Topics in this issue include:
† Denotes update to the article
Effective Sunday, April 23 (trade date Monday, April 24), 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:
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 Saturday, April 22. Customers must register for this session in advance. During this mock trading session, customers may test MDP 3.0 Market Data, Order Entry, and Trade Matching. For additional information, please view the mock trading session script. All customers and trading system providers who plan to support MBO are strongly encouraged to participate.
Effective Sunday, May 7 (trade date Monday, May 8), the customer-facing IP addresses for all ITC market data channels will change. A new network configuration file named config_20170506.xml with the new IPs is available for customer download.
| ITC Market Data IP Change | |
|---|---|
| Market Data Channel Description | ITC Market Data Channels |
CME Open Outcry |
3 |
CBOT Open Outcry |
100 |
DME Non-Globex |
229 |
NYMEX Open Outcry |
244 |
COMEX Open Outcry |
245 |
Customers must download and implement the ITC config.xml file on the production launch date prior to market open for each channel.
† Denotes update to the article
Beginning Sunday, May 21 (Monday, May 22), the following instruments will be moved to different Market Segments and different MDP 3.0 †Incremental feed 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 are available for customer download:
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.
† Denotes update to the article
Effective Sunday, May 21 (trade date Monday, May 22), the production †Incremental feed market data Source IPs for all instruments on MDP 3.0 channel 345 - CBOT Globex Interest Rate Options will be changed. A new config.xml files named config_20170520.xml is now available on the ftp.cmegroup.com/SBEFix/.
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.
Blocks market data is now available on the streamlined SBE feed. The following streamlined FIX/FAST feed will be decommissioned in the New Release and Production environments as follows:
| Streamlined FIX/FAST Decommission | |||
|---|---|---|---|
| Streamlined FIX/FAST and ITC 2 | Production | New Release | Client Impact Assessment |
| 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.
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:
The client impact assessment provides functionality and messaging information.
The enhancements and new functionality is available in New Release for customer testing.
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.
Following the successful launch of Market Segment Gateway (MSGW), CME Group is introducing improvements to the Convenience Gateway (CGW) architecture. These changes include a hardware upgrade and are designed to reduce CGW IP management needs. There should be no performance change for iLink CGW sessions.
Effective Sunday, June 25 (trade date Monday, June 26), all CGW iLink sessions will use new IPs and ports. The new IP ranges will be available on the Client Systems Wiki by May 1. Your Global Account Manager will provide the new IP and port mapping for your sessions by the end of the month.
All CGW iLink sessions must migrate to the new IPs and Ports in order to access CME Globex markets. The current IPs will be disabled after the close on Friday, June 23. A connectivity mock will be held Saturday, June 24.
An optional migration on Sunday, June 18, is also available. Customer must register with their Global Account Manager no later than Friday, June 2, to migrate on June 18. A connectivity mock will be held for those migrating early on Saturday, June 17.
Please note: Later this year, CGW sessions will move to the MSGW-style Application Level Fault Tolerance, with an enforced primary gateway. To minimize impact when this change is implemented customers must use their designated Primary IPs and Ports upon launch.
Drop Copy is not impacted by this change, but some iLink source sessions may be moved to different target sessions. The IPs and ports for Drop Copy sessions will not change.
If you have any questions or concerns, please contact your Global Account Manager 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.
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 is available for customer testing in the New Release environment.
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:
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.
† Denotes update to the article
Triangulation functionality will be enabled for the following CME FX products:
The Swiss Franc, †British Pound and Canadian Dollar markets will use a minimum quantity requirement of 10 lots to trigger a Triangulation execution. Japanese Yen 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.
Effective Sunday, May 21 (trade date Monday, May 22), more granular settlement identifiers will be available on CME MDP 3.0.
†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.
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.
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:
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.
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 are available for customer testing in New Release.
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.
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 are 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.
Effective Sunday, May 7 (trade date Monday, May 8), 3.5% Fuel Oil CIF Med (Platts) vs. 3.5% Fuel Oil FOB Med (Platts) Futures and 3.5% Fuel Oil CIF Med (Platts) vs. 3.5% Fuel Oil FOB Med (Platts) BALMO Futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.
| Fuel Oil Spread Futures and Equivalent BALMO | ||
|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
| 3.5% Fuel Oil CIF Med (Platts) vs. 3.5% Fuel Oil FOB Med (Platts) Futures | CMF | CP |
| 3.5% Fuel Oil CIF Med (Platts) vs. 3.5% Fuel Oil FOB Med (Platts) BALMO Futures | CMB | CP |
These futures will be available for customer testing in New Release on Monday, April 24.
Please see New Product Summary.
These contracts are listed with, and subject to, the rules and regulations of NYMEX.
Effective Sunday, May 7 (trade date Monday, May 8), NY Buckeye Jet Fuel (Platts) vs. NY Harbor ULSD BALMO Futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.
| NY Buckeye Jet Fuel (Platts) vs. NY Harbor ULSD BALMO Futures | ||
|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
| NY Buckeye Jet Fuel (Platts) vs. NY Harbor ULSD BALMO Futures | JTB | RF |
These futures will be available for customer testing in New Release on Monday, April 24.
Please see New Product Summary.
These contracts are listed with, and subject to, the rules and regulations of NYMEX.
Effective Sunday, July 9 (trade date Monday, July 10), the following E-mini Russell 2000 Index futures and options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.
| E-mini Russell 2000 Index Futures and 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 |
| E-mini Russell 2000 Index Futures | RTY | RY | N/A |
| BTIC on E-mini Russell 2000 | RLT | RT | N/A |
| E-mini Russell 2000 Growth Index | R2G | RA | N/A |
| BTIC on E-mini Russell 2000 Growth Index Futures | 2GT | RB | N/A |
| E-mini Russell 2000 Value Index Futures | R2V | RC | N/A |
| BTIC on E-mini Russell 2000 Value Index Futures | 2VT | RD | N/A |
| E-mini Russell 2000 Options | RTO | R4 | R5 |
| E-mini Russell 2000 Weekly Options | R1E, R2E, R3E, R4E |
R4 | R5 |
| E-mini Russell 2000 EOM Options | RTM | R4 | R5 |
Please see New Product Summary.
With this launch, the Fixing Price for the E-mini Russell 2000 Index futures will be disseminated. The fixing price will be calculated Monday through Friday from 2:59:30 pm to 3:00:00 pm CT.
Fixing Price data blocks are sent in the MDP 3.0 Market Data Incremental Refresh (tag 35-MsgType=X) with the following attributes:
These contracts are listed with, and subject to, the rules and regulations of CME.
† Denotes update to the article
Pending regulatory approvals, Bursa Malaysia Derivatives (BMD) will list the following FX futures for trading on CME Globex in †late 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.
Effective Sunday, April 23 (trade date Monday, April 24), the listing cycle for the following Henry Hub Natural Gas Calendar Spread Options and Combos will be expanded on CME Globex.
| Henry Hub Natural Gas Calendar Spread Options and Combos | ||||||
|---|---|---|---|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Combo MDP 3.0: tag 6937-Asset | Combo iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Current Listing Schedule | New Listing Schedule |
| Henry Hub Natural Gas Financial Calendar Spread Option - 1 Month | G4X | ON | G8X | 08 (Zero 8) | 1- Month Spreads listed for 36 consecutive months | 1- Month Spreads listed for 48 consecutive months |
| Henry Hub Natural Gas Financial Calendar Spread Option - 2 Month | AG2 | ON | CG9 | 08 (Zero 8) | 2- Month Spreads listed for 12 consecutive months and an additional January/March spread | 2- Month Spreads listed for 36 consecutive months |
| Henry Hub Natural Gas Financial Calendar Spread Option - 3 Month | G3B | ON | BH9 | 09 (Zero 9) | 3- Month Spreads listed for 12 consecutive months and an additional January/April and October/January spread | 3- Month Spreads listed for 36 consecutive months |
| Henry Hub Natural Gas Financial Calendar Spread Option - 4 Month | G10 | ON | G44 | 08 (Zero 8) | 4- Month Spreads listed for 12 consecutive months | 4- Month Spreads listed for 36 consecutive months |
| Henry Hub Natural Gas Financial Calendar Spread Option - 5 Month | AG5 | ON | HH8 | 08 (Zero 8) | 5- Month Spreads listed for 12 consecutive months | 5- Month Spreads listed for 36 consecutive months |
| Henry Hub Natural Gas Financial Calendar Spread Option - 6 Month | G6B | ON | H7Y | 09 (Zero 9) | 6- Month Spreads listed for 12 consecutive months | 6- Month Spreads listed for 36 consecutive months |
| Henry Hub Natural Gas Financial Calendar Spread Option - 12 Month | AG7 | ON | HH6 | 08 (Zero 8) | 12- Month Spreads listed for 12 consecutive months | 12- Month Spreads listed for 36 consecutive months |
Please note: These Combos serve as synthetic underlying products.
These calendar spread options are available for customer testing in New Release.
These contracts are listed with, and subject to, the rules and regulations of NYMEX.
Effective Sunday, April 23 (trade date Monday, April 24), the August 2018 maturity month for Live Cattle futures and options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.
| Listing Live Cattle Futures and Options for August 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 |
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.
Effective Sunday, April 30 (trade date Monday, May 1), the price bands for Cash-Settled Butter futures will be changed as follows:
| Cash-Settled Butter Futures | ||||
|---|---|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Current Price Bands |
New Price Bands |
| Cash-Settled Butter Futures | CB | CB | 2250 | 4000 |
The price band settings for every CME Globex product are defined in the CME Globex Product Reference.
The change will be available for customer testing in New Release on Monday, April 17.
These contracts are listed with, and subject to, the rules and regulations of CME.
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.
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 |
|
| CME Clearing |
|
| CME Direct |
|
*Please Note: Services are available from 8 pm Central Time (CT) Sunday to 4 pm CT Friday except during the maintenance windows.