Topics in this issue include:
For the latest roadmap of CME Group technology initiatives:
See the Development Launch Schedule.
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:
| 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.
In late Q2 2019, CME Group will implement the following changes to User Defined Spreads (UDS) functionality on CME Globex:
| 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
|
CBOT and CME Equity Options CBOT Interest Rate Options |
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.
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:
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.
† 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:
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:
All tag 1031 must be populated by the following valid values:
Learn more on the FIA guidelines on how to identify the source of any order:
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) |
|
N/A |
|
| Mass Quote (tag 35-MsgType=i) |
|
|
5 |
|
|
|
N/A |
|
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.
The launch of the new Inter-Commodity Ratio Spread scheduled for Sunday, June 2 (trade date Monday, June 3), has been postponed. New launch dates for production and New Release will be announced in future CME Globex notices.
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 support the 1:1 quantity 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 contracts are listed with, and subject to, the rules and regulations of NYMEX.
Starting Sunday, June 30 (trade date Monday, July1), CME Group will begin implementing enhancements to CME iLink reject texts to more clearly communicate why the customer message was rejected. These enhancements will be reflected in tag 58-Text in:
| CME iLink Reject Text Enhancements | ||
|---|---|---|
| Reject Reason | Current Tag 58-Text | New Tag 58-Text |
| Invalid Tag 40 in New Order, Modify, Request for Cross, and Mass Order Cancel | Required Field Missing 'Unhandled order type: '0' tag: 40' | Required Field Missing 'Unsupported value for tag ORDER_TYPE(40): '0'' |
| Invalid Tag 54 in New Order, Modify and Request for Cross | Required Field Missing 'Unhandled order side: '3' tag: 54' | Required Field Missing 'Unsupported value for tag SIDE(54): '3' |
| Invalid Tag 59 in New Order and Modify | Required Field Missing 'Unhandled time in force: '2' tag: 59' | Required Field Missing 'Unsupported value for tag TIME_IN_FORCE(59): '2'' |
| Invalid Tag 8000 in New Order and Modify | Required Field Missing 'Unhandled SelfMatchPreventionInstruction: 'X' tag: 8000' | Required Field Missing 'Unsupported value for tag SELF_MATCH_PREVENTION_INSTRUCTION(8000): 'X'' |
| Invalid Tag 549 in Request for Cross | Required Field Missing 'Unhandled cross type: '0' | Required Field Missing 'Unsupported value for tag CROSS_TYPE(549): '0'' |
| Invalid Tag 624 in Security Definition Request | Required Field Missing 'LegSide not a valid FIX value: '3'' | Required Field Missing 'Unsupported value for tag LEG_SIDE(624): '3'' |
| Invalid Tag 1017 in Security Definition Request | Required Field Missing 'LegOptionDelta has too many digits past decimal: '1.0E-5'' | Required Field Missing '1017 (LEG_OPTION_DELTA) not a valid decimal: Too many significant digits after the decimal point (max 2) .000 |
| Invalid Tag 54 in Mass Order Cancel | Order Mass Action 'FIX field incorrect 'Unhandled order side: '3' tag: 54' | Order Mass Action 'FIX field incorrect 'Unsupported value for tag SIDE(54): '3''' |
| Invalid Tag 1374 in Mass Order Cancel | Order Mass Action 'Invalid MASS_ACTION_SCOPE: '19'' | Order Mass Action 'FIX field incorrect 'Unsupported value for tag MASS_ACTION_SCOPE(1374): '19''' |
| Invalid Tag 6115 in Mass Order Cancel | Order Mass Action 'Invalid MASS_CANCEL_REQUEST_TYPE: '200'' | Order Mass Action 'FIX field incorrect 'Unsupported value for tag MASS_CANCEL_REQUEST_TYPE(6115): '200''' |
In internal testing, these enhancements improved performance more than 9% for options markets and minor performance improvement for futures markets, at the median.
| CME iLink Enhancements | ||
|---|---|---|
| Tag 1300- Market Segment ID | Market Segment Description | Production Launch |
| 50 68 76 |
CME Eurodollar Options CBOT and CME Equity Futures excluding E-mini S&P NYMEX and COMEX Metals and Alternative Market Futures |
Sunday, June 30, 2019 |
| 56 58 60 |
CME Eurodollar Options CBOT and CME Equity Futures excluding E-mini S&P NYMEX and COMEX Metals and Alternative Market Futures |
Sunday, July 14, 2019 |
| 52 54 64 72 82 |
CME Globex FX Futures and Options II CBOT and CME Equity Options CME E-mini S&P 500 Futures CBOT Commodity Futures CME Eurodollar Futures |
Sunday, July 21, 2019 |
| 70 74 78 80 84 88 |
CME Commodity Futures KRX Futures; BMD Futures and Options; NYMEX SEF NYMEX Non-Crude Energy Futures NYMEX Crude Energy Futures CBOT Treasury Futures CME Globex FX Futures and Options |
Sunday, July 28, 2019 |
These Reject Reason text changes will be available for customer testing in New Release on Monday, May 20.
Effective Sunday, June 2 (trade date Monday, June 3), CME will add Eris Swap Futures Inter-Commodity spreads on CME Globex.
| Eris Swap Futures Inter-Commodity Spreads | |||
|---|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Tag 762- SecuritySubType |
| 2-Year Eris Swap Future vs. 5-Year Eris Swap Future | ETF | EV | IV - Implied Treasury Intercommodity Spread |
| 2-Year Eris Swap Future vs. 7-Year Eris Swap Future | ETV | EV | IV - Implied Treasury Intercommodity Spread |
| 2-Year Eris Swap Future vs. 10-Year Eris Swap Future | ETN | EV | IV - Implied Treasury Intercommodity Spread |
| 5-Year Eris Swap Future vs. 7-Year Eris Swap Future | EFV | EV | IV - Implied Treasury Intercommodity Spread |
| 5-Year Eris Swap Future vs. 10-Year Eris Swap Future | EFN | EV | IV - Implied Treasury Intercommodity Spread |
| 7-Year Eris Swap Future vs. 10-Year Eris Swap Future | EVN | EV | IV - Implied Treasury Intercommodity Spread |
These spreads will be available for customer testing in New Release on Monday, May 20.
Learn more on Eris Swap Futures Inter-Commodity spreads.
These contracts are listed with, and subject to, the rules and regulations of CBOT.
Effective Sunday, May 19 (trade date Monday, May 20), the listing cycle for the following Natural Gas TAS will be expanded on CME Globex.
| Listing Cycle Expansion for Natural Gas 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 |
| Natural Gas TAS | NGT | NA | Monthly contracts listed for 7 consecutive months | Monthly contracts listed for 12 consecutive months |
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.
Effective Sunday, May 19 (trade date Monday, May 20), CME Group will begin disseminating the fixing price for the Rate Synthetic futures. The fixing price will be calculated Monday through Friday and will be disseminated at approximately 2:00 pm CT.
| Fixing Price for Rate Synthetic Futures | |||
|---|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Market Data Channel |
| Rate Synthetic Future 1 | TR1 | 04 | 312 |
| Rate Synthetic Future 3 | TR3 | 04 | 312 |
| Rate Synthetic Future 6 | TR6 | 04 | 312 |
Fixing Price data blocks are sent in the MDP 3.0 Market Data Incremental Refresh (tag 35-MsgType=X) with the following attributes:
This change will be available in New Release for customer testing on Monday, May 13.
Effective Sunday, May 19 (trade date Monday, May 20), the listing cycle for BTIC on S&P 500 Total Return futures will be expanded on CME Globex.
Listing Cycle Expansion for BTIC on S&P 500 Total Return 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 |
| BTIC on S&P 500 Total Return Futures | TRB | TB | 13 quarterly contracts, Four (4) monthly contracts and Three (3) annual contracts | 13 quarterly contracts, Four (4) monthly contracts and Four (4) annual contracts |
These futures will be available for customer testing in New Release on Monday, May 13.
These contracts are listed with, and subject to, the rules and regulations of CME.
Effective Sunday, June 2 (trade date Monday, June 3), the Non-Reviewable Ranges will be modified for USD-Denominated Ibovespa Index futures.
Changes to Non-Reviewable Ranges for USD-Denominated Ibovespa Index Futures |
||||
|---|---|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Current Non-Reviewable Range | New Non-Reviewable Range |
| USD Denominated Ibovespa Index Futures | IBV | IB | 300 | 500 |
This change will be available for customer testing in New Release on Monday, May 20.
These contracts are listed with, and subject to, the rules and regulations of CME.
Effective Sunday, June 9 (trade date Monday, June 10), the listing cycle for the following Light Sweet Crude Oil futures and options will be expanded as follows on CME Globex.
| Listing Cycle Expansion for Light Sweet Crude Oil Futures and Options | |||||
|---|---|---|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Current Listing Schedule | New Listing Schedule | Tag 762-SecuritySubType |
| Light Sweet Crude Oil Futures | CL | CL | Monthly contracts listed for the current year and the next 8 calendar years and 2 additional contract months. Monthly contracts for a new calendar year and 2 additional contract months will be added following the termination of the December contract of the current year. |
Monthly contracts listed for the current year and the next 10 calendar years and 2 additional contract months. List monthly contracts for a new calendar year and 2 additional contract months following the termination of trading in the December contract of the current year. |
SP - Calendar Spreads |
| Light Sweet Crude Oil Options | LO | LO | Monthly contracts listed for the current year and the next 8 calendar years and 2 additional contract months. Monthly contracts for a new calendar year and 2 additional contract months will be added following the termination of the December contract of the current year. |
Monthly contracts listed for the current year and the next 10 calendar years and 2 additional contract months. List monthly contracts for a new calendar year and 2 additional contract months following the termination of trading in the December contract of the current year. |
SP - Calendar Spreads |
Implied months will not be expanded.
These changes will be available for customer testing in New Release on Monday, June 3.
These contracts are listed with, and subject to, the rules and regulations of NYMEX.
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.
Effective with the listing of the September 2019 quarterly options, these CME FX options will reflect the following changes:
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:
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.
Synthetic products are listed on CME Globex for internal testing purposes only. As a reminder, these products are not eligible for customer order entry.
| Synthetic Product Reminder | ||||
|---|---|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Market Data Channel | Market Segment ID |
Test Transco Zone 6 Natural Gas (Platts IFERC) Fixed Price |
0XW |
#I |
999 |
74 |
Test Nikkei 225 (Yen) |
0NI |
#1 |
318 |
68 |
Test Eurodollar Option |
0GG |
$R |
313 |
50 |
Test Gold |
0GC |
#8 |
360 |
76 |
Test Gold Option |
0OG |
#B |
361 |
56 |
Test In Delivery Month European Union Allowance (EUA) Futures |
0UL |
$O |
380 |
74 |
Test In Delivery Month European Union Allowance (EUA) Options |
0CA |
$V |
381 |
74 |
Test Brent Last Day Financial Future |
0CU |
#7 |
382 |
80 |
Test Coal (API 2) CIF ARA (ARG/MC) |
0TF |
$N |
386 |
78 |
Test Platinum Future |
0CJ |
$G |
384 |
76 |
Test Brent Last Day Financial Option |
0SX |
#9 |
383 |
56 |
Test Platinum Option |
0PO |
#0 |
385 |
56 |
Test Coal (API 2) CIF ARA (ARG/MC) |
0TO |
#A |
387 |
56 |
Test Corn Future |
00C |
#E |
340 |
70 |
Test Corn Option |
0OC |
$2 |
341 |
60 |
Test E-Mini Dow ($5) |
0YM |
$W |
342 |
66 |
Test E-Mini Dow ($5) |
0OY |
#F |
343 |
60 |
Test 10-Year U.S. Treasury Note Future |
00N |
$T |
344 |
84 |
Test 10-Year U.S. Treasury Note Option |
0YN |
$U |
345 |
58 |
Test 30 Day Federal Funds Options |
OZQ |
#3 |
348 |
82 |
Test Soybeans |
00S |
$S |
346 |
72 |
Test E-Mini S&P 500 Future |
0ES |
$E |
310 |
64 |
Test E-Mini S&P 500 Option |
0SO |
$Q |
311 |
54 |
Test Eurodollar Future |
0GE |
$D |
312 |
82 |
Test Eurodollar Option |
0GG |
$R |
313 |
50 |
Test AUD/USD |
0AU |
$F |
314 |
62 |
Test AUD/USD |
0AD |
$1 |
315 |
52 |
Test Lean Hog Future |
0HE |
$K |
316 |
70 |
Test Lean Hog Option |
0HO |
$B |
317 |
52 |
Test Nikkei 225 (Yen) |
0NK |
#2 |
319 |
54 |
Test EUR/USD American Future |
06E |
#C |
320 |
62 |
Test EUR/USD American Option |
00E |
#D |
321 |
52 |
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.