Topics in this issue include:
For the latest roadmap of CME Group technology initiatives:
See the Development Launch Schedule.
Starting this Sunday, July 28 (trade date Monday, July 29), 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 |
52 | CME FX Futures and Options II | Available | Sunday, July 28 |
Market Segment ID | Market Segment Description | New Release Launch | Production Launch |
50 58 |
CME Interest Rate Options CBOT Interest Rate Options |
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.
Effective Sunday, September 29 (trade date Monday, September 30), all Hash Message Authentication Codes (HMAC) security keys for iLink and Drop Copy sessions with expiration dates prior to Sunday, September 29, 2019, will be expired and no longer valid for login. Moving forward, expiration of all HMAC security keys on their expiration date will be enforced.
Request Center will continue to display a Red flag next to keys expiring within 4 weeks and email notifications will continue to be sent via a “Security Key Will Expire Soon” email.
If you have any questions, please contact Global Account Management 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 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:
Tag 1031 must be populated by one of the following valid values:
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>.
Please Note: To reduce customer impact, resting Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders with missing or invalid tag 1031 will not be cancelled upon the production launch. Clients are encouraged to modify their resting GTC and GTD orders before the launch to add a valid tag 1031. This change will not impact the order’s priority. Effective with this launch, all Cancel/Replace messages, including those for resting GTC & GTD orders, must include a valid tag 1031. |
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.
† Denotes update to the article
Effective at the close of business †Friday, November 22, 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
Starting Sunday, January 26, 2020 (trade date Monday, January 27), 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:
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, November 4, 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.
Mock Trading Session:
†CME Group will offer two customer mock trading sessions on Saturday, December 14, 2019 and Saturday, January 25, 2020 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, January 26, 2020 |
54 68 72 88 |
CME and CBOT Equity Options |
Sunday, February 9, 2020 |
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, February 23, 2020 |
56 74 |
NYMEX Emissions Options; NYMEX Energy, Metals, Softs and Alternative Markets Options; COMEX Options; DME Options BMD Futures and Options; NYMEX SEF |
Sunday, March 8, 2020 |
This Sunday, July 28 (trade date Monday, July 29), CME Group will continue 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 | ProductionLaunch |
70 |
CME, CBOT and MGEX Commodity Futures |
Sunday, July 28, 2019 |
These Reject Reason text changes are currently available for customer testing in New Release.
Effective Sunday, September 22 (trade date Monday, September 23), CME Group will launch a new Simple Binary Encoding (SBE) Market Data Platform (MDP) Channel named BrokerTec US Treasury Data.
This new channel is designed to provide aggregated data derived from BrokerTec markets for active benchmark products and non-active benchmark products.
BrokerTec US Treasury Data Supported Products | ||
---|---|---|
Active Benchmark Bills
|
||
Active Benchmark Notes and Bonds
|
||
When Issued Bills, Notes & Bonds
|
||
Once Old & Twice Old Off-the-Run Notes and Bonds
|
Please note: This market data channel is unrelated to the upcoming BrokerTec integration with CME Globex.
Please review the Client Impact Assessment for product details, technical specifications and launch schedule.
A market data license is required to gain access and interested customers should contact NEX Data Sales Team for licensing and cost at Enquiries@nexdata.com.
Effective Sunday, August 4 (trade date Monday, August 5), pending completion of all regulatory review periods, Argus WTL Midland Crude Oil futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.
Argus WTL Midland Crude Oil | |||
---|---|---|---|
Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Market Data Channel |
WTL Midland (Argus) vs. WTI Trade Month Futures | WTL | CC | 382 |
WTL Midland (Argus) vs. WTI Calendar Month Futures | TIL | CC | 382 |
†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, August 11 (trade date Monday, August 12), pending completion of all regulatory review periods, LNG Japan/Korea Marker (Platts) Futures-Style Margined Average Price Option will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.
LNG Japan/Korea Marker (Platts) Futures-Style Margined Average Price Option | ||||
---|---|---|---|---|
Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group (Outrights) |
iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group (UDS) |
Market Data Channel |
LNG Japan/Korea Marker (Platts)Futures-Style Margined Average Price Option | JFO | EF | EX | 387 |
This option will be available for customer testing in New Release on Monday, July 29.
These contracts are listed with, and subject to, the rules and regulations of NYMEX.
Effective Sunday, August 11 (trade date Monday, August 12), Eris Swap futures inter-commodity spreads will be listed 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. 3-Year Eris Swap Future | ETR | EV | IV-Implied Treasury Intercommodity Spread |
4-Year Eris Swap Future vs. 5-Year Eris Swap Future | EOF | EV | IV-Implied Treasury Intercommodity Spread |
These spreads will be available for customer testing in New Release on Monday, July 29.
These contracts are listed with, and subject to, the rules and regulations of CBOT.
Effective Sunday, September 8 (trade date Monday, September 9), pending completion of all regulatory review periods, Forward BTICs and Forward TACOs on E-mini S&P 500 Futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.
Forward BTICs and Forward TACOs on E-mini S&P 500 Futures | |||
---|---|---|---|
Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Market Data Channel |
Forward BTIC on Nearby E-mini Standard and Poor’s 500 Stock Price Index Futures | ES1 | SK | 318 |
Forward BTIC on Deferred E-mini Standard and Poor’s 500 Stock Price Index Futures | ES2 | SK | 318 |
Forward TACO on E-mini Standard and Poor’s 500 Stock Price Index Futures | EQ1 | 4T | 318 |
These futures will be available for customer testing in New Release on Monday, August 12.
These contracts are listed with, and subject to, the rules and regulations of CME.
Effective this Sunday, July 28 (trade date Monday, July 29), the listing cycle for the following Monday and Wednesday weekly options will be expanded on CME Globex.
Listing Cycle Expansion for S&P 500 and E-mini S&P 500 Monday and Wednesday Weekly 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 |
E-mini S&P 500 Monday Weekly Options
|
E1A, E2A, E3A, E4A, E5A
|
EW
|
Two nearest weeks of E1A, E2A, E3A, E4A, E5A
|
Four nearest weeks of E1A, E2A, E3A, E4A, E5A
|
E-mini S&P 500 Wednesday Weekly Options
|
E1C, E2C, E3C, E4C, E5C
|
EW
|
Two nearest weeks of E1C, E2C, E3C, E4C, E5C
|
Four nearest weeks of E1C, E2C, E3C, E4C, E5C
|
S&P 500 Monday Weekly Options | S1A, S2A, S3A, S4A, S5A
|
OS
|
Two nearest weeks of S1A, S2A, S3A, S4A, S5A
|
Four nearest weeks of S1A, S2A, S3A, S4A, S5A
|
S&P 500 Wednesday Weekly Options | S1C, S2C, S3C, S4C, S5C
|
OS
|
Two nearest weeks of S1C, S2C, S3C, S4C, S5C
|
Four nearest weeks of S1C, S2C, S3C, S4C, S5C
|
These options are currently available for customer testing in New Release.
These contracts are listed with, and subject to, the rules and regulations of CME.
Effective this Sunday, July 28 (trade date Monday, July 29), the listing cycle for the following Crude Oil Mid-Curve Options will be expanded on CME Globex.
Additionally, the pre-listed strike price rule will extend to the new listed contract months; Minimum 20 strikes at $0.50 per barrel strike increment above and below the at-the-money strike then 10 strikes at $2.50 per barrel strike increment above and below the highest and lowest $0.50 per barrel increment strikes plus dynamic strikes at $0.50 per barrel strike increment.
Listing Cycle Expansion for Crude Oil Mid-Curve 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 |
Crude Oil Mid-Curve Option 1 Year | LM1 | LO | Monthly contracts listed for the nearest June and December contract months with underlying contracts 12 months into the future. | Monthly contracts listed for the 2 nearest June and 2 nearest December contract months. The underlying for each contract month is 12 months into the future. |
Crude Oil Mid-Curve Option 2 Year | LM2 | LO | Monthly contracts listed for the nearest June and December contract months with underlying contracts 24 months into the future. | Monthly contracts listed for the 2 nearest June and 2 nearest December contract months. The underlying for each contract month is 24 months into the future. |
Crude Oil Mid-Curve Option 3 Year | LM3 | LO | Monthly contracts listed for the nearest June and December contract months with underlying contracts 36 months into the future. | Monthly contracts listed for the 2 nearest June and 2 nearest December contract months. The underlying for each contract month is 36 months into the future. |
Crude Oil Mid-Curve Option 4 Year | LM4 | LO | Monthly contracts listed for the nearest June and December contract months with underlying contracts 48 months into the future. | Monthly contracts listed for the 2 nearest June and 2 nearest December contract months. The underlying for each contract month is 48 months into the future. |
Crude Oil Mid-Curve Option 5 Year | LM5 | LO | Monthly contracts listed for the nearest June and December contract months with underlying contracts 60 months into the future. | Monthly contracts listed for the 2 nearest June and 2 nearest December contract months. The underlying for each contract month is 60 months into the future. |
These options 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, August 11, for trade date Monday, August 12, implied functionality will be disabled on the following CME FX futures outrights and all SD calendar spreads (i.e., serial-to-serial, serial-to-quarterly, and quarterly-to-quarterly).
Implied Functionality Disabled on CME FX Futures and SD Calendar Spreads | ||
---|---|---|
Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
British Pound (GBP/USD) Futures | 6B | 6B |
Canadian Dollar (CAD/USD) Futures | 6C | 6C |
Euro FX (EUR/USD) Futures | 6E | 6E |
Japanese Yen (JPY/USD) Futures | 6J | 6J |
Australian Dollar (AUD/USD) Futures | 6A | 6A |
Euro/British Pound (EUR/GBP) Futures | RP | FB |
This change is currently available for customer testing in New Release.
Effective Sunday, August 11 (for trade date Monday, August 12), the following changes will be made to the EUR/USD and JPY/USD futures calendar spreads:
Please Note: To facilitate the change, customers are asked to cancel all Good ‘Till Cancel (“GTC”) and Good ‘Till Date (“GTD”) orders for EUR/USD and JPY/USD futures calendar spreads after the close on Friday, August 9. After 16:00 CT on Friday, August 9 all remaining GT orders for these spreads will be deleted by the CME Global Command Center (“GCC”). |
Changes to FX Futures Calendar Spreads – Resting Order Eliminations | |||||
---|---|---|---|---|---|
Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Current Tag 969-MinPriceIncrement | New Tag 969-MinPriceIncrement | Tag 762-SecuritySubType |
Euro/US Dollar (EUR/USD) Futures | 6E | 6E | 0.500000000 | 0.2000000 | SD |
Japanese Yen/US Dollar (JPY/USD) Futures | 6J | 6J | 0.500000000 | 0.2000000 | SD |
This change is currently available for customer testing in New Release.
These contracts are listed with, and subject to, the rules and regulation of CME.
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.
The initial set of documentation for BrokerTec markets integration on to CME Globex APIs is now available in the BrokerTec Support Portal. To access the BrokerTec Support Portal you must be an existing customer or vendor with a signed Non-Disclosure Agreement (NDA) in place with BrokerTec.
If you are interested in these services, please contact Global Account Management 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.