CME Globex Notices: May 27, 2019

Critical System Updates

NewNew - Reminder: User-Defined Spreads Deletions 

As a reminder, CME Globex may delete UDS mid-week to create additional UDS capacity. A Security Definition message (tag 35-MsgType=d) with tag 980-SecurityUpdateAction=D is sent when the instrument is deleted. A tag 48-SecurityID value from a deleted instrument can be re-assigned to a newly listed instrument in the same week. CME Group strongly recommends that clients support the Security Definition Delete messages to remove the deleted instrument from their systems and ensure no conflict in the tag 48 handling.

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Consolidated iLink Fill Messages for BMD and KRX - This Week

This 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)

Tag 1031 must be populated by one of 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

If you have any questions on tag 1031 values, please contact your clearing firm to determine which value to use.

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)	Not present Present, but contain an invalid value	5 0	Business Reject: Required Field Missing '1031 (CUST_ORDER_HANDLING_INST)' tag CustOrderHandlingInst (1031) contains invalid value:  <>
	Session Level Reject (tag 35-MsgType=3)	Present, but contain a null value	N/A	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

CME iLink Reject Text Enhancements  - June 30

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:

• Business Level Reject (tag 35-MsgType=j)
• Session Level Reject (tag 35-MsgType=3) messages

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 are currently available for customer testing in New Release.

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Product Launches

Eris Swap Futures Inter-Commodity Spreads - This Week

Effective this 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. 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 are currently available for customer testing in New Release.

Learn more on Eris Swap Futures Inter-Commodity spreads.

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

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UpdateUpdate - Fertilizer Futures - June 9

† Denotes update to the article

Effective Sunday, June 9 (trade date Monday, June 10), pending completion of all regulatory review periods, Fertilizer futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Fertilizer Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Urea (Granular) FOB US Gulf Futures	†UFV	UF	340
Urea (Granular) FOB Egypt Futures	UFE	UF	340
Urea (Granular) CFR Brazil Futures	UFB	UF	340
DAP FOB NOLA Futures	DFN	UF	340
MAP CFR Brazil Futures	MFC	UF	340

These futures 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 CBOT.

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Product Changes

Changes to Non-Reviewable Ranges for USD-Denominated Ibovespa Index Futures - June 9

Effective Sunday, June 9 (trade date Monday, June 10), 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 Tuesday, May 28.

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

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Listing Cycle Expansion for Light Sweet Crude Oil Futures and Options - June 9

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.

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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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Changes to Minimum Price Increment for Chicago Ethanol Futures and Options: Resting Orders Elimination  - June 23

Effective Sunday, June 23 (trade date Monday, June 24), the minimum price increment tag 969-MinPriceIncrement will be changed for the following:

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, June 21. After 16:00 CT on Friday, June 21, all remaining GT orders for this future will be cancelled or deleted by the CME Global Command Center (GCC).

Changes to Minimum Price Increment for Chicago Ethanol Futures and Options
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current tag 969 – MinPrice Increment	New tag 969 – MinPrice Increment
Chicago Ethanol (Platts) Futures	CU	EL	1.000000000	25.0000000
Chicago Ethanol (Platts) Average Price Option	CVR	OF	1.000000000	25.0000000
Chicago Ethanol (Platts) Calendar Spread Option - 1 Month	CE1	OF	1.000000000	25.0000000
Chicago Ethanol (Platts) Calendar Spread Option - 2 Month	CE2	OF	1.000000000	25.0000000
Chicago Ethanol (Platts) Calendar Spread Option - 3 Month	CE3	OF	1.000000000	25.0000000
Chicago Ethanol (Platts) Calendar Spread Option - 6 Month	CE6	OF	1.000000000	25.0000000

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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NewNew - Fix Tag Changes for Class IV Milk Options: Resting Orders Elimination - June 23

Effective Sunday, June 23 (trade date Monday, June 24), the FIX tags will be changed for User Defined Spreads (UDS) for Class IV Milk options as follows.

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 Friday, June 21. After 16:00 CT on Friday, June 21, all remaining GT orders for these spreads will be cancelled or deleted by the CME Global Command Center (GCC).

Fix Tag Changes for Class IV Milk Options
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)
Class IV Milk Options	GDK	D8	D9	A9

Please Note: Class III and IV milk options will be in the same UDS group enabling the creation of inter-commodity UDS contracts.

These options will be available for customer testing in New Release on Monday, June 10.

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

CME Globex Messaging Efficiency Program Billing Notification - This Week

Effective this 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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NewNew - iLink Enhancements for Clearing Instructions 

The GCC is aware of an issue affecting CME Globex iLink order entry, that utilizes new FIX tags used for post trade clearing instructions. Customers who have submitted GT orders which include these FIX tags should note that those special instructions will not persist over a weekend. Customers will be required to modify those orders and include the FIX tag values previously submitted during the Sunday Pre-Open to maintain priority in the order book.

Please reference the link below for additional information:
iLink Enhancements for Clearing Instructions

If you have any questions, please contact the CME Global Command Center in the U.S. at +1 800 438 8616, in Europe at +44 20 7623 4747 or in Asia at +65 6532 5010.

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