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Software Version/RPF Data Cross-Reference

Updated 2022-01-

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24

Software Version(s)

Release Date(s)

Compatible RPF Dates – SPAN*

Version of SPAN file(s) available

Compatible RPF Dates – SPAN 2*

Version of SPAN 2 file(s) available

2.0.0

2.0.0.1

2.0.0.2

2.0.4

2021-11-22

2021-12-17

2021-12-23

2022-01-24

October 4 – December 3, 2021

December 15, 2021 – current

Additional daily cycle files, as available

C, S, I from December 15, 2021

C from all prior dates

Additional daily cycle files, as available

November 23** – December 3, 2021 (C files)

December 15, 2021 – current (C files)

C**

1.1.54

1.1.55

2021-10-04

2021-10-13

October 4 – December 3, 2021

December 15, 2021 – current

C

October 4 – 30, 2021

C

All Prior versions


Limited points in time


Limited points in time


*Intermittent service disruptions can interfere with file availability during test phase. Please review list of available risk parameter files from CME FTP prior to testing.

**Note all .c SPAN 2 files published after November 23, 2021 are files with ‘active only’ contracts to limit total file size. Prior .c SPAN 2 files contain all contracts, even those without open interest.

Version: v2.0.4

Release Date: 2022-01-24

Updates

Description

Enhancements

-          None

Fixes

-          Release fixes an issue with computing concentration and liquidity in the SPAN 2 framework for certain NYMEX contracts which have no open interest. This issue is not observable in cleared portfolios but nonetheless can appear in prior builds of the software when hypothetical portfolios are supplied. Portfolios with this condition produce an informational error in prior versions of the software.

-          CME recommends taking this optional release to prevent erroneous computation of liquidity and concentration values for hypothetical portfolios.

Notes

-          Additional SPAN and SPAN 2 daily RPF files expected in early 2022.

-          Release is backwards compatible with all market data sets described above.

-          Prior release numbers after version 2.0.0 added an additional zero to the version number (i.e. 2.0.0.2). Going forward this will follow a standard naming convention of [major version].[minor version].[patch].

Known Issues

-          None.

Version: v2.0.0.2

          Release Date: 2021-12-23

Updates

Description

Enhancements

-          None

Fixes

-          Fixes critical security patch made by log4j by updating default log4j version to v2.16 – see here for more information: https://logging.apache.org/log4j/2.x/security.html.

-          Steps to look-up and remediate log4j version in the prior build of deployable margin software:

-          Update the startup script to include the following argument -Dlog4j2.formatMsgNoLookups=true

-          Customers are encouraged to override the log4j version required by prior versions of deployable margin software. Users can do this by updating the log4j version number in the pom file.

Notes

-          None.

Known Issues

-          Additional SPAN and SPAN 2 daily RPF files expected in early 2022.

...

          Release Date: 2021-12-17

Updates

Description

Enhancements

-          None

Fixes

-          Improves validation process for contracts where the futures and options product codes are the same.

-          Fixes critical security patch made by log4j by updating default log4j version to v2.16 – see here for more information: https://logging.apache.org/log4j/2.x/security.html.

-          Steps to look-up and remediate log4j version in the prior build of deployable margin software:

-          Update the startup script to include the following argument -Dlog4j2.formatMsgNoLookups=true

-          Customers are encouraged to override the log4j version required by prior versions of deployable margin software. Users can do this by updating the log4j version number in the pom file.

Notes

-          None.

Known Issues

-          Additional SPAN and SPAN 2 daily RPF files expected in early 2022.

...

          Release Date: 2021-11-22

Updates

Description

Enhancements

-          Added new ExampleMainWithTimeout.java SDK example file to include the Redis configurable timeout property (see v1.46 below)

-          Added support for derivation logic of below fields for any CME RPF (non-CME SPAN files not supported):

o        Product description

o        Product Type

o        Underling period code

-          Final prod-ready release supporting SPAN and SPAN 2 framework

Fixes

-          File lock when running on Windows operating system fixed

-          Fixes issue computing naked requirements in SPAN 2 methodology.

Notes

-          The full 10gb SPAN 2 RPF will not be distributed with this release – the .c SPAN 2 file published as of November 2021 is inclusive of active contracts only to limit file size.

Known Issues

-          Additional SPAN and SPAN 2 daily RPF files (.s, .i etc.) expected before 2022 go live.

...

          Release Date: 2021-10-13

Updates

Description

Enhancements

-          None.

Fixes

-          Fixes Portfolio-level currencyAmounts to correctly display fields riskInitialRequirement and riskMaintenanceRequirement for non-USD results (see v1.1.54 below).

Notes

-          Patch release – this is not a required build. Above fix will be present in November required build.

Known Issues


...

          Release Date: 2021-10-04

Updates

Description

Enhancements

-          Daily SPAN 2 RPF files are now available in a new SFTP location:

o   Location: cme/ftp/FIRMID/pub/SPAN2/rpf

o   File names:

o   SPAN = cme.span.yyyymmdd.c.zip

o   SPAN 2 = cme.span2.yyyymmdd.c.zip

o   This build supports RPFs from October 4, 2021.

-          Software enhanced to offer limited backwards compatibility with older versions of the SPAN RPF files cme.span.yyyymmdd.zip with a simple warning error.

-          Software enhanced with logic to interpret the most recent RPF when multiple supplied for the same business date.

-          New argument added to support filtering of House versus Cust accounts for margining. If desired, users can specify the software produce margin results for a given data initialization for just House accounts or just Cust accounts.

-          README updated to include new House/Cust filter start-up argument described above.

-          README updated to reflect new SPAN and SPAN 2 RPF file details.

-          This version is a production-ready build for SPAN margin methodology.

Fixes

-          None.

Notes

-          User Guide was updated to provide additional guidance on unzipping and initializing market data.

-          User Guide was updated to include list of all start-up arguments.

Known Issues

-          Rounding issues under certain conditions against the CME cycle-produced SPAN 2 margin files (MARGIN001 and MARGIN003). These differences are $0.01.

-          Portfolio-level currencyAmounts for fields riskInitialRequirement and riskMaintenanceRequirement for non-USD products (only those in SPAN model) are returning in USDE.

...

          Release Date: 2021-08-23

Updates

Description

Enhancements

-          README updated to remove references to deprecated “SPAN 1” mode.

-          Daily SPAN risk parameter files (number matching portfolio risk against CME production margin) publishing to new location with new name:

o   Location: secure FTP /pub/SPAN2

o   File names:

o   SPAN = cme.span.yyyymmdd.[c/s].zip

o   SPAN 2 = cme.span2.yyyymmdd.[c/s].zip (daily publication forthcoming)

-          Support for historical SPAN .pa2 and .xml files with -DspanFilesDirectoryOverride configuration in windows and linux start files.

-          Support for configurable Redis time-out (default is now 60 seconds instead of 2 seconds).

-          Updated Java minimum version from 1.8.0_271 to 1.8.0_291.

-          Support for loading and clearing a remote Redis cache.

-          Remove deprecated configuration -Dspan2 in the start.bat file. This build of the software interprets the margin methodology in use based on the risk parameter file supplied.


Fixes

-          Fixed and issue with Redis causing some margin failures for SPAN 2 portfolios when they contained options.

Notes

-          The sub-directory folder name in the updated SPAN only risk parameter file (RPF) has changed from “YYYYMMDD_FNO” to “YYYYMMDD_FNO_MARGIN_EOD.” Users should continue to use this file the same, there are no differences to the software processing these files. User who use the -DfnoRpfDirectory parameter in the windows or linux start.bat file should refer to the full updated directory name.

Known Issues

-          SPAN 2 risk parameter files continue to be static for two points in time: June 21, 2021 and April 19, 2021. Daily SPAN 2 risk parameter files are scheduled for delivery in September 2021 (to be confirmed).

...

          Release Date: 2021-06-28

Updates

Description

Enhancements

-       Risk Library version upgrade

-       README was updated for windows regarding details around the native directory

-       Update the Deployable SDK to be a Skinny JAR version

-       CME is standing over the numbers for margin analysis coming out of the SPAN and SPAN 2 Deployable modes using the fixed points in time

Fixes

-       Updated Risk API margin response:

o   Added exchangeRate to the currencyAmts at CCP level

-       Cross Model Offset is now being correctly displayed in the margin response structure for all omnibus accounts

Notes

-       The SPAN 2 margin method flag is case-sensitive, and the tag should be “-Dspan2=”. (See more information in the F&O User Guide)

-       Compatible market data files located on SFTP:

o   SPAN only mode: Market data for the SPAN only mode is only compatible for June 25th, 2021 trade date or forward. SPAN mode market data is also compatible with market data for SPAN 2 mode. 

o   SPAN 2 mode: Market data for running in SPAN 2 mode is only compatible with the following points in time for margin analysis:

§  Full risk parameter file: April 19th, 2021 date

§  Active only parameter file: April 19th, 2021 date

o   SPAN 2 mode: Market data for running in SPAN 2 mode is compatible with the full risk parameter file for June 21st, 2021 trade date for the purposes of understanding the Risk API data model and not to be used for margin analysis.

Known Issues

-       Although not a valid combination, omnibus member account types passed into a portfolio are throwing a hard halt error

...

          Release Date: 2021-05-24

Updates

Description

Enhancements

-       Risk Library version upgrade

-       New parameter added in the start_windows bat/start_linux.sh to give firms the ability to switch between loaded points in time

o   Parameter named -DfnoRpfDirectory=YYYYMMDD_FNO

-       Updated the log file to include the deployable jar version (i.e. 1.1.34)

-       README was updated for windows regarding details around the native directory

-       Updated Omnibus error messages to either an informational or warning message if there is no impact to margining processing but simply a warning message

-       Updated Risk API margin response:

o   Added exchangeRate to the CCP level

o   Exposed currencyAmts at the POD level for SPAN products

Fixes

-       Updated SPAN error messages inconsistences to return the product family code in the error message instead of the combined commodity

-       Cross Model Offset attribute will no longer be present for SPAN products in either SPAN or SPAN 2 mode. It will only be present for SPAN 2 products.

-       Remove omnibus warning message “omnibus parent ID found for non-omnibus accounts”

Notes

-       The SPAN 2 margin method flag is case-sensitive, and the tag should be “-Dspan2=”. (See more information in the F&O User Guide)

-       Compatible market data files located on SFTP:

o   SPAN only mode: Market data for the SPAN only mode is only compatible for May 24th, 2021 trade date or forward. SPAN mode market data is also compatible with market data for SPAN 2 mode. 

o   SPAN 2 mode: Market data for running in SPAN 2 mode is only compatible with the following points in time:

§  Full risk parameter file: January 19th, 2021 date

§  Active only parameter file: January 19th, 2021 date

-       Updated the SDK and Market Data folder from referencing market data language to ‘rpfs’. The function is the same, only change is to the naming convention.

Known Issues

-       Cross Model Offset attribute is missing from the margin response from a fully disclosed parent

 

Version: v1.1.25

          Release Date: 2021-03-08

Updates

Description

Enhancements

-       The size of the log file has been reduced in SPAN modes

-       New workflow for users who want the ability to run OCC cross margining without having to remove the CME SPAN files

o   See F&O User Guide Documentation for more information on use.

-       Removal of the GCC file pre-requisite for Linux

-       Enhanced warning messages for omnibus edge cases  

-       The ordering of the margin response structure has been updated to come back by ascending portfolio account id and in the order of the submitted input request message to assist with comparing results

-       Risk Library version upgrade

Fixes

-       Error message code ERR012: “Invalid portfolio supplied” is being correctly returned when passing in a .json input request message

-       Submitting a portfolio in a base currency that is non-USD is now being calculated correctly in SPAN 2 mode

-       Error message being correctly returned when there is an omnibus parent that has no positions

Notes

-       The SPAN 2 margin method flag is case-sensitive, and the tag should be “-Dspan2=”. (See more information in the F&O User Guide)

-       Compatible market data files located on SFTP:

o   SPAN only mode: Market data for the SPAN only mode is only compatible for March 8th, 2021 trade date or forward. SPAN mode market data is also compatible with market data for SPAN 2 mode.  

o   SPAN 2 mode: Market data for running in SPAN 2 mode is only compatible with the following points in time:

§   Full risk parameter files: January 18th, 2021 and January 19th, 2021 dates

§  Active only parameter files: January 18th, 2021 and January 19th, 2021 dates

 

Version: v1.1.17

          Release Date: 2020-12-18

Updates

Description

Enhancements

-       The size of the log file has been reduced in both SPAN and SPAN 2 modes

-       Logic to identify a unique portfolio in the input request has been updated. It is based on the fields: firmId, accountId & originType

Fixes

-       The Pod level ‘customerAccountType’ is now populating correctly when there are two positions with different sub account types

-       When running in SPAN 2 mode, no MGE positions are being kicked out. This has been resolved so that all MGE positions present in the input are being returned in the margin response. This was not an issue in SPAN mode

Notes

-       The SPAN 2 margin method flag is case sensitive, and the tag should be “-Dspan2=”. (See more information in the F&O User Guide)

-       Compatible market data files located on SFTP:

o   SPAN only mode: Market data for the SPAN only mode is only compatible for November 23rd, 2020 date or forward

o   SPAN 2 mode: Market data for running in SPAN 2 mode is only compatible with a fixed point in time date of September 4th, 2020

Known issues

-       In SPAN 2 mode, POD information for source legs of a scan-based spreads is not being returned in the margin response

-       When the logging level is set to INFO, the “SPAN response message to interceptor” is displaying

 

Version: v1.1.12

          Release Date: 2020-11-23

Updates

Description

Enhancements

-       The margin request CSV input format has been updated to align with the Risk API spec

-       The margin response JSON message has been updated to align with the Risk API spec

-       Child account aggregation logic for omnibus parent accounts

-       Rename margin method flag from ‘Hybrid mode’ to ‘SPAN 2 mode’

Fixes

-       The ‘customerAccountType’ attribute is populating correcting on Scan Based spreads

-       In the event a SPAN 2 product is not found in risk parameter files, error handling has been updating to return margin figures on valid products within the portfolio

-       Option Type enrichment for SPAN 2 products

-       The attributes ‘productDescription’ and ‘podId’ are being populated for SPAN 2 products

-       The ‘crossModelOffset’ attribute is only populating while in SPAN 2 mode

Notes

-       Compatible market data files located on SFTP:

o   SPAN only mode: Market data for the SPAN only mode is only compatible for November 23rd, 2020 date or forward

o   SPAN 2 mode: Market data for running in SPAN 2 mode is only compatible with a fixed point in time date of September 4th, 2020

Known issues

-       In SPAN 2 mode, POD information for source legs of a scan-based spreads is not being returned in the margin response

 

Version: v1.0.193

          Release Date: 2020-09-25

Updates

Description

Enhancements

-       The attribute segregationType has been updated to allow values ‘CNSEG’ and ‘SECURED’ to be accepted in the margin request message

Fixes

-       The ‘productDescription’ attribute is now populating correctly with the relevant Product Description of the productGroupId for CME products.

o   This fix is for SPAN only PODs. SPAN 2 product description is still showing as the productGroupId and will be fixed in a future release

-       Enrichment to the attribute ‘underlyingPeriodCode’ has been fixed to ensure users can leave this value as optional for CME options 

o   This enrichment is just applicable to SPAN and SPAN 2 market data files. CME will be adding this enrichment to the cross margining file in future releases

Notes

-       Compatible market data files located on SFTP:

o   SPAN only mode: Market data for the SPAN only mode is only compatible for September 21st, 2020 date or forward

o   Hybrid mode: Market data for running in Hybrid mode is only compatible with a fixed point in time date of June 29th, 2020

-       The margin request CSV input format has been updated to align with the Risk API spec. In this update, the attribute requestType was removed

 

Version: v1.0.191

          Release Date: 2020-09-14

Updates

Description

Enhancements

-       Updates to allowable market data files

o   Market data for the SPAN only mode is only compatible for September 21st, 2020 date or forward

o   Market data for running in Hybrid mode has been updated and is only compatible with June 29th, 2020 date

-       Support added for OCC cross margining when running Deployable in SPAN and Hybrid mode

-       Updates to the CSV input format to align with the Risk API specification

-       The attributes, fullValueComponent and interCmdtyVolatilityCredit, in the margin response are now mapped at the productGroup level

-       The VUMComponent has been removed from the margin response

-       Product validation for SPAN and in-scope SPAN 2 products when running Deployable in Hybrid mode

-       When running Deployable in Hybrid mode, Valuation Amounts are now being populated under POD and ProductGroup levels

-       Handling of ‘0’ quantity validation against account types

-       Multi-currency support at the ProductGroup level running in hybrid mode

Fixes

-       The crossModelOffset attribute has been added to the margin response under Margin Method=POD SPAN

-       The customerAccountType attribute has been added to the CCP level of the margin response message

Notes

-       The original sample market data files for trade date September 30th, 2019 and June 23rd, 2020 will no longer be compatible with the latest version of the deployable software

o   Older versions of the deployable software will still require September 30th, 2019 file

...