• CME Globex Notices: November 7, 2016

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Account Management
      • #
      • 20161107
      • Notice Date
      • 07 November 2016

    • Topics in this issue include:

       

      Critical System Updates

      Update - Streamlined SBE Market Data Protocol

      Effective this Sunday, November 13, CME Group will continue implementing 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 Available Available Blocks Streamlined Conversion to SBE
      Equity Indices - S&P & Dow Jones Available Available Equity Indices Streamlined Conversion to SBE
      Eris Available Available Eris Exchange Streamlined Conversion to SBE
      OTC-EOD November 13 Available OTC-EOD Streamlined Conversion to SBE
      Equity Indices - Bloomberg January 22 Available Equity Indices Streamlined Conversion to SBE

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

      The new Streamlined SBE schema is currently available in New Release.

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

      Streamlined FIX/FAST and ITC 2 Blocks Decommission

      The following streamlined FIX/FAST and ITC 2 Blocks feeds will be decommissioned in the New Release and Production environments as follows:

      Streamlined FIX/FAST and ITC 2 Blocks Decommission
      SBE Feed Production New Release
      FIX/FAST and ITC2 Blocks CME/CBOT/CME Europe December 30 December 30
      FIX/FAST and ITC2 Blocks NYMEX/COMEX/DME March 31 March 31
      FIX/FAST Equity Indices – Bloomberg, S&P & Dow Jones January 20 January 20
      FIX/FAST Eris Exchange April 21 April 21
      FIX/FAST OTC-EOD December 30 December 30

      †To support the new schema rollout for OTC-EOD the CME FTP site will be updated as follows:

      †Production:ftp://ftp.cmegroup.com/SBEFix/Production/Templates/
      Schema Version Current December 4, 2016
      V5 streamlinemktdata.xml streamlinemktdata_v5.xml
      V6 streamlinemktdata_v6.xml streamlinemktdata.xml

      †All other streamlined channels will continue to send data on current schema versions.

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      Market By Order Market Data

      Starting Sunday, December 4 (trade date Monday, December 5), to increase market transparency and customer choice, CME Group will offer Market by Order (MBO) information in-line with the current Market by Price (MBP) for CME Globex markets.

      Market Data Platform with MBO will feature:

      • Ability to view individual queue position and size of individual orders at a price while remaining anonymous
      • Existing channels enhanced to provide both MBO and MBP data on a single feed
      • CME Direct support
      • Exchange and asset class roll out model

      The client impact assessment provides functionality and messaging information.

      MBO is now available in New Release for customer testing. Please view the updated MBO rollout schedule for production.

      With the introduction of MBO overall incremental feed bandwidth is expected to increase 30-40%. During peak times the number of incremental feed packets per millisecond may increase up to 40-50%.

      The MBO certification suite is now available in AutoCert+ for customer testing. Customer systems who choose to process MBO via CME Globex must complete this certification.

      To ensure customers can access, trade and process the market data for Market By Order (MBO), CME Group will hold a mock trading session on Saturday, November 12. All customers and trading system providers who plan to support MBO are strongly encouraged to participate. For more information about the Mock Trading Session, please view the mock trading session script.

      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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      Indicative Opening Enhancements

      Starting Sunday, December 4 (trade date Monday, December 5), CME Group will introduce an enhancement to Indicative Opening behavior to increase transparency and provide market participants with Indicative Opening Quantity. With this enhancement, a new MDP3 Indicative Opening Quantity (IOQ) statistic will be sent with the Indicative Opening Price (IOP). The tag will represent the probable aggregated quantity of all orders executed during the opening. The IOQ will include max show and stop order quantity.

      Along with this change, the logic for calculating the book quantity during the pre-open and reserve states will also be updated.

      The client impact assessment provides dates, functionality and messaging information.

      Indicative Opening Enhancements is now available in New Release for customer testing. Please view the Indicative Opening Enhancements Rollout Schedule for production launch dates.

      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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      Trade Summary OrderID Opt-in Update

      Starting Sunday, December 4 (trade date Monday, December 5), to increase transparency and simplify CME Globex functionality, all tag 37-OrderID values will be published in the Market Data Incremental Refresh Trade Summary messages.

      With this release, iLink will no longer support FIX tag 1091-PreTradeAnonymity. CME Globex will not send tag 1091 to client systems, even when submitted on the original message.

      Trade Summary OrderID Opt-in Release Schedule
      Group Channel Number Channel Name New Release Date Production Date
      1 384 NYMEX Globex Metals, Softs, & Alternative Market Futures Available Sunday, December 4, 2016
      1 385 NYMEX Globex Metals, Softs, & Alternative Market Options
      1 360 COMEX Globex Futures Sunday, January 8, 2017
      1 361 COMEX Globex Options
      1 380 NYMEX Globex Emissions Futures
      1 381 NYMEX Globex Emissions Options
      1 440 DME Globex Futures
      1 441 DME Globex Options
      1 382 NYMEX Globex Crude & Crude Refined Futures Sunday, January 22, 2017
      1 383 NYMEX Globex Crude & Crude Refined Options
      1 386 NYMEX Globex Nat Gas & other Non-Crude Energy Futures
      1 387 NYMEX Globex Nat Gas & other Non-Crude Energy Options
      1 410 CME Europe Globex Futures
      1 411 CME Europe Globex Options
      2 340 CBOT Globex Commodity Futures Available Sunday, March 26, 2017
      2 346 CBOT Globex Commodity Futures II
      2 341 CBOT Globex Commodity Options
      2 342 CBOT Globex Equity Index Futures
      2 343 CBOT Globex Equity Index Options
      2 344 CBOT Globex Interest Rate Futures
      2 345 CBOT Globex Interest Rate Options
      2 460 MGEX Globex Futures
      2 461 MGEX Globex Options
      2 310 CME Globex Equity Futures

      Available
      2 311 CME Globex Equity Options
      2 312 CME Globex Interest Rate Futures
      2 313 CME Globex Interest Rate Options
      2 318 CME Globex Equity Futures - excludes E-mini S&P 500
      2 319 CME Globex Equity Options - excludes E-mini S&P 500
      2 314 CME Globex FX Futures Available
      2 315 CME Globex FX Options Available
      2 316 CME Globex Commodity Futures Available
      2 317 CME Globex Commodity Options Available
      2 320 CME Globex FX Futures II
      2 321 CME Globex FX Options II
      2 430 BMD Globex Futures
      2 431 BMD Globex Options
      2 450 KRX Globex Futures

       

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      CME FX Displayed Quantity (Iceberg) Orders

      Effective Sunday, December 4, the Displayed Quantity order qualifier will be enabled for all CME FX futures and options markets, except the following groups:

      CME FX Displayed Quantity
      Product Futures/Options Quoting Style iLink tag 55-Symbol
      MDP 3.0 tag 1151-SecurityGroup
      Australian Dollar Futures Premium 6A
        Options Premium 0A, ZA, XA
        Options Volatility 3U, 3A
      British Pound Futures Premium 6B
        Options Premium XB, YB, 2B
        Options Volatility 3P, B3
      Canadian Dollar Futures Premium 6C
        Options Premium 2C, XD, CD
        Options Volatility 3D, 3C
      EuroFX Futures Premium 6E
        Options Premium XT, XE, 2E
        Options Volatility 3R, 3E
      Japanese Yen Futures Premium 6J
        Options Premium QJ, XJ, 2J
        Options Volatility 3Q, 3Y
      Swiss Franc Futures Premium 6S
        Options Premium XS, YS, 2S
        Options Volatility 3W, 3S

      Customers will be able to define the Displayed Quantity in tag 210-MaxShow of the New Order or Cancel/Replace Request (tag 35-MsgType=G) messages.  More information on Display Quantity is available in the iLink Order Qualifiers.

      The Displayed Quantity order functionality will be available for these markets in New Release for customer testing on Monday, November 21.

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      MDP 3.0 Schema

      Starting January 8, 2017 (trade date Monday, January 9), CME Group continues implementing new MDP 3.0 SBE schema files to support the upcoming Market by Order, Triangulation and Consolidated Fills initiatives on CME Globex. For more information regarding these initiatives, please see the CME Group Customer Forum. With the new MDP 3.0 SBE schema release, CME Group expects up to a 10% bandwidth increase per market data channel.

      In order to ease customer development efforts, the new SBE schema files will support appended Template Extension. CME Group recommends that the new Schema file be downloaded and implemented on the production launch date for each channel.

      Schema Channel Launch Schedule
      Channels Production New Release
      340 - CBOT Globex Commodity Futures
      346 - CBOT Globex Commodity Futures II
      341 - CBOT Globex Commodity Options
      460 - MGEX Globex Futures
      461 - MGEX Globex Options      		 January 8, 2017 Available
      342 - CBOT Globex Equity Index Futures
      343 - CBOT Globex Equity Index Options
      344 - CBOT Globex Interest Rate Futures
      345 - CBOT Globex Interest Rate Options      		 January 22, 2017 Available
      430 - BMD Globex Futures
      431 - BMD Globex Options
      450 - KRX Globex Futures
      Administrative Messages for TCP Replay      		 January 22, 2017 Available

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      Update - New Market Segment for FX Futures and Options

      † Denotes update to the article

      †Starting Sunday, January 22, CME Group will launch a new market segment for some CME FX futures and options markets to support the upcoming Triangulation initiative. For more information, please visit the CME Group Customer Forum page.

      The market segment for FX futures and options markets will be changed as follows:

      Market Segment Changes for FX Futures and Options
      Product MDP 3.0 Channel Current Tag 1300-
      MarketSegemntID      		 New Tag 1300-
      MarketSegemntID      		 Production Launch New Release Launch
      CME Globex FX Options 315 52 88 †January 22 †November 22
      CME Globex FX Futures 314 62 88 †February 5 †December 13

      There will be no changes to MDP 3.0 channels, functionality or messaging format associated with these market segment changes.

      Please note: There are no market segment changes for CME Globex FX Futures II and CME Globex FX Options II on MDP 3.0 channel 320 and 321, respectively.

      To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for all User-Defined Spreads (UDS) on Market Segment ID 52 by the close on †Friday, January 20. Any remaining GT orders on UDS will be cancelled by the CME Global Command Center (GCC). GT orders on CME FX outright options, futures and futures spreads will not be cancelled.

      †The new MDP 3.0, Market Segment Gateway, and DropCopy 4.0 config.xml files will be available for customer download in the following environments as follows:

      • †New Release – Monday, November 14, 2016
      • †Production – Sunday, January 8, 2017

      †The new MDP 3.0 config.xml files will contain old and new Source IPs for ;MDP 3.0 channels 314 and 315. The old Source IP addresses will be removed on Monday, December 19 in new release and Sunday, February 12 in production. If a firewall or network device is configured with the Source IP information, please correct your configuration to use the entire range of eligible addresses.

      †To ensure customers can access, trade and process market data for these market segment changes, CME Group will host a mock trading session on Saturday, January 21. All customers who support these market segments are strongly encouraged to participate. More information on the customer mock trading session will be announced in future CME Globex notices.

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      New Functionality

      Bitcoin Pricing Data via Streamlined SBE

      Effective this Sunday, November 13 (trade date Monday, November 14), CME Group and Crypto Facilities (CF) will launch two bitcoin-pricing products designed to give clients a reliable reference rate price source for digital assets.

      The pricing data will be disseminated via a streamlined Simple Binary Encoding (SBE) market data feed. This feed will publish the following Bitcoin standardized reference rate and real time index pricing data:

      • CME CF Bitcoin Reference Rate (BRR) provides a final settlement price in U.S. dollars shortly after 4 p.m. London time each day.
      • CME CF Bitcoin Real Time Index (BRTI) allows users real-time access to bitcoin prices.

      The client impact assessment provides functionality and messaging information.

      A new certification test suite in AutoCert+ for Bitcoin pricing data via streamlined SBE is currently available.

      Please note: Certification for streamlined CME CF Bitcoin pricing data is not mandatory for client systems already certified for streamlined SBE Equity Indices.

      A new SBE config.xml file for production is now available from CME Group FTP site. The production channels for Bitcoin pricing data is now available for customers and broadcasting heartbeats.

      Streamlined SBE for Bitcoin pricing data is currently available in New Release for customer testing.

      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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      Volatility-Quoted Options

      Effective Sunday, November 13, 2016 (trade date Monday, November 14), volatility-quoted options are scheduled to launch on six FX options products: Euro FX, British pound, Japanese Yen, Canadian Dollar, Swiss Franc and Australian Dollar in both American-style and new European-style options expiring at 2 p.m. Central Time (CT).

      Volatility-quoted options is a functionality that allows CME Globex clients to trade an option contract with an 'auto-hedge' into the corresponding quarterly month of the underlying futures contract. When a volatility trade occurs, CME will use a standardized option pricing model to create a delta neutral combination of premium options and futures, and exchange these between the buyer and seller.

      All of the volatility-quoted options products are currently available in the New Release for customer testing.

      To ensure customers can access, trade and process the market data for the new volatility-quoted FX options, CME Group will hold a mock trading session on Saturday, November 12. All customers and trading system providers who plan to support these products are strongly encouraged to participate. For more information about the Mock Trading Sessions, please view the mock trading session script.

      More information on these new products and the associated messaging and functionality enhancements is available in the Volatility-Quoted Options Client Impact Assessment.

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      Settlement Enhancements

      Effective Sunday, February 12 (trade date Monday, February 13), new settlement information will be available on CME MDP 3.0.

      • Tag 731-SettlePriceType (bits 1 and 2) will be fully supported to identify theoretical vs. actual and rounded vs. unrounded settlement prices
        •  Tag 731 is published on the Incremental Refresh, Security Definition and Snapshot Full Refresh messages (35=X, d or W)
      • The Cabinet settlement price will be published in tag 270-MDEntryPx when tag 269-MDEntryType=6 messages for settlements

      These settlement enhancements will be available for customer testing in New Release on Monday, November 21.

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      Product Launches

      UK NBP Natural Gas (USD/MMBtu) (ICIS Heren) Front Month Future

      Effective Sunday, November 20 (trade date Monday, November 21), subject to regulatory approval, the UK NBP Natural Gas (USD/MMBtu) (ICIS Heren) Front Month Future will be listed for trading on CME Globex and for submission to clearing via CME ClearPort.

      UK NBP Natural Gas (USD/MMBtu) (ICIS Heren) Front Month Future
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      UK NBP Natural Gas (USD/MMBtu) (ICIS Heren) Front Month Future NUE JQ

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

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

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      New - CME Globex Test Product Launch

      Effective Sunday, December 4 (trade date Monday, December 5), to support the ability to test connectivity and messaging on CME Globex, a new CME Europe test product will be listed in the production environment. Test product functionality on CME Globex is detailed on the Client Systems Wiki.

      Please note: For this test contract, CME Group is restricting throughput to one message per 30 seconds per iLink session.

      The test product will mimic the CME Europe British Pound / U.S. Dollar (GBP/USD) Physically Deliverable futures contract (GBP).

      No Globex Spreads or Strips will be listed. Market data will be disseminated on MDP 3.0 channel 410

      CME Globex Test Product
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - SecurityGroup
      Test  -  British Pound / U.S. Dollar (GBP/USD) Physically Deliverable futures 0GB (zero-G-B) $J

      This product will be available for customer testing in New Release on Monday, November 21.

      Please contact your Global Account Manager with any feedback or requests for additional functionality 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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      New - DME Singapore Fuel Oil Spreads

      Effective Sunday, December 4 (trade date Monday, December 5) the Dubai Mercantile Exchange (DME) will list the following Singapore Fuel Oil spreads for trading on CME Globex.

      DME Singapore Fuel Oil Listing DME Calendar Spreads
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Tag 762-
      SecuritySubType
      Singapore vs. Middle East Fuel Oil 180 cst Spread (Platts) Futures DSM DSM:DSM SP - Standard Calendar Spread
      Singapore vs. Middle East Fuel Oil 380 cst Spread Platts) Futures DSI DSI:DSI

      The spreads will be made available for customer testing in New Release on Monday, November 21.

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

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      New - Henry Hub Intercommodity Strategy

      Effective Sunday, January 8, 2017 (trade date Monday, January 9, 2017), Henry Hub Intercommodity Strategy (MDP3 tag 6937-Asset=HHC) for the two nearest expiration months will listed on CME Globex.  This strategy utilizes a new strategy type (tag 762-SecuritySubType=BC) for a Buy-Buy transaction between two commodities of the same maturity.

      Henry Hub Intercommodity Strategy
      Product MDP 3.0:
      tag 6937-Asset      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Tag 762- SecuritySubType
      Henry Hub Natural Gas (Platts FERC) Basis Futures (HB) vs Henry Hub Natural Gas (Platts Gas Daily/Platts IFERC) Index Futures (IN) HHC FD BC (Buy-Buy Strategy)

      The BC strategy is the simultaneous purchase (sale) of a monthly Henry Hub Natural Gas (Platts FERC) Basis futures (MDP3 tag 6937=HB) and Henry Hub Natural Gas (Platts Gas Daily/Platts IFERC) Index futures (MDP3 tag 6937=IN). Both legs must have the same maturity.

      This strategy is available as a futures Exchange-Defined Spread only.

      The BC strategy has:

      • Two products
        • Front leg monthly Henry Hub Natural Gas (Platts FERC) Basis futures
        • Back leg Henry Hub Natural Gas (Platts Gas Daily/Platts IFERC) Index futures
      • Two legs
      • Quantity/side ratio +1:+1

      Pricing

      • The BC Strategy Trade price is the summation of the outright future legs
      • Leg price assignment:
      • Determine anchor outright futures leg
        • Leg with most recent trade, best bid/best offer, or Indicative Opening Price.
      • Subtract the anchor outright futures leg from the BC Strategy Trade Price and assign remainder to non-anchor outright futures leg.

      Pricing Example
      HHC: HB-IN F7 trades at 4

      • HBF7 Leg1 has the most recent trade price at 1 and is designated the anchor
      • INF7 Leg2 = 3 (HHC Price – Leg1 Price)

      The strategy will be made available for customer testing in New Release on Monday, November 21.

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

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      Bursa Malaysia Derivatives Berhad (BMD) Crude Palm Oil Futures Spreads

      In Q1 2017, to improve market efficiency, Bursa Malaysia Derivatives (BMD) will list Crude Palm Oil futures butterfly and condor spreads for trading on CME Globex.

      Bursa Malaysia Derivatives Berhad (BMD) Crude Palm Oil Futures Spreads
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Listing Schedule
      (Starting January 2017)      		 Tag 762-
      SecuritySubType
      Crude Palm Oil Futures FCPO BC All serial month combinations of
      first 15 contract months      		 BF (Butterfly Spread)
      CF (Condor Spread)

      These futures spreads will be available for customer testing in New Release on Monday, November 14.

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      Product Changes

      Change to Maximum Order Quantity for Energy Option Products

      Effective this Sunday, November 13 (trade date Monday, November 14), the maximum order quantity, tag 1140-MaxTradeVol, for the Energy Options in the following groups will be changed from 999 to 2,499. Tag 1140-MaxTradeVol can be found in the security definition message.

      Change to Maximum Order Quantity for All Natural Gas Options
      Product MDP 3.0 tag 6937-Asset tag 1140-MaxTradeVol(Current) tag 1140-MaxTradeVol (New)
      Natural Gas Options GZ 999 2,499
      Natural Gas Options ON 999 2,499
      Natural Gas Options LG 999 2,499
      WTI Crude Oil Options LO 999 2,499
      Brent Crude Oil Options OT 999 2,499
      Brent Crude Oil Futures-Style Margin Options PR 999 2,499

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

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

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      Changes for Implied Futures Functionality

      Effective this Sunday, November 13 (trade date Monday, November 14), the second-generation implied functionality will be removed from all remaining eligible markets on Market Segments 70, 76, 82, 84 and 86, including all intra- and inter-commodity spreads. First generation implied functionality will still be supported.  The market segment id can be identified in tag 1300-MarketSegmentID in the security definition message.

      Information on second-generation implied functionality is detailed in the Client Systems Wiki.

      Changes for Implied Futures Functionality
      Tag1300-MarketSegmentID Market Segment
      70

      CME Commodity Futures, MGEX Futures
      76

      COMEX Futures, NYMEX Metals, Softs, & Alternative Market Futures
      82 CME Interest Rate Futures
      84 CBOT Interest Rate Futures
      86 CME Europe Futures and Options

      This change is available for customer testing in New Release.

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      NYMEX Natural Gas Options on Futures Changes

      Effective this Sunday, November 13 (trade date Monday, November 14), pending all relevant CFTC regulatory review periods, the number of exchange-defined option instruments for the following NYMEX Natural Gas options will be reduced on CME Globex. Customers will continue to have the ability to create strikes as per the product Rulebook listing rules via the User-Defined Instruments functionality. UDI functionality allows users to dynamically create options strikes that co-exist with exchange-listed strikes and supports the most efficient use of product resources.

      NYMEX Natural Gas Options on Futures Changes
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Natural Gas Option (European) LNE LG
      Natural Gas Option (American) ON ON
      Natural Gas (Henry Hub) Last-day Financial 3 Month Spread Option G3B ON
      Natural Gas (Henry Hub) Last-day Financial Option AE7 GZ
      Natural Gas (Henry Hub) Last-day Financial 1 Month Spread Option G4X ON
      Natural Gas 1 Month Calendar Spread Option IAY ON
      Henry Hub Natural Gas Financial Calendar Spread Option - Four Month G10 ON

      These products are available for customer testing in New Release.

      Complete information on listing rule changes is now available in the Special Executive Report (SER).

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

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      Additional Fixing Prices for E-mini S&P 500 Futures and Yen-Denominated Nikkei Futures

      Effective Sunday, November 20 (trade date Monday, November 21), CME Group will begin disseminating additional fixing prices for E-mini S&P 500 futures and Yen-Denominated Nikkei futures.

      Fixing Price is a volume-weighted average price mid-point of the bid/ask quotes of the associated future from CME Globex as well as actual trade prices for a defined time span. The additional E-mini S&P 500 futures fixing price will be calculated Monday through Friday from 14:59:30 to 15:00:00 Japan time and published at 15:00:00 Japan time. The Yen-Denominated Nikkei futures fixing price will be calculated Monday through Friday from 16:29:30 to 16:30:00 London time and published at 16:30:00 London Time.

      Additional Fixing Price for E-mini S&P 500 Futures and Yen-Denominated Nikkei Futures
      Product MDP 3.0 tag 6937 -
      Asset      		 MDP 3.0 tag 1151 -
      Security Group      		 ITC Commodity Code
      E-mini S&P 500 Futures ES ES EJF
      Nikkei/Yen Futures NIY N1 NEF

      Fixing Price data blocks are sent in the MDP 3.0 Market Data Incremental Refresh (tag 35-MsgType=X) with the following attributes:

      • Tag 279- MDUpdateAction will be set to 0 = New
      • Tag 269-MDEntryType will be set to W = Fixing Price
      • Tag 5796-Trading Reference will display the date for which the marker price was calculated

      The additional fixing prices are available in New Release for customer testing.

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

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      Listing Cycle Resumption for Black Sea Wheat Futures

      Effective Sunday, November 20 (trade date Monday, November 21), Black Sea Wheat futures will resume the following listing cycle on CME Globex and clearing submission via CME ClearPort.

      Listing Cycle Resumption for Black Sea Wheat Futures
      Product MDP 3.0 tag 6937 -
      Asset      		 MDP 3.0 tag 1151 -
      Security Group      		 Listing Cycle
      Black Sea Wheat BSW BW Two months of March, May, July, September, and December

      These changes are 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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      NYMEX Electricity Options on Futures Changes

      Effective Sunday, November 20 (trade date Monday, November 21), pending all relevant CFTC regulatory review periods, the number of exchange-defined option instruments for the following NYMEX Electricity options will be reduced on CME Globex. Customers will continue to have the ability to create strikes as per the product Rulebook listing rules via the User-Defined Instruments functionality. UDI functionality allows users to dynamically create options strikes that co-exist with exchange-listed strikes and supports the most efficient use of product resources.

      NYMEX Electricity Options on Futures Changes
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      PJM Western Hub Real-Time Peak Calendar-Month 5 MW Option JOA IZ
      PJM Western Hub Real-Time Peak Calendar-Month 50 MW Option PMA ET
      PJM Western Hub Real-Time Peak 5 MW Calendar Strip Option 6OA ET
      PJM Western Hub Real-Time Off-Peak Calendar-Month 50 MW Strip Option 6OO ET
      PJM Northern Illinois Hub Real-Time Peak Calendar-Month 5 MW Option OUA IZ
      ISO New England Day-Ahead Peak Calendar-Month 5 MW Option INE IZ
      ISO New England Mass Hub Peak LMP 5 MW Calendar Strip Option NEG IZ
      MISO Indiana Hub (formerly Cinergy Hub) Real-Time Peak Calendar-Month 5 MW Option OYA IZ

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

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

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      NYMEX Crude Oil and Refined Options on Futures Changes

      Effective Sunday, December 4 (trade date Monday, December 5), pending all relevant CFTC regulatory review periods, the number of exchange-defined option instruments for the following NYMEX Crude Oil and Refined options will be reduced on CME Globex. Customers will continue to have the ability to create strikes as per the product Rulebook listing rules via the User-Defined Instruments functionality. UDI functionality allows users to dynamically create options strikes that co-exist with exchange-listed strikes and supports the most efficient use of product resources.

      NYMEX Crude Oil and Refined Options on Futures Changes
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Light Sweet Crude Oil Option LO LO
      WTI Calendar Spread Option WAY LO
      Crude Oil Financial Calendar Spread Option B7A LO
      WTI Average Price Options AAO LO
      Light Sweet Crude Oil European Financial Option LCE LO
      Brent Crude Oil Futures-Style Margin Option BZO PR
      Brent Crude Oil Option OSX OT
      Brent Crude Oil Average Price Option BA OT
      Brent Crude Oil European Financial Option BE OT
      Crude Oil Option on Semi-Annual Strip 6Y LO
      Brent Crude Oil Last Day Financial Calendar Spread Option 9C OT
      NY Harbor ULSD Option OH OH
      RBOB Gasoline Option OB OB
      Gasoline Euro-bob Oxy NWE Barges (Argus) Crack Spread Average Price Option GCE EP
      RBOB Gasoline Brent Crack Spread Average Price Option RBC EP
      NY HARBOR ULSD Crack Spread Option CHY XZ
      RBOB Gasoline Calendar Spread Option ZAY XZ

      These products will be available for customer testing in New Release on Monday, November 21.

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

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      Events and Announcements

      CME Group Security Ecosystem

      CME Group is committed to our customers’ information security. To deliver the best security and customer experience, as announced in the recent CME Group Customer Forums, all certified customer-facing applications that support human-to-machine authentication to CME Group systems will be required to support strong passwords, encryption of confidential and sensitive data, and two-factor authentication by the end of 2016.These requirements apply to both customer-facing services connected to CME Group and to their services exposed to clients.

      Please contact your Global Account Manager or third-party provider with any questions.

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CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
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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