• CME Globex Notices: February 27, 2017

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Account Management
      • #
      • 20170227
      • Notice Date
      • 27 February 2017

    • Topics in this issue include:

       

      Critical System Updates

      SecurityAltID Update for Eris Exchange

      Effective Monday, March 12, the Eris Exchange SBE Streamlined feed will add tag 455-SecurityAltID support for the Market Data Security Definition (tag 35-MsgType=d) and Market Data Incremental Refresh (tag 35-MsgType=X) trade messages. The Eris Exchange SBE channel will also migrate to SBE schema version 6 to support this change.

      Additional details are outlined in the Eris SBE migration client impact.

      Tag 455-SecurityAltID is currently available in New Release for customer testing.

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      Market By Order Market Data

      Effective Sunday, March 26 (trade date Monday, March 27), to increase market transparency and customer choice, CME Group will continue the rollout Market by Order (MBO) 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.

      Customer Testing

      Starting Monday, March 6, Triangulation will also be enabled in New Release to facilitate the upcoming Market By Order Market Data launch for CME Globex FX Futures and CME Globex FX Options on MDP 3.0 channel 314 and 315.

      Triangulation Functionality for Australian Dollar
      Environment Now through March 4 Effective March 6
      MBO on Channels 314 and 315 Triangulation MBO on Channels 314 and 315 Triangulation
      New Release Available Not Available Available Available
      Certification Not available Available Not available Available

      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.

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      Indicative Opening Enhancements

      Effective Sunday, March 26 (trade date Monday, March 27), CME Group continues implementing the 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

      Effective Sunday, March 26 (trade date Monday, March 27), 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
      Channel Number Channel Name Production Date
      340 CBOT Globex Commodity Futures Sunday, March 26, 2017
      346 CBOT Globex Commodity Futures II
      341 CBOT Globex Commodity Options
      342 CBOT Globex Equity Index Futures
      343 CBOT Globex Equity Index Options
      344 CBOT Globex Interest Rate Futures
      345 CBOT Globex Interest Rate Options
      460 MGEX Globex Futures
      461 MGEX Globex Options
      310 CME Globex Equity Futures
      311 CME Globex Equity Options
      312 CME Globex Interest Rate Futures
      313 CME Globex Interest Rate Options
      318 CME Globex Equity Futures - excludes E-mini S&P 500
      319 CME Globex Equity Options - excludes E-mini S&P 500
      314 CME Globex FX Futures
      315 CME Globex FX Options
      316 CME Globex Commodity Futures
      317 CME Globex Commodity Options
      320 CME Globex FX Futures II
      321 CME Globex FX Options II
      430 BMD Globex Futures
      431 BMD Globex Options
      450 KRX Globex Futures

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      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
      Streamlined FIX/FAST and ITC 2 Production New Release Client Impact Assessment
      FIX/FAST and ITC2 Blocks NYMEX/COMEX/DME March 31 March 31 Blocks Streamlined Conversion to SBE
      FIX/FAST Eris Exchange April 21 April 21 Eris Exchange Streamlined Conversion to SBE

      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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      New Functionality

      Update - Globex Risk Management Enhancements: Inline Credit Controls

      † Denotes update to the article

      In †Q2 2017, in addition to existing risk management controls, CME Group will offer optional, more granular pre-trade risk management capability through the In-Line Credit Control (ICC) tool.

      The ICC tool allows Clearing Member Firms and Executing Firms to set daily position limits for CME Globex orders, per product, at the account level through Account Manager.

      The new functionality will feature:

      • Daily quantity position limits applied per product at the account level.
      • Positions reset to flat at the end of the day. Good 'Til Cancel (GTC) and Good 'Til Date (GTD) orders will roll-over to be calculated in the next day’s working orders.
      • No latency differential; all orders are subject to the same ICC processing.
      • Both Clearing Member Firm and Executing Firm Risk Admins can register accounts and set limits.
        • The most restrictive limit applies.
        • Clearing Member Firm and Executing Firm Risk Admins can view each other's account limits.
        • Clearing Member Firms and Executing Firms cannot change the other's limit.
      • Email alerts can be set up when pre-set threshold level breaches occur (for example, at 80%).

      See more on Viewing and Managing Inline Credit Control Limits and Configuring Alerts and Policies for Inline Credit Controls.

      For registered client systems, a new or cancel/replace order that violates specified position limits will be rejected. CME Globex will send a Session Level Reject (tag 35-MsgType=3) message including tag 58=<Reject Reason>.

      Reject Reason Tag 58-Text
      Position Limit Violation Position Limit Violation for Account: <Account>, Position Increase: <position> makes position above the BUY Position Limit: <Limit> by amount: <Amount>. Limit set by CMF for Product Code: <Product Code>
      Position Limit Violation for Account: <Account>, Position Increase: <position> makes position above the BUY Position Limit: <Limit> by amount: <Amount>. Limit set by EF for Product Code: <Product Code>
      Account Policy Violation Pre-Trade Registration Violation: Account: <Account> is not Registered for this Executing Firm
      Product Policy Violation Pre-Trade Registration Violation: Account: <Account> is not Registered to Trade Product Code: <Product Code>
      UDS Covereds Policy Violation Pre-Trade Registration Violation: Account: <Account> is not Registered to Trade UDS Covereds
      Account Deactivation Violation Pre-Trade Registration Violation: Account: <Account> has been Suspended from Trading by the CMF for this Executing Firm

      This new functionality is currently available for customer testing in New Release.

      Please contact your Global Account Manager with any questions on onboarding and testing In-line Credit Controls functionality in New Release 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.

      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 with questions while testing in New Release.

      Please contact the 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 with any production questions.

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      Mass Quote Cancel Enhancements

      Effective Sunday, May 7 (trade date Monday, May 8), in addition to the current Mass Quote Cancel functionality, CME Group will offer customers the ability to cancel their Mass Quotes based on the Quote Set ID.

      Cancel by Quote Set enhancements support cancellation of quote sets with a single Quote Cancel (tag 35-MsgType=Z) message as follows:

      • Cancel a designated quote set by Quote Set ID; client system provided unique identifier.
      • Cancel a side (Buy/Sell) of the designated Quote Set ID.

      The client impact assessment provides functionality and messaging information.

      Certification for Cancel by Quote Set is not mandatory for client systems already certified for the Mass Quote test suite.

      These enhancements will be available in New Release for customer testing on Monday, March 13.

      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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      Update - Settlement Enhancements

      † Denotes update to the article

      Effective †Sunday, May 21 (trade date Monday, May 22), 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 are currently available for customer testing in New Release.

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      Product Launches

      Update - California Emissions Futures

      † Denotes update to the article

      Effective †Sunday, March 12 (trade date Monday, March 13), California Emissions futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      California Emissions Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      CBL California Carbon Allowance Vintage-Specific 2016 Futures C6C VX
      CBL California Carbon Allowance Vintage-Specific 2017 Futures C7C VX
      CBL California Carbon Allowance Vintage-Specific 2018 Futures C8C VX
      CBL California Carbon Allowance Vintage-Specific 2019 Futures C9C VX
      CBL California Carbon Allowance Vintage-Specific 2020 Futures CC0 VX

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

      Please see New Product Summary.

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

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      Freight Route Liquid Petroleum Gas (Baltic) Average Price Option

      Effective Sunday, March 12 (trade date Monday, March 13), Freight Route Liquid Petroleum Gas (Baltic) Average Price Option will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Listing Crude Oil Strips and Spreads
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group (UDS)
      Freight Route Liquid Petroleum Gas (Baltic) Average Price Option

       

      		 FLO

       

      		 FA

       

      		 FC

       

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

      Please see New Product Summary.

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

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      Bursa Malaysia Derivatives Berhad (BMD) FX Futures

      Pending regulatory approvals, Bursa Malaysia Derivatives (BMD) will list the following FX futures for trading on CME Globex in Q2 2017.

      Bursa Malaysia Derivatives Berhad (BMD) FX Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      BMD Mini CNH/MYR Futures MFCM BR
      BMD Mini USD/MYR Futures MFUM BM

      These are currently will be available for customer testing in New Release.

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      Product Changes

      New - Listing Cycle Change for Singapore Gasoil Futures

      On Monday, February 27, the listing cycle was reduced for the following Singapore Gasoil futures:

      Listing Cycle Change for Singapore Gasoil Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Previous Listing Schedule New Listing Schedule
      Singapore Gasoil 10 ppm (Platts) vs. Singapore Gasoil (Platts) Futures RF STT 36 consecutive months Monthly contracts listed up to and including December 2017
      Singapore Gasoil 10 ppm (Platts) BALMO Futures CP STL Current month and the next two months Monthly contracts listed for the current month and the next 2 months.  The last listed contract will be December 2017
      Singapore Gasoil 10 ppm (Platts) Futures CP ATF 36 consecutive months Monthly contracts listed up to and including December 2017

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

       

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      Listing Live Cattle Futures and Options for June 2018

      Effective this Sunday, March 5 (trade date Monday, March 6), the June 2018 contract month for Live Cattle futures and options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Live Cattle Futures and Options for June 2018
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Live Cattle Futures LE LE
      Live Cattle Options LE L0

      The June 2018 contract month is 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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      New - Change to Korea Exchange (KRX) KOSPI 200 Future (K2F) Unit of Measure Quantity

      Effective Sunday, March 26 (trade date Monday, March 27), Korea Exchange (KRX) will change the Unit of Measure Quantity for the KOSPI 200 futures.

      Change to Korea Exchange (KRX) KOSPI 200 Future (K2F) Unit of Measure Quantity
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current tag 1147-   UnitOfMeasureQty New tag 1147-   UnitOfMeasureQty
      KOSPI 200 futures K2F K2 500,000 250,000

      These futures will be available for customer testing in New Release on Monday, March 13.

      These futures are listed with, and subject to, the rules and regulations of Korea Exchange.

       

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      New - Changes to Non-Reviewable Ranges and Price Bands for Non-fat Dry Milk Futures

      Effective Sunday, March 26 (trade date Monday, March 27), the Non-Reviewable Ranges and Price Bands will be modified for following product.

      Changes to Non-Reviewable Ranges and Price Bands for Non-fat Dry Milk Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Non-Reviewable Range New Non-Reviewable Range Current Price Banding New Price Banding
      Non-fat Dry Milk Futures GNF DC 750 1500 1500 3000

      The Non-Reviewable Range and Price Bands settings for every CME Globex product are defined in the CME Globex Product Reference Sheet.

      These futures will be available for customer testing in New Release on Monday, March 13.

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

       

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      Decommission of MexDer Order Routing Offering

      Effective end of day Friday, August 25, Globex order routing and market data for MexDer products will no longer be available via the CME Globex platform.  Existing order routing customers to MexDer markets and customers wishing to pursue market access to MexDer should contact Laura Vazquez at lvazquez@grupobmv.com.mx or +(52 55) 53 42 9840.  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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      Events and Announcements

      New - Amendments to the Exercise and Assignment Rules for CME FX Options

      Effective Friday, March 24, the exercise and assignment rules for all CME FX options contracts will be amended on the CME trading floor and CME Globex and for submission for clearing via CME ClearPort.

      Additional information on these changes is available in the Clearing House Notice.

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

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