• CME Globex Notices: March 27, 2017

      • To
      • CME Globex and Market Data Customers
      • From
      • Globex Account Management
      • #
      • 20170327
      • Notice Date
      • 27 March 2017

    • Topics in this issue include:

       

      Critical System Updates

      Market By Order Market Data

      Effective this Sunday, April 2 (trade date Monday, April 3), 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.

      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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      New - Market Segment Changes for CME and CBOT Products

      Beginning Sunday, May 21 (Monday, May 22), the following instruments will be moved to different Market Segments and different MDP 3.0 Source IPs. No new Market Segments are being introduced.

      Market Segment Changes for CME and CBOT Products
      Products MDP 3.0 Channel Current Tag 1300-MarketSegmentID New Tag 1300-MarketSegmentID New Release Launch Production Launch
      CME Globex Commodity Options 317 52 60 Thursday, April 27 Sunday, May 21
      CME Globex FX Futures II 320 62 52 Sunday, June 4
      CBOT Globex Equity Index Futures 342 66 68 Sunday, June 25
      CBOT Globex Equity Index Options 343 60 54

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

      Drop Copy 4.0 sessions will support these market segment changes. As a reminder, customers must manage the relationship between Drop Copy 4.0 sessions and corresponding IP addresses and market segments within their risk management systems.

      Config.xml Files

      The new MDP 3.0 config.xml files will be available for customer download:

      • New Release
        • all changes reflected in "20170426" files on Saturday, April 1
      • Production
        • Changes for channels 317 and 345 reflected in "20170520" file on Saturday, April 8
        • Changes for channel 320 reflected in "20170603" file on Saturday, April 8
        • Changes for channels 342 and 343 reflected in "20170624" file on Saturday, April 8

      To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for User-Defined Spreads (UDS) only for the affected markets by the close on the Friday before launch. Any remaining GT orders on UDS will be cancelled by the CME Global Command Center (GCC). GT orders on outright options, futures and futures spreads will not be impacted.

      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.

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      New - Source IP Change for CBOT Globex Interest Rate Options Market Data

      Effective Sunday, May 21 (trade date Monday, May 22), the market data Source IPs for all instruments on MDP 3.0 channel 345 - CBOT Globex Interest Rate Options will be changed.

      New config.xml files on the ftp.cmegroup.com/SBEFix/ site will be available as follows:

      • New Release: config_20170426.xml - available April 1
      • Production: config_20170520.xml - available April 8

      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. Customers who restrict market data flow via the source IPs must download and implement MDP 3.0 config.xml file on the production launch date prior to market open for each channel.

      These changes will be available for customer testing Thursday, April 27.

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      Update - Streamlined FIX/FAST and ITC 2 Blocks Decommission

      † Denotes update to the article

      Blocks market data is now available on the streamlined SBE feed. 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 †June 23 †June 23 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 - Eris Exchange Streamlined SBE Enhancements

      Effective Sunday, June 25 (trade date Monday, June 26), the Eris Exchange will launch enhancements with new functionality for the Streamlined SBE feed.

      The streamlined Market Data enhancements will feature:

      • Theoretical update book processing
      • New daily statistics and reference data
      • Expanded instruments

      The client impact assessment provides functionality and messaging information.

      The enhancements and new functionality will be available in New Release for customer testing on Monday, April 10.

      The Eris streamlined SBE enhancements certification suite will be available in AutoCert+ for customer testing on a date to be announced. Customer systems who choose to process Eris exchange streamlined SBE market data must complete this certification.

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      New Functionality

      New - Triangulation Execution Change for Australian Dollar

      Effective Sunday, April 23 (trade date Monday, April 24), the minimum quantity required to trigger a Triangulation execution will be reduced from 20 to 10 lots. The minimum order size for Volatility-Quoted Options will remain 20 lots. These minimums are designed to mitigate the risk of a VQO or Triangulated execution without an assigned future.

      This change will be available for customer testing in the New Release environment Monday, April 10.

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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 are currently available in New Release for customer testing.

      †Please note: Mass Quotes submitted with a Quote Set ID value greater than 3 characters in length will be rejected. CME Globex will send a Business Level Reject (tag 35-MsgType=j) message including tag 58=<Reject Reason>.

      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 - Triangulation Functionality for Additional CME FX Products

      Triangulation functionality will be enabled for the following CME FX products:

      • Sunday, May 14 (trade date Monday, May 15)
        • Japanese Yen
          • Futures: tag 6937=6J
          • Premium-Quoted Options: tag 6937=JPU, 1JY-5JY
          • Volatility-Quoted Options: tag 6937=VXJ, VJA-VJE
        • British Pound
          • Futures: tag 6937=6B
          • Premium-Quoted Options: tag 6937=GBU, 1BP-5BP
          • Volatility-Quoted Options: tag 6937=VXB, VBA-VBE
        • Swiss Franc
          • Futures: tag 6937=6S
          • Premium-Quoted Options: tag 6937=CHU, 1SF-5SF
          • Volatility-Quoted Options: tag 6937=VXS, VSA-VSE
      • Sunday, June 18 (trade date Monday, June 19)
        • Canadian Dollar
          • Futures: tag 6937=6C
          • Premium-Quoted Options: tag 6937=CAU, 1CD-5CD
          • Volatility-Quoted Options: tag 6937=VXC, VCA-VCE
        • Euro FX
          • Futures: tag 6937=6E
          • Premium-Quoted Options: tag 6937=EUU, 1EU-5EU
          • Volatility-Quoted Options: tag 6937=VXT, VTA-VTE

      The Swiss Franc and Canadian Dollar markets will use a minimum quantity requirement of 10 lots to trigger a Triangulation execution. Japanese Yen, British Pound and Euro FX  will use 20 lot minimum for Triangulation execution. All Volatility-Quoted Options have a 20-lot minimum order size. These minimums are designed to mitigate the risk of a VQO or Triangulated execution without an assigned future.

      Triangulation functionality for the Japanese Yen, British Pound and Swiss France will be available for customer testing Wednesday, April 19; Canadian Dollar and Euro FX will be available Monday, May 8.

       

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      Settlement Enhancements

      Effective Sunday, May 21 (trade date Monday, May 22), more granular settlement identifiers will be available on CME MDP 3.0.

      • Tag 731-SettlePriceType (bits 1 and 2) will be fully supported to accurately 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)
          • Please Note: Theoretical settlement prices are only published on Security Definition (tag 35-MsgType=d) messages for instruments with no Open Interest or Volume. Incremental Refresh settlement messages are not distributed for these instruments.

      †With this change, the following settlement types will be published for instruments listed on CME Globex:

      Settlement Messages Published on Incremental Refresh
      Instrument Preliminary, Rounded Preliminary, Unrounded Final, Rounded Final, Unrounded
      Subject to rounding with open interest X X X  
      Not subject to rounding with open interest   X   X
      No open interest        

      These settlement enhancements are currently available for customer testing in New Release.

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      MDP 3.0 Enhancement for Settled at Cabinet Options

      Effective Sunday, May 21 (trade date Monday, May 22), to provide better insight into actual settlement prices, when an option instrument is settled at Cabinet, the Cabinet settlement price will be published in tag 270-MDEntryPx when tag 269-MDEntryType=6. Currently, MDP 3.0 publishes tag 270=0 when an option settles to cabinet.

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      Globex Risk Management Enhancements: Inline Credit Controls

      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, 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.

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      Product Launches

      Monday S&P 500 and E-mini S&P 500 Options

      Effective this Sunday, April 2 (trade date Monday, April 3), S&P 500 Monday Weekly options and E-mini S&P 500 Monday Weekly options will be listed for trading on the venues listed below.

      Monday S&P 500 and E-mini S&P 500 Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 MDP 3.0 1151-Security Group (UDS)

       

      		 Venue

       
      E-mini S&P 500 Monday Weekly Options

       

      		 E1A-E5A

       

      		 EW

       

      		 1V

       
      • CME Globex
      • Submission for clearing via CME ClearPort
      S&P 500 Monday Weekly Options

       

      		 S1A-S5A

       

      		 OS

       

      		 4V

       
      • CME Globex
      • CME trading floor
      • Submission for clearing via CME ClearPort

      These options 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 CME.

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      New - South African Rand Options

      Effective Sunday, April 23 (trade date Monday, April 24), South African Rand options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      South African Rand Options
      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)
      South African Rand Options RO A4 A5
      South African Rand Weekly Options 1N – 5N A4 A5

      These options will be available for customer testing in New Release on Monday, April 10.

      Note: These products are currently listed on Open Outcry and available for submission via CME Clearport. Please click here for contract specs of currently listed products.

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

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      New - Ethanol T2 FOB Rdam Including Duty (Platts) BALMO Futures

      Effective Sunday, April 23 (trade date Monday, April 24), Ethanol T2 FOB Rdam Including Duty (Platts) BALMO futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Ethanol T2 FOB Rdam Including Duty (Platts) BALMO Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Ethanol T2 FOB Rdam Including Duty (Platts) BALMO Futures Z1B EE

      These futures will be available for customer testing in New Release on Monday, April 10.

      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 available for customer testing in New Release.

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      Product Changes

      Listing Cycle Expansion for Calendar Spreads for Henry Hub Last-day Financial Futures

      Effective this Sunday, April 2 (trade date Monday, April 3), the listing cycle for the following Calendar Spreads for Henry Hub Last-day Financial Futures will be expanded on CME Globex, and clearing submission via CME ClearPort.

      Listing Cycle Expansion for Calendar Spreads for Henry Hub Last-day Financial Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Listing Schedule New Listing Schedule
      Henry Hub Last-day Financial Futures HH NG 24 consecutive months 36 consecutive months

      Please Note: Only the first 24 consecutive months will be implied.

      These futures 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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      Listing Cycle Expansion for TAS on Live Cattle and Lean Hog Futures

      Effective this Sunday, April 2 (trade date Monday, April 3), the listing cycle for the Live Cattle TAS futures and Lean Hog TAS futures will be expanded on CME Globex.

      TAS on Live Cattle and Lean Hog Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Listing Schedule New Listing Schedule
      Live Cattle TAS Futures LET TH First two contract months First three contract months
      Lean Hogs TAS Futures HET TH First two contract months First three contract months

      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.

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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 Version of FirmSoft

      CME Group is excited to announce a new version of FirmSoft. Existing FirmSoft users may now use CME Group Login credentials to access and explore the new version of FirmSoft.

      Login to the new version of FirmSoft

      The new version of FirmSoft offers:

      • a new look and feel
      • ability to search and cancel by Market Segment Gateway ID
      • mobile-friendly access from any internet enabled device

      For additional information about functionality, please review the new version of FirmSoft Help System

      The current version of FirmSoft will be decommissioned at a later date, which will be announced in future FirmSoft notices.

      We look forward to receiving your feedback.

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      Amendments to the Exercise and Assignment Rules for CME FX Options

      Effective this 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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      New - Messaging Efficiency Program Q2 2017 Benchmarks

      The Q2 2017 CME Globex Messaging Efficiency Program Product Group Benchmarks are now available. No changes were made to Q2 2017 Product Group Benchmarks vs. Q1 2017 Product Group Benchmarks and 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.

      CME Globex firms who exceed the benchmark ratios in applicable product groups and are signed-up accordingly, receive email notifications of any potential surcharges and CME Globex firms who have access to the Firm Administrator Dashboard have the ability to view their messaging statistics on a T+1 basis.

      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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      Additional Maintenance Windows in Certification and New Release

      Beginning Monday, May 1, CME Group will implement additional maintenance windows for CME Globex, Clearing and CME Direct test environments. Maintenance windows are a specified period of time during which an environment is unavailable. The additional maintenance windows will provide customers with the most current technology releases and allow for more frequent deployments to enhance environment stability.

      Certification and New Release Maintenance Windows
      *Service Maintenance Windows
      CME Globex
      • Certification and New Release:
        • 4 pm – 8 pm CT Monday – Thursday.
        • 2 am – 5 am CT Wednesday
      CME Clearing
      • Certification:
        • Tuesdays 12 pm – 5 pm CT
      • New Release:
        • Tuesdays 2 am – 5 am CT
        • Wednesdays 12 pm –5 pm CT
      CME Direct
      • Certification:
        • Tuesdays 2 am – 7 am CT and 12 pm – 5 pm CT
      • New Release:
        • Wednesdays 2 am – 7 am CT and 12 pm – 5 pm CT

      *Please Note: Services are available from 8 pm Central Time (CT) Sunday to 4pm CT Friday except during the maintenance windows.

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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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