BrokerTec Markets on CME Globex Update - December 28, 2023

Topics in this issue include:

• Critical System Information
  • BrokerTec Algorithmic Trading Systems Annual Recertification - This Week
  • 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
• Product Launches
  • BrokerTec EUROGC+ GREEN Standard and Minimum Size Baskets on CME Globex - January 7, 2024 New
  • 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

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 this 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.

Back to Top

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.

Back to Top

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.

Back to Top

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.

Back to Top

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.

Back to Top

Product Launches

New - BrokerTec EUROGC+ GREEN Standard and Minimum Size Baskets on CME Globex

Effective Sunday, January 7, 2024 (trade date Monday, January 8) the following BrokerTec EUROGC+ GREEN Standard and Minimum Size General collateral (GC) baskets will be listed on CME Globex.

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

Back to Top

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.

Back to Top

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. 

Back to Top