CME Globex Notices: April 22, 2019

Critical System Updates

Consolidated iLink Fill Messages for BMD and KRX - June 2

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
• 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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iLink Mandatory Order Handling Flag  - November 17

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-Replace 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

UpdateUpdate - Launch of Settlements and Valuations Market Data  - This Week

† Denotes update to the article

Effective this 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.

† Certification is required for Settlements and Valuations Market Data.

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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NewNew - Inter-Commodity Ratio Spread: Henry Hub Natural Gas Futures - June 2

Effective Sunday, June 2 (trade date Monday, June 3), a new Inter-Commodity Ratio Spread will be made available for trading on CME Globex. The inter-commodity ratio spread is the simultaneous purchase (sale) of 8 Henry Hub Natural Gas Futures (tag 6937-Asset=NG) and sale (purchase) of 1 Henry Hub Natural Gas Last Day Financial Futures (tag 6937=NN). With this change, the IS inter-commodity spreads will support either 1:1 or 8:1 quantity ratios. Today all IS inter-commodity spreads are 1:1 ratio.

Inter-Commodity Ratio Spread: Henry Hub Natural Gas Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Tag 762- SecuritySubType	Listing Schedule
Henry Hub Natural Gas Futures (NG8:NN1)	NG8	NC	IS - Inter Commodity Spreads	24 consecutive months; all spreads are not implied

Note: These inter-commodity ratio spread futures will NOT be implied.

Construction: Buy8com1exp1 Sell1com2exp1
Security Definition Example: NG8H9-NN1H9
Quantity Ratio: 8:1

Example: Buy the Spread

Buy 8 March 2019 Henry Hub Natural Gas Futures
Sell 1 March 2019 Henry Hub Natural Gas Last-day Financial Futures

Example: Sell the Spread

Sell 8 December 2019 Henry Hub Natural Gas Futures
Buy 1 December 2019 Henry Hub Natural Gas Last-day Financial Futures

These spreads will be available for customer testing in New Release on Monday, May 6.

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

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Product Launches

E-micro Palladium Future - This Week

Effective this Sunday, April 28 (trade date Monday, April 29), pending completion of all regulatory review periods, E-micro Palladium futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

E-micro Palladium Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
E-micro Palladium Futures	PAM	PD	384

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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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 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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Product Changes

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

Effective this 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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Extending Suspension of Three EUA Futures and Options - June 30

Effective Sunday, June 30 (trade date Monday, July 1), beginning with the July 2019 contract the month, the European Union Allowance (EUA) futures and options will be made available for trading on CME Globex.

Extending Suspension 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

Processing During Japan’s Golden Week - starting April 29

Processing during Japanese Golden Week will mirror normal holiday schedules in Japan. Due to the extended holiday--Monday, April 29, through Monday, May 6--the trading schedules for Japanese Index products will be as follows:

• Normal trading hours for all Japanese equity index products, including all futures on Nikkei and Topix indexes, with the exception of BTIC instruments on Nikkei and Topix futures transactions.
• Due to the closure of the underlying cash equity markets for the Nikkei 225, BTIC transactions on the Nikkei 225 futures (JPY & USD) will not be allowed from Monday, April 29, through Monday, May 6.
• The price limit and circuit breakers will remain unchanged from Monday, April 29, through Tuesday, May 7.
  • The same circuit breaker levels of 8%, 12%,16% and daily price limits will apply for the entire period. 
  • These limits will be reset for the Wednesday, May 8, trade date.

Please contact the Global Command Center (GCC) at +1 800 438 8616 in the USA, +44 20 7623 4747 in Europe, and +65 6532 5010 in Asia with any questions.

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CME Globex Messaging Efficiency Program Billing Notification - June 3

Effective Monday, June 3, all CME Globex Messaging Efficiency Program (MEP) related surcharges will be billed to the Registered Entity that is the administrative owner of the Globex Firm ID that incurred the surcharge(s).  These surcharges will be identified on the monthly billing statement with the code “MPS” (Messaging Efficiency Program Surcharge).

Prior to this change, all MEP surcharges were billed through the clearing firm responsible for the Globex Firm ID that incurred the MEP surcharge.

Please refer to the Notices and Surcharges section of the Messaging Efficiency Program for additional details.

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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