• CME Globex Notice: October 19, 2015

      • To
      • CME Globex and Market Data Customers
      • #
      • 20151019
      • Notice Date
      • 19 October 2015
    •  

      Topics in this issue include:

       

      Critical System Updates

      MDP 3.0 Migration Schedule

      MDP 3.0 is now the sole "Feed of Record" and markets will be halted for MDP 3.0 issues only. Markets will not be halted for issues affecting FIX/FAST only. The legacy FIX/FAST feed will be decommissioned after the close on Friday, October 30, 2015.

      TAS Pre-Validation

      Only the publishing of the MDP 3.0 Pre-Open state message will be valid for the start of the TAS market and TAS order entry. CME Group will be utilizing timestamps from MDP 3.0 when determining potential violations. The CME Group Market Regulation rules for TAS Transactions can be found here.

      Trade Summary Message: Order Detail Level Processing

      Enhanced Trade Summary Order Detail Level Processing specifications are now available here. CME Group strongly encourages client systems to support the dissemination of Trade Summary Order Details. Leveraging the Order Detail information provides a more granular view into trade events, access to fill information (for customers that opt to include their iLink order ID in the MDP 3.0 messages), and supports Time and Sales and charting applications.

      Additional Information

      Customer systems receiving market data via CME Globex must complete mandatory certification via AutoCert+. The functional and message specifications provide detailed information.

      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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      Update - New iLink Architecture Phase 2 Pre-Launch

      Denotes update to the article

      Starting Sunday, November 1, CME Group will begin to implement the new Market Segment Gateways (MSGW) into the iLink architecture between the trading engines and the current iLink gateways (CGW). Customers will not be able to connect directly to the MSGWs until the Phase 2 launch starting in January 2016.

      In internal testing, the MSGW Phase 2 Pre-Launch reduced iLink order entry round-trip times.

      With each MSGW Pre-Launch, CME Group expects performance enhancements which will vary for each market segment. The performance forecasts will be released two weeks prior to each MSGW Pre-Launch.

      The MSGW Phase 2 Pre-launch will include the New iLink Failover Process.

      Due to the significant performance improvements, CME Group will offer a customer mock trading session prior to each MSGW Pre-Launch weekend. These mock trading sessions will offer customers the opportunity to interact with the system and experience the new failover process in the CME Globex production environment. Customers are required to register and join the conference bridge line in order to participate in the mock trading sessions. For more information about the Mock Trading Sessions, please view the mock trading session script.

      MSGW Phase 2 Pre-Launch Schedule
      Tag1300-MarketSegmentID Market Segment Mock Trading Session MSGW Phase 2 Pre-Launch Schedule iLink Round-TrIp Times Improvement (up to)
      52 CME FX options October 31 November 1 50%
      62 CME FX futures October 31 November 1 30%
      60 CBOT Commodity and Equity options October 31
      November 14
      November 15 42%
      70 CME Commodity futures October 31
      November 14
      November 15 36%
      72 CBOT Commodity futures October 31
      November 14
      November 15 33%
      54 CME Equity options November 14
      December 19
      December 20 TBD
      64 CME E-mini S&P 500 futures November 14
      December 19
      December 20 TBD
      66 CBOT Equity futures November 14
      December 19
      December 20 TBD
      68 CME Equity futures excluding E-mini S&P November 14
      December 19
      December 20 TBD
      50 CME Eurodollar options December 19
      January 9
      January 10 TBD
      58 CBOT Treasury options December 19
      January 9
      January 10 TBD
      82 CME Eurodollar futures December 19
      January 9
      January 10 TBD
      84 CBOT Treasury futures December 19
      January 9
      January 10 TBD
      56 NYMEX and COMEX options January 9
      January 30
      January 31 TBD
      74 Hosted Partner Exchange markets January 9
      January 30
      January 31 TBD
      76 NYMEX and COMEX Metals and Alternative Market futures January 9
      January 30
      January 31 TBD
      78 NYMEX Non-Crude Energy and Emissions futures January 9
      January 30
      January 31 TBD
      80 NYMEX Crude Energy futures January 9
      January 30
      January 31 TBD
      86 CME Europe futures and options January 9
      January 30
      January 31 TBD

       

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      New iLink Failover Process

      Starting Sunday, November 1, CME Group will introduce a new iLink failover process to improve customers’ ability to recover from a CME Globex component failure. The new iLink Failover Process change will affect all iLink sessions.

      In addition to the new reject message, a new Technical Pause will be introduced to ensure that all messages sent during the MSGW failover are acknowledged by CME Globex. During the MSGW failover, CME Globex will transition all product groups on that market segment into a Technical Pause and then Technical Pre-Open. The MDP Security Status (tag 35-MsgType=f) message is generated with tag 327-HaltReason=6 (Recovery in process) to notify the market of these states. After the market transitions to pre-open, order entry will be allowed as usual.

      The new iLink failover process is currently available for customer testing in New Release.

      Detailed information including these failover behavior changes and customer New Release testing window are now available online.

       

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      Update - AutoCert+ SMART Click Integration

      Denotes update to the article

      In November 2015, AutoCert+ will be accessible via the existing Cert VPN and the internet. The current access model through Cert VPN will eventually be replaced by an internet URL. Both Cert VPN and internet URL based access models will continue to be supported until a date to be published in upcoming CME Globex Notices. AutoCert+ users will then have to migrate to the new internet based access method.

      Please note: Existing IDs will still be usable at the new URL.

      In late Q4 2015, all AutoCert+ access will migrate to SMART Click. The migration has been designed to minimize customer impacts; users will associate their legacy entitlements to their SMART Click ID and connect via a new URL. SMART Click is a self-managed, centralized user profile service that authenticates access to CME Group applications and services. Benefits of SMART Click include:

      • A single User ID and password to access CME Group services and applications;
      • One User ID to access multiple firms;
      • User-owned IDs, regardless of changes to employers or firm relationships;
      • Secure access using 2-factor authentication;

      If you have questions, please contact Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803, or in Asia at +65 6593 5593.

       

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      MDP 3.0: New Schema File and Updated High Bid/Low Ask Statistics Calculations

      Starting on Sunday, December 6 (trade date Monday, December 7), updates to the calculation of High Bid/Low Ask Statistics and a new Schema file will be implemented for MDP 3.0 as follows:

      High Bid/Low Ask Statistics

      • The High Bid / Low Ask Statistics changes will be split into two parts for the New Release implementation only:
        • High Bid / Low Ask Statistics Calculation at the Open.
        • High Bid / Low Ask Statistics Calculation for Aggressing Orders.
      • Both High Bid / Low Ask Statistics Calculations will be available in the Production environment at the same time for each channel according to the implementation schedule.

      New Schema File

      • The new Schema file will use Template Extension.
        • CME Group recommends that the new Schema file be downloaded and implemented on the production date for which Channels with data that are consumed by the customer begin using the new Schema file.
      • New Tag 5796-TradingReferenceDate in Market Data Security Definition Message will be added to the end of the message body before repeating groups in the Security Definition templates for Futures, Options and Spreads.
        • It is extremely important that customers use the blockLength attribute of each message to ensure that the new field is either processed or ignored by their systems, and so that the next message received can be processed correctly. 
      • Minor syntax changes for consistency.

      The schedule for the New Release and Production Environment implementations of the new Schema File and the High Bid / Low Ask Calculations, and descriptions of the changes can be found here.

       

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      New iLink Architecture Phase 2

      Starting in January 2016 over several months CME Group will launch Phase 2 of the new iLink Architecture, which will implement Market Segment Gateways (MSGWs) throughout the iLink infrastructure to provide:

      • FIFO ordered message handling per market segment, and
      • Elimination of variability associated with multiple sessions across multiple gateways

      The Phase 2 launch will allow customers to access the Market Segment Gateways directly and introduce a new session ID model, messaging and functionality changes. Customers may choose to access CME Globex markets through the MSGWs or the current Convenience Gateways (CGWs), which will continue to be supported and will route through the MSGWs.

      The MSGW config.xml file for the Production and New Release environments is currently available on the CME Group SFTP site. The file will contain the list of all market segments and MSGW IP addresses. Refer to MSGW – SFTP Site Information for more information.

      A new MSGW certification suite is currently available in Autocert+. Customer systems who want to connect directly to the MSGW must complete this mandatory certification.

      All customers are encouraged to review the new iLink Architecture Client Impact Assessment.

      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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      Drop Copy 4.0 Implementation

      Starting in January 2016, CME Group will implement Market Segment Gateways (MSGWs) for Drop Copy 4.0, in addition to the Convenience Gateway (CGW) implementation currently available in production. The launch schedule will be announced in future CME Globex Notices.

      With the new implementation, the Drop Copy service will have a new session model where customers will have access to two types of target sessions:

      • Drop Copy Convenience Gateway (CGW) target session - consumers manage sequence streams from Convenience Gateway iLink source sessions across all market segments.
      • Drop Copy Market Segment Gateway target session - consumers manage sequence streams from Market Segment Gateway iLink source sessions per unique market segment; with the possibility of having the same sequence numbers from multiple market segments.

      The Drop Copy 4.0 MSGW config.xml file for the Production and New Release environments is currently available on the CME Group SFTP site. The file will contain the list of all market segments and Drop Copy 4.0 MSGW IP addresses. Refer to Drop Copy 4.0 MSGW – SFTP Site Information.

      The new Drop Copy 4.0 implementation will include:

      • Harmonized customer experience between iLink and Drop Copy
      • New message format with encapsulated message type
      • New supported FIX tags on Drop Copy messages - inbound and outbound
      • Harmonized resend behavior (elimination of Application Resend functionality)
      • Sequencing by market segment (see: New iLink Architecture client impact assessment)
      • Robust fault tolerance

      Certification is mandatory for all Drop Copy customers and is a prerequisite for access to Drop Copy Convenience Gateways and Market Segment Gateway target sessions. Upon completion of certification in the new Drop Copy 4.0 test suite in AutoCert+, customers can request Drop Copy CGW and/or Drop Copy MSGW target sessions.

      Executing firms planning to leverage market segment gateway iLink sessions should follow up with their Clearing firms to confirm their readiness to support Drop Copy 4.0.

      Drop Copy 4.0 is not backward compatible and customer systems not certified for Drop Copy 4.0 will not have the ability to add MSGW sessions to their Drop Copy Group.

      The client impact assessment is now available outlining changes introduced by the new Drop Copy 4.0 implementation and details regarding functionality and messaging in the Drop Copy 4.0 Overview section.

      The existing implementation of Drop Copy will be phased out in Q1 2016. All customers leveraging the Drop Copy service must be certified for Drop Copy 4.0 by that date.

      Drop Copy 4.0 CGW and MSGW are available in New Release for customer testing.

      For more information, a Frequently Asked Questions (FAQ) guide is now available.

      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 Session ID Policy and Operational Guidelines

      As a result of the upcoming iLink Architecture with Market Segment Gateways, CME Group plans to introduce a new policy for the distribution and management of iLink session IDs as explained in the iLink Session ID Policy and Operational Guidelines.

      A Port Activation Charge (PAC) will apply to all newly created Convenience Gateway (CGW) iLink sessions. Newly created and existing CGW iLink session IDs will not be subject to Monthly Inactivity (MIC) measurement or surcharges until iLink Session Policy Phase 2 begins, which is estimated to be March 1, 2016.

      To ensure a successful migration to the revised iLink Session Policy, clearing and executing firms are encouraged to contact their Global Account Manager with any questions.

       

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      New Functionality

      Implied Options

      Effective Sunday, December 6 (trade date Monday, December 7), CME Group will introduce Implied functionality for options strategies and outrights.  Implied options functionality is request based, via Request for Quote (RFQ) messages on an implied eligible strategy, for a defined period of time. A detailed description of Implied Options functionality is included here.

      The following products will be implied eligible on Sunday, December 6.

      Energy and Metals Options
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Crude Oil Options LO LO
      Crude Oil Weekly Options LO1-LO5 LO
      WTI Crude Oil 1 Month Calendar Spread Options WAY XZ
      Light Sweet Crude Oil (WTI) Financial 1 Month Spread Options B7A PR
      Brent Last Day Financial Options OSX PR
      WTI-Brent Crude Oil Spread Options ABV OF
      Natural Gas Options (American) ON ON
      Natural Gas Weekly Options (American) ON1-ON5 ON
      Natural Gas Options (European) LNE LG
      Natural Gas Weekly Options (European) LN1-LN5 LG
      Natural Gas (Henry Hub) Daily Options KDB GZ
      New York Harbor ULSD Options OH OH
      RBOB Gasoline Options OB OB
      Gold Options OG OG
      Gold Weekly Options OG1-OG5 OG
      Silver Options SO SO
      Silver Weekly Options SO1-SO5 SO
      Copper Options HXE 1U
      Copper Weekly Options H1E-H5E 1U
      Platinum Options PO P0
      Palladium Options PAO P3

      The Implied Options functionality will be available for customer testing in New Release on Monday, November 8.

       

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      Product Launches

      CME Europe Emissions Monthly and Daily Futures

      The target launch date for these products is Sunday, November 1 (trade date Monday, November 2), pending regulatory approval. Upon approval, these products will be available for trading on CME Globex and clearing submission via CME ClearPort.

      On Monday, October 12, the following CME Europe Emissions Monthly and Daily futures will be available in New Release for customer testing.

      CME Europe Emissions Monthly and Daily Futures
      Product

       

      iLink:tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      European Union Allowance Future EMA CE
      European Union Allowance Daily Future EDA CE

      These contracts are listed on, and subject to, the rules of UK RIE CME Europe Ltd.

       

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      South American Short-Dated New Crop Soybean Options

      Effective Sunday, November 1 (trade date Monday, November 2), the South American Short-Dated New Crop Soybean options will be listed for trading on CME Globex and for clearing submission via CME ClearPort.

      South American Short-Dated New Crop Soybean Options
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group (Outrights)
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group (UDS)
      South American Short-Dated New Crop Soybean Options SRS SQ PZ

      These contracts are listed with and subject to the rules and regulations of CBOT.

       

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      New – BTIC on E-mini S&P 500 Futures and BTIC on E-mini Nasdaq-100 Futures

      Effective Sunday, November 15 (trade date Monday, November 16), BTIC on E-mini S&P 500 futures and BTIC on E-mini Nasdaq-100 futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      BTIC on E-mini S&P 500 Futures and BTIC on E-mini Nasdaq-100 Futures
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      BTIC on E-mini S&P 500 Futures EST SB
      BTIC on E-mini Nasdaq-100 Futures NQT NB

      These futures will be available in New Release for customer testing on Monday, November 2.

      These contracts are listed with, and subject to, the rules and regulations of CME.

       

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      New – BTIC on E-mini DJIA Futures

      Effective Sunday, November 15 (trade date Monday, November 16), BTIC on E-mini DJIA futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      BTIC on E-mini DJIA Futures
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      BTIC on E-mini DJIA Futures YMT DB

      These futures will be available in New Release for customer testing on Monday, November 2.

      These contracts are listed with, and subject to, the rules and regulations of CBOT.

       

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      New – S&P MLP Total Return Index Futures and BTIC on S&P MLP Total Return Index Futures

      Effective Sunday, November 15 (trade date Monday, November 16), S&P MLP Total Return Index futures and BTIC on S&P MLP Total Return Index futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      S&P MLP Total Return Index Futures and BTIC on S&P MLP Total Return Index Futures
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      S&P MLP Total Return Index Futures SLP MP
      BTIC on S&P MLP Total Return Index Futures SLT MR

      These futures will be available in New Release for customer testing on Monday, November 2.

      These contracts are listed with, and subject to, the rules and regulations of CME.

       

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      New – S&P 500 Quarterly and Annual Dividend Index Futures

      Effective Sunday, November 15 (trade date Monday, November 16), S&P 500 Quarterly and Annual Dividend Index futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      S&P 500 Quarterly and Annual Dividend Index Futures
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      S&P 500 Annual Dividend Index Futures SDA SD
      S&P 500 Quarterly Dividend Index Futures SDI SD

      These futures will be available in New Release for customer testing on Monday, November 2.

      These contracts are listed with, and subject to, the rules and regulations of CME.

       

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      New – European Distillate Crack Spread Futures

      Effective Sunday, November 15 (trade date Monday, November 16), the following European Distillate Crack Spread futures will be listed for trading on CME Globex.

      European Distillate Crack Spread Futures Contracts
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Jet Fuel Cargoes CIF NWE (Platts) Crack Spread Futures JFC CP
      Jet Fuel Cargoes CIF NWE (Platts) Crack Spread BALMO Futures JFB CP
      European Low Sulphur Gasoil Brent Crack Spread BALMO Futures ESB PT
      Low Sulphur Gasoil Crack Spread (1000mt) BALMO Financial Futures ESS PT

      These futures will be available in New Release for customer testing on Monday, November 2.

      These contracts are listed with, and subject to, the rules and regulations of NYMEX.

       

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      New – Metals Average Price Options

      Effective Sunday, November 15 (trade date Monday, November 16), Copper and U.S. Midwest Domestic Hot-Rolled Coil Steel Index average price options (APOs) will be listed for trading on CME Globex.

      Metals Average Price Options
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group (Outrights)
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group (UDS)
      DCM
      Copper Average Price Options CAP 1U (one U) 2U (two U) COMEX
      U.S. Midwest Domestic Hot-Rolled Coil Steel Index Average Price Options HRO I1 (eye one) I2 (eye two) NYMEX

      These options will be available in New Release for customer testing on Monday, November 2.

       

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      New – Lead Futures

      Effective Sunday, November 22 (trade date Monday, November 23), Lead futures will be listed for trading on CME Globex and submission for clearing via CME ClearPort.

      Lead Futures
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Lead Futures LED LD

      These futures will be available in New Release for customer testing on Monday, November 9.

      These contracts are listed with, and subject to, the rules and regulations of COMEX.

       

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      Product Changes

      New – Delisting of Treasury Ratio Calendar Spreads

      Effective immediately the following treasury ratio calendar spreads will be delisted for trading on CME Globex.

      Treasury Ratio Calendar Spreads
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Tag 762-SecuritySubType Tag 623-LeqRatioQty
      Ultra U.S. Treasury Bond Reduced-Tick Ratio Calendar Spread UBX ZU RT Front Leg:98
      Back Leg: 99
      30-Year Treasury Bond Reduced-Tick Ratio Calendar Spread ZBX ZB RT Front Leg:98
      Back Leg: 99
      10-Year Treasury Note Reduced-Tick Ratio Calendar Spread ZNX ZN RT Front Leg:99
      Back Leg: 98
      5-Year Treasury Note Calendar Spread ZFX ZF SP Front Leg:99
      Back Leg: 98
      2-Year Treasury Note Ratio Calendar Spread ZTX ZT SP Front Leg:98
      Back Leg: 99

      These contracts are listed on, and subject to, the rules and regulations of CBOT.

       

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      New - Changes to High Sulfur Fuel Oil Futures Listing Cycle

      Effective this Thursday, October 22 (trade date Friday, October 23), the listing cycle for the following High Sulfur Fuel Oil futures will be reduced on CME Globex.


      Changes to High Sulfur Fuel Oil Futures Listing Cycle
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current Listing Schedule New Listing Schedule (as of October 23, 2015) Contracts to be Delisted (From/To and Including)
      Gulf Coast No. 6 Fuel Oil 3.0% (Platts) Futures MFB PT 52 consecutive months Through and including December 2018 Jan 2019 to Feb 2020
      Gulf Coast No. 6 Fuel Oil 3.0% (Platts) vs. European 3.5% Fuel Oil Barges FOB Rdam (Platts) Futures GCU PT 36 consecutive months Through and including December 2017 Jan 2018 to Oct 2018
      Gulf Coast No. 6 Fuel Oil (Platts) Crack Spread Futures MGH RF 36 consecutive months Through and including December 2017 Jan 2018 to Oct 2018
      NY 1% Fuel Oil (Platts) vs. Gulf Coast 3% Fuel Oil (Platts) Futures VR PT 36 consecutive months Through and including December 2016 Jan 2018 to Oct 2018
      Gulf Coast No.6 Fuel Oil 3.0% (Platts) Brent Crack Spread Futures GCI RF 36 consecutive months Through and including December 2016 Jan 2018 to Oct 2018
      NY 3.0% Fuel Oil (Platts) vs. Gulf Coast No. 6 Fuel Oil 3.0% (Platts) Futures FOC RF 36 consecutive months Through and including December 2016 Jan 2018 to Oct 2018
      Gulf Coast No. 6 Fuel Oil 3.0% (Platts) Average Price Options AFG EF 52 consecutive months Through and including December 2016 Jan 2018 to Oct 2018

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

      These contracts are listed on, and subject to, the rules and regulations of NYMEX.

       

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      Unit of Measure Enhancements for Outright Options on Future Spreads

      Effective Sunday, November 1 (trade date Monday, November 2), tag 996-UnitofMeasure and 1147-UnitofMeasureQty will be updated for all outright options on future spreads.

      With this enhancement, the values in tags 996 and 1147 will match those of their underlying futures.

      There will be no impact to resting orders.

      Outright options future spreads with the new tag values are currently available in New Release for customer testing.

       

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      RBOB Gasoline Options Listing Cycle Change

      Effective Sunday, November 1 (trade date Monday, November 2), the listing cycle for the RBOB Gasoline options will be reduced from the current 36 consecutive months to 12 consecutive months on CME Globex.

      RBOB Gasoline Options
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      RBOB Gasoline Options OB OB

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

      These contracts are listed with, and subject to, the rules and regulations of NYMEX.

       

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      FIX tag Changes for Energy Futures and Options

      Effective Sunday, November 15 (trade date Monday, November 16), the values in the following FIX tags will be changed for energy futures and options:

      • tag 55-Symbol for iLink, and
      • tag 1151-SecurityGroup for MDP 3.0

      A complete list of products is available here.

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

       

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      New - Tick Assignment for Eurodollar and Eurodollar Mid–Curve Options UDS

      Effective Sunday, November 15 (trade date Monday, November 16 ), the Eurodollar, Eurodollar Bundle and Eurodollar Mid–Curve options User Define Spread (UDS) tick increment will be modified to align CME Globex behavior to the trading floor convention as follows:

      • If all legs are fixed 1/4 tick, spread will be fixed 1/4
      • If legs are a mix of quarter and VTT=12, spread will be VTT=12
      • If all legs are VTT=12, the spread will be VTT=12
      • If any leg is 1/2 tick, the spread will be 1/2 tick
      Tick Assignment for Eurodollar and Eurodollar Mid–Curve UDS Options
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group (UDS)
      Eurodollar Options GE U$
      Eurodollar 1 Year Mid-Curve Options GE0 U$
      Eurodollar 2 Year Mid-Curve Options GE2 U$
      Eurodollar 3 Year Mid-Curve Options GE3 U$
      Eurodollar 4 Year Mid-Curve Options GE4 U$
      Eurodollar 5 Year Mid-Curve Options GE5 U$
      Eurodollar 1-Year Mid-Curve Weekly Options E01,E02,E03,EO4,E05 U$
      Eurodollar 2-Year Mid-Curve Weekly Options E21,E22,E23,E24,E25 U$
      Eurodollar 3-Year Mid-Curve Weekly Options E31,E32,E33,E34,E35 U$
      2-Year Eurodollar Bundle Options BU2 U$
      3-Year Eurodollar Bundle Options BU3 U$
      5-Year Eurodollar Bundle Options BU5 U$

      The minimum tick increment is defined in the instrument’s Security Definition Message (tag 35-MsgType=d) in tag 969-MinPriceIncriment.   The Variable Tick Table (VTT) values are defined in the instrument’s Security Definition Message (tag 35-MsgType=d) in tag 6350-TickRule tick table value as described online.

      To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) orders for the impacted User Defined Spreads  after their close on Friday, November 13. After 16:00 CT on Friday, November 13, all remaining GTC orders for these options will be cancelled by the CME Global Command Center (GCC).

      This change will available in New Release for customer testing on Monday, November 2.

      These contracts are listed with, and subject to, the rules and regulations of CME.

       

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      Events and Announcements

      Subscription-based Email Advisories for CME Globex Test Environments

      CME Group is now offering subscription-based email advisories for CME Globex Test Environments. These advisories are designed to provide updates on CME Globex test environments including New Release, Certification and the AutoCert+ application.

      To receive email advisories regarding CME Globex Test Environments, please subscribe at cmegroup.com/subscribe. Customers who previously received these advisories are encouraged to verify their subscription/preferences.

       

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      Disaster Recovery (DR) Testing

      CME Group is committed to the protection of its members, employees and stakeholders and has a long history of successfully managing risk. In keeping with those traditions, CME Group has a comprehensive business continuity program in place. To ensure customer readiness, CME Group will offer CME Globex & Clearing Disaster Recovery (DR) Failover testing, in conjunction with the Futures Industry Association (FIA) test this Saturday, October 24, 2015.

      The CME Globex & Clearing DR Failover test is designed to ensure customers can successfully failover to the CME Globex & Clearing DR environment, send orders and fallback to the production environment in case of an emergency.

      A detailed time line and testing script is available here.

      Customers are required to register in advance to participate online.

       

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      EOS Trader Decommission

      CME EOS Trader will be retired October 30, 2015. Customers must migrate to another solution to ensure seamless access to electronically traded CME Group futures and options.

      CME Group is committed to providing support and ensuring a smooth transition. Information on certified trading applications is available online, including CME Direct.

      Please note, due to the upcoming decommission, EOS Trader will not be available to new users.

       

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      Order Routing and Front-End Audit Trail Requirements

      As previously announced in the Market Regulation Advisory Notice RA1509-5, all firms must comply with the new Order Routing and Front-End Audit Trail Requirements (Rule 536.B.) by April 1, 2016. All new, and currently certified, iLink order routing applications must certify or recertify their trading systems to ensure full compliance with the new audit trail requirements.

      Detailed information on the new specification is available in the Client Systems Wiki.

      Important changes to the Order Routing and Front-End Audit Trail Requirements:

      • Market Regulation will now require the Audit Trail for certifications and annual exams to be submitted in CSV or Excel file format with specific column order as outlined in the Minimum Acceptable Audit Trail Elements.
      • The new specifications of the audit trail file provides details for each column on data requirements for tier 1 and tier 2 components
      • Clarification of how to represent market maker functionality at the quote entry level as well as how to properly represent Request for Cross (RFC) and Request for Quote (RFQ)s.
      • Additional iLink messages are now in scope of the audit trail:
        • Session Level Reject (tag 35-MsgType=3)
        • Business Level Reject (tag 35-MsgType=j)
        • Order Mass Action Request (tag 35-MsgType=CA)
        • Order Mass Action Report (tag 35-MsgType=BZ)
      • For improved representation of the information exchanged between trading systems and CME Globex, 17 data points have been added and 16 data points have been removed from the audit trail specifications.
      • The new 2016 specifications simplify data capture by removing requirements to capture data from other interfaces than iLink, including market data and post-trade system interfaces.

      CME Group recommends all applications certifying for Market Segment Gateway (MSGW) certify for the new audit trail requirements simultaneously.

      Please forward any questions regarding the new Order Routing and Front-End Audit Trail Requirements to: audittrail@cmegroup.com.

       

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