CME Globex Notices: January 14, 2019

Critical System Updates

Update Update - New Inline Credit Control Enhancements - Available

† Denotes update to the article

CME Group †is now offering In-Line Credit Control (ICC) product restrictions at the executing firm level, without requiring individual account registration or limits in production.

With this enhancement, authorized clearing firm administrators can use the Entity Risk Management service to:

• Restrict the ability for executing firms to submit trades on a selected product, including restricting a product for all subject execution firms.
• Remove non-zero limits for restricted products.

An executing firm’s New Order, Order Cancel/Replace Request, or New Order Cross messages on restricted products will be rejected with a Session Level – Reject (tag 35-MsgType=3).

Reject Reason	Tag 58-Text
Product Restriction Policy Violation	Pre-Trade Registration Violation: Account: <Account> limits not set by CMF for Product Code: <Product Code>

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

For additional information, see the Entity Risk Management Help.

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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Consolidated iLink Fill Messages - February 3

Starting Sunday, February 3 (trade date Monday, February 4), CME Group will launch consolidated iLink fill messages on CME Globex to reduce the number of iLink Execution Report - Fill messages. With this launch, CME Globex will consolidate Fill Execution Reports. Currently, when an aggressor order matches with multiple resting orders, CME Globex sends execution reports to the aggressor for each individual resting order.

The key client system impacts of consolidated iLink fill messages include:

• iLink Fill Behavior Change
• CME Group will not implement tag 9700-NumOrdersInMatchStep
• New repeating group for Fill Reason

All CME Group products will support Consolidated iLink Fill Messages, except the following products:

Product	MDP3.0 Security Definition message (tag 35-MsgType=d): tag 762- SecuritySubType
CBOT Treasury Invoice Swaps	IN
Invoice Swap Calendar Spread	SC
Invoice Swap Switch Spread	SW

Please review the Client Impact Assessment and view a brief explanatory video for additional information on Consolidated iLink Fill Messages.

Consolidated iLink Fill Messages Frequently Asked Questions (FAQ) is now available.

Consolidated iLink Fill Messages Timeline
Market Segment ID	Market Segment Description	New Release Launch	Production Launch
50 68	CME Eurodollar Options CBOT and CME Equity Futures excluding E-mini S&P	Available	Sunday, February 3, 2019
Market Segment ID	Market Segment Description	New Release Launch	Production Launch
54 64 72	CBOT and CME Equity Options CME E-mini S&P 500 Futures CBOT Commodity Futures	Available	Sunday, February 24, 2019
Market Segment ID	Market Segment Description	New Release Launch	Production Launch
52 60 70 82 88	CME Globex FX Futures and Options II CBOT and CME Commodity Options CME Commodity Futures CME Eurodollar Futures CME Globex FX Futures and Options	Available	Sunday, March 3, 2019
56 58 74 76 78 80 84	NYMEX and COMEX Options CBOT Treasury Options BMD Futures and Options; NYMEX SEF NYMEX and COMEX Metals and Alternative Market Futures NYMEX Non-Crude Energy Futures NYMEX Crude Energy Futures CBOT Treasury Futures	Available	Sunday, March 10, 2019

CME Group will offer the iLink mock trading session on Saturday, February 2, this mock trading session will offer customers the opportunity to interact with the system and experience the new consolidated iLink fill messages in the CME Globex production environment. Customers are required to register in advance in order to participate in this mock trading session.  The mock trading session script is now available.

Certification is not required for Consolidated iLink Fill Messages.

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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iLink Convenience Gateways Behavior Harmonization - February 10

To simplify the iLink session behavior, effective Sunday, February 10 (trade date Monday, February 11), all Convenience Gateway (CGW) iLink sessions will move to MSGW-style Session Connection and Resend Request. The following CGW features will as a result match the MSGW current state.

Please note that certification is required for all CGW customer systems via AutoCert+ by end of day Friday, February 8, for continued access to the production environment. Customer systems that trigger port closures due to resend requests or other issues will not be allowed to reopen ports and access the market until certification is complete.

iLink Convenience Gateways Behavior Harmonizations
Functionality	Current Behavior	New Behavior	Certification Required
Duplicate Session Connection Attempts	Accepted, then disconnected	Ignored	No
Resend behavior from CME Globex to Client System	No real-time messages are published until the customer’s resend request is satisfied	Real-time messages will be interleaved with resend responses CGW customers must be able to receive out-of-sequence during a resend response without triggering another resend request	Yes Please Note - A new CGW Resend Request certification test is currently available in Autocert+. Certification via AutoCert+ is mandatory for all iLink CGW customers.

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

Drop Copy is not impacted by this 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.

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Update Update - SenderSubID Validation on iLink Messages - March 31

† Denotes update to the article

Pending all relevant CFTC regulatory review periods, effective Sunday, March 31, CME Globex will validate iLink FIX tag 50-SenderSubID on all iLink messages.

All Tag 50 IDs must meet the following criteria:

• at least 2 bytes (characters) in length
• include alpha †and/or numeric characters
• may include only the following non-alpha numeric characters
  • _ underscore
  • - dash
  • : colon
  • @ (commercial) at
  • . period

Any iLink message submitted with an invalid  tag 50 value 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
Invalid length	Business Reject: Other '50 (SENDER_SUB_ID) length: 1 min: 2'
Invalid character	tag SenderSubID (50) can contain only alphanumeric values

This validation is now available for customer testing in New Release.

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New Functionality

3-Month SOFR Futures Exchange-Defined Spread   - March 10

Effective Sunday, March 10 (trade date Monday, March 11), a new exchange-defined Averaged Price Bundle futures spread (FIX tag 762-SecuritySubType=AB) for the 3 Month SOFR futures will launch on CME Globex. The AB spread type will allow customers to trade the 3 Month SOFR quarterly futures contracts with leg price sensitivity to the underlying market.

Averaged Price Bundle Futures Spread – 3 Month SOFR Futures
Product Name	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0: tag 1151 - Security Group	762-SecuritySubType
3 Month SOFR Futures	SR3	SS	AB

This strategy is available as a futures Exchange-Defined Spread only.

Averaged Price Bundle spread has:

• One product
• Minimum of four legs
• Maximum of 40 legs
• Expiration of all the legs must be consecutive quarterly outright futures
• Quantity/side ratio +1:+1:+1:+1:…+1

Example:

• Instrument Symbol = SR3: AB
• Leg1 fair market price = xxxx
• Leg2 fair market price = xxxx
• Leg3 fair market price = xxxx
• Leg4 fair market price = xxxx

Please Note:The fair market price can be either the most recent available prices from outright markets; trade, best bid/best offer, or Indicative Opening Price.

Pricing:

• The Averaged Price Bundle spread trade price is = (Leg1+Leg2+…LegN)/total number of legs
• Leg price assignment:
  • Any fair market eligible .25 tick legs are rounded up to .50 tick
  • The difference between the total spread trade price (multiplying the trade price by the number of legs) and the sum of the spread fair market price is calculated:
    • [(Trade price * number of legs) – (Sum of the legs’ fair market price)]
  • The average differential from step 2 is applied to each leg’s fair market price
    • Legs may be adjusted to equal spread trade price
• Any adjustment of the outright leg prices due to remainder will be assigned according to the Averaged Price Bundle leg pricing assignment rules.  The remainder will be applied in .50 increments starting with most deferred leg.

Pricing Example – Equal Distribution:

Averaged Price Bundle trades at 9705.0

• Leg1 fair market price = 9706.5
• Leg2 fair market price = 9705.5
• Leg3 fair market price = 9703.5
• Leg4 fair market price = 9702.5
• Total spread trade price – Sum of fair market price
  • 38820.0000 – 38818.0000 = 2
• Apply average differential to each leg:
  • Leg1 = 9707.0
  • Leg2 = 9706.0
  • Leg3 = 9704.0
  • Leg4 = 9703.0

Pricing Example – Unequal Distribution:

Averaged Price Bundle trades at 9700.0

• Leg1 fair market price = 9706.0
• Leg2 fair market price = 9705.5
• Leg3 fair market price = 9703.5
• Leg4 fair market price = 9702.5
• Total spread trade price – Sum of fair market price
  • 38800.0 – 38817.5 = -17.5
• Averaged Price Bundle remainder leg pricing assignment rules applied
• Apply average differential to each leg
• Apply remainder starting with most deferred leg
• The legs are adjusted as follows:
  • Leg1 = 9702.0
  • Leg2 = 9701.0
  • Leg3 = 9699.0
  • Leg4 = 9698.0

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

The spread will be available for customer testing in New Release on Monday, February 4.

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iLink Enhancement for End-to-End Note Field - March 31

Effective Sunday, March 31 (trade date Monday, April 1), in response to customer requests, iLink order entry will launch a new FIX tag 5149-Memo. This new tag will allow customers to submit a free-form Note with orders to help facilitate with end-of-day trade reconciliation between trading and clearing firms.

When tag 5149-Memo is submitted on the iLink inbound messages, it will be returned on all associated iLink outbound messages. iLink tag 5149-Memo values will be passed through to Drop Copy and CME STP.

The new iLink tag 5149 can be submitted on the following messages:

• New Order (tag 35-MsgType=D)
• Order Cancel/Replace Request (tag 35-MsgType=G)
• Order Cancel Request (tag 35-MsgType=F)
• Order Mass Action Request (tag 35-MsgType=CA)
• Quote Request (tag 35-MsgType=R)
• Security Definition Request (tag 35-MsgType=c)
• New Order Cross (tag 35-MsgType=s)
  • For Request for Cross (“RFC”) order, customers can submit tag 5149 on each buy and sell repeating group. Each acknowledgment and execution report for the buy and the sell orders will contain the corresponding tag 5149 value from the correct buy and sell repeating group.
• Mass Quote (tag 35-MsgType=i)
• Quote Cancel (tag 35-MsgType=Z)

Tag 5149 will be returned on the following iLink messages only when it is sent on the originating message:

• Execution Report: Order Creation or Modify (tag 35-MsgType=8, OrdStatus=0 or 5)
• Execution Report: Order Cancel (tag 35-MsgType=8, OrdStatus=4)
• Execution Report: Fill Notice (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2)
• Execution Report: Order Elimination (tag 35-MsgType=8, tag 39-OrdStatus=4 or C)
• Execution Report: Reject (tag 35-MsgType=8, tag 39-OrdStatus=8)
• Execution Report: Trade Cancel (tag 35-MsgType=8, tag 39-OrdStatus=H)
• Order Cancel and Order Cancel/Replace Reject (tag 35-MsgType=9)
• Order Mass Action Report (tag 35-MsgType=BZ)
• Quote Acknowledgment (tag 35-MsgType=b)
• Quote Cancel Acknowledgment (tag 35-MsgType=b, tag 297-QuoteAckStatus=1, 3, 4 or 5)
• Security Definition (tag 35-MsgType=d)
• Business Level Reject (tag 35-MsgType=j)

tag 5149-Memo
Tag	FIX Name	Req	Valid Values	Format	Description
5149	Memo	N	--	String (75)	Allows users to submit a free-form Note tag with a customer order and persists from order entry through clearing

If tag 5149-Memo value on inbound messages exceeds the max length of 75 bytes, iLink will return a truncated 75 bytes from the right on the response.

Certification is not required for iLink and Drop Copy customers who wish to use the new tag 5149.

Tag 5149-Memo is currently available in New Release for customer testing.

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Update Update - iLink Enhancement for Clearing Instructions - March 31

† Denotes update to the article

Effective Sunday, March 31 (trade date Monday, April 1), iLink order entry will support new FIX tags to instruct CME Clearing House to clear CME Globex trades in a particular way. Currently, special characters in tag 1-Account are used to signal post-trade instructions. With this launch, the following new FIX tags will be used for post-trade clearing instructions on customer orders:

• Tag 819-AvgPxIndicator and tag 1731-AvgPxGroupID will be added to iLink messages to allow customers to group their trades so that they can be calculated and processed as average price trades for Clearing.
  • Set tag 819=1 and provide tag 1731-AvgPxGroupID values to group trades based on account number.
• Tag 1598 - ClearingTradePriceType will be added to iLink messages to indicate whether the front month leg of the Single Line Entry Differential Spreads (SLEDS) should clear at the market price where they were matched or to clear at the prior day’s settlement price

Please note: Both new clearing instruction tag and special character in tag 1-Account will be supported until further notice.  If both tags are submitted, new clearing instruction tag will take precedence.

When these new tags are submitted on the iLink inbound messages, it will be returned on all associated iLink outbound messages.

Drop Copy will also support these new tags at launch.

These new tags can be submitted on the following messages:

• New Order (tag 35-MsgType=D)
• Order Cancel/Replace Request (tag 35-MsgType=G)
• New Order Cross (tag 35-MsgType=s)
  • †For Request for Cross (“RFC”) order, customers can submit tag 819, tag 1731, and tag 1598 on each buy and sell repeating group. Each acknowledgment and execution report for the buy and the sell orders will contain the corresponding tag values from the correct buy and sell repeating group.
• Mass Quote (tag 35-MsgType=i)

These new tags will be returned on the following iLink messages only when it is sent on the originating message:

• Execution Report: Order Creation or Modify (tag 35-MsgType=8, OrdStatus=0 or 5)
• Execution Report: Order Cancel (tag 35-MsgType=8, OrdStatus=4)
• Execution Report: Fill Notice (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2)
• Execution Report: Order Elimination (tag 35-MsgType=8, tag 39-OrdStatus=4 or C)
• Execution Report: Reject (tag 35-MsgType=8, tag 39-OrdStatus=8)
• Execution Report: Trade Cancel (tag 35-MsgType=8, tag 39-OrdStatus=H)
• Quote Acknowledgment (tag 35-MsgType=b)

Clearing Instruction
Tag	FIX Name	Req	Valid Values	Format	Description
819	AvgPXIndicator	N	0 – No Average Pricing (Default) 1 – Trade is part of an Average Price Group Identified by the AvgPxGroupID 3 - Notional Value Average Pricing with Average Price Group Identified by the AvgPxGroupID	String (3)	Indicates if the resulting trade is to be average priced or not. This tag is also used to indicate type of average price grouping.
1731	AvgPxGroupID	N	--	String (20)	Used to identify account numbers or orders for grouping trades together for average price calculations. If incoming value is greater than max length, iLink will return the right most twenty bytes.
1598	ClearingTrade PriceType	N	0 – Trade Clearing at Execution Price 1 – Trade Clearing at Alternate Clearing Price	String (1)	Indicates whether spread differential trade is clearing at execution price (Tag 31-LastPx) or alternate clearing price (i.e. previous day’s settlement price).

Certification is not required for iLink and Drop Copy customers who wish to use these new tags.

The new clearing instruction tags are currently available in New Release for customer testing.

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Product Launches

New New - FX Link Spreads for Swiss Franc and New Zealand Dollar New Release Availability  - January 21

On Monday, January 21, two new CME FX Link spreads will be available for customer testing in New Release. The effective date is forthcoming, pending all relevant CFTC regulatory review periods and pursuant to the CFTC’s process and timeline.

The Spot FX basis spreads will be offered between OTC Spot FX and CME FX futures for the following currency pairs.

Spread Name	Inverted/ Non-Inverted	MDP 3.0 tag 6937-Asset	iLink tag 55-Symbol MDP3.0 tag 1151-SecurityGroup	MDP3.0 tag 762-SecuritySub  Type	MDP 3.0 Channel
US Dollar/Swiss Franc Spot FX Basis Spread	Inverted	USDCHF	6S	YF	314
New Zealand Dollar/US Dollar Spot FX Basis Spread	Non-Inverted	NZDUSD	6F	XF	320

FX Spot Leg CME Globex Tag Summary

The following table is an overview of the iLink and MDP3 tags associated with the OTC FX Spot leg.

Spread Name	MDP 3.0 tag 6937-Asset	iLink tag 55-Symbol MDP3.0 tag 1151-SecurityGroup	MDP 3.0 tag 969-MinPrice Increment	MDP 3.0 Channel
US Dollar/Swiss Franc Spot FX	USDCHF	01 (Zero-1)	1	314
New Zealand Dollar/US Dollar Spot FX	NZDUSD	02 (Zero-2)	1	320

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

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UpdateUpdate - BTICs on Nikkei Futures - January 27

† Denotes update to the article

Effective Sunday, January 27 (trade date Monday, January 28), pending completion of all regulatory review periods, BTIC’s on the Nikkei/USD futures and Nikkei/Yen futures products will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Customers trading BTIC on Nikkei futures using the same session to trade multiple products should be prepared to:

• manage Fill Notice Execution Reports with different trade dates
• ensure correct trade date is selected in any User Interface (UIs), including CME Direct and CME FirmSoft

CME Group recommends customers thoroughly test this behavior in New Release.

BTICs on Nikkei Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
BTIC on the Nikkei/USD Futures	NKT	ND	318
BTIC on the Nikkei/Yen Futures	NIT	N6	318

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

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

BTIC on Nikkei futures Trading Hours

Sunday – Friday as follows:

• Sunday Pre-Open 4:00 pm Central Time (CT)
• Trading starts on Sunday at 5:00 pm (CT) and stops on Monday at 12:00 am CT/1:00 am Central Daylight Time CDT (3:00 pm Japan Standard Time JST)
• Monday – Friday trading stops and market close at 12:00 am CT/1:00 am CDT (3:00 pm JST), ALL day orders eliminated
• †Monday – Thursday Pre-Open 10:30 am (CT)
• Monday – Thursday trades from 11:00 am (CT) – 12:00 am CT/1:00 am CDT (3:00 pm JST), next business day
• Monday – Thursday Market Halt occurs at 4:00 pm – 5:00 pm (CT) - CME Globex Maintenance Period NO day orders eliminated
• Monday – Thursday Pre-Open 4:45 pm (CT)
• Monday – Thursday trades from 5:00 pm (CT) –  12:00 am CT/1:00 am CDT (3:00 pm JST) next business day
• No trading allowed after 12:00 am CT/1:00 am CDT (3:00 pm JST) on Friday, ALL day orders eliminated

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Product Changes

New New - Change to Strike Price Listing rule for Euro/British Pound Sterling (EUR/GBP) Options - January 27

Effective Sunday, January 27 (trade date Monday, January 28), the strike price listing rule will be changed for Euro/British Pound Sterling (EUR/GBP) otions as follows:

Strike Price Increment for Euro/British Pound Sterling (EUR/GBP) Options
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current	New
Euro/British Pound Sterling (EUR/GBP) Options	RP	8E	ATM ± 24 Strikes in 0.0025 increments	ATM ± 8 Strikes in 0.0025 increments plus an additional 10 strikes in 0.0050 increments for nearest Quarterly/Serial month   ATM ± 10 Strikes in 0.0050 increments plus an additional 10 strikes in 0.0100 increments for all other months
Euro/British Pound Sterling (EUR/GBP) Weekly Options	1E – 5E	8E	ATM ± 24 Strikes in 0.0025 increments	ATM ± 8 Strikes in 0.0025 increments plus an additional 10 strikes in 0.0050 increments

These options will be available for customer testing in New Release on Monday, January 21.

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Listing Cycle Expansion for Nikkei Futures - January 27

Effective Sunday, January 27 (trade date Monday, January 28), the listing cycle for the Nikkei/USD futures and Nikkei/Yen futures will be expanded as follows:

Listing Cycle Expansion for Nikkei 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
Nikkei/USD Futures	NKD	NK	Four nearest quarterly March cycle	12 Quarterlies, and 3 additional December contract months
Nikkei/Yen Futures	NIY	N1	Twelve months in March Quarterly Cycle and 3 serials	Three Serial Months, 12 Quarterlies, and 3 additional December contract months

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.

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CME FX Option Changes  - June 9

Effective with the listing of the September 2019 quarterly options, these CME FX options will reflect the following changes:

• Expiration time will be 9:00 am Central Time (CT). Currently, these options expire at 2:00 pm CT.
• Exercise will use the 9:00 am CT fixing price instead of the 2:00 pm fixing price.

These changes will be in effect for all option instruments that expire after Sunday, June 9, 2019. Currently listed instruments, and any instruments that expire before June 9, 2019, will continue to use the 2:00 pm expiration and 2:00 pm fixing price for exercise.

Additional information on these changes including a two minute overview video can be found at cmegroup.com/10am.

The instrument last trade date and time can be found by leveraging FIX tags 865=7 (Last eligible trade date) and 1145-EventTime in the Security Definition (tag 35-MsgType=d) message.

The Fixing Price data blocks are sent in the MDP 3.0 Market Data Incremental Refresh (tag 35-MsgType=X) with the following attributes:

• Tag 279- MDUpdateAction=0 (New)
• Tag 269-MDEntryType=W (Fixing Price)
• Tag 270-MDEntryPX = Price of the MD Entry (This value will contain the fixing price).
• Tag 5796-Trading Reference will display the date for which the fixing price was calculated.

This change is 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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Events and Announcements

New New - Suspension of Connectivity Requests to NTT Ikebukuro POP in Tokyo

CME Group is currently evaluating the retention of CME Group’s Point of Presence (POP) at the NTT Ikebukuro Data Center in Tokyo. During this evaluation period, CME Group is suspending acceptance of any CME Globex Hub connectivity requests to this data center. We expect to complete and communicate the outcome of our POP evaluation for the (NTT) Ikebukuro Data Center in the Q2 2019 timeframe.

Current CME Globex Hub connectivity offered at our Point of Presence in the @Tokyo Data Center in Tokyo allows customers to connect to both CME Group A and B market data feeds. This POP will remain in place and CME Group will continue to accept connectivity requests to the @Tokyo Data Center.

Contact Global Account Management with any questions or concerns:

U.S.: +1 312 634 8700
Europe:+44 20 3379 3754
Asia: +65 6593 5505

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