• CME Globex Notices: January 28, 2019

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Markets Solutions and Services (GMSS)
      • #
      • 20190128a
      • Notice Date
      • 31 January 2019
    • Topics in this issue include:

    • For the latest roadmap of CME Group technology initiatives:
      See the Development Launch Schedule.

      Critical System Updates

      Consolidated iLink Fill Messages - Starting This Week

      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.

      As a result of fewer consolidated fill execution reports being disseminated, MDP 3.0 Trade Summary Messages (tag 35-MsgType=X, tag 269-MDEntryType=2) will be published up to 80 microseconds faster than today, in internal testing.

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

      • iLink Fill Behavior Change
      • 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 this 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 Harmonization
      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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      SenderSubID Validation on iLink Messages - March 31

      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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      Update Update - Changes to User Defined Spreads Functionality: Resting Order Eliminations  - Q2 2019

      † Denotes update to the article

      In Q2 2019, CME Group will implement the following changes to User Defined Spreads (UDS) functionality on CME Globex:

      • Performance changes
      • Improved spread recognition logic
      • Extended timing for UDS creation
      • Effects of UDS creation in non-Open Market states
      • Changes to tag 5979-RequestTime value
      • Harmonization of SecurityID Source values

      Please review the Client Impact Assessment for additional information and updated New Release launch schedule.

      †Changes to User Defined Spreads Functionality
      Market Segment ID Market Segment Description New Release Launch Production Launch
      To facilitate this change, customers will be 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 Friday before the production launch. After 16:00 CT on specified Friday, any remaining GT orders on UDS will be cancelled or deleted by the CME Global Command Center (GCC).
      50
      52
      68
      70
      72
      76
      78
      88
      CME Interest Rate Options
      CME Globex FX Futures and Options II
      CME Equity Futures II; CBOT Equity Futures
      CME, CBOT and MGEX Commodity Futures
      CBOT Commodity Futures II
      NYMEX and COMEX Metals and Alternative Market Futures
      NYMEX Emissions and Non-Crude Energy Futures
      CME Globex FX Futures and Options
      Monday, February 4, 2019 Q2 2019
      Market Segment ID Market Segment Description New Release Launch Production Launch

      54
      56


      58
      60
      64
      74
      80
      82
      84

      CBOT and CME Equity Options
      NYMEX Emissions Options; NYMEX Energy, Metals, Softs and Alternative Markets Options; COMEX Options; DME Options

      CBOT Interest Rate Options
      CME, CBOT and MGEX Commodity Options
      CME Equity Futures - E-mini S&P
      KRX Futures; BMD Futures and Options; NYMEX SEF
      DME Futures; NYMEX Crude and Crude Refined Energy Futures
      CME Interest Rate Futures
      CBOT Interest Rate Futures

      Monday, February 25, 2019 Q2 2019

      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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      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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      iLink Enhancement for Clearing Instructions - March 31

      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

      Update Update - BTICs on Nikkei Futures - February 17

      † Denotes update to the article

      †Effective Sunday, February 17 (trade date Tuesday, February 19), 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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      New New - FX Link Spreads for Swiss Franc and New Zealand Dollar - February 17

      Effective Sunday, February 17 (trade date Tuesday, February 19), two new CME FX Link spreads will be available for trading on CME Globex.

      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

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

      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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      New New - WTI Houston Financial Futures and Options - February 17

      Effective Sunday, February 17 (trade date Tuesday, February 19), pending completion of all regulatory review periods, WTI Houston Financial futures and options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      WTI Houston Financial Futures and Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Market Data Channel
      WTI Trade Month Futures TCS CC 382
      WTI Houston Trade Month Futures THE CC 382
      WTI Houston Calendar Month Futures HTC CC 382
      WTI Houston vs. WTI Trade Month Futures HTI CC 382
      WTI Houston vs. WTI Calendar Month Futures HTM CC 382
      WTI Houston vs. Brent Trade Month Futures HBR CC 382
      WTI Houston vs. Brent Calendar Month Futures HBC CC 382
      WTI vs. Dated Brent (Platts) Calendar Month Futures CLD CC 382
      WTI Houston vs. Dated Brent (Platts) Calendar Month Futures HDB CC 382
      WTI Houston Trade Month Average Price Option HCA EF (UDS-EX) 387
      WTI Houston Calendar Month Average Price Option HCC EF (UDS-EX) 387
      WTI Houston vs. WTI Trade Month Average Price Option HAP EF (UDS-EX) 387
      WTI Houston vs. WTI Calendar Month Average Price Option HPO EF (UDS-EX) 387
      WTI Houston vs. Brent Trade Month Average Price Option HCB EF (UDS-EX) 387
      WTI Houston vs. Brent Calendar Month Average Price Option HCR EF (UDS-EX) 387
      WTI vs. Dated Brent (Platts) Average Price Option CLR EF (UDS-EX) 387
      WTI Houston vs. Dated Brent (Platts) Average Price Option HCD EF (UDS-EX) 387

      These WTI Houston Financial futures and options will be available for customer testing in New Release on Monday, February 11.

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

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      New New - Tanker Freight Futures - February 17

      Effective Sunday, February 17 (trade date Tuesday, February 19), pending completion of all regulatory review periods, the following Tanker Freight futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Tanker Freight Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Market Data Channel
      USGC to China (Platts) Dirty Freight Futures

       

      USC FT 386
      USGC to UK Continent (Platts) Dirty Freight Futures USE FT 386

      These products will be available for customer testing in New Release on Monday, February 11.

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

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      New New - Aluminum MW U.S. Transaction Premium Platts (25MT) Average Price Option  - February 17

      Effective Sunday, February 17 (trade date Tuesday, February 19), pending completion of all regulatory review periods, the Aluminum MW U.S. Transaction Premium Platts (25MT) Average Price option will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Aluminum MW U.S. Transaction Premium Platts (25MT) Average Price Option
      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)
      Market Data Channel
      Aluminum MW U.S. Transaction Premium Platts (25MT) Average Price Option ALO AB AC 361

      This option will be available for customer testing in New Release on Monday, February 11.

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

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      New New - Copper London TAM - February 24

      Effective Sunday, February 24 (trade date Monday, February 25), Copper London Trader at Marker (TAM) will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Copper London TAM
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Market Data Channel
      Copper London TAM HGF TR 360

      The Copper London TAM will be available for customer testing in New Release on Monday, February 11.

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

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      Product Changes

      Update Update - Listing Cycle Expansion for Nikkei Futures - February 17

      † Denotes update to the article

      Effective †Sunday, February 17(trade date Tuesday, February 19), 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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      New New - Listing Cycle Expansion for Metals TAS - February 17

      Effective Sunday, February 17 (trade date Tuesday, February 19), the listing cycle for the following Metals Trading at Settlement (TAS) products and spreads will be expanded on CME Globex.

      Listing Cycle Expansion Metals TAS
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current Listing Schedule New Listing Schedule
      Gold TAS GCT TG Nearest 3 active months of February, April, June, August, and December Nearest 4 active months of February, April, June, August, and December
      Silver TAS SIT MT Nearest 3 active months of March, May, July, September, and December Nearest 4 active months of March, May, July, September, and December
      Copper TAS HGT HT Nearest 3 active months of March, May, July, September, and December Nearest 4 active months of March, May, July, September, and December

      These changes will be available for customer testing in New Release on Monday, February 11.

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

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      New New - Listing Cycle Changes to Platinum TAS Spreads - February 17

      Effective Sunday, February 17 (trade date Tuesday, February 19), Platinum Trading at Settlement (TAS) spreads for the first 2 active months will be listed on CME Globex. With this change the listing cycle for the Platinum TAS will be expanded from the nearest active month to the nearest 2 active months of January, April, July and October.

      Listing Cycle Changes to Platinum TAS Spreads
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Tag 762-
      SecuritySubType
      Platinum TAS PLT PE EC – TAS Calendar Spread

      These changes  will be available for customer testing in New Release on Monday, February 11.

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

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      New New - Changes to Henry Hub Natural Gas Last Day Financial Option: Resting Order Elimination - February 24

      Effective Sunday, February 24 (trade date Monday, February 25), minimum price increment, and minimum cabinet price will be changed for the Henry Hub Natural Gas Last Day Financial options iLink: tag 55-Symbol:

      • MDP 3.0 tag 1151-SecurityGroup
      • tag 969 – MinPriceIncrement
      • 9850-MinCabPrice
      Changes to Henry Hub Natural Gas Last Day Financial Option: Resting Order Elimination
      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
      Current tag 969 - MinPriceIncrement New tag 969 - MinPriceIncrement Current tag 9850-MinCabPrice New tag 9850-MinCabPrice
      To facilitate the change, customers are asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders after the close on Friday, February 22. After 16:00 CT on Friday, February 22, all remaining GT orders for this future will be cancelled or deleted by the CME Global Command Center (GCC).
      Henry Hub Natural Gas Last Day Financial Option AE7 GZ (UDS: G2) LG (UDS: 1T) 1.000000000 10.0000000 1.0000000 10.0000000

      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.

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      New New - Changes to Short-Term Natural Gas Option: Resting Order Elimination - February 24

      Effective Sunday, February 24 (trade date Monday, February 25), the values in the following FIX tags and the price format will be changed for the Short-Term Natural Gas options.

      • iLink: tag 55-Symbol
      • MDP 3.0 tag 1151-SecurityGroup.
      • tag 9787-Display Factor
      Changes to Short-Term Natural Gas Option: Resting Order Elimination
      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
      Current tag 9787-Display Factor New tag 9787-Display Factor
      To facilitate the change, customers are asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders after the close on Friday, February 22. After 16:00 CT on Friday, February 22, all remaining GT orders for this future will be cancelled or deleted by the CME Global Command Center (GCC).
      Short-Term Natural Gas Option U01-U31 GZ (UDS: G2) ON (UDS: 1T) .0001 0.001

      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.

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      Changes to FX Australian and Canadian Dollar Options – Resting Order Elimination - February 24

      Effective Sunday, February 24 (trade date Monday, February 25), the Strike Price Listing Rule will be changed for Australian and Canadian Dollar options to include 0.0025 strike increments. To support this change, the existing strike format in FIX tags iLink: tag 107-SecurityDesc and MDP 3.0: tag 55-Symbol will be updated.

      Changes to FX Australian and Canadian Dollar Options – Resting Order Elimination
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol 
      MDP 3.0 tag 1151 - Security Group
      Current 
      Strike Price Listing Rule
      New Strike 
      Price Listing Rule
      Current iLink: tag 107-SecurityDesc 
      MDP 3.0: tag 55-Symbol
      New/Updated iLink: tag 107-SecurityDesc 
      MDP 3.0: tag 55-Symbol
      To facilitate the change, customers are asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders after the close on February 22.  After 16:00 CT on February 22 all remaining GT orders for these options will be cancelled or deleted by the CME Global Command Center (GCC).
      Australian Dollar/US Dollar Options (AUD/USD) ADU XA ATM ± 21 Strikes in 0.005 increments ATM ± 8 Strikes in 0.0025 increments plus an additional 8 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

      ADUH9 C0710 
      ADUH9 C0715 
      ADUH9 C0720

      ADUH9 C07100 
      ADUH9 C07125 - New 
      ADUH9 C07150 
      ADUH9 C07175 - New 
      ADUH9 C07200

      Australian Dollar/US Dollar (AUD/USD) Weekly Friday Options 1AD – 5AD XA ATM ± 21 Strikes in 0.005 increments ATM ± 8 Strikes in 0.0025 increments plus an additional 8 strikes in 0.0050 increments 1ADH9 C0710 
      1ADH9 C0715 
      1ADH9 C0720
      1ADH9 C07100 
      1ADH9 C07125  - New 
      1ADH9 C07150 
      1ADH9 C07175 - New 
      1ADH9 C07200
      Australian Dollar/US Dollar (AUD/USD) Weekly Wednesday Options WA1– WA5 XA ATM ± 21 Strikes in 0.005 increments ATM ± 8 Strikes in 0.0025 increments plus an additional 8 strikes in 0.0050 increments WA1H9 C0710 
      WA1H9 C0715 
      WA1H9 C0720
      WA1H9 C07100 
      WA1H9 C07125 - New 
      WA1H9 C07150 
      WA1H9 C07175 - New 
      WA1H9 C07200
      Vol-Quoted Australian Dollar/US Dollar Options (AUD/USD) VXA 3A ATM ± 21 Strikes in 0.005 increments ATM ± 8 Strikes in 0.0025 increments plus an additional 8 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

      VXAH9 C0710 
      VXAH9 C0715 
      VXAH9 C0720
      VXAH9 C07100 
      VXAH9 C07125 - New 
      VXAH9 C07150 
      VXAH9 C07175 - New 
      VXAH9 C07200
      Vol-Quoted Australian Dollar/US Dollar (AUD/USD) Weekly Friday Options VAA – VAE 3A ATM ± 21 Strikes in 0.005 increments ATM ± 8 Strikes in 0.0025 increments plus an additional 8 strikes in 0.0050 increments VAAH9 C0710 
      VAAH9 C0715 
      VAAH9 C0720
      VAAH9 C07100 
      VAAH9 C07125 - New 
      VAAH9 C07150 
      VAAH9 C07175 - New 
      VAAH9 C07200
      Vol-Quoted Australian Dollar/US Dollar (AUD/USD) Weekly Wednesday Options VA1– VA5 3A ATM ± 21 Strikes in 0.005 increments ATM ± 8 Strikes in 0.0025 increments plus an additional 8 strikes in 0.0050 increments VA1H9 C0710 
      VA1H9 C0715 
      VA1H9 C0720
      VA1H9 C07100 
      VA1H9 C07125 - New 
      VA1H9 C07150 
      VA1H9 C07175 - New 
      VA1H9 C07200
      Canadian Dollar/US Dollar Options (CAD/USD) CAU CD ATM ± 24 Strikes in 0.005 increments ATM ± 8 Strikes in 0.0025 increments plus an additional 8 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

      CAUH9 C0750 
      CAUH9 C0755 
      CAUH9 C0760

      CAUH9 C07500 
      CAUH9 C07525 - New 
      CAUH9 C07550  
      CAUH9 C07575 - New 
      CAUH9 C07600

      Canadian Dollar/US Dollar (CAD/USD) Weekly Friday Options 1CD – 5CD CD ATM ± 24 Strikes in 0.005 increments ATM ± 8 Strikes in 0.0025 increments plus an additional 8 strikes in 0.0050 increments

      1CDH9 C0750 
      1CDH9 C0755 
      1CDH9 C0760

      1CDH9 C07500 
      1CDH9 C07525 - New 
      1CDH9 C07550  
      1CDH9 C07575 - New 
      1CDH9 C07600
      Canadian Dollar/US Dollar (CAD/USD) Weekly Wednesday Options WD1– WD5 CD ATM ± 24 Strikes in 0.005 increments ATM ± 8 Strikes in 0.0025 increments plus an additional 8 strikes in 0.0050 increments

      WD1H9 C0750 
      WD1H9 C0755 
      WD1H9 C0760

      WD1H9 C07500 
      WD1H9 C07525 - New 
      WD1H9 C07550  
      WD1H9 C07575 - New 
      WD1H9 C07600
      Vol-Quoted Canadian Dollar/US Dollar Options (CAD/USD) VXC 3C ATM ± 24 Strikes in 0.005 increments ATM ± 8 Strikes in 0.0025 increments plus an additional 8 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

      VXCH9 C0750 
      VXCH9 C0755 
      VXCH9 C0760

      VXCH9 C07500 
      VXCH9 C07525 - New 
      VXCH9 C07550  
      VXCH9 C07575 - New 
      VXCH9 C07600
      Vol-Quoted Canadian Dollar/US Dollar (CAD/USD) Weekly Friday Options VCA – VCE 3C ATM ± 24 Strikes in 0.005 increments ATM ± 8 Strikes in 0.0025 increments plus an additional 8 strikes in 0.0050 increments

      VCAH9 C0750 
      VCAH9 C0755 
      VCAH9 C0760

      VCAH9 C07500 
      VCAH9 C07525 - New 
      VCAH9 C07550  
      VCAH9 C07575 - New 
      VCAH9 C07600
      Vol-Quoted Canadian Dollar/US Dollar (CAD/USD) Weekly Wednesday Options VC1– VC5 3C ATM ± 24 Strikes in 0.005 increments ATM ± 8 Strikes in 0.0025 increments plus an additional 8 strikes in 0.0050 increments

      VC1H9 C0750 
      VC1H9 C0755 
      VC1H9 C0760

      VC1H9 C07500 
      VC1H9 C07525 - New 
      VC1H9 C07550  
      VC1H9 C07575 - New 
      VC1H9 C07600

      These options will be available for customer testing in New Release on Monday, February 11.

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

      New New - Changes to Price Format for Palladium TAS - February 24

      Effective Sunday, February 24 (trade date Monday, February 25), the price format for the Palladium Trade at Settlement (TAS) will be changed as follows:

      Changes to Price Format for Palladium TAS
      Product MDP 3.0 tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151-SecurityGroup
      Current
      Tag 969-MinPriceIncrement
      New
      Tag 969-MinPriceIncrement
      Current
      Tag 9787-DisplayFactor
      New
      Tag 9787-DisplayFactor
      Palladium TAS PAT PX 10.000000000 1.0000000 0.010000000 1.0000000

      These changes will be available for customer testing in New Release on Monday, February 11.

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

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      New New - Listing Henry Hub Natural Gas Condor Spreads - February 24

      Effective Sunday, February 24 (trade date Monday, February 25), condor spreads for 12 months listed for Henry Hub Natural Gas futures on CME Globex.

      Listing Henry Hub Natural Gas Condor Spreads
      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 NG NG CF

      These spreads will be available for customer testing in New Release on Monday, February 11.

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

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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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