• CME Globex Notices: July 9, 2018

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions & Services (GMSS)
      • #
      • 20180709
      • Notice Date
      • 12 July 2018
    • Critical System Updates

      UpdateUpdate - Price Precision Extension - 2018

      † Denotes update to the article

      CME Group is implementing end-to-end technology changes to support increased price granularity. Currently, CME Group systems support a maximum of 7 decimals. With this initiative, products with up to 9 decimals may be listed and traded. On Sunday, January 13, 2019 (trade date Monday, January 14), pending regulatory approval, the 2-Year Treasury Note futures, all 2-Year Treasury Future Spreads (including Calendar Spreads, Tail Spreads and Inter-Commodity Spreads with a 2-Year Treasury Future) along with the futures portion of covered options UDS, will move from 7 decimals to 8 to support trading at 1/8 of 1/32.

      Customers are encouraged to move to support 9 decimals now; but there are no plans to list a product that uses the 9th decimal at this time.

      With this release, customer certification will be required for MDP 3.0 and Streamlined SBE.  The new Market Data templates are currently available in New Release and the AutoCert+ test suite is now available for certification.

      Starting Sunday, August 12, the price precision extension rollout will begin with MDP 3.0 in production over several weekends.

      On Sunday, November 4, a production test instrument for the 2-Year Treasury Note futures will be launched on CME Globex. This new test instrument will give customers the ability to confirm system readiness for the introduction of 8-digit decimal price precision. Upon the launch of this test instrument, clients whose systems are not yet prepared to handle 8 decimal precision must ensure their systems have the ability to ignore market data and iLink/Drop Copy execution reports on this new instrument.

      Price Precision Timeline:

       

       

      Customer Mock Trading Sessions

      To ensure customers can process the market data, CME Group will offer three customer mock trading sessions prior to each schema rollout group and Globex test instrument launch. Select the dates below to view the respective test scripts:

      Customers are required to register and join the conference bridge line to participate in the mock trading sessions.

      For complete impacts, rollout information and dates, please refer to Key Events and Dates in the Client Impact Assessment.

      The Client Impact Assessment includes additional information on the following:

      • CME Globex iLink
      • CME Globex MDP3 and Mandatory Certification
      • Streamlined MDP and Mandatory Certification
      • ITC
      • CME Globex Drop Copy
      • Referential Data
      • Production Globex Test Instrument

      Please watch the Price Precision Extension Technology Webinar for a technical impact overview.

      These changes are currently available in New Release for customer testing. The 2-Year Treasury Note futures are available in New Release with 1/8 of 1/32 tick.

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      New Functionality

      Globex MDP3 SBE Schema Update - August 12

      Starting Sunday, August 12, in conjunction with the price precision initiative, CME Group will update the schema for all Globex MDP3 SBE market data channels.  Please view the rollout schedule. This release will not support template extension, however the order of the fields will be preserved in the new templates.  Please review an overview of changes

      The new version 9 schema is currently available New Release for customer testing. 

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      NewNew - Implied Functionality for Options on Futures - August 12

      Starting Sunday, August 12 (trade date Monday, August 13), implied functionality will be enabled for eligible options markets on CME Globex.

      • Sunday, August 12 – eligible products on Market Segment 56
      • Sunday, August 26 – eligible products on all other options Market Segments

      Implied options functionality is designed to provide the best possible price discovery by providing liquidity across markets.

      Implied eligible instruments are identified in the MDP 3.0 Security Definition (tag 35-MsgType=d), in repeating group tag 871-InstAttribType, tag 872-InstAttribValue=19.

      Implied functionality for all eligible options markets will be enabled in New Release for customer testing this Monday, July 16.

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      Streamlined MDP SBE Schema Update - August 26

      Starting Sunday, August 26, in conjunction with the price precision initiative, CME Group will update the schema for streamlined SBE market data channels to support schema version 9 to ensure consistency between market data channels.  Please view the rollout schedule.  This release will not support template extension; however, the order of the fields will be preserved in the new templates. Please review an overview of changes

      The new version 9 schema is currently available is currently available in New Release for customer testing New Release public FTP

      Please Note: The schema update timeline for Streamlined Equity Indices and CME CF Cryptocurrency Pricing channels will be announced at a later date.

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      Product Launches

      Gold TAS and Silver TAS Spreads - This Week

      Effective this Sunday, July 15 (trade date Monday, July 16), the CME Group will add Gold TAS and Silver TAS spreads for the first 2 TAS months on CME Globex.

      Gold TAS and Silver TAS
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Tag 762- SecuritySubType
      Gold TAS GCT TG EC – TAS Calendar Spreads
      Silver TAS SIT MT EC – TAS Calendar Spreads

      The spreads are currently available for customer testing in New Release.

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

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      Options on Black Sea Wheat and Black Sea Corn  - This Week

      Effective this Sunday, July 15 (trade date Monday, July 16), the following Agricultural options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Options on Black Sea Wheat and Black Sea Corn
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Market Data Channel
      Options on Black Sea Wheat Financially Settled (Platts) Futures            BWO W2 341
      Options on Black Sea Corn Financially Settled (Platts) Futures BSO CG 341

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

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

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      California Low Carbon Fuel Standard (PRIMA) Futures  - This Week

      Effective this Sunday, July 15 (trade date Monday, July 16), California Low Carbon Fuel Standard (PRIMA) futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort. With this launch, a new unit of measure (tag 996-UnitOfMeasure=ENVCRD) Environmental Credit will be introduced.  The unit of measure can be found in the MDP 3.0 Security Definition message.

      California Low Carbon Fuel Standard (PRIMA) Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Market Data Channel tag 996-UnitOfMeasure
      California Low Carbon Fuel Standard (PRIMA) Futures LCF VX 380 ENVCRD

      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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      Asia LPG and Naphtha Spread Futures  - July 29

      Effective Sunday, July 29 (trade date Monday, July 30), the Asia LPG and Naphtha spread futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Asia LPG and Naphtha Spread Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Market Data Channel
      Argus Propane Far East Index vs. Japan C&F Naphtha (Platts) Futures 3NA ZZ 386
      Argus Propane Far East Index vs. Japan C&F Naphtha (Platts) BALMO Futures 3NB ZZ 386

      These futures will be available for customer testing in New Release on Monday, July 16.

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

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      Propane OPIS vs Argus Spread Futures  - July 29

      Effective Sunday, July 29 (trade date Monday, July 30), the Propane OPIS vs Argus Spread futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Propane OPIS vs Argus Spread Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Market Data Channel
      Mont Belvieu LDH Propane (OPIS) vs. Argus Propane Far East Index Futures

       

      PMF

       

      JR

       

      386

       

      Mont Belvieu Non-LDH Propane (OPIS) vs. Argus Propane Far East Index Futures

      PNF

       

      JR

       

      386

       

      These futures will be available for customer testing in New Release on Monday, July 16.

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

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      New New - North American Crude Grade Spreads - July 29

      Effective Sunday, July 29 (trade date Monday, July 30), the North American Crude Grade spreads will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      North American Crude Grade Spreads
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Market Data Channel
      WTI Houston (Argus) vs. Dubai (Platts) Trade Month Futures WHD CC 382
      WTI Houston (Argus) vs. Dubai (Platts) Calendar Month Futures WDB CC 382
      WTI Houston (Argus) vs. Brent Trade Month Futures WHB CC 382
      WTI Houston (Argus) vs. Brent Calendar Month Futures WBR CC 382
      WTI Midland (Argus) vs. Brent Trade Month Futures WMB CC 382
      WTI Midland (Argus) vs. Brent Calendar Month Futures WMR CC 382
      WTI Midland (Argus) vs. Dubai (Platts) Trade Month Futures WMD CC 382
      WTI Midland (Argus) vs. Dubai (Platts) Calendar Month Futures WTD CC 382
      Mars (Argus) vs. Dubai (Platts) Trade Month Futures MDR CC 382
      Mars (Argus) vs. Dubai (Platts) Calendar Month Futures MDM CC 382
      Mars (Argus) vs. Brent Trade Month Futures MBM CC 382
      Mars (Argus) vs. Brent Calendar Month Futures MAB CC 382

      These futures will be available for customer testing in New Release on Monday, July 16.

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

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      UpdateUpdate - Eris Swap Futures on Globex - December 2

      † Denotes update to the article

      Effective Sunday, December 2 (trade date Monday, December 3), pending regulatory approval, CME Group will list Eris Swap Futures on the CBOT designated contract market (DCM) for trading on CME Globex. Eris swap futures Block Trade transactions can also be submitted via CME Direct or CME ClearPort.

      The Eris Swap futures will function similarly and trade alongside the MAC Swap Futures, bringing together the two leading interest rate swap futures on a single exchange venue.

      Eris  Swap futures will be listed for quarterly IMM starting contracts, with fixed MAC coupons, and underlying tenors of 2, 3, 4, 5, 7, 10, 12, 15, 20, and 30-years.

      The Client Impact Assessment includes information on the following:

      • Order Entry Considerations
        • Pricing conventions
        • Trading Eligibility
      • Market Data Considerations
        • Market Data Channels
        • Product Specifications
          • Eris Swap Futures Security Type
          • Eris Swap Futures Product Code
          • Standard Calendar Spreads (SP)
          • Changing Minimum Price Increment
          • Contract Month Convention
        • Eris Swap Futures Market Data through CME DataMine.
        • Risk Management Services

      These futures will be made available in New Release for customer testing on Monday, October 1.

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      Product Changes

      Change to Maximum Order Quantity for Various Agricultural Options - This Week

      Effective this Sunday, July 15 (for trade date Monday, July 16), the maximum order quantity will be increased for the following Agricultural options:

      Change to Maximum Order Quantity for Various Agricultural Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current
      tag 1140-MaxTradeVol
      New
      tag 1140-MaxTradeVol
      Corn Options OZC OC 1,000 3,000
      Corn Weekly Options ZC1-ZC5 OC 1000 3,000
      Soybean Options OZS SQ 1,000 3,000
      Soybean Weekly Options ZS1-ZS5 SQ 1,000 3,000
      Soybean Meal Options OZM ML 1,000 3,000
      Soybean Meal Weekly Options ZM1-ZM5 ML 1,000 3,000
      Soybean Oil Options OZL 0O 1,000 3,000
      Soybean Oil Weekly Options ZL1-ZL5 0O 1,000 3,000
      Chicago SRW Wheat Options OZW OW 1,000 3,000
      Chicago SRW Wheat Weekly Options ZW1-ZW5 OW 1,000 3,000
      KC HRW Wheat Options OKE OK 1,000 3,000
      KC HRW Wheat Weekly Options OE1-OE5 OK 1,000 3,000
      Feeder Cattle Options GF F0 500 1,000
      Lean Hog Options HE 0H 500 1,000
      Live Cattle Options LE L0 500 1,000
      Cash-settled Butter Options CB C0 100 250
      Cash-settled Cheese Options CSC CQ 100 250
      Dry Whey Options DY Y0 100 250
      Non-fat Dry Milk Options GNF N7 100 250

      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 and CBOT.

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      Changes to Circuit Breakers for Brent Last Day Financial Futures - This Week

      Effective this Sunday, July 15 (trade date Monday, July 16), circuit breakers values will be modified for Brent Last Day Financial futures.

      Changes to Circuit Breakers for Brent Last Day Financial Futures 
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current Circuit Breaker Settings New Circuit Breaker Settings
      Brent Last Day Financial Futures BZ OP Level 1: 500 Level 1: 700
      Level 2: 1000 Level 2: 1400
      Level 3: 1500 Level 3: 2100
      Level 4: 2000 Level 4: 2800
      Level 5: No Limit Level 5: No Limit

      This change is currently available for customer testing in New Release.

      This product is listed with, and subject to, the rules and regulations of NYMEX.

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      Change to Maximum Order Quantity and TOP Order Allocation Maximum for Corn and Soybean Futures  - Starting July 29

      Starting Sunday, July 29 (for trade date Monday, July 30), through Friday, November 30, based on market participant feedback, CME Group will introduce a pilot program to amend the maximum order quantity and the TOP order allocation maximum for calendar spreads on Corn and Soybean futures.  During the pilot program, these calendar spread markets will be monitored and evaluated to determine if the changes will remain in place or will be adjusted. The program is subject to early termination at the discretion of the Exchange and any changes to the program will be communicated via the Globex notice.

      Changeto Maximum Order Quantity and TOP Order Allocation Maximum for Corn Futures and Soybean Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current
      Maximum Order Quantity
      New
      Maximum Order Quantity
      Current
      TOP Order Allocation Maximum
      New
      TOP Order Allocation Maximum
      Corn Futures ZC ZC 2500 10000 100 1000
      Soybean Futures ZS ZS 2500 10000 100 1000

      The pilot will be available for customer testing in New Release on Monday, July 16.

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

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      Changes to CME FX Futures and Options Circuit Breaker Rules  - July 29

      Effective Sunday, July 29 (for trade date Monday, July 30), pending all relevant CFTC regulatory review periods, the circuit breaker rules for CME FX futures and options will be changed as follows:

      • there shall be no price limits in the expiring primary FX futures contract only; and
      • any non-expiring contract months of the primary FX futures contract or any contract months of any associated products of the primary FX futures contract shall have price fluctuation limits

      For additional information, please refer to Special Executive Report S-8168.

      The circuit breaker settings for all CME Globex products are defined in the CME Globex Product Reference.

      These futures will be available for customer testing in New Release on Monday, July 16.

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

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      Change to Minimum Price Increment for U.S. Midwest #1 Busheling Ferrous Scrap (AMM) Futures: Resting Order Eliminations - July 29

      Effective Sunday, July 29 (trade date Monday, July 30), the minimum price increment tag 969-MinPriceIncrement will be changed for the following.

      U.S. Midwest #1 Busheling Ferrous Scrap (AMM) 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
      To facilitate the change, customers are asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders after the close on July 27. After 16:00 CT on July 27 all remaining GT orders for this future will be cancelled or deleted by the CME Global Command Center (GCC).
      U.S. Midwest #1 Busheling Ferrous Scrap (AMM) Futures

       

      BUS ST 1 100

      This change will be available for customer testing in New Release on Monday, July 16.

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

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      NewNew - Change to Maximum Order Quantity for Calendar Spreads on Certain Treasury Futures - July 29

      Effective Sunday, July 29 (trade date Monday, July 30), the maximum order quantity for the following calendar spreads on Treasury futures will be changed as follows:

      Change to Maximum Order Quantity for Calendar Spreads on Certain Treasury Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current
      tag 1140-MaxTradeVol
      New
      tag 1140-MaxTradeVol
      2-Year T-Note Futures Calendar Spreads ZT ZT 29,999 49,999
      5-Year T-Note Futures Calendar Spreads ZF ZF 29,999 49,999
      10-Year T-Note Futures Calendar Spreads ZN ZN 29,999 49,999

      This change will be made available for customer testing in New Release on Monday, July 16.

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

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      NewNew - Change to E-mini S&P 500 BTIC Instrument Daily Settlement Calculation Time - July 29

      Effective Sunday, July 29 (trade date Monday, July 30), the settlement calculation time for the E-mini S&P 500 futures BTIC (EST) instruments will change from between 2:59:30 - 3:00:00pm CT to between 2:15:00 - 2:45:00pm CT based on trades published on Globex and will be settled at the Volume Weighted Average Price (VWAP) settlement methodology. For modified trading days, the sampling period shall be the corresponding half-hour period in relation to the cash market close (MOC) order cut-off. For example, if cash market stops at 12:00 noon CT, the corresponding sampling period shall be 11:15:00-11:45:00am CT.

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

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      Events and Announcements

      10Gbps Offering  - October 1

      To allow for greater than 1Gbps connectivity for market data distribution, CME Group now offers a 10Gbps fiber interface for CME LNet, EConnect, EConnect Secaucus and Globex Hub customers.  Interested customers can now order the 10Gbps fiber interface from CME Group.  By Monday, October 1, CME Group expects the bandwidth for the full market data feed to exceed 1Gbps and will modify traffic shaping to 2Gbps. For those customers that order the 10Gbps fiber interface, 1Gbps pricing will be in effect until Monday, October 1, when customers will be charged for 10Gbps as reflected in the chart below.

      Offering 1Gbps Monthly  Customer Fee 10Gbps Monthly Customer Fee
      CME LNet $8,000 $12,000
      CME EConnect $4,000 $6,000
      CME EConnect Secaucus $4,000 $6,000
      CME Globex Hubs $1,000 $2,000

      All CME LNet, EConnect, EConnect Secaucus and Globex Hub customers should review their existing market data subscriptions and determine which option they will use based on their bandwidth needs. 

      Options to consider:

      • Limit market data subscriptions to 1Gbps of bandwidth
      • Choose to have multiple 1Gbps connections (additional monthly fee)
      • Upgrade to a 10Gbps interface (new monthly fee)   
      • License space in CME Group Colocation Facility          

      Key Dates:

      • June 1, 2018 –  CME Group began accepting 10Gbps fiber interface orders for CME LNet, EConnect, EConnect Secaucus and Globex Hubs
      • October 1, 2018 – CME Group will modify traffic shaping to 2Gbps and the regular fees for the 10Gbps interface offering will go into effect

      Additional Resources:

      For more information on the 10Gbps offering, please contact your Global Account Manager.

      Global Account Management
      U.S.: +1 312 634 8700 gam@cmegroup.com
      Europe: +44 20 3379 3754 gamemea@cmegroup.com
      Asia: +65 6593 5505 gamasia@cmegroup.com

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