• Market Data Notices: November 12, 2012

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      • Market Data Notices
      • Advisory #
      • 20121112
      • Notice Date
      • 12 November 2012
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      Events and Announcements
      Critical System Updates

      FIX/FAST Operators Release
       

      The life cycle of the FIX/FAST protocol, including streamlined FIX/FAST, is rapidly approaching its end as an industry standard in the United States. †The OPRA connected exchanges are eliminating FIX/FAST entirely by the end of this year. Given the increased availability of bandwidth as well as high speed connections such as co-location, compression has become less critical. In the short term, we are removing certain field operators (copy, default, delta and increment) from our data feed. In the longer term, CME Group continues to evaluate a next generation market data protocol.

      These operators will be removed from all production FIX/FAST and streamlined FIX/FAST channels on the Market Data Platform by Sunday, November 18, 2012. A detailed schedule of the remaining channels is now available  online.

      New templates will be required for the impacted channels. Per the normal process, the new templates are currently available on the CME Group ftp site for New Release and Production, along with the current and last generation templates. More information on template management is available in the  Client Systems Wiki.

      The current Production channels without operators will also be available in the Certification environment.

      Please Note: CME Group recommends customer systems pull the templates from the CME Group ftp site every week, prior to Sunday startup.

      These changes are currently available on all FIX/FAST channels in the New Release environment.

      As a result of this launch, bandwidth utilization over the Market Data Platform will ultimately increase. CME Group is contacting customers who may have over-subscription risk.

      †Please note: CME Group is not a member of the Options Pricing Reporting Authority (OPRA).


      Update New S&P Market Data Template
      Effective Saturday, January 12, 2013, S&P market data via streamlined FIX/FAST will utilize a new FIX/FAST template and source IPs due to CME Group maintenance.

      The new template and config.xml are currently available in New Release and Production environments.

      Please note: CME Group recommends customer systems pull the templates from the CME Group ftp site every week, prior to Sunday startup.

      New Functionality

      Streamlined FIX/FAST – ERIS Exchange Swapbook 3.0 Upgrade
      Effective Sunday, December 2 (trade date Monday, December 3), CME Group will implement an upgrade to the ERIS Exchange market data in streamlined FIX/FAST. The ERIS Exchange Swapbook 3.0 upgrade will provide robust support for spread products and functionality.

      This upgrade will include new source IP address changes and templates. The new source IP address will be available in the config.xml from the  CME Group FTP site on Sunday, October 21, 2012. The new template will be available on November 4, 2012.

      With this upgrade, TCP Replay of Security Definitions functionality will be available for the ERIS Exchange. Detailed information for the ERIS Exchange market data upgrade is available  online.

      The ERIS Exchange market data upgrade is currently available for customer testing in New Release.


      New Fixing Prices for Mexican Peso Futures
      Effective Sunday, December 2 (trade date Monday, December 3), CME Group will begin disseminating Fixing Prices via FIX/FAST for the Mexican Peso futures.

      New Fixing Prices for Mexican Peso

      Futures Market Data Platform Channel Tag 1151-SecurityGroup Tag 55-Symbol
      Mexican Peso 60 6M 6M

      The Mexican Peso price fixing prices will be published Monday through Friday, at 9:00a.m., 11:00 a.m., 2:00 p.m. and 3:00 p.m. Central Time (CT). Fixing Price is a volume-weighted average price for the underlying futures contract and is used to determine which options strikes are in-the-money and exercisable.

      Fixing Price data blocks are sent in the FIX/FAST Market Data Incremental Refresh (tag 35-MsgType=X):

      • Tag 279- MDUpdateAction will be set to 0 = New
      • Tag 269-MDEntryType will be set to W = Fixing Price
      • Tag 5790-FixingBracket will display the time that the Fixing Price was calculated
      • The new Fixing Price Data Block is now available in New Release for customer testing.

      The new Fixing Price Data Block will be available in New Release for customer testing on Monday, November 19.

      In addition, the Mexican Peso fixing prices will also be disseminated in ITC 2.1 format down Market Data Platform (MDP) channel 3.

      New Fixing Prices for Mexican Peso

      Fixing Price ITC Code
      Mexican Peso 9 A.M. YP
      Mexican Peso 11 A.M. ZME
      Mexican Peso 2 P.M. 6M$
      Mexican Peso 3 P.M. ZMP


      Update Dow Jones Indices via Streamlined FIX/FAST
      Starting on Saturday, January 12, 2013, CME Group will begin disseminating real-time Dow Jones Indices market data via streamlined FIX/FAST.

      Streamlined FIX/FAST is an optimized version of the FIX/FAST market data format for non-actionable price data. Streamlined FIX/FAST has a dedicated message specification distinct from the CME Globex FIX/FAST format and new templates. More information on streamlined FIX/FAST is available  online.

      On Friday, January 11, 2013, Security Definitions will be broadcast for Dow Jones Indices between 11:30 pm Central Time (CT) and 12:30 am CT. The Security Definitions for the Dow Jones Indices will be re-broadcast during the normal window on Saturday evening.

      Detailed information on enhanced Dow Jones Indices market data via streamlined FIX/FAST is available  Client Impact Assessment.

      Starting on Sunday, October 21, we will begin broadcasting heartbeats in the production environment for Market Data Platform (MDP) channel 151. In addition, the new template and the config.xml file will be available in production.

      Please Note: CME Group recommends all system providers supporting Dow Jones Indices market data to test these enhancements thoroughly in New Release and complete certification in AutoCert+.

      With this change, the dissemination of the 52-week high and lows index values for Dow Jones Indices will be discontinued. In addition, the announcement of new indices will be disseminated through News messages (tag 35-MsgType=B) only.

      As of Saturday, January 12, 2013, Dow Jones Indices market data will no longer be disseminated in ITC 2.1 format.

      Product Launches

      Deliverable Interest Rate Swap Futures
       

      Effective Sunday, December 2 (trade date Monday, December 3), USD Interest Rate Swap futures will be listed for trading on CME Globex and for submission on CME Clearport .

      The   USD Interest Rate Swap futures will be listed for quarterly expiration on IMM dates, for physical delivery of OTC US dollar interest rate swaps at key terms to maturity (2, 5, 10, 30 years). Contracts will be quoted on a price basis, with a fixed coupon for each contract that is set by the Exchange when the contract is listed for trading. At expiration the holder of a long futures position will become the fixed rate receiver and floating rate payer in an OTC interest rate swap cleared by CME Clearing.

      Deliverable USD Interest Rate Swap Futures and Intercommodity Spreads

      Product tag 1151-SecurityGroup tag 55-Symbol
      30-Year USD Interest Rate Swap Futures B1U ZB
      10-Year USD Interest Rate Swap Futures N1U ZB
      5-Year USD Interest Rate Swap Futures F1U ZB
      2-Year USD Interest Rate Swap Futures T1U ZB
      30-Year Treasury Bond Futures vs. 30-Year USD "Deliverable" Interest Rate Swap Futures ZB ZB
      10-Year Treasury Note Futures vs. 10-Yr USD "Deliverable" Interest Rate Swap Futures ZN ZB
      5-Year Treasury Note Futures vs. 5-Year USD "Deliverable" Interest Rate Swap Futures ZF ZB
      2-Year Treasury Note Futures vs. 2-Year USD "Deliverable" Interest Rate Swap Futures ZT ZB
      30-Year "Financial" Swap Futures vs. 30-Year USD "Deliverable" Interest Rate Swap Futures I3 ZB
      10-Year "Financial" Swap Futures vs. 10-Year USD "Deliverable" Interest Rate Swap Futures SR ZB
      5-Year "Financial" Swap Futures vs. 5-Year USD "Deliverable" Interest Rate Swap Futures SA ZB

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

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

      Please view the  New Product Summary.


      Standard-Size and E-micro USD/Offshore RMB (CNH) Futures
       

      Effective Sunday, February 24 (trade date Monday, February 25), standard-size and E-micro USD/Offshore RMB (CNH) futures will be listed for trading on CME Globex.

      These futures feature physical delivery of Chinese Renminbi in Hong Kong (CNH), priced in interbank terms of Chinese Renminbi per U.S. dollar and associated daily settlement variation banked in Chinese Renminbi offshore in Hong Kong. The new CME USD/CNH futures will help international market participants hedge their U.S. dollar risk exposure to the deliverable Chinese currency.

      Standard-Size and E-micro USD/Offshore RMB (CNH) Futures

      Product tag 1151-SecurityGroup tag 55-Symbol
      USD/CNH Futures CNH UR
      E-Micro USD/CNH Futures MNH UR

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

      Please view the  New Product Summary.

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


      Product Changes

      Update CME Globex Equity Index Trading Hours and Daily Price Limit Changes for Futures and Options
      Effective this Sunday, November 18 (trade date Monday, November 19), the electronic trading hours on CME Globex for Equity Index futures and options will be expanded to the following:

      • 17:00 Central Time (CT) through 16:15 CT, with a 15 minute market pause (Pre-open) from 15:15 CT to 15:30 CT. This expansion does not impact the current halt in trading on CME Globex from 8:15 CT to 15:30 CT in the following full size Equity Index contracts (SP, ND, MD & DD).

      With this change, the existing 5, 10, 20, and 30 percent daily price limits will be applied to the futures fixing price rather than the daily settlement price. The 5 percent ± price limits will be applied at 15:00 CT and will be in effect until 08:30 CT the following day.

      Detailed information on these changes is available  online.

      Daily Price Limits for Equity Futures

      Product tag 1151-SecurityGroup tag 55-Symbol
      E-mini S&P 500 Futures ES ES
      Euro-denominated E-mini S&P 500 Futures EME F3
      S&P 500 Futures SP SP
      E-mini S&P MidCap 400 EMD ME
      S&P MidCap 400 Futures MD MD
      E-mini S&P SmallCap 600 SMC SC
      S&P SmallCap 600 SMP SM
      E-mini NASDAQ 100 Futures NQ NQ
      NASDAQ 100 Futures ND ND
      E-mini NASDAQ Composite Futures QCN QN
      E-mini NASDAQ Biotechnology Futures BIO BQ
      S&P 500 Growth Futures SG SG
      S&P 500 Value Futures SU SU
      Dow Jones U.S. Real Estate Index RX RX
      E-mini Dow Jones ($5) Futures YM YM
      Dow Jones ($10) Futures ZD ZD
      Big Dow Jones ($25) Futures DD DD
      E-mini S&P Select Sector Consumer Discretionary XAY SS
      E-mini S&P Select Sector Consumer Staples XAP SS
      E-mini S&P Select Sector Energy XAE SS
      E-mini S&P Select Sector Financial XAF SS
      E-mini S&P Select Sector Health Care XAV SS
      E-mini S&P Select Sector Industrial XAI SS
      E-mini S&P Select Sector Materials XAB SS
      E-mini S&P Select Sector Technology XAK SS
      E-mini S&P Select Sector Utilities XAU SS

      Customers are strongly encouraged to utilize Security Status (tag 35-MsgType=f) to obtain the daily price limits (tag 332-HighPx; tag 333-LowPx) to avoid rejection of orders that breach price limit thresholds.

      Customers may also obtain the daily price limits of the Security Definition (tag 35-MsgType=d) from the instrument replay feed (tag 1149-HighLimitPrice; 1150-LowLimitPrice).

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

      If you have any questions, please contact the CME Global Command Center at (+1)312-456-2391, in Europe at +44-20-7623-4708 or in Asia at +65-6223-1357.


      NEW Relisting of Daily European Union Allowance (EUA) Futures
      Effective Sunday, December 2, 2012 (for trade date Monday, December 3) the Daily European Union Allowance (EUA) futures (tag1151-SecurityGroup=EUL, tag 55-Symbol=VX) will be re-listed for trading on CME Globex. The daily contract shall be listed for the current business day plus the next business day.

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


      NEW Listing Cycle Expansion for Emission Futures and Options
      Effective Sunday, December 2, 2012, (for trade date Monday, December 3), the listing cycle for the following emission futures and options will be expanded as follows:

      Listing Cycle Expansion for Emission Futures and Options

      Product tag 1151-SecurityGroup tag 55-Symbol Current Listed Months New Listing Cycle
      In Delivery Month European Union Allowance (EUA) Futures EAF VX December 2012; December 2013-2020 First three consecutive contracts months plus eight quarterly contracts on a rolling basis, starting with the nearest quarter; December contract month of subsequent years through 2020.
      In Delivery Month European Union Allowance (EUA) Option EAX GY
      In Delivery Month European Union Allowance (EUA) Serial Option 9G GY None First three consecutive contracts months plus eight quarterly contracts on a rolling basis, starting with the nearest quarter; December contract month of subsequent years through 2020.
      In Delivery Month Certified Emission Reduction (CER) Futures CRE VX December 2012 December 2012, March 2013
      In Delivery Month Certified Emission Reduction (CER) Option CRY GY
      Certified Emission Reduction Plus(CERplus) Futures CPL VX December 2012; December 2013-2020 First three consecutive contracts months plus eight quarterly contracts on a rolling basis, starting with the nearest quarter; December contract month of subsequent years through 2020.
      Emission Reduction Unit (ERU) Futures REU VX December 2012; March 2013 First three consecutive contracts months plus eight quarterly contracts on a rolling basis through March 2015.
      Emission Reduction Unit (ERU) Option ERO GY

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


      NEW Listing Cycle Expansion for Refined Products
      Effective Sunday, December 2 (trade date Monday, December 3), the listing cycle for the following energy futures will be expanded on CME Clearport and open outcry as follows:

      Listing Cycle Expansion for Refined Products

      Product Product Code Current Listed Months New Listing Cycle
      Chicago ULSD (Platts) vs. NY Harbor ULSD Heating Oil Futures 5C last listed December 12 Current year + 2 years
      Group Three ULSD (Platts) vs. NY Harbor ULSD Heating Oil Futures A6 last listed March 13
      NY Jet Fuel (Platts) vs. NY Harbor ULSD Heating Oil Futures 1U last listed March 13
      NY Jet Fuel (Argus) vs. NY Harbor ULSD Heating Oil Futures CRE VX
      NY ULSD (Argus) vs. NY Harbor ULSD Heating Oil Futures 7Y last listed December 12 Current year + 1 year
      NY ULSD (Platts) vs. NY Harbor ULSD Heating Oil Futures UY
      NY Heating Oil (Platts) vs. NY Harbor ULSD Heating Oil Futures YH
      Los Angeles Jet Fuel (Platts) vs. NY Harbor ULSD Heating Oil Futures MQ last listed March 13 Current year + 2 years
      Los Angeles Jet (OPIS) vs. NY Harbor ULSD Heating Oil Futures JS
      Gulf Coast Jet (Argus) Up-Down Futures JU
      Los Angeles CARB Diesel (OPIS) vs. NY Harbor ULSD Heating Oil Futures KL
      Gulf Coast ULSD (Argus) Up-Down Futures US
      Gulf Coast No. 2 (Platts) Up-Down Financial Futures UT

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

      Events & Announcements

      NEW Thanksgiving Holiday Schedule
      CME Group trading floors and normal operations will be closed on Thursday, November 22, 2012, in observance of Thanksgiving Day. As a result, on Friday, November 23, 2012, there will be abbreviated trading hours. Please view the Thanksgiving holiday hours by clicking on the following links for more details:

      Holiday Schedules:

Futures & Options Trading

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