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).
||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
Tag 1031 is currently available in New Release for customer testing.
Please contact the CME Clearing House at 312.207.2525 with any questions.