• BrokerTec Markets on CME Globex Update: October 12, 2023

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      • Global Market Solutions & Services (GMSS)
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      • 20231012
      • Notice Date
      • 12 October 2023

    • Topics in this issue include:

      Versions of BrokerTec notices dated March 23, 2023, and onward are available from the Notice Search page. 

      Archived BrokerTec notices dated July 2019 through March 9, 2023, are available from the BrokerTec Support Portal, which requires a separate login.  

       

      Critical System Information

       

      iLink Mass Order Cancel Change

      Effective Sunday, October 22 (trade date Monday, October 23), the maximum number of individual cancelled orders listed in one Order Mass Action Report on CME Globex will be reduced to 75.  Currently, the maximum number of cancelled orders listed in one Order Mass Action Report is 125.

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

      More information about Mass Order Cancel functionality is available in the Client Systems Wiki.

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      FINRA Regulatory Notice 22-27 Impact on Current TRACE Reporting

      In its Regulatory Notice 22-27 (“Notice”) FINRA has adopted several amendments to Rule 6730, including a requirement for members to report electronically executed transactions in U.S. Treasury securities to TRACE in the finest increment captured by the system used to execute the transaction. This amendment does not require members to update execution systems for U.S. Treasury securities to capture finer timestamp granularity, members must make any updates to their trade reporting systems necessary to ensure that their TRACE reports reflect the finest increment of time captured by such execution systems (but not finer than a microsecond). This requirement comes into effect November 6, 2023.

      Please be advised that BrokerTec Americas (BTEC) captures execution timestamps to the nearest nanosecond and reports to TRACE to the nearest microsecond, as required by this Notice. As such, BTEC does not anticipate making any changes.

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      New - iLink 3 SBE Schema for BrokerTec - November 12

      Starting Sunday, November 12, BrokerTec on CME Globex will no longer accept iLink 3 schema version 5 messages in the New Release environment.

       

      Version 8 of iLink 3 for BrokerTec launched in February 2023.

       

      iLink 3 BrokerTec Schema Version 5 Decommission
      Market Segment ID Description New Release Decommission Production Decommission
      16 BTEC EU Order Entry Service Gateway Sunday, November 12, 2023 March 2024
      44 BrokerTec EGB and UK Gilts
      46 BrokerTec EU Repo
      14 BTEC US Order Entry Service Gateway

      Sunday, November 17, 2023
      40 BrokerTec US Treasury Actives
      42 BrokerTec US Repo and TBAs

      Effective with this change, BrokerTec GFE 10.6.0.18+ will be required for access in the New Release environment.

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      Product Launches

       

      BrokerTec US Treasuries RV Butterfly Spreads

      Effective Sunday, January 28, 2024 (trade date Monday, January 29) new exchange-defined BrokerTec US Treasuries RV Butterfly spreads will be made available for trading on CME Globex.  BrokerTec US Treasuries RV Butterfly spreads will utilize a new strategy type (RB). BrokerTec US Treasuries RV Butterfly spreads will allow customers to trade between three US Treasury Actives at different points on the yield curve in a single transaction to eliminate legging risk and allow more efficient execution.

      Similar to RV Curve spreads, the RV Butterfly spreads will trade at yield differentials in a +1:-2:+1 convention; and prices will be inverted as in a typical yield market. These spreads will have predefined DV01-neutral leg ratios.

      Please review the Client Impact Assessment for detailed spread construction and pricing examples.

      These changes will be available for customer testing in the New Release environment on Monday, November 20.

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      Product Changes

      New - Change to BrokerTec US RV Curve ITC External Alias

      Effective Sunday, October 22 (trade date Monday, October 23), the ITC external alias for the following BrokerTec RV Curve will be changed to reflect the contract ratio.

      Change to BrokerTec US RV Curve ITC External Alia
      Product Ratio Long Name Current ITC External Alias Format on Reference Data API: ITC Alias New ITC External Alias Format on Reference Data API: ITC Alias
      UST 3YR vs 10YR RV Curve 3:1 3Y/10Y 3:1

      Leg1:MMYY – Leg2: MMYY

      Example: UB02:0925-UB07:0930

      MMYY – MMYY-RatioLeg1:RatioLeg2

      Example:
      0925-0926-3:1
      UST 3YR vs 7YR RV Curve 2:1 3Y/7Y 2:1
      UST 20YR vs 30YR RV Curve 4:3 20Y/30Y 4:3
      UST 7YR vs 10YR RV Curve 4:3 7Y/10Y 4:3
      UST 5YR vs 30YR RV Curve 4:1 5Y/30Y 4:1
      UST 3YR vs 30YR RV Curve 6:1 3Y/30Y 6:1
      UST 5YR vs 7YR RV Curve 4:3 5Y/7Y 4:3
      UST 2YR vs 30YR RV Curve 9:1 2Y/30Y 9:1
      UST 10YR vs 20YR RV Curve 5:3 10Y/20Y 5:3
      UST 10YR vs 30YR RV Curve 2:1 10Y/30Y 2:1
      UST 2YR vs 5YR RV Curve 5:2 2Y/5Y 5:2
      UST 2YR vs 3YR RV Curve 3:2 2Y/3Y 3:2
      UST 7YR vs 30YR RV Curve 3:1 7Y/30Y 3:1
      UST 3YR vs 5YR RV Curve 5:3 3Y/5Y 5:3
      UST 5YR vs 20YR RV Curve 3:1 5Y/20Y 3:1
      UST 3YR vs 20YR RV Curve 5:1 3Y/20Y 5:1
      UST 5YR vs 10YR RV Curve 2:1 5Y/10Y 2:1
      UST 2YR vs 10YR RV Curve 9:2 2Y/10Y 9:2
      UST 7YR vs 20YR RV Curve 2:1 7Y/20Y 2:1
      UST 2YR vs 7YR RV Curve 3:1 2Y/7Y 3:1
      UST 2YR vs 20YR RV Curve 7:1 2Y/20Y 7:1

      Additional product and instrument information are defined in Reference Data API.

      This change will be made available for customer testing in New Release on Monday, October 16.

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      Front-End Clients

      Update - BrokerTec Global Front End Upgrade Client 11.1 - Starting October 16

      † Denotes update to the article

      †On October 16, there will be a new BrokerTec Global Front End (GFE) Client 11.1 software upgrade. Firms that need to package the BrokerTec GFE Client for distribution can download and distribute version 11.1.

      Customers using BrokerTec Sync will automatically be upgraded to the latest version †starting the week of October 16.

      The software release includes:

      • Off the Run Treasuries
        • Consolidated Matching Window (CMW) enhancements
          • Traders will be able to paste orders from Excel in the CMW during matching sessions.
          • A new option to hide the "Yield" column was added to the right click menu.
      • EU Repo
        • Skip Empty Line (SEL) enhancement - a new preference was added to include term Repo instrument lines with the last traded price in the condensed view.
      • US Repo
        • Delete All My Cash and Delete All My Reg buttons - US Repo traders will be able to quickly remove all own CASH and REG orders via the Delete All My Cash and Delete All My Reg buttons, respectively.
        • Bid in Bulk Cash enhancement - a new criteria, "Shown Size", added for traders to specify a custom shown size for the bids to be entered against resting offers without a contra bid.

      For additional details, please see BrokerTec GFE Client 11.1 - What's New.

      Any client inquiries for technical issues or Production support should be directed to the CME Group Global Command Center (GCC) in the U.S. +1 800 438 8616, in Europe at +44 20 7623 4747 or in Asia at +65 6532 5010.

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      Post- Trade

      Support for BrokerTec US Treasuries RV Butterfly Spreads in CME STP FIX and FIXML

      Effective Sunday, January 28 (trade date Monday, January 29), new exchange-defined BrokerTec US Treasuries RV Butterfly spreads will be made available for trading on CME Globex.

      Trade capture reports for trades of BrokerTec RV Butterfly spread will be denoted with a new security sub type "RB" (FIX : tag 762-SecuritySubTyp=RB) (FIXML : /TrdCaptRpt/Instrmt/@SubTyp="RB")

      The spreads will be available for customer testing in New Release on Monday, November 20.

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      Announcements and Additional Resources

      BrokerTec US SIFMA Business Continuity Test

      BrokerTec US will participate in the SIFMA Business Continuity Test  this  Saturday, October 14.  All BrokerTec US testing is scheduled for 9 am to 11 am Eastern Time.

      To participate in the SIFMA Business Continuity Test, users must register directly with SIFMA.

      All customers who intend to participate must provide their Production CME Group Login ID and/or any CME Group API IDs they intend to use for testing by Friday, October 6, so they can be enabled for weekend testing privileges. Please email login IDs to ms@btec.com after completing your registration at SIFMA.

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      Update - Reminder: CME Reference Data API v2 Decommission

      † Denotes update to the article

      Effective Friday, October 27, Reference Data API version 2 will be decommissioned and no longer supported. Version 2 is currently deprecated.

      Customers are strongly encouraged to migrate to Reference Data API Version 3 as soon as possible to prevent any data interruptions. 

      CME Reference Data API v3 (RD API v3), hosted on Google Cloud (GC), provides the following enhancements:

      • Decreased refresh time rate
      • Increased results per page from 20 to 1000
      • No change to your API IDs and entitlements

      Clients should review an updated †Client Impact Assessment for details on v3.

      Reference Data API Version 3 is currently available in Production and for customer testing in New Release.

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      New - BrokerTec Market Support Contact Updates

      Effective Sunday, November 12, market support for BrokerTec US and EU markets will integrate with the CME Global Command Center (GCC).

      This integration will result in the following BrokerTec market support contact changes:

      • All support queries via email should be sent to gcc@cmegroup.com. All email replies from the GCC will come from this address.
      • All emails sent to btec_eu@nex.com and ms@btec.com will be automatically redirected to gcc@cmegroup.com.
      • The existing BrokerTec market support phone numbers will be decommissioned. BrokerTec market support phone queries should be made to regional GCC numbers, selecting option 4 for EU and 5 for US.
      • In January 2024, the btec_eu@nex.com and ms@btec.com email addresses will be decommissioned,and emails sent to these addresses will not be delivered.

      If you have any questions prior to November 12 regarding:

      • BrokerTec EU, please email btec_eu@nex.comor contact BrokerTec EU (CME Global Command Center) at +44 20 7818 9890.
      • BrokerTec US, please email ms@btec.comor contact BrokerTec US (CME Global Command Center) at +1 212 521 4700.

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