BrokerTec Markets on CME Globex Update: October 19, 2023

Topics in this issue include:

• Critical System Information
  • iLink Mass Order Cancel Change - This Week
  • Change to SFTP Retention Period - Starting November 4 New
  • FINRA Regulatory Notice 22-27 Impact on Current TRACE Reporting - November 6
  • iLink 3 SBE Schema for BrokerTec - November 12
• Product Launches
  • BrokerTec US Treasuries RV Butterfly Spreads - January 28, 2024
• Product Changes
  • Change to BrokerTec US RV Curve ITC External Alias Postponed
  • Change to BrokerTec US RV Curve Contract Leg Ratios New
• Post-Trade
  • Support for BrokerTec US Treasuries RV Butterfly Spreads in CME STP FIX and FIXML - January 28, 2024
• Announcements and Additional Resources
  • Reminder: CME Reference Data API v2 Decommission - October 27
  • BrokerTec Market Support Contact Updates - November 12

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 this 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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New - Change to SFTP Retention Period

Starting Saturday, November 4, Secure File Transfer Protocol ("SFTP") retention period will be set to 90 days. SFTP is a self-service tool allowing provisioned users to set up encrypted transfer of report files between CME's SFTP and a firm's SFTP.  Any reports consumed through SFTP will be removed once outside of the retention period. Please note, this change will not impact any reports consumed through the Enterprise Reporting Portal (“EREP”).  For details on specific reports please review the Client Systems Wiki.

For any questions on this notice, how to secure report access or how to determine who your firm’s Admin Manager is, please reach out to Global Account Management.

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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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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

Postponed - Change to BrokerTec US RV Curve ITC External Alias

The previously announced change to the ITC external alias and Globex Symbol for BrokerTec RV Curve reflecting the contract ratio scheduled for this Sunday, October 22 has been postponed. A new launch date will be announced in future BrokerTec Markets on CME Globex Update Notices.

These changes will be rolled back in New Release on Monday, October 23.

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New - Change to BrokerTec US RV Curve Contract Leg Ratios

Effective Sunday, October 29 (trade date Monday, October 30), the BrokerTec RV Curve contract leg ratios will be amended as follows.

CHANGE TO BROKERTEC US RV CURVE CONTRACT RATIOS
PRODUCT	SYMBOL	CURRENT LONG NAME	NEW LONG NAME
UST 2YR vs 5YR RV Curve	UB2:05	2Y/5Y 5:2   Ratio – 5:2	2Y/5Y 7:3   Ratio - 7:3
UST 2YR vs 20YR RV Curve	UB2:20	2Y/20Y 7:1   Ratio – 7:1	2Y/20Y 6:1   Ratio – 6:1
UST 3YR vs 20YR RV Curve	UB3:20	3Y/20Y 5:1   Ratio – 5:1	3Y/20Y 4:1   Ratio – 4:1
UST 3YR vs 30YR RV Curve	UB3:30	3Y/30Y 6:1   Ratio – 6:1	3Y/30Y 5:1   Ratio – 5:1
UST 5YR vs 10YR RV Curve	UB5:10	5Y/10Y 2:1   Ratio – 2:1	5Y/10Y 5:3   Ratio – 5:3
UST 5YR vs 30YR RV Curve	UB5:30	5Y/30Y 4:1   Ratio – 4:1	5Y/30Y 3:1   Ratio – 3:1
UST 7YR vs 10YR RV Curve	UB7:10	7Y/10Y 4:3   Ratio – 4:3	7Y/10Y 5:4   Ratio – 5:4
UST 7YR vs 30YR RV Curve	UB7:30	7Y/30Y 3:1   Ratio – 3:1	7Y/30Y 5:2   Ratio – 5:2
UST 10YR vs 20YR RV Curve	UB10:20	10Y/20Y 5:3   Ratio – 5:3	10Y/20Y 3:2   Ratio – 3:2
UST 20YR vs 30YR RV Curve	UB20:30	20Y/30Y 4:3   Ratio – 4:3	20Y/30Y 5:4   Ratio – 5:4

This change will be made available for customer testing in New Release on Monday, October 23.

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Post- Trade

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

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.

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

Reminder: CME Reference Data API v2 Decommission

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

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