Topics in this issue include:
The maximum length of the Text field (Tag 58) has been expanded to more accurately reflect the outbound message from CME Globex.
| Expanding Maximum Length of Text Field | ||||
|---|---|---|---|---|
| Tag | FIX Name | Required | Current Format | New Format |
| 58 | Text | N | String(150) | String(200) |
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.
New Release order routing was decommissioned end of day Wednesday, August 16.
To support the orderly wind down of the CME Europe Limited (CMEEL) the following changes will be implemented:
Last Trading Date for CME Europe Limited (CMEEL) - August 30
The last trading date for all remaining Products listed on CME Europe Limited (CMEEL) will be August 30. Members with open positions after that last trading date will be closed out in accordance with CME Clearing Europe Rules and in accordance with the Planned Termination Event as described in CME Clearing Europe Notice 17-24.
Additional information regarding this change can be found in the CME Europe Ltd Exchange Advisory Notice 17-014.
CME Europe Market Segment Gateway and MDP Channels Decommission - September 6
The CME Europe Market Segment Gateway and market data channels will be decommissioned in the New Release and Production environments as follows:
| CME Europe Limited (CMEL) Update | ||||
|---|---|---|---|---|
| Tag 1300-Market SegmentID | Market Data Channel Description | Market Data Channels | Production | New Release |
| 86 | CME Europe Globex Futures | 410 | Sunday, September 10 | Wednesday, September 6 |
| 86 | CME Europe Globex Options | 411 | Sunday, September 10 | Wednesday, September 6 |
| -- | CME Europe Block and PNTs | 235 | Sunday, September 10 | Wednesday, September 6 |
The following config.xml files will be updated prior to the open for each environment change:
| Service | Directory Location | September 10 |
|---|---|---|
| MDP 3.0 | FTP Site | Config.xml (Remove Source IPs for channel 410 and 411) |
| MSGW | SFTP Site | MSGW Config.xml (Remove Source IPs for market segment 86) |
| Drop Copy 4.0 | SFTP Site | DropCopy Config.xml (Remove Source IPs for market segment 86) |
| SBE Streamlined | FTP Site | Config.xml (Remove source IPs for channel 235) |
Effective Sunday, September 24, 2017 (trade date Monday, September 25), implied functionality will be enabled on the following CME FX futures outrights and all SD calendar spreads (i.e. serial-serial, serial-quarterly, quarterly-quarterly) in the first 12 months.
| Implied Functionality for CME FX Futures and SD Calendar Spreads | ||
|---|---|---|
| Product | MDP 3.0: Tag 6937-Asset |
iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
| British Pound | 6B | 6B |
| Canadian Dollar | 6C | 6C |
| Euro FX | 6E | 6E |
| Japanese Yen | 6J | 6J |
| Australian Dollar | 6A | 6A |
| Euro/British Pound | RP | FB |
Implied functionality utilizes bids and offers in both spreads and their outright contracts to provide the most liquid possible markets with the best possible prices. In internal testing, implied functionality increased incremental feed bandwidth up to 13% on the CME Globex FX Futures MDP 3.0 channels 314 and 320.
To identify CME FX futures products with implied eligibility, the market data Security Definition message (tag 35-MsgType=d) will contain tag 872-InstAttrbValue bit 19-Implied Matching Eligible =1.
Implied book updates are disseminated via the market data Incremental message (tag 35- MsgType=X ) with tag 269-MDEntryType=E (implied bid) and F (implied offer).
Implied functionality for CME FX futures is currently available for customer testing.
Additional detailed information on the implied functionality is available in the Client Systems Wiki.
For more information please visit cmegroup.com/fxmonthlies.
† Denotes update to the article
Effective Sunday, October 29 (trade date October 30), to provide more timely information, CME MDP 3.0 will publish preliminary Daily Cleared Volume and Open Interest (VOI) market data messages earlier. With this change, the redundant preliminary VOI messages will no longer be published.
Changes in Timing and Frequency for Publishing VOI Messages:
Customers can determine the trading reference date by leveraging tag 5796-TradingReferenceDate in the cleared volume and open interest messages to identify the trading session date.
Please note: The publication timing and frequency of VOI messages for ITC messages, †KRX Exchange, BMD Exchange and MGEX Exchange are not impacted by this change. MDP 3.0 VOI messages will be published significantly earlier than the ITC VOI messages.
These changes will be available for customer testing in New Release on † Tuesday, September 5.
CME Group is committed to our customers’ information security. To deliver the best security and customer experience, effective Sunday, December 17 (trade date Monday, December 18), the listed CME Group services will support Transport Layer Security (TLS) version 1.2 only, and TLS 1.0 and 1.1 will be disabled. Customers are encouraged to upgrade to TLS 1.2 immediately; please contact your system administrator or network provider today to ensure seamless access.
This change will be effective in New Release on Tuesday, August 29.
Effective this Sunday, August 27 (trade date Thursday, August 31), to provide additional information on intraday settlement prices, CME Group will publish rounded intraday settlements for E-mini S&P 500 futures, in addition to the unrounded prices available today. Rounded intraday settlements are flagged with tag 731=SettlPriceType where bit 2=1 and bit 3=1.
| Market Data Dissemination of Equity Intraday Rounded Settlements Prices | |||
|---|---|---|---|
| MDP 3.0 Channel Description | MDP 3.0 Channel | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
| CME Globex Equity Futures | Channel 310 | ES | ES |
With this change, customers will receive both a rounded and unrounded intraday settlement message. Intraday Settlement Prices are published on the last trading day of the calendar month for E-mini S&P 500 contracts. These prices are sent while the trading session is still active and represent a snapshot valuation of the settlement price at the time that they are published.
The new prices are currently available for customer testing in New Release. To test tag 731-SettlPriceType (bits 2 and 3) in New Release, 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.
The MDP 3.0 Market Data Incremental Refresh message including tag 731-SettlPriceType is documented in the Client Systems Wiki.
Please Note: The rounded intraday settlement prices will also be published via ITC Channel 3.
ITC Floor Feed testing is not available in New Release. Customers consuming ITC messages can use the following examples for customer testing.
| ITC Feed Market Data Dissemination of Equity Intraday Rounded Settlements Prices | |
|---|---|
| ITC Channel Description | ITC Feed Channel |
| CME Open Outcry | 3 |
| Examples of the rounded and unrounded messages published on the final day of the month: |
Settlement Message Type |
<SOH>M FQ S00075081500550 <STX> SP H18EH182 |
Futures Intraday Unrounded Settlement |
<SOH>M FQ S00075241500570 <STX> ES H18EH182 |
Futures Intraday Rounded Settlement |
<SOH>M FQAS00075251500570 <STX> ES H18EH182 |
Futures Intraday Unrounded Settlement |
This change does not impact ITC Future Unrounded Settlement for the S&P 500 Futures.
The ITC Market Data Message specification for pricing is documented in the Client Systems Wiki.
To better align traded volume information across platforms, effective Sunday, September 10 (trade date Monday, September 11), when a spread-of-spreads trades MDP 3.0 will only publish traded volume updates for the top-level spread and the outright legs.
Today, MDP 3.0 publishes volume updates for the top-level spread, the spread legs and the outright legs. With this change, the spread legs will no longer have a volume update when traded as part of a spread-of-spreads. The following table outlines the new behavior. This change only affects trades for spread-of-spreads. Trades in spreads will continue to function as they do today.
| Current State PS Pack Spread – Volume update |
Effective Sunday, September 10 PS Pack Spread – Volume update |
|---|---|
| PK Pack 1 – Volume update | PK Pack 1 – No volume update |
Outright leg 1 – Volume update |
Outright leg 1 – Volume update |
Outright leg 2 – Volume update |
Outright leg 2 – Volume update |
Outright leg 3 – Volume update |
Outright leg 3 – Volume update |
Outright leg 4 – Volume update |
Outright leg 4 – Volume update |
| PK Pack 2 – Volume update | PK Pack 2 – No volume update |
Outright leg 1 – Volume update |
Outright leg 1 – Volume update |
Outright leg 2 – Volume update |
Outright leg 2 – Volume update |
Outright leg 3 – Volume update |
Outright leg 3 – Volume update |
Outright leg 4 – Volume update |
Outright leg 4 – Volume update |
Detailed spread and spread-of-spread information is available in the Client Systems Wiki.
This change are currently available for customer testing in New Release.
Starting Sunday, September 10 (trade date Monday, September 11), CME Group will †introduce the following CME Globex execution information enhancements:
| CME Globex Execution Information Enhancements | ||
|---|---|---|
| Tag1300-MarketSegmentID | Market Segment | Launch Schedule |
| 68 | CME Equity futures excluding E-mini S&P | Sunday, September 10 |
| 50 | CME Eurodollar options | Sunday, September 24 |
| 76 | NYMEX and COMEX Metals and Alternative Market futures | Sunday, September 24 |
| 78 | NYMEX Non-Crude Energy futures | Sunday, September 24 |
| 54 | CME Equity options | Sunday, October 22 |
| 56 | NYMEX and COMEX options | Sunday, October 22 |
| 58 | CBOT Treasury options | Sunday, October 22 |
| 64 | CME E-mini S&P 500 futures | Sunday, October 22 |
| 80 | NYMEX Crude Energy futures | Sunday, October 22 |
| 84 | CBOT Treasury futures | Sunday, October 22 |
| 88 | CME Globex FX Futures and Options | Sunday, October 22 |
| 52 | CME FX options | Sunday, October 29 |
| 60 | CBOT Commodity and Equity options | Sunday, October 29 |
| 70 | CME Commodity futures | Sunday, October 29 |
| 72 | CBOT Commodity futures | Sunday, October 29 |
| 74 | Hosted Partner Exchange markets and NYMEX Emissions futures | Sunday, October 29 |
| 82 | CME Eurodollar futures | Sunday, October 29 |
Please review the client impact assessment for information on functionality and messaging impacts and complete rollout schedule.
These enhancements are now 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.
Effective Sunday, September 24 (trade date Monday, September 25) CME Group will launch enhancements to CME Globex Self-Match Prevention (SMP). SMP is optional functionality that allows market participants to prevent the matching of orders for accounts with common ownership if both the buy and sell orders contain the same SMP ID and Globex Firm ID.
With these enhancements, iLink customers will have the ability to configure SMP functionality across multiple Globex Firm IDs within or across clearing firms. Upon this release, orders submitted with unregistered SMP IDs will be rejected. CME Globex will send a Session Level Reject (tag 35-MsgType=8) message including tag 58=<Reject Reason>. All Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders with unregistered SMP IDs must also be updated to use a registered SMP ID by the close on the Friday before launch. Any remaining GT orders with unregistered SMP IDs will be eliminated at Sunday start-up on launch weekend.
The Firm Administrator Dashboard interface will continue to be used to request new SMP IDs but will be enhanced to allow existing SMP IDs to be modified to support additional Globex Firm IDs.
Starting Sunday, September 10, customers may register one or more CME Globex Firm IDs to their SMP IDs via the Firm Administrator Dashboard.
Detailed information, including the launch schedule, is available in the Client Impact Assessment.
The new SMP enhancements are currently available for customer testing in New Release. Customer certification is not required, but CME Group strongly recommends all system providers test these changes thoroughly in New Release.
Please note: Clients planning to test the SMP enhancements in New Release must contact their Global Account Manager to receive new SMP IDs, which will be activated after the New Release daily maintenance period (16:00 to 16:45 central time).
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.
Pending regulatory approvals, Bursa Malaysia Derivatives (BMD) will list the following FX futures for trading on CME Globex in late Q3 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, September 10 (trade date Monday, September 11), Gold London Trade At Marker First PM will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.
| Gold London Trade At Marker | ||
|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
| Gold London Trade At Marker First PM | GCD | GM |
This futures will be available for customer testing in New Release on Monday, August 28.
These contracts are listed with, and subject to, the rules and regulations of COMEX.
Effective Sunday, September 10 (trade date Monday, September 11), the CME Group will add Copper Futures quarterly strips for 8 consecutive quarters on CME Globex.
| Quarterly Strips on Copper Futures | ||||
|---|---|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Tag 762- SecuritySubType | |
| Copper Futures | HG | HG | SA | |
The strips are currently available for customer testing in New Release.
These contracts are listed with, and subject to, the rules and regulations of COMEX.
On Monday, August 14, the following DME referenced Crude products were delisted and on Friday, August 18 were removed from CME Globex at close of business.
| Delisting and Removal of DME Referenced Crude Products | ||
|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
| DME Oman Crude Oil Swap Futures
|
DOO
|
BB
|
| DME Oman Crude Oil BALMO Swap Futures
|
DOB
|
BB
|
| ICE Brent vs. DME Oman Crude Oil Swap Futures
|
DBO
|
BB
|
| DME Oman Crude Oil vs. Dubai (Platts) Swap Futures
|
DPO
|
BB
|
| DME Oman Crude Oil Average Price Option
|
DOA
|
XZ
|
| ICE Brent (Singapore Marker) vs. DME Oman Crude Oil Swap Futures
|
BSG
|
BB
|
| Singapore Gasoil (Platts) vs. DME Oman Crude Oil Swap Futures
|
DZB
|
PT
|
| Singapore Jet Kerosene (Platts) vs. DME Oman Crude Oil Swap Futures
|
RKZ
|
JR
|
| Singapore Mogas 92 Unleaded (Platts) vs. DME Oman Crude Oil Swap Futures
|
DNB
|
JR
|
These futures and options currently have no open interest.
Effective this Sunday, August 27 (trade date Monday, August 28), the E-mini S&P 500 Options group codes will change for the following products:
| Group Code Change S&P 500 Options | |||
|---|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | Current iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
New iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
| E-mini S&P 500 Options | ES | EZ | EW |
| E-mini S&P 500 Wednesday Weekly Options | E1C- E5C | EK | EW |
| S&P 500 Wednesday Weekly Options | S1C- S5C | SW | OS |
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 products by the close on the Friday, August 25. After 16:00 CT on Friday, August 25 any remaining GT orders on UDS will be cancelled by the CME Global Command Center (GCC). GT orders on outright options will not be impacted.
These options are currently available for customer testing in New Release.
These contracts are listed with, and subject to, the rules and regulations of CME.
† Denotes update to the article
Effective Sunday, August 27 (trade date Monday, August 28), the following Mexican Peso options will be available for trading on CME Globex, trading floor and for submission for clearing on CME ClearPort with new European-style exercise starting with the January 2018 expiry. All existing expiries through the December 2017 expiry will expire as American-Style.
As a result, trading will not be permitted in these options starting with the January 2018 expiry and beyond, not including the May 2018 expiry, from Thursday, August 10 through August 27. This temporary suspension is required to support the conversion of these options from American-style to European-style exercise. Currently, there is no open interest or resting orders in these expiries. The August 2017 through December 2017 and May 2018 expiries will remain active for trading.
†On Tuesday, January 2, 2018, the full conversion from American-style to European-style exercise will occur and the Security Definition messages and Referential files will reflect European-style exercise. Product Symbols are not changing.
| American-Style Mexican Peso Options to European-Style | ||
|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
| Options on Mexican Peso/U.S. Dollar (MXN/USD) Futures
|
6M
|
MO
|
| Options on Mexican Peso/U.S. Dollar (MXN/USD) Futures - Week 1-5
|
1M-5M
|
MO
|
These futures are listed with, and subject to, the rules and regulations of CME.
Effective this Sunday, August 27 (trade date Monday, August 28), additional Trading at Settlement (TAS) calendar spreads will be available on CME Globex for the following energy futures.
| Calendar Spread Expansion for Energy Futures Trading-at-Settlement (TAS) | ||||
|---|---|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Current TAS Calendar Spread Eligibility | New TAS Calendar Spread Eligibility |
| Light Sweet Crude Oil Futures (TAS) | CLT | CT | nearby/2nd, nearby/3rd, nearby/4th, 2nd/3rd, 2nd/4th and 3rd/4th | nearby/2nd, nearby/3rd, nearby/4th, nearby/5th, nearby/6th, 2nd/3rd, 2nd/4th, 2nd/5th, 2nd/6th, 3rd/4th, 3rd/5th, 3rd/6th, 4th/5th, 4th/6th and 5th/6th |
| Henry Hub Natural Gas Futures (TAS) | NGT | NA | nearby/2nd, nearby/3rd, nearby/4th, 2nd/3rd, 2nd/4th and 3rd/4th | nearby/2nd, nearby/3rd, nearby/4th, nearby/5th, nearby/6th, 2nd/3rd, 2nd/4th, 2nd/5th, 2nd/6th, 3rd/4th, 3rd/5th, 3rd/6th, 4th/5th, 4th/6th and 5th/6th |
These calendar spreads are currently available for customer testing in New Release.
These contracts are listed with, and subject to, the rules and regulations of NYMEX.
Effective Sunday, September 10 (trade date Monday, September 11), calendar and strip spreads will be listed on CME Globex for the following European Power futures.
| Listing of Calendar and Strips Spreads for Listing of Calendar and Strips Spreads for European Power Futures | ||||
|---|---|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Listing Schedule | Tag 762-SecuritySubType |
| German Power Baseload Calendar Month Futures
|
DEB
|
PW
|
6 monthly spreads, 36 quarterly and yearly spreads |
SP - Calendar Spread
|
| 36 quarterly and yearly strips | SA - Strip
|
|||
| German Power Peakload Calendar Month Futures
|
DEP
|
PW
|
6 monthly spreads, 36 quarterly and yearly spreads |
SP - Calendar Spread
|
| 36 quarterly and yearly strips | SA - Strip
|
|||
| Italian Power Baseload (GME) Calendar Month Futures
|
ITB
|
PW
|
6 monthly spreads, 36 quarterly and yearly spreads |
SP - Calendar Spread
|
| 36 quarterly and yearly strips | SA - Strip
|
|||
| Italian Power Peakload (GME) Calendar Month Futures
|
ITP
|
PW
|
6 monthly spreads, 36 quarterly and yearly spreads |
SP - Calendar Spread
|
| 36 quarterly and yearly strips | SA - Strip
|
|||
The spreads are currently available for customer testing in New Release.
These contracts are listed with, and subject to, the rules and regulations of NYMEX.
Effective Sunday, September 10 (trade date Monday, September 11), the minimum price increment tag 969-MinPriceIncrement will be reduced for Micro Coal (API 5) fob Newcastle (Argus/McCloskey) futures.
| Micro Coal (API 5) fob Newcastle (Argus/McCloskey) Futures | ||||
|---|---|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Current tag 969 - MinPriceIncrement | New tag 969 - MinPriceIncrement |
| Micro Coal (API 5) fob Newcastle (Argus/McCloskey) Futures | M5F | CO | 5.0000000 | 1.0000000 |
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.
Effective Sunday, September 10 (trade date Monday, September 11), the listing cycle for Alumina FOB Australia (Platts) Futures will be expanded on CME Globex.
| Alumina FOB Australia (Platts) 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 |
| Alumina FOB Australia (Platts) Futures | ALA | ST | Monthly contracts listed for 12 consecutive months | Monthly contracts listed for the current year and next calendar year. List monthly contracts for a new calendar year following the termination of trading in the December contract of the current year. |
This futures will be available for customer testing in New Release on Monday, August 28.
These contracts are listed with, and subject to, the rules and regulations of COMEX.
Effective Friday, September 8, at close of business, CME Group will retire the legacy FirmSoft order management tool. After this date, users will be required to use the new version of FirmSoft for all order search, cancellation and reporting needs. Existing FirmSoft users are strongly encouraged to begin using the new version of FirmSoft as soon as possible.
The new FirmSoft offers:
After Friday, September 8, legacy FirmSoft will be used for administrative purposes only. Authorized FirmSoft administrators will continue to use the legacy FirmSoft tool only to manage entitlements for users.
For additional information about functionality, please review the FirmSoft Help.
If you have any questions, please email FirmSoftFeedback@cmegroup.com or contact your Global Account Manager.