|Topics in this issue include:
|Critical System Updates|
In 2nd Half of 2014, Market Segment Gateways for will be available for all markets.
Additional details will be published in the CME Globex Notices.
iLink Price Format Change
If the price tag value exceeds the new price format, the session level reject message (tag 35-MsgType=3) will contain tag 58-Text=Business Reject: Required Field Missing
Additional information on iLink Message Specifications is available online.
This change is currently available for customer testing in Certification for all market segments.
Internal Network Upgrade
In internal testing, this change improved median iLink latency by up to 10 percent.
There are no customer functional impacts with this release.
Changes to MexDer Risk Management Gateway
With this change, there will be no changes to iLink messaging or values to the available risk filters.
This change will be available for customer testing in New Release on Monday, May 19.
Further details on upcoming enhancements to RMG risk filters will be published in the CME Globex Notices.
Please contact MexDer for more information on the RMG.
Market Data Platform Channel Changes
Please Note: The RS Group Channel Change will be accompanied by a tag 1300-MarketSegmentID change on the Market Data Security Definition. The Market Segment ID for the RS Group will change from 70 to 72. If there are any GT orders for this group, they will be cancelled by the CME Global Command Center (GCC) on Friday, June 13. Customers will be able to re-enter orders on Monday, June 15.
With this change, the FIX tag 55-Symbol for FIX/FAST for the following synthetic futures will be changed from 05 to 03. A complete list of products is available online.
A new config.xml will be available for customer download in production starting Sunday, May 18.
The new channel and channel information will be available in New Release for both FIX/FAST and MDP 3.0 on Monday, May 5.
New CME Globex Market Data Protocol
MDP 3.0 includes:
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 Decoder
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.
New Strip User-Defined Spread for Energy Options
The SA option strip spread is constructed of all calls (Call Strip) or all puts (Put Strip). The Call Strip consists of buying calls within the same instrument and strike price for up to 26 expiration months, resulting in a total of between two and 26 calls purchased. The Put Strip consists of buying puts within the same instrument and strike price for up to 26 expiration months, resulting in a total of between two and 26 puts purchased. The Strip requires all legs to be equally distributed maturities (e.g., M8-U8-Z8 or M8-N8-Q8).
An SA spread trade price is the average of the outright leg prices. The trade reports for both the spread and the outright legs will reflect the averaged price.
Only one strip UDS type will be supported per options market. With this launch, the current option strip UDS (tag 762-SecuritySubType=SR) will be retired in the NYMEX energy options markets. The SR type will continue to be supported in all other options markets on CME Globex.
A detailed description of Option Strip spread types is available online.
The new spread type is currently available in Certification for customer testing.
Eurodollar Futures Displayed Quantity Order Ratio
The 60:1 ratio threshold for Displayed Quantity or MaxShow order types was introduced on Sunday, October 27, 2013. Under the ratio, a 600-lot order utilizing the Displayed Quantity must disclose a minimum quantity of ten to the marketplace.
A New Order that fails to meet the ratio threshold will be rejected with an execution level reject message (tag 35-MsgType=8), with tag 103- OrdRejectReason=2190 and tag 58-Text= Message rejected due to MaxShow ratio violation. 'MaxShow ratio of [total quantity]:[displayed quantity] does not meet the ratio requirement of 60:1'.
An Order Cancel-Replace Request that fails to meet the ratio threshold will be rejected with an order cancel reject message (tag 35-MsgType=9), with tag 102- CxlRejectReason=2190 and tag 58-Text= Message rejected due to MaxShow ratio violation. 'MaxShow ratio of [total quantity]:[displayed quantity] does not meet the ratio requirement of 60:1'.
This new functionality is currently available in Certification for customer testing.
User-Defined Spreads for Energy Futures
The CL and NG product groups (FIX/FAST tag 55-Symbol or MDP 3.0 tag 1151-SecurityGroup) will not support UDS for futures.
UDS for futures is an extension of the current UDS for options functionality. It has been designed to reduce customer impact by mimicking existing functionality and messaging. Certification is not required if customer systems have already certified for UDS for options.
A client impact assessment is available now with detailed messaging and functionality specifications.
UDS for futures is available for customer testing in Certification and is currently available in New Release.
Weekly Options and EOM Options on E-mini and $10 Dow Jones Industrial Average Futures
The weekly and EOM options on E-mini and $10 Multiplier Dow Jones Industrial Average futures will be European-style options. There will be two concurrent weekly option contracts and two concurrent EOM option contracts listed.
These options are currently available for customer testing in New Release.
These contracts are listed with, and subject to, the rules and regulations of CBOT.
Bursa Malaysia Derivative Berhad (BMD) USD RBD Palm Olein Futures
These futures are currently available for customer testing in New Release.
Listing Cycle Changes for Brent Crude Oil Last Day Options
Effective Sunday, May 18 (trade date Monday, May 19), the listing rules for Brent Crude Oil Last Day options (tag 1151-Security Group=OSX; tag 55- Symbol=PR) will be expanded on CME Globex as follows:
With this change, approximately 16,331 new instruments will be listed for Brent Crude Oil Last Day options on CME Globex.
These changes do not have an impact market data performance.
These contacts are listed with, and subject to, the rules and regulations of NYMEX.
Price Format Change for Nikkei 225 (Yen) Futures and E-mini Dow Jones Fixing Prices
Fixing Price data blocks are sent in the FIX/FAST Market Data Incremental Refresh (tag 35-MsgType=X) with the following attributes:
This change is currently available for customer testing in New Release.
The maximum order quantity for instruments are listed on CME Globex in tag 1140-MaxTradeVol, in the Security Definition (tag 35=d) message.
Customers are strongly encouraged to utilize tag 1140-MaxTradeVol, in the Security Definition (tag 35=d) message to obtain the most recent information on thresholds and support accurate quantity limits for all products.
The reduced maximum order quantity changes will be available in New Release for customer testing Monday, May 19.
|Events & Announcements|
In addition, to consolidating the notices, we are also introducing layout changes to make the content easier to search and find more information. Each topic will provide a high-level overview and a link to “Read More” to obtain in-depth information.
iLink Session ID Auto-Deletion Process
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 was distributed to clearing firms and execution firms with Firm Admin Dashboard access on Monday, May 5. Clearing firms will have four weeks to review their idle session IDs. One week before the deletion, Friday, May 30, CME Group will change the passwords and shut the ports for idle iLink session IDs. All idle session IDs will be deleted at the end of the day on Friday, June 6. 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.