• CME Globex Notices: June 09, 2014

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Account Management
      • #
      • 20140609
    • Topics in this issue include:

      Critical System Updates

      New iLink Architecture in 2014

      In 2014, CME Group will launch a new iLink architecture with design and network enhancements. The new architecture is designed to:

      • Extend First In, First Out (FIFO) message handling from the trading engine to the order entry gateway
      • Reduce variability
      • Harden risk management for order entry bursts 

      Details on the new iLink Architecture roadmap can be found online. For an overview of the new iLink architecture, please review the iLink Architecture webinar.

      Market Segment Gateways will be available for all markets in the 2nd half of 2014.

      Additional details will be published in the CME Globex Notices.

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      Changes to MexDer Risk Control Gateway

      The MexDer Risk Control Gateway changes have been postponed. The previous risk settings will remain in place.

      A new launch date will be published in the CME Globex Notices when available.

      In order to support upcoming enhancements, the MexDer, Mercado Mexicano de Derivados Risk Management Gateway (RMG) will reduce the number of risk filters from ten to three for North- to- South order routing customers. The Risk Management Gateway (RMG) is a tool that provides pre-trade risk management which allows clearing firm Risk Administrators to set credit limits. The following risk filters will continue to be available via RMG:

      • Quantity
      • Quantity per Class and Side
      • Daily Quantity

      With this change, an Execution Report - Reject (tag 35-MsgType=8, tag 39-OrdStatus=8) message will be generated in the event that an order fails a risk check. Currently, an Acknowledgement Message (tag 35-MsgType=8, tag 39-OrdStatus=0), then a Reject (tag 35-MsgType=8, tag 39-OrdStatus=8) message will be generated in the event that an order fails a risk check.

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

      Additional 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.

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      Market Data Platform Channel Changes

      Effective Sunday, June 22, (trade date Monday, June 23), CME Group will split Market Data Platform Channel 111 - CBOT Globex Commodity futures into two separate channels to better manage future growth.

      Wheat Futures
      Market Data Platform Channel Changes
      Market Segment ID (tag 1300) FF Channel Number MDP 3.0 Channel Number Channel Label FF and iLink tag 55-Symbol/MDP 3.0 tag 1151-SecurityGroup FF and iLink tag 1151-Symbol/MDP 3.0 tag 6937-Asset Products
      70 111 340 CBOT Globex Commodity Futures BW BSW Black Sea Wheat futures
      KB KE KC Hard Red Winter (HRW) Wheat futures vs. Wheat futures
      KE KE KC Hard Red Winter (HRW) Wheat futures
      MH MKC Mini-sized KC Hard Red Winter (HRW)Wheat futures
      XC XC Mini-sized Corn futures
      XW XW Mini-sized Wheat futures
      ZC ZC Corn futures
      ZW ZC Corn Futures vs. Wheat Futures 
      ZW Wheat Futures
      05 C3S
      CKS
      CKW
      K6S
      KC7
      KNS
      KZS
      MCX
      QC2
      QC3
      QC6
      QC7
      QC8
      QCC
      QCW
      QW2
      QW3
      QW6
      WMK
      WQ6
      Z3W
      ZWC
      Synthetics
      72 117 346 CBOT Globex Commodity Futures II AW AW Dow Jones UBS Commodity Index futures
      EH EH CBOT Denatured Fuel Ethanol futures 
      FZE CBOT Denatured Fuel Ethanol Forward Month Futures
      DDG Distillers Dried Grain Futures
      RS* DRS Dow Jones-UBS Roll Select Commodity Index futures
      XK XK Mini-sized Soybean futures
      ZO ZO Oat futures
      ZR ZR Rough Rice futures
      ZS ZS Soybean futures
      ZM Soybean Meal Futures
      ZL Soybean Oil Futures
      03 QC4
      QM2
      QM3
      QM4
      QM5
      QM6
      QO2
      QO3
      QO4
      QO5
      QO6
      QS0
      QS1
      QS2
      QS3
      QS5
      QS8
      QS9
      QX5
      S7C
      SQ2
      SQ5
      Synthetics

      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 20. Customers will be able to re-enter orders on Sunday, June 22, for trade date Monday, June 23.

      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 is currently available for customer download in production.

      The new channel and channel information are currently available in New Release for customer testing.

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      FIX/FAST Instrument Definition Feed MPS Rate Changes

      Effective Sunday, June 22 (trade date Monday, June 23), the Instrument Definition Feed message per second (MPS) rate for FIX/FAST Market Data channels will be modified. CME Group is modifying the MPS rate to balance bandwidth utilization.

      As a part of the customer Service Level Agreement (SLA), CME Group will attempt to keep the total time to recover all of the instruments on a specific channel to less than 90 seconds. Additional information on the Instrument Definition feed is available in the Client Systems Wiki.

      The current and new MPS rates for the Instrument Definition Feed are available online.

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      Preliminary FIX/FAST Settlement Prices

      Effective Sunday, June 22 (for trade date Monday, June 23), preliminary settlement prices will now be available via FIX/FAST once they are calculated by CME Group. The preliminary settlement data blocks will contain Tag 286-OpenCloseSettlFlag=100 or 101 to identify the preliminary settlement price.

      Currently, settlement messages are sent via ITC 2.1 floor market data feed as they are generated and FIX/FAST preliminary settlement messages are batched and sent at pre-determined timeframes. With this change, FIX/FAST preliminary settlement messages will also be sent as they are generated. This change has been made to ensure more timely and consistent market data behavior.

      Please note settlement messages may be disseminated at any time throughout the trading day.

      Final Settlement message processing via FIX/FAST and the format of preliminary settlement messages will not change. Additional information on Settlement Prices is available in the Client Systems Wiki.

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      streamlined FIX/FAST - Dow Jones-UBS Commodity Indices

      Effective Tuesday, July 1, Dow Jones-UBS Commodity Indices will move to a new streamlined FIX/FAST MDP channel 152. With this change, the Dow Jones-UBS Commodity Indices (DJ-UBS) will be renamed to Bloomberg Indexes and will be fee waived.

      To support this change, a new sub-channel identifier 5 will be introduced to streamlined FIX/FAST.

      By the end of the day on Monday, June 30, customers will receive Market Data Security Definition (tag 35=d) deletion messages (tag 980=d) for the affected instruments on MDP channel 151. On Tuesday, July 1, customers will receive new Market Data Security Definition (tag 35=d) messages for these instruments on MDP Channel 152.

      The New Release and Production market data channel will be in the config.xml file on the CME Group FTP site on Monday, June 9.

      Information regarding the new Bloomberg streamlined Market Data Feed is available in Client System Wiki.

      The new Indices symbols and names are available online.

      These instruments will be available on the new MDP Channel 152 in the New Release environment on Monday, June 9.

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      New CME Globex Market Data Protocol

      In Q3 2014, 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.

      The final version of the MDP 3.0 protocol will be in New Release in June 30, 2014.

      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
      • Opt-In functionality for Order identifier on both market data and order entry messages

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      MDP 3.0 Trade Summary Message Update

      A new FIX field is being introduced in Order Entry iLink messages to provide customers with the flexibility of identifying if they want their Tag 37-Order ID an anonymous, CME Globex-assigned order identifier to be displayed in the Market Data Incremental Trade Summary message (tag 35=X). This provides customers with the option of disclosing their order ID to the marketplace for any order they submit.

      The Market Data Incremental Refresh Trade Summary message and Opt-In functionality will be available in New Release for customer testing on Monday, June 30.

      In addition, there will be a new schema file available via the CME Group FTP site for customer download. The new schema file includes the following changes.

      • Market Data Incremental Refresh Trade Summary Message has been aligned to word boundaries.
      • Removal of templates that are no longer used and are no longer backward compatible.
      • 3 New Template IDs:

      New ID Templates

      Message Type

      New Template ID

      Old Template ID

      Description of Changes

      Market Data Request for Quote

      39

      31

      • Changing Binary Type for tag 38-OrderQty to allow Null value.
      • MsgType for Tag 35 previously was CHAR, now changed to a constant value ‘R’

      Market Data Incremental Refresh - Trade Summary Message

      40

      26

      Word Boundaries and Block Alignment

      Market Data Security Definition - Options

      41

      28

      • Strike Price to allow Null value.
      • New field added: tag 201-PutorCall.
      • Addition of tag 9779-UserDefinedInstrument.

      The client impact assessment, functional specifications, and message specifications provide detailed functionality and messaging information.
      MDP 3.0 channels and functionality are currently available in New Release.

      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.

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      MDP 3.0 Decoder

      Real Logic Ltd. and Informatica have collaborated to create open source tools that provide extensive support for Simple Binary Encoding (SBE), the messaging standard developed through the Financial Information Exchange (FIX) Trading Community. The SBE decoders will create an environment that can be used directly by customers or treated as a reference implementation that can be extended into custom solutions tailored to individual customer's needs. The information and tool are open to the public under an Apache Public License and available here.

      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.

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      iLink and Drop Copy Enhancements for MDP 3.0 Trade Summary Message

      Effective with the production launch of MDP 3.0, iLink will introduce opt-in functionality for displaying tag 37-OrderID in the MDP 3.0 trade summary message (tag 35-MsgType=X). Tag 37 is the anonymous, CME Globex-assigned order identifier.

      Customers may choose to opt-in their orders using the FPL-defined FIX tag 1091-PreTradeAnonymity. The Trade Summary message, which announces the trade to the marketplace, will include tag 37 values for orders where tag 1091=N. Tag 37 values will be published on market data for trades only.

      Drop Copy will also support the new tag 1091 at launch.

      The new iLink tag 1091 can be submitted on the following messages:

      • New Order (tag 35-MsgType=D)
      • Order Cancel/Replace Request(tag 35-MsgType=G)
      • New Order Cross (tag 35-MsgType=s)
      • Mass Quote (tag 35-MsgType=i)

      Tag 1091 will be returned on the following iLink messages only when a valid value is sent on the originating message:

      • Execution Report: Order Creation or Modify (tag 35-MsgType=8, OrdStatus=0 or 5)
      • Execution Report: Order Cancel(tag 35-MsgType=8, OrdStatus=4)
      • Execution Report: Fill Notice (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2)
        • only for spreads and outrights
      • Execution Report: Order Elimination (tag 35-MsgType=8, tag 39-OrdStatus=4 or C)
      • Execution Report: Reject (tag 35-MsgType=8, tag 39-OrdStatus=8)
      • Execution Report: Trade Cancel (tag 35-MsgType=8, tag 39-OrdStatus=H)
        • only for outrights
      • Order Cancel/Replace Reject (tag 35-MsgType=9, tag 434-CancelRejResponseTo=2)
      • Quote Acknowledgement (tag 35-MsgType=b)

      tag 1091-PreTradeAnonymity
      Tag FIX Name Req Valid Values Format Description
      1091 PreTradeAnonymity N Y
      N
      Boolean (1) Defines whether the tag 37-OrderID will be included in the Trade Summary message in MDP 3.0.
      If tag is not sent or sent with “Y”, tag 37 value will not appear in the Trade Summary message.
      If tag is sent with “N”, tag 37 will appear in the Trade Summary message.

      If the tag 1091 value exceeds the max length of 1 byte, New Orders and Order Cancel/Replace Requests will be rejected with a Session Level Reject (35=3) and Mass Quotes and New Order Cross will be rejected with a Business Level Reject message (35=j) with tag 380-BusinessRejectReason = 0. Any invalid value will be ignored and the tag 37 will not be displayed in the Trade Summary message.

      Current iLink message specifications are available online.

      Certification is not required for iLink and Drop Copy customers who wish to use the new opt-in tag 1091. All customers are required to certify for and migrate to the new MDP 3.0 market data.

      Tag 1091 will be available in New Release for customer testing on Monday, June 30.

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      Product Launches

      Bursa Malaysia Derivative (BMD) USD RBD Palm Olein Futures

      Effective this Sunday, June 15 (trade date Monday, June 16), having received approval from the Securities Commission (SC), Bursa Malaysia Derivatives (BMD) will list USD RBD Palm Olein futures (tag1151-SecurityGroup=FPOL, tag 55-Symbol=BL) for trading on CME Globex. The BMD USD RBD Palm Olein futures will support implied functionality.

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

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      Update - Henry Hub Natural Gas Last Day Financial Futures in Units per Month

      Effective Sunday, June 22 (for trade date Monday, June 23), Henry Hub Natural Gas Last Day Financial futures (tag 1151-SecurityGroup=NNE, tag 55-Symbol=HX) in Units per Month (MMBtu/Month) will be available for trading on CME Globex. Currently, Henry Hub Natural Gas Last Day Financial (tag 1151-SecurityGroup=NN, tag 55-Symbol=HX) is available for trading on CME Globex Units per Day (MMBtu/Day). With this launch, Henry Hub Natural Gas Last Day Financial futures will be available for trading CME Globex in Units per Month (MMBtu/Month) and in Units per Day (MMBtu/Day).

      The Henry Hub Natural Gas Last Day Financial futures in Units per Month (MMBtu/Month) is currently available for customer testing in New Release.

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      Soybean Crush Options

      Effective Sunday, June 22 (for trade date Monday, June 23), Soybean Crush options will be available for trading on CME Globex.

      Soybean Crush Options

      Options

      tag 1151-Security Group

      tag 55-Symbol (Outrights)

      tag 55-Symbol (UDS)

      Soybean Crush Options

      BCE

      OM

      OX

      In addition, a new synthetic future will be launched for the Soybean Crush. Settlement prices will be published for the new synthetic future to support customers' options pricing model. The Soybean Crush Options will identify BCE as the underlying contract in tag 309-UnderlyingSecurityID of the Security Definition (tag 35-MsgType=d) message.

      The Soybean Crush options will be available for customer testing in New Release on Monday, June 9.

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      Energy Spread Listing

      Effective Sunday, June 22 (for trade date Monday, June 23), the following calendar spreads and futures strips spreads will be listed on CME Globex:

      Energy Spread Listing

      Product

      tag 1151-Security Group

      tag 55-Symbol

      Spread Listing

      Gasoline Euro-bob Oxy NWE Barges (Argus) Crack Spread Futures

      T7K

      PT

      • All calendar spreads (tag 762-SecuritySubType=SP) combinations for first 18 months
      • First 4 quarterlies strip spreads (tag 762-SecuritySubType=FS)
      • First 4 quarterly strip spreads (tag 762-SecuritySubType=SB)

      Gulf Coast #6 FO 3% (Platts) vs. European 3.5% FO Barges FOB Rdam (Platts) Futures

      GCU

      PT

      Singapore Gasoil (Platts) Futures

      SGB

      PT

      European Naphtha (Platts) Crack Spread Futures

      EN

      PT

      Mini Gasoline Euro-bob Oxy NWE Barges (Argus) Futures

      MEO

      RF

      Gasoline Euro-bob Oxy NWE Barges (Argus) Futures

      B7H

      PT

      NY Harbor ULSD vs. Gasoil Futures

      HAB

      PT

      NY Harbor ULSD Crack Spread Futures

      AHL

      RF

      NY Harbor ULSD Brent Crack Spread Futures

      HOB

      RF

      NY Harbor ULSD Financial Futures

      MPX

      PT

      RBOB Gasoline Brent Crack Spread Futures

      RBB

      PT

      RBOB Gasoline vs. NY Harbor ULSD Futures

      ARY

      RF

      RBOB Gasoline Crack Spread Futures

      ARE

      RF

      These spread will be available for customer testing in New Release on Monday, June 16.

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      Dubai Mercantile Exchange (DME) Oman Crude Oil Trade at Marker (TAM) Futures

      Effective Monday, June 30 (trade date Tuesday, July 1), Dubai Mercantile Exchange (DME) will introduce Oman Crude Oil Trade at Marker (TAM) futures on CME Globex, pending receipt of regulatory approval. TAM futures are traded at a differential to a not-yet-known marker price.

      The marker corresponds to the market price in the Singapore cash market at the close at 4:30 p.m. Singapore Standard Time (STT). The TAM marker prices will be disseminated under the symbol OQ1 via the Market Data Platform DME ITC channel.

      Oman Crude Oil TAM will use “0” to represent the marker price and is limited to ± 25 ticks.

      Trade at Marker (TAM)

      Product

      tag 1151-SecurityGroup

      tag 55-Symbol

      Oman Crude Oil TAM

      OQB

      TD

      This product will be available for customer testing in New Release Monday, June 16.

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      Product Changes

      Alberta Power Pool Futures

      Effective this Sunday, June 15 (trade date Monday, June 16), minimum tick increment tag 969-MinPriceIncrement will be modified for the following power futures:

      Alberta Power Pool Futures

      Futures

      tag 1151-Security Group

      tag 55-Symbol

      Current 96-
      MinPriceIncrement

      New 969-MinPriceIncrement

      Alberta Power Pool Calendar Day 1 MW Futures

      OAD

      PA

      5

      1

      Alberta Power Pool Calendar Month 1 MW Futures

      AQK

      ZZ

      5

      1

      Alberta Power Pool Extended Off-Peak Calendar-Day Futures

      PFP

      PA

      5

      1

      Alberta Power Pool Extended Off-Peak Calendar-Month Futures

      FEF

      PA

      5

      1

      Alberta Power Pool Extended Peak Calendar-Day Futures

      XPP

      PA

      5

      1

      Alberta Power Pool Extended Peak Calendar-Month Futures

      PEX

      PA

      5

      1

      Alberta Power Pool Off-Peak Calendar-Day Futures

      LAF

      PA

      5

      1

      Alberta Power Pool Off-Peak Calendar-Month Futures

      PHF

      PA

      5

      1

      Alberta Power Pool Peak Calendar-Day
      Futures

      LAP

      PA

      5

      1

      Alberta Power Pool Peak Calendar-Month Futures

      APA

      PA

      5

      1

      This is an operational change only.

      This change is currently available for testing in the New Release environment.

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      Listing Cycle Changes for Energy Options

      Effective this Sunday, June 15 (for trade date Monday, June 16), the listing rules for the following energy options will be expanded on CME Globex as follows:

      Listing Cycle Changes for Energy Options

      Product Name

      tag 1151-Security Group

      tag 55-Symbol

      Current Listing Schedule

      New Globex Listing Schedule

      Current Strike Listing Rule

      New Strike Listing Rule

      NY Harbor ULSD Options

      OH

      OH

      Current Year + 3 Years + 1 Month

      No Change

      Twenty strike prices in $0.01 per gallon increments above and below the at-the-money strike price, and the next 10 strike prices in $0.05 increments above the highest and below the lowest existing strike prices for a total of at least 61 strike prices. The at-the-money strike price is the nearest to the previous day's close of the underlying futures contract. Strike price boundaries are adjusted according to the futures price movements.

      One hundred strike prices in $0.01 per gallon increments above and below the at-the-money strike price, and the next 20 strike prices in $0.05 increments above the highest and below the lowest existing strike prices for a total of at least 241 strike prices. The at-the-money strike price is the nearest to the previous day's close of the underlying futures contract. Strike price boundaries are adjusted according to the futures price movements.

      WTI Calendar Spread Options (One Month)

      WAY

      XZ

      One-month calendar spreads are available for each underlying Light Sweet Crude Oil Futures spread. Additionally, spreads are available for any combination of the first four months; one month spreads during the first 60 listed months; the closest March/March, June/June, September/September, and all one-year December/December spreads; and all June/December, December/June, spreads through the third nearby June and fourth nearby December

      No Change

      Strike Price - Ten strike prices in increments of $0.05 per barrel above and below the at-the-money strike price, and the next five strike prices in increments of $0.10 a barrel above the highest and below the lowest existing strike prices for a total of at least 31 strike prices. Strike price boundaries are adjusted according to futures price movements.

      Twenty strike prices in increments of $0.05 per bbls above and below the at-the-money strike price; and additional ten strike prices in increments of $0.25 per bbls above and below the highest and lowest five increment as described before; and additional 4 strike prices in increments of $0.50 per bbls above and below the highest and lowest 25 increment as described before. Strike price boundaries are adjusted according to futures price movements.

      Henry Hub Natural Gas Financial Calendar Spread Options (One Month)

      G4X

      GN

      Options on one month calendar spread are available for the next 60 expirations.

      36 Months

      Ten strike prices in increments of $0.05 per MMBtu above and below the at-the-money strike price; and additional five strike prices in increments of $0.10 per MMBtu above and below the highest and lowest five increment as described before. Strike price boundaries are adjusted according to futures price movements.

      Fifty strike prices in increments of $0.05 per MMBtu above and below the at-the-money strike price. Strike price boundaries are adjusted according to futures price movements.

      With this change, approximately 7,700 new instruments will be listed 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.

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      Strike Price Interval Reduction for Options on Mexican Peso/U.S. Dollar (MXN/USD) Futures

      Effective Sunday, June 22 (trade date Monday, June 23), the strike price interval for options on Mexican Peso/U.S. Dollar (MXN/USD) futures will be reduced from an increment of .000625 to .000500. With this change, the strike price listing rules will be expanded from ± 24 ATM to ± 30 ATM for all trading maturities.

      Weekly and Monthly Options on Mexican Peso/U.S. Dollar Futures

      Options

      tag 1151-Security Group

      tag 55-Symbol

      Mexican Peso Options Long dated

      6M

      MO

      Mexican Peso Options Week 1

      1M

      6M

      Mexican Peso Options Week 2

      2M

      6M

      Mexican Peso Options Week 3

      3M

      6M

      Mexican Peso Options Week 4

      4M

      6M

      Mexican Peso Options Week 5

      5M

      6M

      These changes will be available for customer testing in New Release on June 16, 2014.

       

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