Market Data Enhancements for CME Globex
CME Group will introduce a number of market data enhancements. These enhancements include:
- Market Status of Halted Instruments
- Market Data Improvements
- Configuration File Standardization
- New FIX Tags and Statistic Reset Changes
Market Status of Halted Instruments
During Sunday start-up and in the event of a book reset, in addition to the product group status message, the FIX/FAST Security Status message will be sent for individual products in a halted state with the following values: tag 35-MsgType=f, tag 326-SecurityTradingStatus=2 (tags 327-HaltReason and 1174-SecurityTradingEvent are not sent).
Starting Sunday, July 21 (trade date Monday, July 22) CME Group will be enhancing the FIX/FAST market data messaging for all markets to accurately reflect market status of halted contracts.
Scenarios for a halted instrument include the following:
- Prelisted contracts prior to activation date
- Defective contract that has been deactivated
- Market event that requires deactivation, e.g. Partner Exchange request
A detailed schedule is available online.
Market Data Improvements
CME Globex is implementing architecture improvements that will impact market data bandwidth on implied futures channels. This release is expected to reduce overall latency, particularly in implied channels. In internal testing, these enhancements yielded up to a 60% increase in bandwidth utilization during peak periods on implied channels resulting in an overall increase of up to 15% increase across the Market Data Platform.
There will be no changes to FIX/FAST messaging or functionality.
The launch will be phased in over four weeks across the Market Data Platform. The implied channel launch schedule is available online.
Configuration File Standardization
Effective Sunday, August 25, CME Group will standardize the Channel ID Labels within the config.xml from the CME Group FTP site. A new config.xml will be available for customer download in production starting Sunday, August 25.
Please Note: CME Group recommends customer systems download the config.xml from the CME Group ftp site every week, prior to Sunday startup.
The new config.xml is currently available in New Release for customer testing.
New FIX Tags and Statistic Reset Changes
Starting on Sunday, August 25 (trade date Monday, August 26), introduce the following new FIX tags and changes to Trading Statistic Reset:
- New FIX tags
- 1003-TradeID will be sent on Market Data Incremental Refresh Messages (tag 35-MsgType=X) for Trades (tag 269-MDEntryType=2)
- Represents a unique Trade Entry ID per Instrument and Trading Date.
- Matches the trade number from tag 17-ExecID in the Execution Report – Fill Notice for iLink Order Entry Messages. The characters following the ‘TN’ in the ExecID are called the Trade Number and will match the new tag 1003-TradeID.
- tag 1300-MarketSegmentID will be sent on the Security Definition message (tag 35-MsgType=d)
- Identifies the market segment.
- Populated for all CME Globex instruments.
- Changes to Trading Statistic Reset
- Security Status (tag 35-MsgType=f) Message will be sent with the following tags prior to or during the Pre-Open Session.
- Tag 326-SecurityTradingStatus=Any Valid Value
- Tag 1174-SecurityTradingEvent=4
This launch will be phased in on the following schedule:
- August 25
- NYMEX Metals, Softs, and Alternative Markets
- COMEX futures
- September 8
- All other markets listed on CME Globex
These enhancements are currently available for customer testing in New Release.
Please Note: The template files that were implemented on March 3, 2013 must be utilized when these new enhancements are implemented. New template ids '140 through 147' will be used for these enhancements.
Increased iLink Messaging Rates for MexDer via CME Globex
Effective this Sunday, August 11 (trade date Monday, August 12), the CME Group will increase the messaging control thresholds for the Mercado Mexicano de Derivados (MexDer) North-to-South order routing solution.
The messaging threshold for all application messages will be increased to 100 messages per second (MPS) per iLink session from the current 30 MPS. Administrative thresholds will remain at 100 MPS.
If an iLink session exceeds the designated MPS threshold over a rolling three second window, subsequent order messaging will be rejected until the average MPS rate falls below the threshold. The Messaging Controls Overview is available in the Client Systems Wiki for further information.
The new volume control thresholds for new order and order cancel/replace messages are currently available for customer testing in New Release.
For more information, please contact the CME Global Command Center in the US at +1312-456-2391, in Europe at +44-20-7623-4708 or in Asia at +65-6223-1357.
Implied Allocation Enhancements
Starting this Sunday, August 11 (trade date Monday, August 12), CME Group will implement enhancements to allocation of trade quantity in implied markets as follows:
Implied Allocation Enhancements
|CME Interest Rate Futures
CBOT Interest Rate Futures
||August 11, 2013
|CBOT Commodity Futures
CME Commodity Futures
MGEX and KCBT Futures
||August 18, 2013
These enhancements will optimize the allocation process for match events in implied markets.
In internal testing, these enhancements resulted in reduced iLink round trip time (RTT) variability for large match events in Pro-Rata and K-Algo markets.
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.
Source IP Changes for MexDer on the Market Data Platform
Effective Sunday, August 25 (trade date Monday, August 26), CME Group will be changing the multicast source IPs for the MexDer Mercado Mexicano de Derivados (MexDer) market data channels. If a firewall or network device is configured with the source IP information, please correct your configuration to use the entire range of eligible addresses. Port, multicast addresses, and source IPs for MexDer Market Data Platform are available in the config.xml file on the FTP site.
These are currently available in New Release for customer testing.
As a reminder, CME Group does not recommend restricting data flow via the source IPs, as these may change without notice.
If you have any questions or concerns, please contact your Global Account Manager with any questions or concerns at 312-634-8700, in Europe at 44-20-3379-3754 or in Asia at +65 6593 5505. If you experience any connectivity issues, 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.
Inter-Exchange Spread Channel Decommission
Effective Sunday, August 25 (trade date Monday, August 26), the inter-exchange spreads market data channel (channel 801) will be decommissioned. The spreads’ market data instruments will be disseminated on the channel of the first leg. The market data for the legs will continue to be sent on the respective outright channels.
A new config.xml will be available for customer download in production starting Sunday, August 25. The new config.xml includes the removal of MDP channel 801 and modifications to Channel ID Labels.
||First Leg MDP Channel
|NYMEX Brent 25-Day (Platts) vs. DME Oman Crude
|NYMEX Brent 25-Day (Platts) vs. DME Oman Crude Oil Financial
|NYMEX Brent Last Day Oil vs. DME Crude Oil
|NYMEX Brent Last Day vs. DME Oman Crude Oil Financial
|NYMEX Sweet Crude Oil vs. DME Oman Crude Oil
|NYMEX Light Sweet Crude Oil vs. DME Crude Oil
|MGEX Wheat vs. CBOT Wheat
|MGEX Wheat vs. KCBT Wheat
|KCBT Wheat vs. CBOT Wheat
The market data for the legs will continue to be sent on the respective outright market data platform channels.
These changes are currently available in New Release for customer testing.
Fee Code Change for Several Dow Jones Indices
Effective Sunday, September 15, the fee code will change for several Dow Jones Indices from XD=Dow Jones Fee Liable Indices to XW=All Fee Waived Indices. With this change, these indices will migrate to the streamlined FIX/FAST Market Data Platform S&P Channel 150.
The fee code will be defined in the Security Definition message (tag 35-MsgType=d) in the Attribute Type Repeating group in tags 871=119 and 872=XW.
Please note: The indices naming convention and the Security Exchange will not be impacted by this change.
New CME Globex Market Data Protocol
CME Group is introducing Market Data Platform (MDP) 3.0, a low latency and direct data access solution designed to improve customers’ ability to process and act on real-time price information. The protocol will launch on new production parallel channels beginning in Q4 2013.
MDP 3.0 includes:
- Simple Binary Encoding (SBE); replaces the current FAST compression model
- FIX 5.0 (SP2) Market by Price messaging formats
- Event-driven market price and trade information
- Enhanced market state dissemination
- Increased timestamp granularity
- Trade identifier on both market data and order entry messages
The client impact assessment provides detailed functionality and messaging information.
A new MDP 3.0 certification suite will be available in AutoCert+ in Q3 2013. Customer systems receiving market data via CME Globex must complete this mandatory certification.
MDP 3.0 functional specification is now available online. The functional specification provides the complete MDP 3.0 functionality details, whereas the client impact assessment outlines the differences in functionality between FIX/FAST and MDP 3.0.
MDP 3.0 will be available in New Release for customer testing in Q3 2013. Further information on the deployment plan and timing for all customer-facing environments will be published in upcoming CME Globex and Market Data Notices.
Test versions of MDP 3.0 template and PCAP (Packet Capture) test files will be available online starting Monday, August 12. The PCAP files will contain sample MDP 3.0 packets of various types in binary format.
Please contact your Global Account Manager with any questions or concerns at 312-634-8700, in Europe at 44-20-3379-3754 or in Asia at +65 6593 5505 for additional information.