• CME Globex Notices: January 25, 2016

      • To
      • CME Globex and Market Data Customers
      • From
      • GMSS
      • #
      • 20160125
      • Notice Date
      • 25 January 2016
      • Effective Date
      • 28 January 2016
    •  

      Topics in this issue include:

       

      Critical System Updates

      New iLink Architecture Phase 2 Pre-Launch

      CME Group will continue to implement the new Market Segment Gateways (MSGW) into the iLink architecture between the trading engines and the current iLink gateways (CGW). There are no connectivity changes associated with these changes and customers will not be able to connect directly to the MSGWs until the Phase 2 launch starting in 2016.

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

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

      The MSGW 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 on Saturday in order to participate in the mock trading sessions. For more information about the Mock Trading Sessions, please view the mock trading session script.

      New iLink Architecture Phase 2 Pre-Launch Schedule
      Tag1300-MarketSegmentID Market Segment Pre-Launch Mock Trading Session Pre-Launch Schedule iLink Round-TrIp Times Improvement (up to)
      54 CME Equity and Commodity options January 30, 2016 January 31, 2016 40%
      64 CME E-mini S&P 500 futures
      January 30, 2016
      January 31, 2016 30%
      66 CBOT Equity futures January 30, 2016 January 31, 2016 25%
      68 CME Equity futures excluding E-mini S&P January 30, 2016 January 31, 2016 25%
      50 CME Eurodollar options January 30, 2016
      February 20, 2016
      February 21, 2016 TBD
      58 CBOT Treasury options January 30, 2016
      February 20, 2016
      February 21, 2016 TBD
      82 CME Eurodollar futures January 30, 2016
      February 20, 2016
      February 21, 2016 TBD
      84 CBOT Treasury futures January 30, 2016
      January 9, 2016
      February 20, 2016
      February 21, 2016 TBD
      56 NYMEX and COMEX options February 20, 2016
      March 5, 2016
      March 6, 2016 TBD
      74 Hosted Partner Exchange markets February 20, 2016
      March 5, 2016
      March 6, 2016 TBD
      76 NYMEX and COMEX Metals and Alternative Market futures February 20, 2016
      March 5, 2016
      March 6, 2016 TBD
      78 NYMEX Non-Crude Energy and Emissions futures February 20, 2016
      March 5, 2016
      March 6, 2016 TBD
      80 NYMEX Crude Energy futures January 9, 2016
      February 20, 2016
      March 5, 2016
      March 6, 2016 TBD
      86 CME Europe futures and options February 20, 2016
      March 5, 2016
      March 6, 2016 TBD

       

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      New iLink Failover Process

      With the iLink Architecture Phase 2 Pre-Launch, CME Group will continue introducing the 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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      Drop Copy 4.0 Implementation

      Starting Sunday, February 7, CME Group will implement Drop Copy 4.0 support for Market Segment Gateways (MSGWs) source sessions, in addition to the Convenience Gateway (CGW) implementation currently available in production.

      The Drop Copy 4.0 MSGW mock trading session script and production launch schedule are now available.

      Please Note: During the mock trading session, customers may observe some simulated messaging activity on their target sessions generated by their source sessions not registered for the mock.

       

      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 decommissioned on Friday, March 4, 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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      AutoCert+ SMART Click Integration

      Starting on Monday, January 11, AutoCert+ users will have the ability to migrate to SMART Click.

      A single SMART Click ID can be used to claim all the users existing AutoCert+ Login ID’s. Claiming legacy AutoCert+ ID’s will consolidate the user’s entitlements associated with the legacy AutoCert+ ID’s under one SMART Click ID.

      All AutoCert+ users need to begin the claim process with a registered SMART Click ID.

      • Current users with a SMART Click ID can begin the SMART Click claim process now.
      • New AutoCert+ users create a SMART Click ID prior to accessing AutoCert+

      In Q2 2016, all AutoCert+ access will migrate to SMART Click and legacy user IDs and passwords will be decommissioned.

      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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      Update - New iLink Architecture Phase 2

      Denotes update to the article

      Starting Sunday, February 7, 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

      Important MSGW Updates:

      • CME Group strongly recommends MSGW customers retain their traded-in CGW sessions until further notice in case of technical issues.
      • Access to TAS markets during the early pre-open will remain restricted to Phase 1 MSGW sessions until the Phase 2 launches are complete.
      • The new FIX tag 5979-RequestTime will be added to iLink outbound messages from CME Globex to the client system following the completion of all Phase 2 launches.

      Detailed timelines for these updates will be announced in future CME Globex notices.

      The Phase 2 launch will allow customers to access the MSGWs 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.

      CME Group will offer several customer mock trading sessions to ensure customers have opportunities to connect directly to their new MSGW sessions and trade in the CME Globex production environment prior to the Phase 2 launch. Customers are required to register in advance and join the conference bridge line on Saturday in order to participate in the Phase 2 mock trading session. For more information about the Mock Trading Sessions, please view the mock trading session script.

      New iLink Architecture Phase 2 Launch Schedule
      Tag1300-MarketSegmentID Market Segment Phase 2 Mock Trading Session Phase 2 Launch Schedule
      52 CME FX and Commodity options January 23, 2016
      February 6, 2016
      February 7, 2016
      62 CME FX futures January 23, 2016
      February 6, 2016
      February 7, 2016
      60 CBOT Commodity and Equity options January 23, 2016
      February 27, 2016
      February 28, 2016
      70 CME Commodity futures January 23, 2016
      February 27, 2016
      February 28, 2016
      72 CBOT Commodity futures January 23, 2016
      February 27, 2016
      February 28, 2016
      54 CME Equity options March 19, 2016 March 20, 2016
      64 CME E-mini S&P 500 futures January 9, 2016
      January 23, 2016
      March 19, 2016
      March 20, 2016
      66 CBOT Equity futures March 19, 2016 March 20, 2016
      68 CME Equity futures excluding E-mini S&P March 19, 2016 March 20, 2016
      50 CME Eurodollar options April 2, 2016 April 3, 2016
      58 CBOT Treasury options April 2, 2016 April 3, 2016
      82 CME Eurodollar futures April 2, 2016 April 3, 2016
      84 CBOT Treasury futures January 9, 2016
      January 23, 2016
      April 2, 2016
      April 3, 2016
      56 NYMEX and COMEX options April 9, 2016 April 10, 2016
      74 Hosted Partner Exchange markets and NYMEX Emissions futures April 9, 2016 April 10, 2016
      76 NYMEX and COMEX Metals and Alternative Market futures April 9, 2016 April 10, 2016
      78 NYMEX Non-Crude Energy futures April 9, 2016 April 10, 2016
      80 NYMEX Crude Energy futures January 9, 2016
      January 23, 2016
      April 9, 2016
      April 10, 2016
      86 CME Europe futures and options April 9, 2016 April 10, 2016

      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 iLink MSGW certification suite is currently available in Autocert+. Both iLink and the new iLink MSGW certifications are required for customer systems to connect directly to the MSGW. To successfully certify your application, customers must use the same System Profile for both iLink and iLink MSGW certifications.

      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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      Mass Quote Changes

      Effective Sunday, February 21 (trade date Monday, February 22), CME Group will introduce a number of changes to Mass Quotes to optimize market making activity and protections.

      Mass Quote Messaging Controls
      CME Globex will add Mass Quote messages to the current Application Messaging Controls threshold, as detailed below. All messaging is measured in Messages per Second (MPS) over a three-second window. Exceeding the Reject threshold will trigger the automatic cancel of all resting quotes. There will be no changes to the current messaging thresholds.

      • Mass Quote (tag 35-MsgType=i)
      • Quote Cancel (tag 35-MsgType=Z)
      Threshold Mass Quote and Quote Cancel Messages Time Interval
      Reject 500 - Reject Three-second window
      Logout 750 - Logout Three-second window

      Mass Quote Entry Reduction
      The number of quote sets and quote entries per Mass Quote and Quote Cancel messages will be reduced to 15 sets and 15 entries, from the current 20 sets and 100 entries.

      With this change, a Mass Quote and Quote Cancel which contain more than 15 quote sets or entries will be rejected with the Business Reject message (tag 35-MSGType=j), tag 58-Text=Number of quote entries exceeds the maximum number authorized. Value specified <#-QEs-customer-sent> max authorized 15.

      Mass Quote Protections Time Interval
      Mass Quote Protections operate under an Exchange-configured Time Interval during which MQP as counted and enforced. Currently, this Time Interval is set to 1 second for Equity options and 15 seconds for all other eligible CME Globex options markets. With this change, all Time Intervals will be set to 1 second.

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

       

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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

      New - New Cross Process on CME Globex

      Effective Sunday, April 10 (trade date Monday, April 11), CME Globex will introduce a new Committed Cross (C-Cross) process for CME FX options and CME and CBOT Interest Rate and Equity Index options.

      The new C-Cross process supports the following enhancements to Request for Cross:

      • The Request for Quote (tag 35-MsgType=R) is no longer required.
        • CME Globex will continue to automatically publish an RFQ upon receipt of the Request for Cross (tag 35-MsgType=s) message
      • Extended Pre-cross state.
      • Better Price Match (BPM) guaranteed execution for some markets.

      A detailed description of the C-Cross process is available here. More information is also available in the Regulatory Advisory.

      The C-Cross process will be available in New Release and AutoCert+ for customer testing on Monday, February 22.

      Customer systems already certified for Request for Cross functionality are not required to certify for this enhancement.

       

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      Product Launches

      Henry Hub Natural Gas Financial Calendar Spread Option - Four Month

      Effective Sunday, February 7 (trade date Monday, February 8), Henry Hub Natural Gas Financial Calendar Spread Option - Four Month will be listed for trading on CME Globex, open outcry and for submission for clearing via CME ClearPort.

      Henry Hub Natural Gas Financial Calendar Spread Option - Four Month
      Tag1300-MarketSegmentID iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Henry Hub Natural Gas Financial Calendar Spread Option - Four Month G10 ON

      Please view the New Product Summary.

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

      This contract is listed with, and subject to, the rules and regulations of NYMEX.

       

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      Mini Argus Gasoline Eurobob Oxy Barges NWE Crack Spread (100mt) Futures

      Effective Sunday, February 7 (trade date Monday, February 8), Mini Argus Gasoline Eurobob Oxy Barges NWE Crack Spread (100mt) futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Mini Argus Gasoline Eurobob Oxy Barges NWE Crack Spread (100mt) Futures
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Mini Argus Gasoline Eurobob Oxy Barges NWE Crack Spread (100mt) Futures MAC RF

      Please view the New Product Summary.

      These futures will be available for customer testing in New Release on Monday, January 25.

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

       

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      WTI at Houston Futures Argus

      Effective Sunday, February 7 (trade date Monday, February 8), WTI at Houston Futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      WTI at Houston Futures Argus
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      WTI Houston (Argus) vs. WTI Trade Month Futures HTT CC
      WTI Houston (Argus) Trade Month Futures HTA CC
      WTI Houston (Argus) vs. WTI Financial Futures HIL CC
      WTI Houston (Argus) Financial Futures HIA CC
      WTI Houston (Argus) vs. WTI Trade Month BALMO Futures HTB CC
      WTI Houston (Argus) vs. WTI BALMO Futures HIB CC

      These futures will be available for customer testing in New Release on Monday, January 25.

       Please view the New Product Summary.

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

       

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      Week 3 European-Style Standard and E-mini S&P 500 Options

      Effective Sunday, February 21 (trade date Monday, February 22),  the following Week 3 European-style standard and E-mini S&P 500 options will be listed for trading on CME Globex, open outcry and for submission for clearing via CME ClearPort.

      Please Note: The April 2016 and May 2016 American-style serial options currently listed for trading will not be affected and will expire as regularly scheduled. No new American-style serial option months will be listed upon expiration of these option contracts.

      Week 3 European-Style Standard and E-mini S&P 500 Options
      New Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Existing Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asse
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      European-style S&P 500 Weekly Options Week 3 EV3 OS American–Style S&P 500 Options SP OS
      European-style E-mini S&P 500 Weekly Options Week 3 EW3 EW American–style E-mini S&P 500 Options ES EZ

      Please view the New Product Summary.

      These changes will be available for customer testing in New Release on Monday, February 8.

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

       

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      New - Chicago Ethanol Calendar Spread Options

      Effective Sunday, February 21 (trade date Monday, February 22), Chicago Ethanol (Platts) Calendar Spread options will be listed for trading on CME Globex and open outcry and for submission for clearing via CME ClearPort.

      Chicago Ethanol (Platts) Calendar Spread Options
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Chicago Ethanol (Platts) Calendar Spread Option - One Month CE1 Outright - OF UDS - P2
      Chicago Ethanol (Platts) Calendar Spread Option - Two Month CE2 Outright - OF UDS - P2
      Chicago Ethanol (Platts) Calendar Spread Option - Three Month CE3 Outright - OF UDS - P2
      Chicago Ethanol (Platts) Calendar Spread Option - Six Month CE6 Outright - OF UDS - P2

      Please view the New Product Summary.

      This option will be available for customer testing in New Release on Monday, February 8.

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

       

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      Product Changes

      Early Listing of November 2017 Maturity for Soybean Options

      Effective Sunday, January 31 (trade date Monday, February 1), and pending all relevant CFTC regulatory review periods, the November 2017 maturity  for Soybean options will be listed early for trading on CME Globex, open outcry and for submission for clearing via CME ClearPort. The November 2017 maturity was originally scheduled to be listed for trading on CME Globex and open outcry on Monday, July 22, 2016.

      Early Listing of November 2017 for 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
      Soybean options OZS SQ

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

       

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      Change to Maximum Order Quantity for Eurodollar Options

      Effective Sunday, February 7 (trade date Monday, February 8), the maximum order quantity for the Eurodollar options will be changed from 24,999 to 49,999. With this change, tag 969-MaxTradeVol will be modified as follows:

      Change to Maximum Order Quantity for Eurodollar Options
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current tag 969-MaxTradeVol New tag 969-MaxTradeVol
      Eurodollar Options GE ZE 24,999 49,999
      1-Yr Mid-Curve Options GE0 E0 24,999 49,999
      2-Yr Mid-Curve Options GE2 E2 24,999 49,999
      3-Yr Mid-Curve Options GE3 E3 24,999 49,999
      4-Yr Mid-Curve Options GE4 E4 24,999 49,999
      5-Yr Mid-Curve Options GE5 E5
      1-Yr Weekly Mid-Curve Options E01-E05 E0 24,999 49,999
      2-Yr Weekly Mid-Curve Options E21-E25 E2 24,999 49,999
      3-Yr Weekly Mid-Curve Options E31-E35 E3 24,999 49,999
      2-Year Bundle Options BU2 U1 24,999 49,999
      3-Year Bundle Options BU3 U1 24,999 49,999
      5-Year Bundle Options BU5 U1 24,999 49,999
      Eurodollar Calendar Spread Options SPO 8I 24,999 49,999

      This change will be available for customer testing in New Release on Monday, January 25.

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

       

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      Circuit Breakers for Short-Term Interest Rate Futures and Options

      Effective Sunday, February 7 (trade date Monday, February 8), circuit breakers will be introduced for CME and CBOT Short-Term Interest Rate futures and options, pending regulatory review periods. For additional details, please refer to the Special Executive Reports (SER).

      Customers may obtain daily price limits (tag 1149-HighLimitPrice and 1150-LowLimitPrice), from any of the following messages:

      • Market Data Incremental Refresh (tag 35-MsgType=X)
      • Security Definition (tag 35-MsgType=d)
      • Market Data Snapshot Full Refresh (tag 35-MsgType=W) in the Market Recovery Feed

      This change will be available for customer testing in New Release on Sunday, January 24.

       

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      Update - Change to Minimum Price Increment for Natural Gas Inter-commodity Spreads

      Denotes update to the article

      Effective †Sunday, February 21 (trade date Monday, February 22), the minimum price increment for the following Natural Gas Inter-commodity futures spreads will be changed from 0.001 to 0.00025. With this change, tag 969-MinPriceIncrement will be modified as follows:

      Change to Minimum Price Increment for Natural Gas Inter-commodity Spreads
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current tag 969-MinPriceIncrement New tag 969-MinPriceIncrement
      Henry Hub Natural Gas Futures: Henry Hub Natural Gas Look-Alike Last-Day Financial Futures (NG:HH) NG NG 1 0.25
      Henry Hub Natural Gas Look-Alike Penultimate Financial Futures: Henry Hub Natural Gas Futures (HP:NG) HP HX 1 0.25
      Henry Hub Natural Gas Look-Alike Penultimate Financial Futures: Henry Hub Natural Gas Look-Alike Last-Day Financial Futures (HP:HH) HP HX 1 0.25
      Henry Hub Natural Gas Penultimate Financial Futures: Henry Hub Natural Gas Last Day Financial Futures (NP:NNE) NP HX 1 0.25

      These changes will be available in New Release for customer testing on Monday, January 24.

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

       

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      New - Product Name Change for miNY Gold and Silver Futures

      Effective Sunday, February 21 (trade date Monday, February 22), the product names for miNY Gold futures and miNY Silver futures will be change to E-mini Gold futures and E-mini Silver futures.

      Product Name Change for miNY Gold and Silver Futures
      Current Product Name New Product Name FIX/FAST and iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      FIX/FAST and iLink: tag 55-Symbol
      MDP 3.0 tag 1151-Security Group (Outrights)
      miNY Gold Futures E-mini Gold Futures QO GC
      miNY Silver Futures E-mini Silver Futures QI SI

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

       

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      Stop Orders for CBOT Treasury Invoice Swaps

      Effective Sunday, March 13 (for trade date Monday, March 14), CBOT Treasury Invoice Swaps spreads will support stop orders. Market integrity functionality such as Stop Logic will apply.

      With this change, when an exchange-defined lead month futures instrument triggers a Stop Logic event, all products in its group will be placed in the Pre-Open state (market data message tag 35-MsgType=f, tag 326-SecurityTradingStatus=21).

      Technical information on supporting CBOT Treasury Invoice Swaps and the inter-commodity spread on CME Globex is available here.

      This change will be available for customer testing in New Release on Monday, February 1.

      CME Globex products with exchange-defined lead month futures instruments and enhanced market integrity controls are listed in the CME Globex Product Reference Sheet in the Client Systems Wiki.

       

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      Events and Announcements

      Messaging Efficiency Program Q1 2016 Benchmarks

      The Q1 2016 CME Globex Messaging Efficiency Program Product Group Benchmarks are now available online. No changes were made to any of the Q1 2016 Product Group Benchmarks vs. Q4 2015 Product Group Benchmarks.

      Effective trade date Monday, February 1, the following product groups and levels will be added to the Messaging Efficiency Program:

      Sector Product Group Product Tier 3 Ratio Tier 2 Ratio Tier 1 Ratio
      Commodity LE Live Cattle Futures & Spreads 60:1 40:1 20:1
      Commodity GF Feeder Cattle Futures & Spreads 180:1 120:1 60:1
      Commodity LE Lean Hog Futures & Spreads 75:1 50:1 25:1
      Interest Rate ZU Ultra U.S. Treasury Bond Futures & Spreads 75:1 50:1 25:1

      The Product Group Benchmark Ratios are published quarterly, unless business circumstances for a particular product or product group require changes to be implemented more frequently.

      The CME Globex Messaging Efficiency Program creates fair business guidelines by which customers are billed a surcharge for overly high message rates.

      Please contact your Global Account Manager in the U.S. at 312 634 8700, in Europe at 44 203 379 3754, or in Asia at 65 6593 5505 with any questions.

       

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      Update - New Mass Quote Protection Administrative Functionality

      Denotes update to the article

      Beginning on Sunday, February 7, CME Group will introduce Mass Quote Protections (MQPs) administrative functionality via CME Account Manager. This enhancement enables Clearing Firm Risk Administrators to manage MQPs for their firms and Executing Firms to view their current settings.

      A new “Mass Quote Protection” tab in CME Account Manager will be available for this function. More information on the CME Account Manager changes is available in the Help System. A video overview of Mass Quote Protections functionality and administration is available here.

      To access this functionality, the initial Mass Quote Protections parameters must be coordinated through your Global Account Manager and implemented by the Global Command Center (GCC).

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

      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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      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. 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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