• CME Globex Notices: June 3, 2019

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions & Services (GMSS)
      • #
      • 20190603
      • Notice Date
      • 06 June 2019

    • Topics in this issue include:

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

      Critical System Updates

      NewNew - Resting Order Eliminations for User-Defined Spreads - This Friday

      After the close this Friday, June 7, resting Good Till Cancel (GTC) and Good Till Date (GTD) orders on all User-Defined Spreads will be eliminated.

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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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      UpdateUpdate -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.

      † The Fresh Bacon (IB), VIX WTI (OIVY) and VIX WTI (GIVY) indexes have been added to the ITC Index Roadmap.

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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:

      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

      Fertilizer Futures - This Week

      Effective this 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 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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      Product Changes

      Changes to Non-Reviewable Ranges for USD-Denominated Ibovespa Index Futures - This Week

      Effective this 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 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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      Listing Cycle Expansion for Light Sweet Crude Oil Futures and Options - This Week

      Effective this 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 are cirrently 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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      CME FX Option Changes  - This Week

      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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      NewNew - Listing Cycle Expansion for Crude Oil TAS - June 23

      Effective Sunday, June 23 (trade date Monday, June 24), the listing cycle for the following Crude Oil TAS will be expanded on CME Globex.

      Crude Oil 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
      Crude Oil TAS CLT CT Monthly contracts listed for seven consecutive months A maximum of 15 TAS eligible contract months consisting of 13 consecutive months and two June and two December contract months.

      These futures 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 NYMEX.

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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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      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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CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

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