BrokerTec Markets on CME Globex Update - December 14, 2023

Topics in this issue include:

• Critical System Information
  • BrokerTec Algorithmic Trading Systems Annual Recertification - December 31
  • Increased Mass Quote Messaging Capacity - January 7, 2024 
  • Globex User Signature (GUS) ID Maintenance - February 29, 2024
  • iLink 3 BrokerTec Schema Version 5 Decommission - March 2024 
  • iLink 3 Mass Quote Cancellation Change - March 3, 2024 New
• Product Launches
  • BrokerTec US Treasuries RV Butterfly Spreads - January 28, 2024 
• Front-End Clients
  • BrokerTec Global Front End Upgrade Client 11.2 - December 18 New
• 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

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  is currently available for customer testing in New Release.     

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

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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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iLink 3 BrokerTec Schema Version 5 Decommission

Starting in  March 2024, BrokerTec on CME Globex will no longer accept iLink 3 schema version 5 messages in the Production environment.

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

Effective with this change, BrokerTec GFE 11.1.0.34+ will be required for access in the New Release environment.

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New - iLink 3 Mass Quote Cancellation Change

Effective Sunday, March 3, 2024 (trade date Monday, March 4), CME Globex will implement an enhancement to the iLink 3 Mass Quote Cancellation to BrokerTec EGB on CME Globex.

With this change, CME Globex will reject any Quote Cancel All (tag 35-MsgType =Z and tag 298-QuoteCancelType=4) message from a MSGW session not permissioned to quote any product group for the MarketSegmentID on which Quote Cancel All request was initiated. The Quote Cancel Reject (tag 35-MsgType=b and tag 297-QuoteStatus=5) message will include tag 300-QuoteRejectReason=9 (Not authorized to quote security) and tag 58-Text=Quote rejected: Not authorized to quote any group. Currently, CME Globex does not respond back to a Quote Cancel All request from a MSGW session not permissioned to quote any product group.

This change will be available for customer testing in New Release on Thursday, January 4, 2024.

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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 are currently available for customer testing in the New Release.

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Front-End Clients

New - BrokerTec Global Front End Upgrade Client 11.2

On December 18, there will be a new BrokerTec Global Front End (GFE) Client 11.2 software upgrade. Firms that need to package the BrokerTec GFE Client for distribution can download and distribute version 11.2 when it is available.

Customers using BrokerTec Sync will automatically be upgraded to the latest version in early January.

The software release includes:

• US Treasuries Actives
  • Support for BrokerTec US Treasuries RV Butterfly Spreads
    • Traders will be able to access and trade the new BrokerTec UST RV Butterfly spreads via the GFE when the product launches in Q1 2024.
  • New display conventions for US Treasuries RV Curves and Butterfly Spreads
    • Traders will be able to customize market data display in the GFE to format yield difference in the RV instruments as:
      • Pick/Give (default)
      • Front leg yield minus back leg yield [for butterflies: wings minus body yield]
      • Back leg yield minus front leg yield [for butterflies: body minus wings yield]
• Off the Run Treasuries
  • Consolidated Matching Window (CMW) enhancements
    • Traders will be able to paste orders from Excel in the CMW during matching sessions.
• Technical Enhancements
  • BrokerTec GFE 11.2 release introduces support for iLink 3 schema V8. Decommission of the iLink 3 schema V5 used by prior versions of the GFE is scheduled for March 2024. Please upgrade to this latest version as soon as possible to prevent any interruption of service.

For additional details, please see BrokerTec GFE Client 11.2 - 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, 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")

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

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