• CME Globex Notices: June 17, 2019

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions & Services (GMSS)
      • #
      • 20190617
      • Notice Date
      • 20 June 2019
    • For the latest roadmap of CME Group technology initiatives:
      See the Development Launch Schedule.

      Critical System Updates

      UpdateUpdate -Changes to User Defined Spreads Functionality: Resting Order Eliminations  - Q3 2019

      † Denotes update to the article

      In †Q3 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 FX Futures and Options II
      CME Equity Futures II; CBOT Equity Futures
      CME, CBOT and MGEX Commodity Futures
      CBOT Commodity Futures II
      NYMEX Metals, Softs and Alternative Markets Futures; COMEX Futures
      NYMEX Emissions and Non-Crude Energy Futures
      CME FX Futures and Options
      Available †Q3 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 †Q3 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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      CME Globex Market Segment Gateway Enhancements  - September 8

      Starting Sunday, September 8 (trade date Monday, September 9), CME Group will introduce the following Market Segment Gateway (MSGW) enhancements to further safeguard CME Globex infrastructure.

      With this enhancement, if a Market Segment Gateway (MSGW) iLink session sends a network packet with an incomplete message, that session will be subject to additional processing to ensure the stability of the platform. This processing results in at least 3 microseconds before the message(s) can be sent to the trading engine.

      iLink messages impacted by this enhancement will be flagged in the corresponding Acknowledgement sent from CME Globex.

      Customers are strongly encouraged to ensure all messages are contained within a single network packet by the following methods:

      • Ensure any packet sent to CME group contains only complete messages
      • Limit the number of quote entries in a mass quote message that fits within a single TCP packet
      • Disable nagling, an algorithm that concatenates a number of small buffer messages to decrease the number of sent packets, on your order routing systems

      As a reminder, conduct that disrupts, delays, or overloads the systems or operations of the exchange may be deemed to violate Rule 575 (“Disruptive Practices Prohibited”) or other rules, including Rule 432.Q. (“General Offenses – to commit an act which is detrimental to the interest or welfare of the Exchange or to engage in any conduct which tends to impair the dignity or good name of the Exchange”). Rule 575 further provides that it is a violation to enter or cause to be entered an order where the intent at the time of order entry is to cancel the order before execution. It is also a violation of Rule 575 to intentionally or recklessly enter or cause to be entered an actionable or non-actionable message that may cause an adverse impact on the orderliness of the markets.

      Customers interested in finding out how MSGW enhancements would impact their iLink sessions should contact their 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.

      In internal testing, iLink round trip times at the 75th percentile and above increased at least 10%.

      Please review the Client Impact Assessment for additional information on these Market Segment Gateway enhancements.

      Staring on Monday, July 15, the CME Globex MSGW Enhancements will be available for customer testing in New Release. In addition, the new FIX tags for this enhancement will be available for customer testing in CME AutoCert+ Test Suite - MSGW Protection Enhancements. Certification is not required for these MSGW enhancements.

      CME Group will offer two customer mock trading sessions on Saturday, August 24 and September 7 to support customer experience with the MSGW enhancements in the CME Globex production environment. Customers are required to register in advance in order to participate in this mock trading session. The mock trading session script will be announced in future CME Globex Notices.

      MSGW Enhancements Timeline
      Market Segment ID Market Segment Description Production Launch
      50
      76
      CME Interest Rate Options
      NYMEX Metals, Softs and Alternative Markets Futures; COMEX Futures
      Sunday, September 8, 2019
      54
      68
      72
      88

      CME and CBOT Equity Options
      CME Equity Futures II; CBOT Equity Futures
      CBOT Commodity Futures II
      CME FX Futures and Options

      Sunday, September 22, 2019
      52
      58
      60
      64
      70
      78
      CME FX Futures and Options II
      CBOT Interest Rate Options
      CME, CBOT and MGEX Commodity Options
      CME Equity Futures - E-mini S&P
      CME, CBOT and MGEX Commodity Futures
      NYMEX Emissions and Non-Crude Energy Futures
      Sunday, September 29, 2019

      56
       

      74
      80
      82
      84

      NYMEX Emissions Options; NYMEX Energy, Metals, Softs and Alternative Markets Options; COMEX Options; DME Options

      BMD Futures and Options; NYMEX SEF
      DME Futures; NYMEX Crude and Crude Refined Energy Futures
      CME Interest Rate Futures
      CBOT Interest Rate Futures

      Sunday, October 13, 2019

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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:

      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 ProductionLaunch

      50
      68
      76

      CME Interest Rate Options
      CME Equity Futures II; CBOT Equity Futures
      NYMEX Metals, Softs and Alternative Markets Futures; COMEX Futures

      Sunday, June 30, 2019

      56
       

      58
      60

      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

      Sunday, July 14, 2019

      52
      54
      64
      72
      82

      CME FX Futures and Options I
      CME and CBOT Equity Options
      CME Equity Futures - E-mini S&P
      CBOT Commodity Futures II
      CME Interest Rate Futures

      Sunday, July 21, 2019

      70
      74
      78
      80
      84
      88

      CME, CBOT and MGEX Commodity Futures
      KRX Futures; BMD Futures and Options; NYMEX SEF
      NYMEX Emissions and Non-Crude Energy Futures
      DME Futures; NYMEX Crude and Crude Refined Energy Futures
      CBOT Interest Rate Futures
      CME 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 Changes

      Listing Cycle Expansion for Crude Oil TAS - This Week

      Effective this 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 are currentlly 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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      UpdateUpdate - Changes for Chicago Ethanol Futures and Options: Resting Orders Elimination  - This Week

      † Denotes update to the article

      Effective this Sunday, June 23 (trade date Monday, June 24), the minimum price increment tag 969-MinPriceIncrement and †tag 9787-DisplayFactor 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 this Friday, June 21. After 16:00 CT this 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
      †Current tag 9787-DisplayFactor †New tag 9787-DisplayFactor
      Chicago Ethanol (Platts) Futures CU EL 1.000000000 25.0000000 0.000100000 0.000010000
      Chicago Ethanol (Platts) Average Price Option CVR OF 1.000000000 25.0000000 0.000100000 0.000010000
      Chicago Ethanol (Platts) Calendar Spread Option - 1 Month CE1 OF 1.000000000 25.0000000 0.000100000 0.000010000
      Chicago Ethanol (Platts) Calendar Spread Option - 2 Month CE2 OF 1.000000000 25.0000000 0.000100000 0.000010000
      Chicago Ethanol (Platts) Calendar Spread Option - 3 Month CE3 OF 1.000000000 25.0000000 0.000100000 0.000010000
      Chicago Ethanol (Platts) Calendar Spread Option - 6 Month CE6 OF 1.000000000 25.0000000 0.000100000 0.000010000

      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 - This Week

      Effective this 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 this Friday, June 21. After 16:00 CT this 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 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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      Renaming Gasoil Futures - June 30

      Effective Sunday, June 30 (trade date Monday, July 1), pending completion of all regulatory review periods, the following Gasoil 0.1 futures will be renamed to Gasoil 0.1%.

      Renaming Gasoil Futures
      Current Product Name New Product Name iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Mini Gasoil 0.1 Cargoes CIF NWE (Platts) vs. Low Sulphur Gasoil Futures Mini Gasoil 0.1% Cargoes CIF NWE (Platts) vs. Low Sulphur Gasoil Futures MGF CP
      Gasoil 0.1 Cargoes CIF MED (Platts) vs. Low Sulphur Gasoil BALMO Futures Gasoil 0.1% Cargoes CIF MED (Platts) vs. Low Sulphur Gasoil BALMO Futures 8W CP
      Gasoil 0.1 Barges FOB Rdam (Platts) vs. Low Sulphur Gasoil BALMO Futures Gasoil 0.1% Barges FOB Rdam (Platts) vs. Low Sulphur Gasoil BALMO Futures A6V CP
      Gasoil 0.1 Cargoes CIF NWE (Platts) vs. Low Sulphur Gasoil BALMO Futures Gasoil 0.1% Cargoes CIF NWE (Platts) vs. Low Sulphur Gasoil BALMO Futures 4V CP
      Gasoil 0.1 Cargoes CIF NWE (Platts) BALMO Futures Gasoil 0.1% Cargoes CIF NWE (Platts) BALMO Futures AB7 CP
      Gasoil 0.1 Barges FOB Rdam (Platts) BALMO Futures Gasoil 0.1% Barges FOB Rdam (Platts) BALMO Futures B8 CP
      Gasoil 0.1 Cargoes CIF MED (Platts) BALMO Futures Gasoil 0.1% Cargoes CIF MED (Platts) BALMO Futures X6 CP
      Gasoil 0.1 Barges FOB Rdam (Platts) Futures Gasoil 0.1% Barges FOB Rdam (Platts) Futures AVL RF
      Gasoil 0.1 Barges FOB Rdam (Platts) vs. Low Sulphur Gasoil Futures Gasoil 0.1% Barges FOB Rdam (Platts) vs. Low Sulphur Gasoil Futures AWQ RF
      Gasoil 0.1 Cargoes CIF NWE (Platts) Futures Gasoil 0.1% Cargoes CIF NWE (Platts) Futures TW CP
      Gasoil 0.1 Cargoes CIF NWE (Platts) vs. Low Sulphur Gasoil Futures Gasoil 0.1% Cargoes CIF NWE (Platts) vs. Low Sulphur Gasoil Futures ATU RF
      Gasoil 0.1 Cargoes CIF MED (Platts) Futures Gasoil 0.1% Cargoes CIF MED (Platts) Futures Z4 CP
      Gasoil 0.1 Cargoes CIF MED (Platts) vs. Low Sulphur Gasoil Futures Gasoil 0.1% Cargoes CIF MED (Platts) vs. Low Sulphur Gasoil Futures AZ5 RF
      Mini Gasoil 0.1 Barges FOB Rdam (Platts) vs. Low Sulphur Gasoil Futures Mini Gasoil 0.1% Barges FOB Rdam (Platts) vs. Low Sulphur Gasoil Futures MGB CP

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

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      NewNew - Listing Cycle Expansion for Agricultural TAS Futures and Enabling Spreads - July 15

      Effective Sunday, July 14 (trade date Monday, July 15), the listing cycle for the following Ag TAS Products will be expanded on CME Globex. With this change, TAS vs. TAS calendar spread functionality will be enabled.

      Listing Cycle Expansion for Agricultural TAS Futures and Enabling Spreads
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current Listing Schedule New Listing Schedule
      Live Cattle TAS Futures LET TH 3 contract months 5 contract months and enable calendar spreads on TAS
      Feeder Cattle TAS Futures GFT TH 2 contract months.
      Not currently available for spread trading
      2 contract months (unchanged)
      Enable calendar spreads for TAS
      Lean Hogs TAS Futures HET TH 3 contract months 5 contract months and enable calendar spreads* on TAS
      *No TAS or calendar spreads on May contract month
      Corn TAS Futures ZCT TP 3 contract months 5 contract months and enable calendar spreads on TAS
      Chicago SRW Wheat TAS Futures ZWT TW Calendar months MAR and MAY – 3 contract months
      All other months – 3 contract months
      Calendar months MAR and MAY – 4 contract months and calendar spreads
      All other months – 5 contract months and calendar spreads
      Soybean TAS Futures SBT TA Calendar months JAN, FEB, MAR, APR, SEP and DEC –3 contract months
      All other calendar months – 3 contract months
      Calendar months JAN, FEB, MAR, APR, SEP and DEC – 4 contract months and calendar spreads
      All other calendar months –5 contract months and calendar spreads

      These products will be available for customer testing in New Release on Monday, July 1.

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

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      Temporary Suspension of Three EUA Futures and Options  - October 31

      The temporary suspension of the European Union Allowance (EUA) futures and options has been extended. Effective Thursday, October 31 (trade date Friday, November 1), beginning with the November 2019 contract 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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