Topics in this issue include:
Effective this Sunday, February 25 (trade date Monday, February 26), CME Group will implement an enhancement to options markets on the CME Globex platform. In internal testing, these enhancements reduced latency on CME Globex greater than 10% for options on futures.
There will be no changes to functionality or messaging format with these performance improvements. Good 'Till Cancelled and Good 'Till Date (GTC/GTD) orders will not be impacted.
| CME Globex Performance Enhancements | |||
|---|---|---|---|
| Tag1300-MarketSegmentID | Market Segment | Production Launch | |
| 58 | CBOT Interest Rate Options | February 25 | |
| 54 | CME and CBOT Equity Options | February 25 | |
Effective Saturday, March 10, the source IPs for all ftp.cmegroup.com content will be changed to the following. Please update all firewall and network devices to accept content from these IPs immediately to ensure seamless access to the information.
This change only affects the public ftp site; there is no impact to the secure sFTP content.
Connect now to ftp://betaftp.cmegroup.com to verify your ability to receive content from the new Source IPs.
Effective Sunday, March 11 (trade date Monday, March 12), User-Defined Spreads will be enabled for all Natural Gas futures products in the NG group (tag 1151-SecurityGroup=NG). The following types will be supported:
Please note: SA Strips are average priced strips where the spread price is identical to the price of the legs.
UDS functionality on Natural Gas futures will be available for customer testing in New Release on Monday, February 26.
CME Group is committed to our customers’ information security. To ensure the highest levels of security, CME Group will continue hardening iLink and Drop Copy 4.0 session authentication at logon in Q1 2018 with the launch of CME Globex API Secure Logon.
In production, the new logon will be supported in parallel with the current model without surcharges until Friday, April 27. Customers are strongly encouraged to make the change before the end of April to ensure no business interruption. Any iLink or Drop Copy Target sessions that connect using plain text password after April 27 will be subject to surcharges as follows:
Only Secure Logons will be supported starting Sunday, July 2.
CME Globex API Secure Logon includes:
The Client Impact Assessment provides more detailed process and messaging information.
A new iLink and Drop Copy certification suite is currently available in AutoCert+. iLink and Drop Copy 4.0 customer systems must complete this mandatory certification.
The CME Globex API Secure Logon is now available for customer testing in New Release.
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.
CME Group implemented load balancing for MDP 3.0 and Streamlined TCP Recovery to improve performance during high utilization periods. To support this change, new Historical Replay IPs and ports were introduced for MDP 3.0 for CME Globex and Streamlined production environments.
The new IPs and ports for Historical Replay are currently available in the config_20180422.xml file for customer download. The legacy IP and ports will continue to be available in parallel until close of business on Friday, April 20.
On Sunday, April 22 (trade date Monday, April 23), the new IP and ports will be added to the production config.xml file.
Please note: Backup IP addresses will be eliminated.
| TCP Recovery Performance Improvement for CME Globex and Streamlined Production Environments | ||
|---|---|---|
| Feed | Legacy IP and Port | New IP and Port |
| CME Globex | 205.209.220.72:10000 205.209.222.72:10000 |
205.209.218.10:10000 |
| Streamlined | 205.209.222.61:9000 205.209.220.61:9000 |
205.209.218.10:9000 |
In the second half of 2018, the supported decimal price precision for CME Globex and streamlined blocks SBE market data will be increased from 7 to 9 decimals to provide greater price granularity for future launches.
In Q4 2018, in conjunction with the price precision update, pending regulatory approval, the minimum price increment (MPI) for the 2 Year Treasury Note futures, future spreads and inter-commodity spreads will be reduced from 1/4th of 1/32nd (0.0078125) to 1/8th of 1/32nd (0.00390625). As a result, the maximum price precision will increase from 7 to 8 decimals.
The Client Impact Assessment includes additional information on the following:
These changes will be available in New Release for customer testing first half of 2018.
† Denotes update to the article
Effective Sunday, March 11 (trade date Monday, March 12), a new exchange-defined Inter-Exchange Reduced Tick Ratio Spread will be made available for trading on CME Globex. The new inter-exchange reduced tick ratio spread is the simultaneous purchase (sale) of two 30-Day Federal Funds futures (tag 6937-Asset=ZQ) and sale (purchase) of a Eurodollar future (tag 6937=GE) and † utilizes the new strategy type EF. † The EF strategy type will allow customers to trade 90-day short term interest rates in a single package across exchanges or commodities.
Additional information on the technical details are available in the Client Impact Assessment.
| Inter-Exchange Ratio Spread: Fed Fund vs Eurodollar | |||
|---|---|---|---|
| Product Name | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Tag 762-SecuritySubType |
| 30-Day Fed Funds futures vs Eurodollar futures | ZQ | ZQ | EF |
The †Fed Fund vs Eurodollar Inter-exchange reduced tick ratio spread is currently available for customer testing in New Release.
These contracts are listed with, and subject to, the rules and regulations of CBOT and CME.
On Sunday, March 25 (for trade date Monday, March 26), CME Group is launching CME FX Link, which is a new spot FX basis spread on CME Globex. CME FX Link will provide unique new capital, margin and operational benefits for the FX marketplace by efficiently linking trading activity in FX futures and OTC Spot FX via CME Globex.
Spot FX basis spreads will be offered between OTC Spot FX and CME FX futures for the following six currency pairs:
Additional information CME Globex processing and messaging impacts for CME FX Link is available in the Client Impact Assessment.
CME STP and CME STP FIX will support trade confirmations.
The CME FX Link is currently available for customer testing in New Release.
Effective this Sunday, February 25 (trade date Monday, February 26), the following Fuel Oil futures strips and spreads will be available for trading on CME Globex.
| Listing New Strips and Spreads for Fuel Oil Products Phase 1 | |||
|---|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
New Listing Schedule |
| 3.5% Fuel Oil Cargoes FOB MED (Platts) vs. 3.5% Fuel Oil Barges FOB Rdam (Platts) Futures | AFK | RF |
|
| European 3.5% Fuel Oil Cargoes FOB MED (Platts) Futures | AUI | RF |
|
| NY 3.0% Fuel Oil (Platts) vs. Gulf Coast HSFO (Platts) Futures | FOC | RF |
|
| 3.5% Fuel Oil CIF MED (Platts) Futures | 7D | CP |
|
| Mini 3.5% Fuel Oil Barges FOB Rdam (Platts) Crack Spread (100mt) Futures | MFR | RF |
|
| 1% Fuel Oil Cargoes FOB NWE (Platts) vs. 3.5% Fuel Oil Barges FOB Rdam (Platts) Futures | FSS | PT |
|
These 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, March 11 (trade date Monday, March 12), the following Fuel Oil futures strips and spreads will be available for trading on CME Globex.
| Listing New Strips and Spreads for Fuel Oil Products Phase 2 | |||
|---|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
New Listing Schedule |
| Mini European 3.5% Fuel Oil Barges FOB Rdam (Platts) Futures | A0D | RF |
|
| Singapore Fuel Oil 380 cst (Platts) vs. European 3.5% Fuel Oil Barges FOB Rdam (Platts) Futures | EVC | RF |
|
| Singapore Fuel Oil 380 cst (Platts) Futures | SE | PT |
|
| Mini Singapore Fuel Oil 380 cst (Platts) Futures | MTS | RF |
|
| Singapore Fuel Oil 180 cst (Platts) vs. 380 cst (Platts) Futures | SD | PT |
|
| Mini Singapore Fuel Oil 180 cst (Platts) Futures | A0F | RF |
|
| Singapore Fuel Oil 180 cst (Platts) Futures | UA | PT |
|
These spreads will be available for customer testing in New Release on Monday, February 26.
These contracts are listed with, and subject to, the rules and regulations of NYMEX.
Effective Sunday, March 11 (trade date Monday, March 12), Methanol T2 FOB Rdam (ICIS) futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.
| Methanol T2 FOB Rdam (ICIS) Futures | ||
|---|---|---|
| Product Name | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
| Methanol T2 FOB Rdam (ICIS) Futures | MT2 | JR |
These futures will be available for customer testing in New Release on Monday, February 26.
These contracts are listed with, and subject to, the rules and regulations of NYMEX.
Effective this Sunday, February 25 (trade date Monday, February 26), the Circuit Breakers for the below futures will be changed as follows:
| Change to Circuit Breakers for Certain Metals and Energy Contracts | ||||
|---|---|---|---|---|
| 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 |
| Light Sweet Crude Oil Futures | CL | CL | Level 1: 500 Level 2: 1000 Level 3: 1500 Level 4: 2000 Level 5: No Limit |
Level 1: 600 Level 2: 1200 Level 3: 1800 Level 4: 2400 Level 5: No Limit |
| NY Harbor ULSD Futures | HO | HO | Level 1: 1500 Level 2: 3000 Level 3: 4500 Level 4: 6000 Level 5: No Limit |
Level 1: 2000 Level 2: 4000 Level 3: 6000 Level 4: 8000 Level 5: No Limit |
| RBOB Futures | RB | RB | Level 1: 1500 Level 2: 3000 Level 3: 4500 Level 4: 6000 Level 5: No Limit |
Level 1: 2000 Level 2: 4000 Level 3: 6000 Level 4: 8000 Level 5: No Limit |
| E-mini Heating Oil Futures | QH | QH | Level 1: 1500 Level 2: 3000 Level 3: 4500 Level 4: 6000 Level 5: No Limit |
Level 1: 2000 Level 2: 4000 Level 3: 6000 Level 4: 8000 Level 5: No Limit |
| E-mini RBOB Gasoline Futures | QU | QU | Level 1: 1500 Level 2: 3000 Level 3: 4500 Level 4: 6000 Level 5: No Limit |
Level 1: 2000 Level 2: 4000 Level 3: 6000 Level 4: 8000 Level 5: No Limit |
| E-mini Crude Oil Futures | QM | QM | Level 1: 5000 Level 2: 10000 Level 3: 15000 Level 4: 20000 Level 5: No Limit |
Level 1: 6000 Level 2: 12000 Level 3: 18000 Level 4: 24000 Level 5: No Limit |
| Palladium Futures | PA | PA | Level 1: 6000 Level 2: 12000 Level 3: 18000 Level 4: 24000 Level 5: No Limit |
Level 1: 7500 Level 2: 15000 Level 3: 22500 Level 4: 30000 Level 5: No Limit |
The price band settings for every CME Globex product are defined in the CME Globex Product Reference.
These changes are currently available for customer testing in New Release.
These contracts are listed with, and subject to, the rules and regulations of NYMEX.
Effective this Sunday, February 25 (trade date Monday, February 26), the Circuit Breakers for Crude Oil Bullet futures will change as follows:
| Change to Circuit Breakers for Crude Oil Bullet Futures | ||||
|---|---|---|---|---|
| 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 |
| Crude Oil Bullet Futures | WS | WS | Level 1: 500 Level 2: 1000 Level 3: 1500 Level 4: 2000 Level 5: No Limit |
Level 1: 600 Level 2: 1200 Level 3: 1800 Level 4: 2400 Level 5: No Limit |
The price band settings for every CME Globex product are defined in the CME Globex Product Reference.
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 this Sunday, February 25 (trade date Monday, February 26), Bursa Malaysia Derivatives (BMD) will make changes to the following crude palm oil products:
| Changes to Bursa Malaysia Derivatives Berhad (BMD) Crude Palm Oil Products | ||||||
|---|---|---|---|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Current Listing Schedule | New Listing Schedule | Current Second Trading Session (Malaysia Time) | New Second Trading Session (Malaysia Time) |
| Crude Palm Oil Futures MYR |
FCPO | BC | Spot month and next 5 succeeding months. Thereafter alternate (odd) months up to 24 months ahead | Spot month and next 11 succeeding months. Thereafter alternate (odd) months up to 36 months ahead. | 1500 to 1800 | 1430 to 1800 |
| Crude Palm Oil Futures USD | FUPO | BA | Spot month and next 5 succeeding months. Thereafter alternate (odd) months up to 24 months ahead | No Change | ||
| Crude Palm Oil Options | OCPO | BP | Monthly (3rd to 6th) then alternate (odd) months going out 24 months of the FCPO contract. The first spot option contract month will be trading the 3rd month FCPO contract. | Monthly (3rd to 12th) then alternate (odd) months going out 36 months of the FCPO contract. The first spot option contract month will be trading the 3rd month FCPO contract. | ||
Please Note: The first trading session will remain unchanged at 1030 to 1230 Malaysia Time.
These contracts are currently available for customer testing in New Release.
Effective this Sunday, February 25 (trade date Monday, February 26), the external alias in MDP 3.0 tag 55-Symbol and iLink tag 107-SecurityDesc for the London Spot Gold and Silver futures will change to reflect the contract delivery date.
Please note: The contract delivery date will be two London business days after the last trading day, if this is not a banking day in New York, the delivery day shall be the next banking day in both London and New York.
| London Spot Gold and Silver Futures External Alias | ||||
|---|---|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Current MDP 3.0 tag 55-Symbol Value; iLink tag 107-SecurityDesc |
New MDP 3.0 tag 55-Symbol Value; iLink tag 107-SecurityDesc |
| London Spot Gold Futures | GSP | GL | 55=GSPF809 | 55=GSPF811 |
| London Spot Silver Futures | SSP | SL | 55=SSPF810 | 55=SSPF812 |
The instrument last trade date can be found by leveraging fix tags 865=7 (Last eligible trade date) and 1145-EventTime in the Security Definition message. As a reminder, CME Group does not recommend parsing the external instrument name to determine instrument characteristics.
With this change, the strategy type for the Gold Spot Spread and Silver Spot Spread will change from Reduced Tick (RT) to Reduced Tick Inter-Commodity Spread (RI).
| Intercommodity Spreads | ||||
|---|---|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Current Tag 762-SecuritySubType |
New Tag 762-SecuritySubType |
| Gold Spot Spread | GC | GL | RT (Reduced Tick) | RI (Reduced Tick Inter-Commodity Spread |
| Silver Spot Spread | SI | SL | RT (Reduced tick) | RI (Reduced Tick Inter-Commodity Spread |
These changes are currently available for customer testing in New Release.
Effective Sunday, March 11 (trade date Monday, March 12), the listing cycle for the following CPC Blend CIF Med Cargoes (Platts) vs. Dated Brent (Platts) futures will be expanded on CME Globex.
| Listing Cycle Expansion for CPC Blend CIF Med Cargoes (Platts) vs. Dated Brent (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 |
| CPC Blend CIF Med Cargoes (Platts) vs. Dated Brent (Platts) Futures | CPD | CC | Monthly contracts listed for 6 consecutive months | Monthly contracts listed for 12 consecutive months |
These futures will be available for customer testing in New Release on Monday, February 26.
These contracts are listed with, and subject to, the rules and regulations of NYMEX.
Effective Sunday, March 11 (trade date Monday, March 12), implied functionality will be enabled for the Inter-commodity Calendar Spread for Henry Hub Natural Gas futures vs Henry Hub Natural Gas Look-Alike Last-Day Financial futures. 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.
| Energy Futures Inter-commodity Calendar Spread Implied Functionality Support | |||
|---|---|---|---|
| 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 Futures vs Henry Hub Natural Gas Look-Alike Last-Day Financial Futures (NG:HH) | NG | NG | IP |
Implied-enabled instruments are identified in tag 872-InstAttrbValue, bit 19-Implied Matching Eligible =1 in the MDP 3.0 Security Definition message (tag 35-MsgType=d).
Implied functionality is currently available in the New Release environment for customer testing.
To gain a basic understanding about the CME Globex trading platform features and components, please view the CME Globex 101 video series, which is now available and contains the following topics:
Please direct any feedback about the quality and usefulness of the video to UserFeedback@cmegroup.com.