CME Globex Equity Index Circuit Breaker and Daily Price Limit Changes for Futures and Options
Effective Sunday, April 7, 2013 (trade date Monday, April 8), changes to circuit breaker methodology and price limits will be introduced on CME Globex for Equity Index futures and options, pending regulatory review periods.
Currently, price limits are established on a quarterly basis based upon the average closing price of the lead month futures contract in December, March, June and September. With this change, the width of the equity index futures price limit band will be calculated daily, based on the underlying cash equity index.
Customers are strongly encouraged to utilize the FIX/FAST Security Status (tag 35-MsgType=f) messages to obtain the daily price limits (tag 332-HighPx; tag 333-LowPx) to avoid the rejection of orders that breach price limit thresholds.
Customers may also obtain the daily price limits from the Security Definition (tag 35-MsgType=d, tag 1149-HighLimitPrice and 1150-LowLimitPrice) messages on the instrument replay feed.
These changes are currently available for customer testing in New Release.
If you have any questions, please contact the CME Global Command Center in the U.S. at +1 312 456 2391, in Europe at +44 20 7623 4708 or in Asia at +65 6223 1357.
Millisecond Timestamp Enhancement for Streamlined FIX/FAST for S&P and Dow Jones Indices
Starting on Sunday, April 14, 2013, CME Group will begin disseminating millisecond for all S&P and Dow Jones Indices market data via streamlined FIX/FAST.
With this change, CME Group will not change the size of the timestamp fields, but will replace zeros in the millisecond fields with actual millisecond data.
Please note: There are no template updates are required for this enhancement.
The following S&P and Dow Jones Indices messages and fields will be affected:
Microsecond Timestamp Enhancement for Streamlined FIX/FAST for S&P and Dow Jones Indices
|Security Definition Message (Tag 35-MsgType=d)
|Incremental Refresh Message (Tag 35-MsgType=X)
|News Message (Tag 35-MsgType=B)
The millisecond granularity is currently available in New Release for customer testing.
Interest Rate Intercommodity Spreads
Effective Sunday, May 5 (trade date Monday, May 6), a new Interest Rate Intercommodity Spread type (tag 762-SecuritySubType=DI) will be introduced on CME Globex. With this launch, the 762-SecuritySubType value for the following intercommodity spreads will be modified from IS to DI and implied functionality will be enabled.
In addition, a new futures intercommodity implied spread will be listed for trading on CME Globex.
Interest Rate Intercommodity Spreads
|10-Year Treasury Note Futures vs. 10-Yr USD Deliverable Interest Rate Swap Futures
|5-Year Treasury Note Futures vs. 5-Year USD Deliverable Interest Rate Swap Futures
|Ultra Treasury Bond Futures vs. 30-Year USD Deliverable Interest Rate Swap Futures New
Detailed description of Inter-Commodity Implied spread type is available online.
The new spread type and new intercommodity spread are currently available in New Release for customer testing.
Streamlined FIX/FAST for Block Trades
Starting on Sunday, May 12, 2013, CME Group will begin disseminating Block Trade market data via streamlined FIX/FAST. A Block Trade is a privately negotiated futures or option on futures transaction that is executed apart from the public auction market and that is permitted in designated contracts subject to specified conditions.
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.
Block Trade market data will be available in New Release for customer testing on Monday, March 24. An optional AutoCert+ Test Suite will available at the beginning of April. The availability of the new AutoCert+ Test Suite will be announced via the CME Globex and Market Data Notices.
Detailed information for streamlined FIX/FAST market data for Block Trades is available online.
Block Trade market data is fee-liable. For additional details, please contact the Information Products Management at 312 634 8395.
CME Europe on CME Globex
Pending regulatory recognition, CME Europe markets will be available via CME Globex for iLink order routing and market data late Q2/Early Q3 2013. Only non-US customers are eligible to trade on CME Europe. Eligible customers who would like to trade CME Europe products must establish all appropriate agreements and accounts to be authorised to trade CME Europe products and clear through CME Clearing Europe.
The launch includes the following impacts:
- New tag value to identify the exchange
- New products in FX Futures
- New market data channels to disseminate market data
- New streamlined Fix/Fast market data to publish block information
The client impact assessment provides detailed functionality and messaging for customer systems interested in supporting CME Europe products via CME Globex.
A new CME Europe mandatory certification suite will be available Monday, April 7, in AutoCert+. Customer systems that plan to support CME Europe via CME Globex must complete this certification.
The implementation will be available in New Release for customer testing starting Monday, April 7.
Please contact your Global Account Manager for further information.