• CME Globex Notices: May 9, 2016

      • To
      • CME Globex and Market Data Customers
      • From
      • GMSS
      • #
      • 20160509
      • Notice Date
      • 09 May 2016
      • Effective Date
      • 09 May 2016

    • Topics in this issue include:

       

      Critical System Updates

      New iLink Architecture Phase 2

      CME Group will continue to launch Phase 2 of the new iLink Architecture, which implements Market Segment Gateways (MSGWs) throughout the iLink infrastructure.

      Important MSGW Updates:

      • Access to TAS market during the first five minutes of the pre-open will remain restricted to  Phase 1 MSGW sessions until the Phase 2 launches are complete.  Starting Sunday, May 15, 2016, Phase 1 MSGW sessions cannot be used to enter TAS orders.  TAS customers will use CGW or new MSGW sessions to trade TAS products.
      • In the event of a technical issue with the new iLink failover process during the Phase 2 launch, MSGW sessions will be unavailable. MSGW customers may revert to their old Convenience Gateway (CGW) sessions, IPs and Ports to connect to the iLink CGW. CME Group strongly recommends MSGW customers retain their traded-in CGW  and Phase 1 MSGW sessions until Friday, July 8, 2016.
      New iLink Architecture Phase 2 Launch Schedule
      Tag1300-MarketSegmentID Market Segment Phase 2 Mock Trading Session Phase 2 Launch Schedule
      56 NYMEX and COMEX options May 14, 2016 May 15, 2016
      74 Hosted Partner Exchange markets and NYMEX Emissions futures May 14, 2016 May 15, 2016
      76 NYMEX and COMEX Metals and Alternative Market futures May 14, 2016 May 15, 2016
      78 NYMEX Non-Crude Energy futures May 14, 2016 May 15, 2016
      80 NYMEX Crude Energy futures May 14, 2016 May 15, 2016
      86 CME Europe futures and options May 14, 2016 May 15, 2016

      CME Group offers several customer mock trading sessions with full Drop Copy 4.0 to ensure customers have opportunities to connect directly to their new MSGW sessions and trade in the CME Globex production environment prior to the Phase 2 launch. Customers are required to register in advance and join the conference bridge line on Saturday in order to participate in the Phase 2 mock trading session. For more information about the Mock Trading Sessions, please view the mock trading session script.

      All customers are encouraged to review the new iLink Architecture client impact assessment.

      Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

       

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      Drop Copy 4.0 Implementation

      CME Group will continue to implement Drop Copy 4.0 support for Market Segment Gateways (MSGWs) source sessions in addition to the Convenience Gateway (CGW) implementation available in production.

      Certification is mandatory for all Drop Copy customers and is a prerequisite for access to Drop Copy Convenience Gateways and Market Segment Gateway target sessions. Upon completion of certification in the new Drop Copy 4.0 test suite in AutoCert+, customers can request Drop Copy CGW and/or Drop Copy MSGW target sessions.

      The client impact assessment is now available outlining changes introduced by the new Drop Copy 4.0 implementation and details regarding functionality and messaging in the Drop Copy 4.0 Overview section.

      Drop Copy 4.0 CGW and MSGW are available in New Release for customer testing.

      For more information, a Frequently Asked Questions (FAQ) guide is now available.

      Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

       

       

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      AutoCert+ SMART Click Integration

      Effective Friday, May 27, all AutoCert+ access will migrate to SMART Click and legacy user IDs and passwords will be decommissioned.

      Currently, AutoCert+ users have the ability to migrate their existing AutoCert+ Login ID to SMART Click.

      A single SMART Click ID can be used to claim all the users existing AutoCert+ Login ID’s. Claiming legacy AutoCert+ ID’s will consolidate the user’s entitlements associated with the legacy AutoCert+ ID’s under one SMART Click ID.

      All AutoCert+ users need to begin the claim process with a registered SMART Click ID.

      • Current users with a SMART Click ID can begin the SMART Click claim process now.
      • New AutoCert+ users create a SMART Click ID prior to accessing AutoCert+

      If you have questions, please contact Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803, or in Asia at +65 6593 5593.

       

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      Update - Streamlined SBE Market Data Protocol

      † Denotes update to the article

      †Starting Sunday, June 12 (trade date Monday, June 13), CME Group will introduce Streamlined Simple Binary Encoding (SBE) market data protocol. Streamlined SBE will replace the existing streamlined FIX/FAST market data protocol to align the market data protocol with MDP 3.0 encoding format.

      †Please refer to the table for the implementation schedule and client impact assessments.

      Streamlined SBE Market Data Protocol
      SBE Feed Production New Release Client Impact Assessment Availability
      Blocks June 12 Available Blocks Streamlined Conversion to SBE
      Equity Indices - S&P & Dow Jones July 10 May 29 Equity Indices Streamlined Conversion to SBE
      Equity Indices - Bloomberg July 24 June 12 Equity Indices Streamlined Conversion to SBE
      Eris August 7 June 26 TBD
      OTC-EOD August 21 July 10 TBD

      †A new SBE config.xml file for production is now available for customer download from CME Group FTP site.

      †On Monday, May 23, a new Streamlined SBE schema will be launched for New Release. This new schema file will include support for Equity Indices, Eris and OTC-EOD.

      †Customer systems receiving market data via Streamlined SBE must complete a mandatory certification suite for each market type.

      †Additional details on each streamlined SBE conversions will be announced in future Globex Notices.

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      Update - Legacy Drop Copy Decommission

      † Denotes update to the article

      †Effective end of day Friday, July 1, legacy Drop Copy will be decommissioned for all users.

      †Starting Sunday, May 29, legacy Drop Copy clients who continue to use the service will be charged $5,000 †per Drop Copy Service customer.

      Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

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      iLink Session ID Policy and Operational Guidelines

      As a result of the upcoming iLink Architecture with Market Segment Gateways, CME Group plans to introduce a new policy for the distribution and management of iLink session IDs as explained in the Update - iLink Session ID Policy and Operational Guidelines.

      A Port Activation Charge (PAC) will apply to all newly created Convenience Gateway (CGW) iLink sessions. Newly created and existing CGW iLink session IDs will not be subject to Monthly Inactivity (MIC) measurement or surcharges until iLink Session Policy Phase 2 begins, which is estimated to be June 1, 2016.

      To ensure a successful migration to the revised iLink Session Policy, clearing and executing firms are encouraged to contact their Global Account Manager with any questions.

       

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      Changes to BM&F BOVESPA (BVMF) Order Routing Offering

      Effective end of day Friday, October 28, order routing and market data for BM&F BOVESPA (BVMF) products will no longer be available via the CME Globex platform. Existing order routing customers to BVMF markets should contact their Brazilian broker. Customers wishing to pursue market access to BVMF markets may also contact BVMF at +55 11 2565-5000 (dial ‘0’ for English, then ‘2’ for Trading).

      Customers wishing to pursue market access to CME Group markets should contact Global Account Management in the U.S. at +312 634 8700, in Europe at +44 203 379 3754, or in Asia at +65 6593 5505.

       

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      New Functionality

      Update - Enhanced UDS Strip Functionality

      † Denotes update to the article

      Effective this Sunday, May 15 (trade date Monday, May 16), CME Globex launches Enhanced UDS Functionality for NYMEX Energy options to better support the pricing conventions. With this release, CME Globex supports average price functionality (APS) on the current strip (tag 762-SecuritySubType=SA) and the new Option Strip Spread (tag 762=GD).

      †The production launch of CME Dairy Enhanced UDS Strip Functionality has been delayed until further notice. NYMEX Energy will launch as scheduled.

      With this launch, the following strategy types are replaced for all NYMEX Energy and CME Dairy options impacted by this change:

      • Strategy Strip (tag 762=SR) will be replaced by SA
      • Straddle Strips (tag 762=SS) will be replaced by GD

      To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) orders for the impacted †NYMEX Energy spreads after their close Friday, May 13. After 16:00 CT Friday, May 13, all remaining GTC orders for these spreads will be cancelled by the CME Global Command Center (GCC).

      The client impact assessment is now available, which outlines changes introduced in this release.

      Additional energy products have been added to New Release for customer testing. Please view the Client Systems Wiki for the complete list of products that will support Enhanced UDS Strip Functionality.

       

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      Committed Cross (C-Cross) for Futures and Swaps on CME Globex

      Effective Sunday, June 5 (trade date Monday, June 6), pending regulatory review, Interest Rate and FX futures and swaps contracts will be eligible for the Committed Cross C-Cross on CME Globex, in addition to the currently permitted crossing method in these contracts.

      Currently, the C-Cross is available for FX Interest Rate and Equity Index options on CME Globex.

      In future, the C-Cross functionality will allow Request for Cross (tag 35-MsgType=s) orders for eligible futures and swaps markets.

      A detailed description of the C-Cross functionality for futures and swaps is available in the Client Systems Wiki.

      The C-Cross functionality for futures and swaps is currently available in New Release for customer testing.

      Certification is mandatory for all customers who intend to leverage the committed cross functionality on Futures and swaps contracts.

       

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      Product Launches

      DME Middle East Fuel Oil (Platts) Futures

      Effective this Sunday, May 15 (trade date Monday, May 16), the following Dubai Mercantile Exchange(DME) Middle East Fuel Oil products are listed for trading on CME Globex.

      Temporary Suspension of Live Cattle Futures and Options New Contract Listings
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Middle East Fuel Oil 180 cst (Platts) Futures DHE DE
      Middle East Fuel Oil 380 cst (Platts) Futures DES DE

      Please Note: The minimum price fluctuation is $0.01 on CME Globex.

      These futures are currently available for customer testing in New Release.

      These contracts are listed with, and subject to, the rules and regulations of the DME.

       

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      New - Natural Gas Intercommodity Spreads Launch

      Effective this Sunday, May 15 (trade date Monday, May 16), CME Group is adding natural gas intercommodity spreads (tag 762-SecuritySubtype=IS) for the first two contract months on CME Globex.

      Natural Gas Intercommodity Spreads Launch
      Intercommodity Spreads MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Henry Hub Natural Gas (Platts IFERC) Basis Futures HB FD
      Henry Hub Natural Gas (Platts Gas Daily/Platts IFERC) Index Futures IN FD

      These spreads are available in New Release for customer testing beginning Monday, May 16.

      These contracts are listed with, and subject to, the rules and regulations of the NYMEX.

       

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      European-Style Week 3 Options on E-mini Dow Jones Industrial Average Index Futures

      Effective Sunday, May 22 (trade date Monday, May 23), the following European-style Week 3 options on E-mini Dow Jones Industrial Average Index ($5 Multiplier) Futures will be listed for trading on CME Globex, open outcry and for submission for clearing via CME ClearPort.

      First contract to be listed as Week 3 will be the August 2016 Week 3 contract.

      Please Note: The May 2016 and July 2016 American-style serial options currently listed for trading will not be affected and will expire as regularly scheduled. No new American-style serial option months will be listed upon expiration of these option contracts.

      European-Style Week 3 Options on E-mini Dow Jones Industrial Average Index Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      European E-mini Dow  ($5) Week 3 Options YM3 OL
      American Style E-mini Dow($5) Serial Options EYM OL

      These changes are currently available for customer testing in New Release.

      These contracts are listed with, and subject to, the rules and regulations of CBOT.

       

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      European-Style Week 3 Options on E-mini NASDAQ 100 Index Futures

      Effective Sunday, May 22 (trade date Monday, May 23), the following Week 3 European-style E-mini NASDAQ-100 options will be listed for trading on CME Globex, open outcry and for submission for clearing via CME ClearPort.

      First contract to be listed as Week 3 will be August 2016 Week 3.

      Please Note: The May 2016 and July 2016 American-style serial options currently listed for trading will not be affected and will expire as regularly scheduled. No new American-style serial option months will be listed upon expiration of these option contracts.

      European-Style Week 3 Options on E-mini NASDAQ 100 Index Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      European Style E-mini NASDAQ 100 Week 3 Options QN3 NW
      American Style E-mini NASDAQ 100 Serial Options QNE NW

      These changes are currently available for customer testing in New Release.

      These contracts are listed with, and subject to, the rules and regulations of CME.

       

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      NYISO Lower Hudson Valley Capacity Calendar-Month Futures

      Effective Sunday, May 22 (trade date Monday, May 23), NYISO Lower Hudson Valley Capacity Calendar-Month futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      NYISO Lower Hudson Valley Capacity Calendar-Month Futures
      Product
      MDP 3.0: tag 6937-Asset      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      NYISO Lower Hudson Valley Capacity Calendar-Month Futures LHV ZZ

      This future will be available for customer testing in New Release on Monday, May 16.

      This contract is listed with, and subject to, the rules and regulations of CME.

       

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      CBOT Treasury Invoice Swaps Calendar and Switch Spreads on CME Globex

      Effective Sunday, June 5 (for trade date Monday, June 6), pending regulatory review, Calendar Spreads and Tenor Switch spreads will be enabled for trading of Treasury Invoice Spread products on CME Globex and for Block trade submission through CME ClearPort. The newly enabled spreads will better support trading of calendar spreads and tenor switches as single, exchange defined invoice spread instrument combinations.

      Important features introduced by these new contracts are:

      • Calendar Spreads between consecutive quarterly listings of CBOT invoice spreads of the same tenor
      • Tenor Switches between Listed Invoice Spreads of different tenors with the same expiration month.
      • Support for price and quantity ratios for the Switch spreads, as with existing Treasury Intercommodity Spreads markets
      • New strategy types for Invoice Swap calendar and switch spreads
      • New external naming conventions for Invoice Swap Calendar and Switch Spreads

      Technical information is available in the CBOT Treasury Invoice Swaps Calendar and Switch Spreads Client System Impact Assessment.

      These spreads are currently available in New Release for customer testing.

      These contracts are listed on, and subject to the rules and regulations of CBOT.

       

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      Ultra 10-Year Treasury Invoice Swaps

      Effective Sunday, June 5 (trade date Monday, June 6), pending regulatory review, Ultra 10 Year Treasury Invoice Swaps will be listed for trading on CME Globex and for Block trade submission though CME ClearPort as part of Ultra Ten-Year Treasury Invoice Spreads.

      These new Treasury Invoice Spreads will also have Calendar Spreads and Tenor Switch spreads enabled for trading on CME Globex and for Block trade submission through CME ClearPort. Technical information is available in the CBOT Treasury Invoice Swaps Calendar and Switch Spreads Client System Impact Assessment.

      Ultra 10 Year Invoice Swap Spread
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Ultra 10-Year Treasury Invoice Swaps TNA, TNB, TNC, TND, TNE,TNF SX

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

      These contracts will be listed on, and subject to the rules and regulations of the CBOT.

       

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      Product Changes

      FIX Tag Changes for Deliverable Swap Futures (DSF) and Treasury Invoice Swaps

      Effective Sunday, June 5 (trade date Monday, June 6), the values in the following FIX tags will be changed for Deliverable Swap futures (DSF) and Treasury Invoice Swaps.

      Product Group Changes for SDF and Treasury Invoice Swaps
      Product MDP 3.0: tag 6937-Asset Current State iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 New State iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      2-Year Deliverable Interest Rate Swap Futures T1U ZT SJ
      5-Year Deliverable Interest Rate Swap Futures F1U ZF SF
      7-Year Deliverable Interest Rate Swap Futures S1U ZN S7
      10-Year Deliverable Interest Rate Swap Futures N1U ZN SN
      20-Year Deliverable Interest Rate Swap Futures E1U ZB S2
      30-Year Deliverable Interest Rate Swap Futures B1U ZU SM
      2-Year Euro-Denominated Deliverable Interest Rate Swap Futures T1E ZT SJ
      5-Year Euro-Denominated Deliverable Interest Rate Swap Futures F1E ZF SF
      10-Year Euro-Denominated Deliverable Interest Rate Swap Futures N1E ZN SN
      Two-Year Treasury Invoice Swaps  TVA, TVB, TVC ZT SR
      Five-Year Treasury Invoice Swaps  FYA,FYB, FYC ZF SA
      Ten-Year Treasury Invoice Swaps  TYA, TYB, TYC ZN SH

      Treasury Bond Invoice Swaps 

      UTA, UTB, UTC

      		 ZB S3
      Long-Term Treasury Bond Invoice Swaps  UBA, UBC, UBB ZU SZ

      The new FIX values for these contracts are currently available in New Release for customer testing.

      These contracts are listed on, and subject to the rules and regulations of CBOT.

       

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      Update - Intercommodity Treasury Options User-Defined Spreads Enhancement

      † Denotes update to the article

      Effective Sunday, June 5 (trade date Monday, June 6), CME Globex will support the creation of Intercommodity User-Defined Spreads of CBOT Treasury options with different outright minimum ticks.

      With this change, treasury options UDS will have the following features:

      • A single UDS destination group, Security Group tag 1151= T$.
      • The new intercommodity spreads will be designated in market data as a Generic (GN) spread type.
      • When a future goes into Reserve state, only the associated Treasury option outrights will pause. CBOT Treasury UDS will continue to trade
      • The spread will assume the price characteristics of the most granular leg as follows:

      Example:

      Intercommodity Treasury Options User-Defined Spreads
        Instrument Tag 37702-MainFraction Tag 37703-SubFraction Tag 969-MinPriceIncrement Converted Minimum Tick Tag 9800- PriceDisplayFormat
      Instrument 1 †OZFU6 C1210 64 2 0.0078125 .5/64 3
      Instrument 2 †OZNU6 C1300 64 null 0.015625 1/64 2
      Spread
      UD:T$:GN 0505123456
      Front leg +1
      Back leg -1      		 †OZFU6 C1210
      †OZNU6 C1300      		 64 2 0.0078125 .5/64 3

      Customers can create the new CBOT Treasury options intercommodity UDS in New Release for testing starting on Monday, May 23.

      To facilitate this launch, customers are asked to cancel all Good ‘Till Cancel (GTC) orders for all Treasury options UDS not in the T$ group after the close on Friday, June 3. After 16:00 CT on Friday, June 3, all remaining GT orders and UDS contracts for these options will be cancelled or deleted by the CME Global Command Center (GCC).

      These contracts are listed with, and subject to, the rules and regulations of CBOT.

       

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      Update - FIX Tag and MDP Channel Changes for a Natural Gas CSO Combo

      Effective Sunday, June 5 (for trade date June 6), FIX tag 1151-Security Group and MDP 3.0 channel for the Natural Gas Calendar Spread Financially Settled Option 1 Month Combo will change.

      Please note: This Combo serves as a synthetic underlying product to the G4X (Natural Gas (Henry Hub) Last-day Financial 1 Month Spread Options).

      FIX Tag and MDP Channel Changes for a Natural Gas CSO Combo
      Product MDP 3.0: tag 6937-Asset Current iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 New iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current MDP 3.0 channel New MDP 3.0 Channel
      Nat Gas Fin 1 Mo Combo G8X 09 (zero 9) 08 (zero 8) 382 386

      These changes will be available in New Release for customer testing on Monday, May 16.

      These contracts are listed with, and subject to, the rules and regulations of NYMEX.

       

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      Events and Announcements

      Messaging Efficiency Program Q2 2016 Benchmarks

      Effective trade date Tuesday, July 5, 2016, the following product groups and levels will be added to the Messaging Efficiency Program:

      Sector Product Group Code Product Group Description Tier #3 Ratio Tier #2 Ratio Tier #1 Ratio
      Energy OP Brent Crude Oil Last Day Financial Futures 180:1 120:1 60:1
      Equity EZ E-Mini S&P 500 Outright Options 300:1 200:1 100:1
      Equity EW E-Mini S&P 500 Weekly & Monthly Options 300:1 200:1 100:1
      Equity QZ E-Mini NASDAQ 100 Outright Options 300:1 200:1 100:1
      Equity NW E-Mini NASDAQ 100 Weekly & Monthly Options 300:1 200:1 100:1
      Equity C9 E-Mini Dow ($5) Outright Options 300:1 200:1 100:1
      Equity OL E-Mini Dow ($5) Weekly & Monthly Options 300:1 200:1 100:1

      The Product Group Benchmark Ratios are published quarterly, unless business circumstances for a particular product or product group require changes to be implemented more frequently.

      The CME Globex Messaging Efficiency Program creates fair business guidelines by which customers are billed a surcharge for overly high message rates.

      Please contact your Global Account Manager in the U.S. at +312 634 8700, in Europe at +44 203 379 3754, or in Asia at +65 6593 5505 with any questions.

       

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      New - Market by Order: Coming Soon

      To increase transparency and provide more choice to customers, CME Group will soon be enabling Market by Order (MBO) functionality in line with the current Market by Price (MBP) service for CME Globex electronic markets.

      Key Features:

      • Ability to view individual queue position and size of individual orders at a price while remaining anonymous
      • Existing channels enhanced to provide both Price and Order data on a single feed
      • Historical MBO data available following the real-time launch
      • DCM and asset class roll out model
      • Supported by CME Direct

      The new MBO functionality will be phased over several months, starting Q4 2016 through Q2 2017.

      More information is available in the CME Group Customer Forum. Technical specifications and the launch schedule will be published in the CME Globex Notice in Q3.

      Please contact your Global Account Manager with any questions in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505.

       

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Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

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