CME Globex Notices: April 1, 2019

Critical System Updates

UpdateUpdate -Consolidated iLink Fill Messages for BMD and KRX - June 2

† Denotes update to the article

On †Sunday, June 2 (trade date Tuesday, June 3), CME Group will continue to 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

Consolidated iLink Fill Messages Timeline
Market Segment ID	Market Segment Description	New Release Launch	Production Launch
74	BMD Futures and Options	Available	†Sunday, June 2 (trade date Monday, June 3)
	KRX Futures		Sunday, June 2 (trade date Monday, June 3)

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.

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

In late 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 Note: 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).

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

Changes to User Defined Spreads Functionality
Market Segment ID	Market Segment Description	New Release Launch	Production Launch
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	Available	Late 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 DME Futures; NYMEX Crude and Crude Refined Energy Futures CME Interest Rate Futures CBOT Interest Rate Futures	Available	Late 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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Decommission of Select ITC Market Data - November 1

Effective at the close of business Friday, November 1, select ITC market data functions will be decommissioned in favor of an architecture that will support price decimals beyond 7 digits. As the result of the launch of SBE Settlements and Valuations and CME Reference Data API, many ITC data functions will become redundant and will be decommissioned.

There will be a 6-month parallel period from the Settlements and Valuations production launch and decommission of select ITC market data. There will be the following ITC market data impacts:

• NYMEX, COMEX and DME ITC channels will be eliminated
• Futures and options settlements
• Cleared volume and open interest
• Cumulative volume
• High/Low/Last prices
• Fixing prices
• Marker prices
• Close prices
• Net change
• Lead month indicator
• Flex options
• Contract specifications
• Index prices

Real-time trading floor data, such as trades, will continue to be disseminated on ITC channels for CME, CBOT, and MGEX.

Please review the Client Impact Assessment for additional information and decommission schedules.

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UpdateUpdate -iLink Mandatory Order Handling Flag  - November 17

† Denotes update to the article

Effective Sunday, November 17, 2019 (trade date Monday, November 18), in conjunction with the Futures Industry Association (FIA) Execution Code Schema initiative, CME Globex will require the current iLink FIX tag 1031-CustOrderHandlingInst on the following iLink messages.

Tag 1031 must be submitted on the following messages:

• New Order (tag 35-MsgType=D)
• Order Cancel/Replace Request (tag 35-MsgType=G)
• Mass Quote (tag 35-MsgType=i)

Please Note: Tag 1031 will continue to be an optional tag on the New Order Cross (tag 35-MsgType=s)message.

Tag 1031 will be returned on the following iLink messages:

• Execution Report: Order Creation or Modify (tag 35-MsgType=8, OrdStatus=0 or 5)
• Execution Report - Fill Notice (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2)
• Execution Report - Reject (tag 35-MsgType=8, tag 39-OrdStatus=8)
• †Execution Report - Order Cancel Reject (tag 35-MsgType=9)
• Execution Report - Order Elimination (tag 35-MsgType=8, tag 39-OrdStatus=C, tag 150-ExecType=F) 
• Quote Acknowledgment (tag 35-MsgType=b)
• Business Level Reject (tag 35-MsgType=j)
• Session Level Reject (tag 35=3)

All tag 1031 must be populated by the following valid values:

• W - Desk
• Y - Electronic (Default)
• C - Vendor-provided Platform billed by Executing Broker
• G - Sponsored Access via Exchange API or FIX provided by Executing Broker
• H - Premium Algorithmic Trading Provider billed by Executing Broker
• D - Other, including Other-provided Screen

Learn more on the FIA guidelines on how to identify the source of any order:

• Press Release
• Summary
• White paper

With this launch, CME Globex will validate tag 1031 on iLink messages.   Any iLink message submitted with an invalid  tag 1031 value will be rejected. CME Globex will send a reject message including the following tag 58=<Reject Reason>.

Message Type	Reject Message Type	Reject Reason	Reject Code (tag 380-BusinessRejectReason)	Tag 58-Text
New Order (tag 35-MsgType=D) Order Cancel/Replace Request (tag 35-MsgType=G)	Session Level Reject (tag 35-MsgType=3)	Not present Present, but contain a null value Present, but contain an invalid value	N/A	Required Field Missing 'Missing field: 'CustOrderHandlingInst (1031)' Invalid FIX Field: 1031=<null> tag CustOrderHandlingInst (1031) contains invalid value:  <>
Mass Quote (tag 35-MsgType=i)	Business Level Reject (tag 35-MsgType=j) Session Level Reject (tag 35-MsgType=3)	Not present Present, but contain an invalid value Present, but contain a null value	5 0 N/A	Business Reject: Required Field Missing '1031 (CUST_ORDER_HANDLING_INST)' tag CustOrderHandlingInst (1031) contains invalid value:  <> Invalid FIX Field: 1031=<null>

To facilitate migration to the mandatory iLink tag 1031, customers can implement this change in advance of the effective date.

Tag 1031 will be available in New Release for customer testing on Monday, August 26.

Certification is not required for iLink Mandatory Order Handling Flag.

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New Functionality

Launch of Settlements and Valuations Market Data  - April 28

Effective Sunday, April 28 (for trade date Monday, April 29), CME Group will launch a new Simple Binary Encoding (SBE) Market Data Channels (MDP) called Data Insights: Settlements and Valuations. This new channel is designed to provide more robust market data for CME Globex, OTC and floor venues.

The new Data Insights: Settlements and Valuations channels will offer:

• Four new market data channels for CME, CBOT, NYMEX and COMEX
• New data set called Theoretical Valuations for futures and options products without volume, open interest, or underlying pricing required for clearing.
  • Theoretical Valuations are the true asset values that can be used for margin modeling, compliance, risk management and firms' other specific needs where settlements are not generated.
  • Sourcing Theoretical Valuations directly from CME Group provides customers with certainty as the data points are validated by the exchange.
• Fixing prices
• Marker prices
• Futures and options settlements
• End of day High/Low prices
• Cleared volume and open interest

With the launch of Data Insights: Settlements and Valuations MDP channel, most ITC market data will be decommissioned in favor of more robust market data offering. For additional information, please review Decommission of Select ITC Market Data article.

Please review the Client Impact Assessment for additional information and launch schedules.

The production config.xml file is now available.

Availability of licensing requirements and Commercial Terms of use for Data Insights: Settlements and Valuations will be announced in a future communication from CME Group.

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Product Launches

UpdateUpdate - Listing New Spreads for Black Sea Wheat and Corn  - April 14

† Denotes update to the article

Effective †Sunday, April 14 (trade date Monday, April 15),CME Group will add the Black Sea Wheat and Corn calendar spreads for the first 15 calendar outright months on CME Globex..

Listing New Spreads for Black Sea Wheat and Corn
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	New Listing Schedule
Black Sea Wheat Financially Settled (Platts) Futures	BWF	WP	SP - Standard Calendar Spread: All Calendar Month Spreads for the first 15 outright months.
Black Sea Corn Financially Settled (Platts) Futures	BCF	CS	SP - Standard Calendar Spread All Calendar Month Spreads for the first 15 outright months.

These spreads 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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U.S. Midwest Hot-Rolled Coil Steel (Platts) Futures - April 14

Effective Sunday, April 14 (trade date Monday, April 15), pending completion of all regulatory review periods, U.S. Midwest Hot-Rolled Coil Steel (Platts) futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

U.S. Midwest Hot-Rolled Coil Steel (Platts) Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
U.S. Midwest Hot-Rolled Coil Steel (Platts) Futures	HRP	ST	360

These products 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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New New - Micro E-mini Equity Index Futures - May 5

Effective Sunday, May 5 (trade date Monday, May 6), pending completion of all regulatory review periods, the following Micro E-mini Equity Index futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

For more information and to subscribe to Micro E-Mini announcements, please visit https://activetrader.cmegroup.com/microemini/.

Micro E-mini Equity Index Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel	Market Segment ID
Micro E-mini Standard and Poor’s 500 Stock Price Index Futures	MES	MS	318	68
Micro E-mini Nasdaq 100 Index Futures	MNQ	NQ	318	68
Micro E-mini Russell 2000 Index Futures	M2K	RY	318	68
Micro E-mini Dow Jones Industrial Average Index Futures	MYM	YM	342	68

These Micro E-mini Equity Index futures will be available for customer testing in New Release on Monday, April 15.

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

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Product Changes

Change to Minimum Price Increment for 3-Month SOFR Futures Exchange Defined Spread - This Week

Effective this Sunday, April 7 (trade date Monday, April 8), the minimum price increment  (tag 969-MinPriceIncrement) will be change for the 3-Month SOFR futures exchange-defined spread:

Average Price Bundle Futures Spread 3-Month SOFR Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	762-SecuritySubType	Current tag 969 - MinPriceIncrement	New tag 969 - MinPriceIncrement
3-Month SOFR Futures	SS	SR3	AB	0.500000000	0.250000000

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.

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FIX Tag Changes for CBOT Grain Options UDS Group - April 14

Effective Sunday, April 14 (trade date Monday, April 15), the values in the following FIX tags will be changed for CBOT Grain options UDS group:

• iLink tag 55-Symbol
• MDP 3.0 tag 1151-SecurityGroup

Please Note: To facilitate the change, customers are asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) UDS orders after the close on April 12. After 16:00 CT on April 12, all remaining GT orders for these spreads will be cancelled or deleted by the CME Global Command Center (GCC).

FIX tag Changes for CBOT Grain Options UDS
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group (UDS)	New iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group (UDS)
Corn Options	OZC	OC	GG	CY
Corn Weekly Options	ZC1-ZC5	OC	GG	CY
Short-Dated New Crop Corn Options	OCD	OC	GG	CY
Soybean Options	OZS	SQ	GG	PZ
Soybean Weekly Options	ZS1-ZS5	SQ	GG	PZ
Short-Dated New Crop Soybean Options	OSD	SQ	GG	PZ
South American Short-Dated New Crop Soybean Options	SRS	SQ	GG	PZ
Chicago SRW Wheat Options	OZW	OW	GG	WZ
Chicago SRW Wheat Weekly Options	ZW1-ZW5	OW	GG	WZ
Short Dated New Crop Chicago SRW Wheat Options	OWD	OW	GG	WZ
KC HRW Wheat Options	OKE	OK	GG	1G
KC HRW Wheat Weekly Options	OE1-OE5	OK	GG	1G
Short-Dated New Crop KC HRW Wheat Options	KWE	OK	GG	1G
Corn CSOs	CZ8, CZ9, CZ6, 12C, CZ7, CZC	Y1	Y2	Y2
Soybean CSOs	SZ1, SZ3, SZ5, SZK, 12S, SC7, SZ8, SZ0, SZ4, CZS, SZ9, SZH	Q1	Y2	Q2
Wheat CSOs	WC3, WC6, CZW, WCM, 12W, CWZ	W1	Y2	Z2
KC Wheat CSOs	KC6, KCR, 12K, CKZ, CK3, KZC	K3	Y2	K4
KC HRW-Chicago SRW Wheat Intercommodity Spread Options	KWC	KW	Y2	KX
Chicago SRW Wheat-Corn Intercommodity Spread Options	ZCW	Q3	Y2	Q4

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
KC HRW-Chicago SRW Wheat Intercommodity Spread Options	KWC	Q3	KW

These changes will be available for customer testing in New Release on Monday, April 1.

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

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Changes to British Pound/US Dollar (“GBP”) Futures Intra-Currency Calendar Spreads Minimum Price Increments and Trade Match Algorithm – Resting Order Eliminations - April 28

Effective Sunday, April 28 (trade date Monday, April 29) the following changes will be made to the British Pound/US Dollar (“GBP”) futures intra-currency calendar spreads:

• Match Algorithm change from Pro-Rata (tag 1142=C) to Configurable (tag 1142=K) for all calendar spread months. The configuration will be 20% FIFO, 80% Pro Rata with no Leveling and all residuals being distributed via FIFO.
• Change to fix tag 969-MinTickIncrement for non-consecutive month intra-currency calendar spreads.

Please Note:To facilitate the change, customers are asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders for User-Defined Spreads (UDS) after the close on Friday, April 26. After 16:00 CT on Friday, April 26 all remaining GT orders on UDS for these options and spreads will be deleted by the CME Global Command Center (GCC).

Change to Fix Tag 969-MinTickIncrement for Non-Consecutive Month Intra-Currency Calendar Spreads in British Pound/US Dollar Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Tag 762-SecuritySubType	Current Tag 969-MinTickIncrement	New Tag 969-MinTickIncrement
British Pound Futures	6B	6B	SD	1.0000000	0.5000000

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

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

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Trading of Three EUA Futures and Options - April 28

Effective Sunday, April 28 (trade date Tuesday, April 30), beginning with the May 2019 contract the monthly European Union Allowance (EUA) futures and options will be made available for trading on CME Globex.

Temporary Suspension of Trading of Three EUA Futures and Options
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
In Delivery Month European Union Allowance (EUA) Futures	EAF	VX
In Delivery Month European Union Allowance (EUA) Options	EAX	GY
In Delivery Month European Union Allowance (EUA) Serial Options	9G	GY

These products currently have no open interest.

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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 - Messaging Efficiency Program Q2 2019 Benchmarks  - Available

The Q2 2019 CME Globex Messaging Efficiency Program Product Group Benchmarks are now available. No changes were made to Q2 2019 Product Group Benchmarks vs. Q1 2019 Product Group Benchmarks and Product Group Benchmark Ratios are published quarterly, unless business circumstances for a particular product or product group require changes to be implemented more frequently.

The CME Globex Messaging Efficiency Program creates fair business guidelines by which customers are billed a surcharge for overly high message rates.

CME Globex firms who exceed the benchmark ratios in applicable product groups and are signed-up accordingly, receive email notifications of any potential surcharges and CME Globex firms who have access to the Firm Administrator Dashboard have the ability to view their messaging statistics on a T+1 basis.

Please contact your Global Account Managerin the U.S. at 312 634 8700, in Europe at 44 203 379 3754, or in Asia at 65 6593 5505 with any questions.

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