CME Globex Performance Enhancements
Starting this Sunday, December 8 (trade date Monday, December 9), performance enhancements will be launched on the following CME Globex markets. With this launch, internal testing indicates:
- iLink latency will improve up to 30%.
- Per event, iLink fill notices (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2) will be published before or at the same time as the last market data trade message
- For each individual trade, iLink fill notices will be published before or at the same time as the associated market data trade messages
These enhancements are part of our ongoing efforts to provide best-in-class technology and service on CME Globex.
December 8, 2013
- CME Equity futures excluding E-mini S&P; tag 1300-MarketSegmentID=68
December 15, 2013
- NYMEX Non-Crude Energy futures; tag 1300=78
- NYMEX and COMEX Metals and Alternative Market futures; tag 1300=76
KCBT Product Migration to CBOT
The proposed migration of listed contracts from the Kansas City Board of Trade (KCBT) Designated Contract Market (DCM) to the Chicago Board of Trade (CBOT) DCM, originally scheduled for this Sunday, December 8, 2013 (trade date Monday, December 9), has been rescheduled to Sunday, December 15, 2013 (trade date Monday, December 16), pending ongoing regulatory review.
As of Thursday, December 5, 2013, KCBT and CBOT had not received CFTC permission to effect the migration as scheduled. While we know that the CFTC is diligently reviewing our request, we have decided to delay the migration for a one-week period to better ensure an orderly transition.
These products will use the same Symbol (tag 55) and SecurityGroup (tag 1151) as they do today. With this change, the value in tag 207-SecurityExchange and Market Data Platform channels will be updated as follows:
KCBT Product Migration to CBOT
||Current tag 207-SecurityExchange
||New tag 207-SecurityExchange
||Current MDP Channel
||New MDP Channel
|KC Hard Red Winter (HRW) Wheat Futures
|KC Hard Red Winter (HRW) Wheat Options
|KC Hard Red Winter (HRW) Wheat Short-Dated New Crop Options
|KC Hard Red Winter (HRW) Weekly Options
|MGEX-KCBT Wheat Spread Options
|MGEX-KCBT Wheat Spread Synthetic Futures
|KCBT Wheat vs. CBOT Wheat Inter-commodity Spread
|MGEX Wheat vs. KCBT Wheat Inter-Exchange Spread
These changes are currently available in New Release for customer testing.
Please Note: For the December 15 launch, customers will not have to cancel their Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for KCBT futures and options. After 16:30 CT on Friday, December 13, all remaining GTC and GTD orders for these products will be moved to their respective new channels and retain their priority in the book. Customers are responsible for verifying their working orders and making modifications as needed during the pre-open on Sunday, December 15.
iLink Enhancement for BM&FBOVESPA and Mexder North to South Order Routing
Effective Sunday, December 15(trade date Monday, December 16), iLink BM&FBOVESPA and Mexder North to South order routing will support FIX tag 373-SessionRejectReason on the SessionLevelReject (tag 35-MsgType=3) messages. This tag will allow BM&FBOVESPA and Mexder North to South Order Routing customers to identify the reject reason.
tag 373-SessionRejectReason Value
||Indicated reject reason for Partner Exchange network unavailable:
- For BVMF orders, 100 = BVMF network unavailable
- For Mexder orders, 100 = Mexder network unavailable
Please Note: tag 373-SessionRejectReason will only be sent on the Session Level Reject message when customers submit BM&FBOVESPA and Mexder orders and the network is unavailable.
Tag 373 SessionRejectReason will be available in New Release for customer testing on Tuesday, December 3.
New Public Source IPs for Certification and New Release Environment
At customers’ requests to increase network flexibility, the Certification and New Release Environments will move from private to public source IPs for iLink, Drop Copy and FIX/FAST market data channels at the close of business on Friday, January 24, 2014. 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.
- Customers will receive the new public IPs for iLink via an AutoCert+ generated email prior to Friday, January 24, 2014.
- All testing Drop Copy ID in the Certification and New Release Environments will be deleted on Friday, January 24, 2014. Please contact Global Account Management to obtain new Drop Copy IDs to access Drop Copy testing environments.
FIX/FAST Market Data Channels
- Port, multicast addresses, and source IPs for FIX/FAST market data channels are available in the config.xml file on the CME Group FTP site. A new config.xml will be available for customer download in Certification and New Release starting Monday, December 16, 2013.
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 production dates will be announced in future CME Globex and Market Data Notices.
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+. 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.
New test versions of MDP 3.0 template and PCAP (Packet Capture) test files are currently available online . The PCAP files will contain sample MDP 3.0 packets of Incremental Refresh (tag 35-MsgType=X) and Security Definition (tag 35-MsgType=d) messages 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.
MDP 3.0 New Release Availability
Starting on Monday, November 11, MDP 3.0 will be implemented in New Release environment in four phases. For each phase, specific MDP 3.0 channels and functionality will be available in the environment. The implementation will be cumulative therefore once a channel or type of functionality is available; it will remain in the environment.
With this release, CME Group will use new public multicast source IPs for the MDP 3.0 channels in the New Release environment. Customers must configure their firewall or network device to include the entire range of eligible addresses.
If you have any questions, please contact Certification Support for Electronic Trading (CSET) in the U.S. +1 312 930 2322 or in Asia at +65 6593 5593 for assistance.