BrokerTec Markets on CME Globex Update - November 16, 2023

Topics in this issue include:

• Critical System Information
  • iLink 3 SBE Schema for BrokerTec - This Week Update
  • CME Globex Performance Enhancement for BrokerTec US Treasury Actives, BrokerTec EGB, and BrokerTec UK Bills - This Week
  • BrokerTec Algorithmic Trading Systems Annual Recertification - December 31 New
  • Increased Mass Quote Messaging Capacity - January 7, 2024 
  • Globex User Signature (GUS) ID Maintenance - February 29, 2024 New
• Product Launches
  • BrokerTec US Treasuries RV Butterfly Spreads - January 28, 2024
• Post-Trade
  • Support for BrokerTec US Treasuries RV Butterfly Spreads in CME STP FIX and FIXML - January 28, 2024

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

Update - iLink 3 SBE Schema for BrokerTec

† Denotes update to the article

Starting this Sunday, November 19, 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.

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CME Globex Performance Enhancement for BrokerTec US Treasury Actives, BrokerTec EGB, and BrokerTec UK Bills

Effective this Sunday, November 19 (trade date Monday, November 20), CME Globex will implement internal changes to BrokerTec US Treasury Actives, BrokerTec EGB, and BrokerTec UK Bills on CME Globex

These changes will have no functional or messaging impacts to client gateways. In internal testing, these changes improved performance on CME Globex around 10%. 

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New - BrokerTec Algorithmic Trading Systems Annual Recertification

As a reminder, all BrokerTec EU customers are required to self-certify annually their Algorithmic trading systems per the Markets in Financial Instruments Directive - MiFID II CDR EU 2017/584 (RTS 7). If you have not completed re-certification, please do so by Sunday, December 31.

To complete the self-certification process, BrokerTec Front Office Managers must review and confirm all Algorithmic Trading systems registered in the CME Customer Center via Request Center > BrokerTec Requests > Algorithmic Trading, then update the Certification Date and attach the updated or new certification form for all registered Algos.

BrokerTec EU requires its participants to complete the Annual Certification Form.

For more information on completing the Annual Algorithmic System Certification and managing Algos, please refer to the CME Customer Center User Help.

For support and questions regarding functionality, please contact Global Account Management.

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Increased Mass Quote Messaging Capacity

Effective Sunday, January 7, 2024 (trade date Monday, January 8), customers will be able to quote and quote cancel up to 375 messages per second (MPS). Currently, customers can quote or quote cancel a maximum of 350 MPS.

This change will be available for customer testing in New Release on Thursday, November 16.

More information about Mass Quote Messaging Thresholds is available in the Client Systems Wiki.

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New - Globex User Signature (GUS) ID Maintenance

As a reminder, all Front Office Admin Managers of BrokerTec (BTEC) participants are responsible for updating their firm’s Globex User Signature (GUS) IDs and to ensure that BTEC has the correct contact and identity information associated with those IDs. GUS IDs should be periodically reviewed, updated and/or deleted if considered inactive. Front Office Admin Managers must take the following action on GUS information from the Request Center:

• Update the following information for the individual or team lead assigned to the active GUS IDs under their Globex Firm IDs (GFIDs): first and last name, email, phone number/type, country, address, and town/city.
• Delete any GUS IDs that are no longer active. 

Please review all GUS IDs associated with your Firm IDs as soon as possible but no later than February 29, 2024.

Please note: Before deleting any GUS(s), make sure they are not in use as deleting them will prevent order placement. Contact Global Account Management at globalaccountmanagement@cmegroup.com who will provide information regarding the Front Office Admin Managers and any system support required to make the changes. If you have compliance questions contact US Compliance at uscashmarketscompliance@cmegroup.com.

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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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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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