMEX Non-Crude Energy Options

      We recommend all system providers supporting Covereds test this enhancement thoroughly in New Release. Details on UDS:Covereds functionality are available  online.


      iLink Enhancements for MexDer via CME Globex
      Effective this Sunday, April 15 (trade date Monday, April 16), a number of iLink enhancements will be launched for the Mercado Mexicano de Derivados (MexDer) North- to- South order routing solution.

      These enhancements include:

      • Implementation of new Cancel/Replace Request rules
      • Acknowledgements for Account, Price or Quantity changes
      • Mandatory In Flight Mitigation (IFM) for all MexDer products
      • Now Added: Message flow for Cross Orders

      The client impact assessment is now available  online. These changes are currently available in New Release for customer testing.


      Order Elimination Enhancement
      Effective this Sunday, April 15 (trade date Monday, April 16), the process for eliminating Good till Date (GTD) orders with expirations set to a non-trading day will be enhanced.

      GTD orders with expirations set for the immediately prior weekend or holiday will be eliminated at the Sunday start-up and Order Eliminations (tag 35-MsgType=8, tag 39-OrdStatus=C) will be sent out to customers.

      Currently, Good till Date (GTD) orders with expirations set to the following holiday or weekend are cancelled after the close on Fridays and Order Cancels (35=8, 39=4) are sent out to customers.

      For the Beginning of the Week Logon (35=A), if tag 34 is greater than 1, customers should issue a Resend Request (35=2) to recover the missing messages. Customers should rely on tag 34-MsgSeqNum to identify a message sequence number gap.

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


      iLink Enhancement for Order Handling Flag
      Effective Sunday, June 3, 2012 (trade date Monday, June 4), 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).

      tag 1031-CustOrderHandlingInst

      Tag FIX Name Req Valid Values Format Description
      1031 CustOrderHandlingInst N 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
       
      String (1) Defines source of original order

      Tag 1031 is currently available in New Release for customer testing.

      Please contact the CME Clearing House at 312.207.2525 with any questions.

      Product Launches

      10-Year Treasury Note Future vs. 30-Year Treasury Bond Future Implied Intercommodity Spread
      Effective this Sunday, April 15 (trade date Monday, April 16), a new 10-Year Treasury Note Future vs. 30-Year Treasury Bond Future (tag 1151-SecurityGroup=NBY, tag 55-Symbol=ZB) implied intercommodity spread with new leg ratios will be listed on the CME Globex platform. The new 10-Year Treasury Note Future vs. 30-Year Treasury Bond Future implied intercommodity spread will be initially listed with 5:3 ratios. The current 10-Year Treasury Note Future vs. 30-Year Treasury Bond Future (tag 1151-SecurityGroup=NOB) implied intercommodity spread with the current 2:1 ratios will continue to be available.

      The new 10-Year Treasury Note Future vs. 30-Year Treasury Bond Future implied intercommodity spread is currently available in New Release for customer testing.

       


      GreenX Emission Reduction Unit (ERU) Future & Options
      Effective Sunday, April 29 (trade date Monday, April 30), the Green Exchange Emission Reduction Unit (ERU) futures and options will be listed for trading on CME Globex. Calendar and intercommodity spreads will also be available.

      GreenX Emission Reduction Unit (ERU) Future & Options

      Product tag 1151-SecurityGroup tag 55-Symbol
      Emission Reduction Unit (ERU) Futures REU VX
      Emission Reduction Unit (ERU) Options ERO GY
      ERU Futures vs. In Delivery Month European Union Allowance(EUA)Futures Intercommodity Spread REU VX
      ERU Futures vs. In Delivery Month CER Futures Intercommodity Spread REU
      ERU Futures vs. Certified Emission Reduction Plus (CERplusSM) Futures Intercommodity Spread REU

      These contracts are listed with, and subject to, the rules and regulations of GreenX. All transactions will be available for clearing through CME Clearing.

      These products will be available for customer testing in New Release on Monday, April 16.

      Product Changes

      E-mini Energy Futures Match Algorithm Change
      Effective this Sunday, April 15 (trade date Monday, April 16), the match algorithm for the following E-mini energy futures will be changed to FIFO (F):

      • E-mini Crude Oil futures (tag 1151-SecurityGroup=QM)
      • E-mini Natural Gas futures (tag 1151-SecurityGroup=QG)
      • E-mini RBOB Gasoline Financial Futures (tag 1151-SecurityGroup=QU)
      • E-mini Heating Oil Financial futures (tag 1151-SecurityGroup=QH)

      Currently, the match algorithm for QM, QG, QU, and QH is NYMEX FIFO with LMM (N). The FIFO matching behavior will not change with this launch, since no LMMs have been assigned to these markets since January 2012

      The match algorithm applied to each instrument is identified in the Security Definition (tag 35-MsgType=d) message in tag 1142-MatchAlgorithm. Descriptions of each algorithm currently in use on CME Globex are available   online.


      NEW Expansion of New York Harbor ULSD Heating Oil Futures and Options
      Effective Sunday April 29 (trade date Monday, April 30), the listing cycle for the following New York Harbor ULSD Heating Oil futures and associated options will be expanded as follows:

      Expansion of New York Harbor ULSD Heating Oil Futures and Options

      Product tag 1151-SecurityGroup tag 55-Symbol Current Listing Cycle New Listing Cycle
      New York Harbor ULSD Heating Oil Futures HO CL Through April 2013 Current year plus 3 years plus 1 month
      Heating Oil Options OH OH Through April 2013 Current year plus 3 years plus 1 month
      Heating Oil Crack Spread Options CHY XZ Through April 2013 Current year plus 3 years plus 1 month
      Heating Oil 1 Month CSO FAY XZ Through March 2013 Current year plus 3 years

      These changes will be available for customer testing in New Release on Monday, April 23.

      These contracts are listed with, and subject to, the rules and regulations of NYMEX.

      Events & Announcements

      NEW Risk Management Interface Presentation
      A customer event introducing the new Risk Management Interface (RMI) was held on Wednesday, April 4. The archived webcast and presentation is available  online.

      The RMI is the newest CME Group risk management tool. It is an API and GUI that supports granular, pre-trade risk management for Clearing Firms.

      Please contact your  Global Account Manager at 312 634 8700, in Europe at 44 203 379 3754, or in Asia at 65 6593 5574 for additional information.


      iLink Session ID Auto-Deletion Process
      This Monday, March 5, CME Group executed its quarterly iLink session ID auto-delete process. As a reminder, all sessions must meet a minimum messaging threshold of 100 messages over the previous 6-months to exempt themselves from this process. 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 a new order (tag 35-MsgType=D), order cancel/replace request (tag 35=G), order cancel request (tag 35=F), and mass quote (tag 35=i).

      An e-mail notification was distributed to Class A clearing firms on Monday, March 5. Class A clearing firms will have 4 weeks to review their idle session IDs. All idle session IDs will be deleted at the end of day this Friday, April 13. Details on the process are available  online.


      Trading At Settlement (TAS) Pre-Open Timing Changes
      On Sunday, April 15 (trade date Monday, April 16), in order to ensure appropriate and efficient messaging practices for TAS orders into CME Globex, CME Group will randomize the timing of each TAS groups’ pre-open state.

      With this change, the market states sequence will change. There will be a market pause, communicated via the FIX/FAST Security Status message (tag 35-MsgType=f), tag 326-SecurityTradingStatus=2 at 16:15:00 on Sunday and 16:45:00 Monday through Thursday. TAS groups will then go into pre-open on Sundays between 16:15:00 and 16:16:00 Central time (CT), and Mondays through Thursdays between 16:45:00 and 16:46:00 CT.

       

      As a reminder, market participants are prohibited from submitting orders on any TAS product prior to the start of the pre-open. The market state is communicated via the FIX/FAST Security Status message (tag 35=f), tag 326-SecurityTradingStatus=21.

       

      The new random timing for pre-open on TAS groups is now available for customer testing in New Release.

      If you have any questions, please contact the CME Global Command Center at 312.456.2391, in Europe at 44.20.7623.4708, or in Asia at 65.6223.1357.


      Reminder: London Data Center Relocation
      CME Group has re-located the Pinnacle House point of presence (PoP) in London to a PoP located within the Interoute/Global Switch 2 data center. Customers are required to complete the relocation to the new PoP by the end of Q2 2012.

      In addition, CME Group is now offering 1 GB copper connectivity options to customers connected to CME Globex Hubs located in London, Milan and Paris.

      Please contact your  EMEA Global Account Manager at +44 203 379 3754 for additional information.