Risk Management Interface (RMI) Application Programming Interface (API) Changes
Effective this 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
||DA = Party Entitlement Definition Request
||The MsgType (35) of the FIXML message being rejected
||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 are currently available in New Release environment for customer testing.
Market Data Enhancements for BM&FBOVESPA via CME Globex
The previously scheduled market data enhancements for BM&FBOVESPA for Sunday, March 17, have been postponed to Sunday, March 24.
Effective Sunday, March 24, 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:
- 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.
Please Note: Due to customer feedback, CME Group will not disseminate Spread Leg information in the Security Definition message for BM&FBOVESPA at this time.
The updated client impact assessment with complete details regarding these enhancements is available online.
Certification for these changes is not 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.
A customer mock trading session will be offered on Saturday, March 23. 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.
Effective Sunday, March 17 (trade date Monday, March 18), 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 and MGEX 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. The Velocity Logic values in Production and New Release 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.
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.
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+.
The Client Impact Assessment is now available online.
Interest Rate Intercommodity Spreads
Effective Sunday, May 5 (trade date Monday, May 6), a new Interest Rate Intercommodity Spread type (tag 762-SecuritySubType=DI) will be introduced on CME Globex. With this launch, the 762-SecuritySubType value for the following intercommodity spreads will be modified from IS to DI and implied functionality will be enabled.
In addition, a new futures intercommodity implied spread will be listed for trading on CME Globex.
Interest Rate Intercommodity Spreads
|10-Year Treasury Note Futures vs. 10-Yr USD Deliverable Interest Rate Swap Futures
|5-Year Treasury Note Futures vs. 5-Year USD Deliverable Interest Rate Swap Futures
|Ultra Treasury Bond Futures vs. 30-Year USD Deliverable Interest Rate Swap Futures New
Detailed description of Inter-Commodity Implied spread type is available online.
The new spread type and new intercommodity spread will be available in New Release for customer testing on Monday, March 18.
Streamlined FIX/FAST for Block Trades
Starting on Sunday, May 12, 2013, CME Group will begin disseminating Block Trade market data via streamlined FIX/FAST. A Block Trade is a privately negotiated futures or option on futures transaction that is executed apart from the public auction market and that is permitted in designated contracts subject to specified conditions.
Streamlined FIX/FAST is an optimized version of the FIX/FAST market data format for non-actionable price data. Streamlined FIX/FAST has a dedicated message specification distinct from the CME Globex FIX/FAST format and new templates.
Block Trade market data will be available in New Release for customer testing on Monday, March 24. An optional AutoCert+ Test Suite will available at the beginning of April. The availability of the new AutoCert+ Test Suite will be announced via the CME Globex and Market Data Notices.
Detailed information for streamlined FIX/FAST market data for Block Trades is available online.