Market Data Enhancements for CME Globex
CME Group will introduce a number of market data enhancements. These enhancements include:
- Market Status of Halted Instruments
- Market Data Improvements
- New FIX Tags and Statistic Reset Changes
Market Status of Halted Instruments
Effective Sunday, September 8 (trade date Monday, September 9), CME Group will be enhancing the FIX/FAST market data messaging for the following markets to accurately reflect market status of halted contracts.
Market Status of Halted Instruments
||NYMEX Globex Emissions Futures
||NYMEX Globex Emissions Options
||KRX Globex Futures
||BMD Globex Futures
||BMD Globex Options
During Sunday start-up and in the event of a book reset, in addition to the product group status message, the FIX/FAST Security Status message will be sent for individual products in a halted state with the following values: tag 35-MsgType=f, tag 326-SecurityTradingStatus=2 (tags 327-HaltReason and 1174-SecurityTradingEvent are not sent).
Scenarios for a halted instrument include the following:
- Prelisted contracts prior to activation date
- Defective contract that has been deactivated
- Market event that requires deactivation, e.g. Partner Exchange request
A detailed schedule is available online.
Market Data Improvements
Based on customer feedback, the market data enhancements release schedule has been updated to provide additional time.
CME Group is implementing architecture improvements that will impact market data bandwidth on implied futures channels. This release is expected to reduce overall latency, particularly in implied channels. In internal testing, these enhancements yielded up to a 60% increase in bandwidth utilization during peak periods on implied channels resulting in an overall increase of up to 15% across the Market Data Platform.
There will be no changes to FIX/FAST messaging or functionality. As a result of this launch, iLink order entry and Market Data Platform message timings will be better aligned. CME Globex does not guarantee the relative performance of iLink order entry and Market Data Platform messaging.
The launch will be phased in over four weeks across the Market Data Platform. The next launch will be as follows:
Market Data Improvements
||NYMEX Globex Nat Gas & other Non-Crude Energy Futures
||CBOT Globex Interest Rate Futures
The complete implied channel launch schedule is available online.
New FIX Tags and Statistic Reset Changes
Effective this Sunday, September 8 (trade date Monday, September 9), introduce the following new FIX tags and changes to Trading Statistic Reset:
- New FIX tags
- 1003-TradeID will be sent on Market Data Incremental Refresh Messages (tag 35-MsgType=X) for Trades (tag 269-MDEntryType=2)
- Represents a unique Trade Entry ID per Instrument and Trading Date.
- Matches the trade number from tag 17-ExecID in the Execution Report – Fill Notice for iLink Order Entry Messages. The characters following the ‘TN’ in the ExecID are called the Trade Number and will match the new tag 1003-TradeID.
- tag 1300-MarketSegmentID will be sent on the Security Definition message (tag 35-MsgType=d)
- Identifies the market segment.
- Populated for all CME Globex instruments.
- Changes to Trading Statistic Reset
- Security Status (tag 35-MsgType=f) Message will be sent with the following tags prior to or during the Pre-Open Session.
- Tag 326-SecurityTradingStatus=Any Valid Value
- Tag 1174-SecurityTradingEvent=4
This launch will be phased in on the following schedule:
- August 25
- NYMEX Metals, Softs, and Alternative Markets
- COMEX futures
- September 8
- All other markets listed on CME Globex
These enhancements are currently available for customer testing in New Release.
Please Note: The template files that were implemented on March 3, 2013 must be utilized when these new enhancements are implemented. New template ids '140 through 147' will be used for these enhancements.
iLink Performance Improvements
Effective this Sunday, September 8, CME Globex will begin launching iLink performance improvements for markets listed on the following Market Data Platform channels:
- 31 – NYMEX Globex Nat Gas & other Non-Crude Energy
- 115 – CBOT Globex Interest Rate Futures
These improvements will reduce latencies in execution reports for fills and partial fills during large match events.
iLink Risk Management Enhancement
Effective this Sunday, September 8 (trade date Monday, September 9), to enhance pre-trade risk management functionality, CME Globex will capitalize the following iLink and Drop Copy FIX tags values:
- Tag 1-Account
- Tag 79-AllocAccount
- Tag 9771-MMAccount
- Tag 57-TargetSubID
Making these values case insensitive further hardens the CME Globex cancel and block risk management functionality. This change will also bring the front-end messaging into alignment with the back-office feeds and simplify the reconciliation process. Client systems are not required to send capitalized values to CME Globex, but capitalized values will always be returned.
FIX Tag Values Capitalization
||Current Submitted/Return Value Behavior
||New Return Value Behavior
|Outbound iLink and Drop Copy
To facilitate this change, resting Good Till (GT) orders will be modified after 16:00 Central Time (CT) this Friday, September 6. CME Globex will capitalize the above FIX tags values on all resting orders without impacting order book priority.
The iLink tag values capitalization is currently available for customer testing in New Release.
Please contact your Global Account Manager with any questions or concerns at +1 312 634 8700, in Europe at +44 20 3379 3754 or in Asia at +65 6593 5505 for additional information.
Risk Management Interface API Cancel Enhancements
Effective this Sunday, September 8 (trade date Monday, September 9), CME Group will implement account value capitalization on the Risk Management Interface (RMI) API cancel functionality. With this change, all RMI API messages from CME Globex to client systems will reflect a capitalized value regardless of the inbound value. Client systems are not required to submit capitalized account values to RMI API.
With this launch, the account validation will always use capitalized values and thus match the values on the CME Globex orders. More details on the iLink change are available here. Currently, the account validation for RMI API cancel instructions is case-sensitive.
More information on RMI API is available in the Client System Wiki.
This RMI API change is currently available in New Release environment for customer testing.
Drop Copy certification
Due to the upcoming Mass Order Cancel functionality, all Drop Copy customers must complete a new Drop Copy certification by Friday, September 27, for the new outbound message. The new certification suites will be available in Autocert+ beginning Monday, July 1.
New CME Globex Market Data Protocol
CME Group is introducing Market Data Platform (MDP) 3.0, a low latency and direct data access solution designed to improve customers’ ability to process and act on real-time price information. The protocol will launch on new production parallel channels beginning in Q4 2013.
MDP 3.0 includes:
- Simple Binary Encoding (SBE); replaces the current FAST compression model
- FIX 5.0 (SP2) Market by Price messaging formats
- Event-driven market price and trade information
- Enhanced market state dissemination
- Increased timestamp granularity
- Trade identifier on both market data and order entry messages
The client impact assessment provides detailed functionality and messaging information.
A new MDP 3.0 certification suite will be available in AutoCert+ in Q3 2013. Customer systems receiving market data via CME Globex must complete this mandatory certification.
MDP 3.0 functional specification is now available online. The functional specification provides the complete MDP 3.0 functionality details, whereas the client impact assessment outlines the differences in functionality between FIX/FAST and MDP 3.0.
MDP 3.0 will be available in New Release for customer testing in Q3 2013. Further information on the deployment plan and timing for all customer-facing environments will be published in upcoming CME Globex and Market Data Notices.
Test versions of MDP 3.0 template and PCAP (Packet Capture) test files will be available online starting Monday, August 12. The PCAP files will contain sample MDP 3.0 packets of various types in binary format.
Please Note: These files are for customer testing only and are subject to change without customer notice.
Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.