• CME Globex Notices: January 28, 2013

      • To
      • CME Globex Customers
      • From
      • Global Account Manangement
      • #
      • 20130128
      • Notice Date
      • 28 January 2013
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      Events and Announcements
      Critical System Updates

      iLink tag 1028-ManualOrderIndicator Change
      Effective Sunday, February 24, 2013 (trade date Monday, February 25), CME Globex will enforce validation on tag 1028-ManualOrderIndicator to comply with  market regulatory requirements. iLink customers must submit the valid value for tag 1028-ManualOrderIndicator on all iLink inbound application messages to CME Group. If the iLink inbound application messages contain an invalid value in tag 1028, the message will be rejected.

      iLink tag 1028-ManualOrderIndicator

      Tag FIX Name Req Valid Values Format Description
      1028 ManualOrderIndicator Y* Y=manual
      N=automated
      Boolean(1) Indicates if order was sent manually or generated by automated trading logic.

      This enforcement impacts the following inbound application iLink messages:

      • New Order (tag 35-MsgType=D)
      • Order Cancel Request (tag 35-MsgType=F)
      • Order Cancel/Replace Request (tag 35-MsgType=G)
      • Order Status Request (tag 35-MsgType=H)
      • Quote Request (tag 35-MsgType=R)
      • Security Definition Request (tag 35-MsgType=c)
      • New Order Cross (tag 35-MsgType=s)
      • Mass Quote (tag 35-MsgType=i)
      • Quote Cancel (tag 35-MsgType=Z)

      More information on iLink inbound messages is available  online.

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


      iLink tag 9717-CorrelationClOrID Length Increase
      Effective Sunday, February 24, 2013 (trade date Monday, February 25), at customers’ requests, the length of tag 9717-CorrelationClOrID returned on all iLink and Drop Copy outbound application messages from CME Globex will be increased from 5 bytes to 20 bytes. This change will allow customers to better correlate iLink messages associated with a single order chain.

      More information on iLink outbound messages is available  online.

      This change is currently available for customer testing in New Release.


      Update New Market Data Templates
      To support the upcoming  Market Data Enhancements for BM&FBOVESPA via CME Globex and future FIXFAST enhancements, the CME Group will publish new FIX/FAST templates in the Production environment on Sunday, March 3.

      The new templates are currently available in the New Release environment for customer download.

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

      New Functionality

      Risk Management Interface (RMI) Application Programming Interface (API) Changes
      Effective Sunday, March 10, 2013, changes will be implemented on the Risk Management Interface (RMI) Application Programming Interface (API) for FIX tags tag 372 – RefMsgType and tag 379 – BusinessRejectRefID as follows:

      • The value of tag 372 – RefMsgType returned on all RMI business reject messages for block/unblock order entry from RMI API will be changed from UA to DA.
      • The format of tag 379 – BusinessRejectRefID returned on all RMI business messages from RMI API will be changed from Int(16) to String(16) to support alphanumeric value of the “ID” field on the message being referenced.

      RMI API Changes

      Tag FIX Name Req FIXML Element Valid Values Format Description
      372 RefMsgType Y RefMsgTyp DA = Party Entitlement Definition Request String(2) The MsgType (35) of the FIXML message being rejected
      379 BusinessRejectRefID Y BizRejRsn   String(16) The value of the business-level "ID" field on the message being referenced

      More information on RMI Message Specification is available  online.

      New RMI Schema files will be required for the RMI API. The new RMI Schema files for Production environment will be available for download from the CME Group ftp site on Sunday, March 10, 2013. More information on RMI Schema Files is available in the  Client System Wiki.

      These RMI API changes and new RMI Schema Files will be available in New Release environment for customer testing on Monday, February 4, 2013.


      Market Data Enhancements for BM&FBOVESPA via CME Globex
      Effective Sunday, March 17, 2013, the following market data enhancements will be implemented for the Brazilian Mercantile and Futures Exchange/Sao Paulo Stock Exchange (BM&FBOVESPA).

      These enhancements are:

      • BM&FBOVESPA Security Definition messages will include spread leg information;
      • Incremental statistics messages will identify final and theoretical settlement prices;
      • Incremental messages will support trade cancellations; and,
      • Security Status messages will support the pre-open and auction states as well as the end of trading day.

      The client impact assessment with complete details regarding these enhancements is available  online.

      Certification for these changes is required. CME Group strongly recommends that all BM&FBOVESPA North-to-South order routing customers and system providers test the enhancements thoroughly in New Release starting on Tuesday, February 5. Test cases via AutoCert+ will be available for these enhancements beginning Monday, February 18.

      BM&FBOVESPA market data via CME Globex will utilize a new FIX/FAST template. The new templates will be available in the New Release environment on Sunday, January 27 and Production environment on Sunday, March 3 for customer download.

      A customer mock trading session will be offered on Saturday, March 16. CME Group strongly encourages that all customers participate in the mock trading session to ensure their ability to receive market data. Customers who plan to participate are requested to register with their  Global Account Manager.


      iLink Enhancements for MexDer via CME Globex
      Effective Sunday, April 14 (trade date Monday, April 15), a number of enhancements will be launched for the Mercado Mexicano de Derivados (MexDer) North-to-South order routing solution.

      These enhancements include:

      • Introduction of the US Dollar Options
      • Execution Report for Order Elimination – End of Session
      • Execution Report for Order Cancel with incorrect side.

      These changes are now available in New Release for customer testing and AutoCert+ certification. All customer order routing systems must complete the mandatory iLink and Fix/Fast certification via AutoCert+.

      A mock trading session will be held Saturday, February 23. The Client Impact Assessment is now available  online.


      Velocity Logic
      Effective late Q1 2013, CME Group will introduce Velocity Logic to its current suite of Market Integrity Controls. Velocity Logic is designed to deter extreme market moves by detecting market movements of a predefined number of points within a predefined time period and reserve the market(s) when triggered. Velocity Logic is only triggered by movement in CME Group, MGEX and DME futures and future spreads markets.

      With this launch, the following changes will take effect:

      • An aggressing order with a price that triggers Velocity Logic functionality will cause that market to enter a reserved state. If the reserved market is the front month lead future, the underlying options will also be halted.
      • An aggressing order that requires particular market scenarios (e.g., Fill and Kill, Minimum Quantity, Fill or Kill) that would trigger Velocity Logic will be rejected via an Execution Report-Reject message (tag 35-MsgType=8, tag 39-OrdStatus=8), with tag 58-Text=Order price submitted/derived violates Velocity Logic Threshold. The market will remain open.

      More information on Velocity Logic is available  online.

      These changes are currently available in New Release for customer testing. For the purpose customers testing the preliminary Velocity Logic values are:

      • predefined point value: two times the greater of either the non-reviewable range or the price banding range
      • predefined time value: one second

      The non-reviewable range and price banding for every CME Globex product is defined in the  CME Globex Product Reference in the  Client Systems Wiki.

      The production values for points and time will be announced prior to the launch in the CME Globex Notices.

      If you have any questions, please contact the  CME Global Command Center in the U.S. at +1 312 456 2391, in Europe at +44 20 7623 4708 or in Asia at +65 6223 1357.

      Product Launches

      Standard-Size and E-micro USD/Offshore RMB (CNH) Futures
      Effective Sunday, February 24, 2013 (trade date Monday, February 25), standard-size and E-micro USD/Offshore RMB (CNH) futures will be listed for trading on CME Globex.

      These futures feature physical delivery of Chinese Renminbi in Hong Kong (CNH), priced in interbank terms of Chinese Renminbi per U.S. dollar and associated daily settlement variation banked in Chinese Renminbi offshore in Hong Kong. The new CME USD/CNH futures will help international market participants hedge their U.S. dollar risk exposure to the deliverable Chinese currency.

      Standard-Size and E-micro USD/Offshore RMB (CNH) Futures

      Product tag 1151-SecurityGroup tag 55-Symbol
      USD/CNH Futures CNH UR
      E-Micro USD/CNH Futures MNH UR

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

      This contract is listed with, and subject to, the rules and regulations of CME.


      NEW Denatured Fuel Ethanol Forward Month Futures
      Effective Sunday, February 24 (trade date Monday, February 25), Denatured Fuel Ethanol Forward Month futures (tag 1151-SecurityGroup=FZE, tag 55-Symbol=EH) will be listed for trading on CME Globex.

      The Denatured Fuel Ethanol Forward Month futures will be available in New Release for customer testing on Monday, February 4.

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


      NEW Platinum and Palladium Options
      Effective Sunday, February 24 (trade date Monday, February 25), options on Platinum and Palladium futures will be listed for trading on CME Globex.

      Platinum and Palladium Options

      Product tag 1151-SecurityGroup tag 55-Symbol (outrights) tag 55-Symbol (UDS)
      NYMEX Platinum Options PO P0(zero) P1
      NYMEX Palladium Options PAO P3 P4

      These futures will be available for customer testing in New Release on Monday, February 4.

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

      Product Changes

      Aluminum MW US Transaction Premium Platts (25MT) Futures MDP Channel Change
      Effective Sunday, February 10, the Aluminum MW US Transaction Premium Platts (25MT) futures (tag-1151 SecurityGroup=AUP, tag 55-Symbol=ST) will be migrated to Market Data Platform (MDP) channel 33. Currently, these futures are broadcast via MDP channel 32.

      This change will be available for customer testing in New Release on Monday, February 4.

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


      NEW European Gasoil (100mt) Bullet Futures Listing Cycle Expansion
      Effective Sunday, February 10 (trade date Monday, February 11), the listing cycle for European Gasoil (100mt) Bullet futures (tag 1151-SecurityGroup=GLI, tag 55-Symbol=CM) will be expanded to list the January 2015 maturity. The current listing cycle is to list all maturities through December 2014.

      This change will be available for customer testing in New Release on Monday, February 4.

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


      Update CME Globex Equity Index Circuit Breaker and Daily Price Limit Changes for Futures and Options
      The Equity Index Circuit Breaker and Daily Price Limit changes previously scheduled for Sunday, February 3, have been postponed to Sunday, April 7.

      Effective Sunday, April 7, 2013 (trade date Monday, April 8), changes to  circuit breaker methodology and price limits will be introduced on CME Globex for Equity Index futures and options, pending regulatory review periods.

      Currently, price limits are established on a quarterly basis based upon the average closing price of the lead month futures contract in December, March, June and September. With this change, the width of the equity index futures price limit band will be calculated daily, based on the underlying cash equity index.

      Customers are strongly encouraged to utilize the FIX/FAST Security Status (tag 35-MsgType=f) messages to obtain the daily price limits (tag 332-HighPx; tag 333-LowPx) to avoid the rejection of orders that breach price limit thresholds.

      Customers may also obtain the daily price limits from the Security Definition (tag 35-MsgType=d, tag 1149-HighLimitPrice and 1150-LowLimitPrice) messages on the instrument replay feed.

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

      If you have any questions, please contact the  CME Global Command Center in the U.S. at +1 312 456 2391, in Europe at +44 20 7623 4708 or in Asia at +65 6223 1357.

      Events & Announcements

      Revised iLink Session ID Auto-Deletion Process
      Effective this Monday, February 4, CME Group will implement a revised quarterly iLink session ID auto-delete process. The new process will require that all sessions must meet a minimum messaging threshold of 100 messages over 3-months to exempt themselves from this process. Previously, the messaging relative to the threshold was measured 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 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).

      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.

      An e-mail notification will be distributed to Class A clearing firms this Monday, February 4. 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 the day on Friday, March 8. Details on the process are available  online.

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

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