CME Globex Notices: September 30, 2019

Critical System Updates

Changes to User Defined Spreads Functionality: Resting Order Eliminations  - October 13

Starting on Sunday, October 13 (trade date Monday, October 14), 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 canceled 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, October 13
50 54 56 58 60 64 68 70 72 74 76 78 80 82 84 88	CME Interest Rate Options 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, CBOT and MGEX Commodity Options CME Equity Futures II; CBOT Equity Futures CME, CBOT and MGEX Commodity Futures CBOT Commodity Futures II KRX Futures; BMD Futures and Options NYMEX Metals, Softs and Alternative Markets Futures; COMEX Futures NYMEX Emissions and Non-Crude Energy Futures DME Futures; NYMEX Crude and Crude Refined Energy Futures CME Interest Rate Futures CBOT Interest Rate Futures CME FX Futures and Options	Available	Q4 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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iLink Enhancements for Order Status Request Acknowledgment - November 17

On Sunday, November 17 (trade date Monday, November 18), CME Group will implement the following iLink enhancements to the Execution Report - Order Status Request Acknowledgment (tag 35-MsgType=8, tag 150-ExecType=I) message. This message is sent in acknowledgment of the Order Status Request message or for each requested order status in response to an Order Mass Status Request.

• Tag 48-SecurityID value from the requested order will be returned on the Execution Report - Order Status Request Acknowledgment (tag 35-MsgType=8, tag 150-ExecType=I) message.
  • Currently, tag 48-SecurityID is only returned only when it is submitted by the client system in the Order Status Request and Order Mass Status Request messages.
• Execution Report - Order Status Request Acknowledgment (tag 35-MsgType=8, tag 150-ExecType=I) message will echo back tag 57-TargetSubID and tag 1028-ManualOrderIndicator values from tag 50-SenderSubID and tag 1028 submitted by the client system in the corresponding order message.
  • Currently, CME Globex returns tag 57 and 1028 values from tag 50-SenderSubID and tag 1028 submitted by the client system in the Order Status Request (tag 35-MsgType=H) and Order Mass Status Request (tag 35-MsgType=AF) messages.

These enhancements will be available for customer testing in New Release on Tuesday, October 1.

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iLink Mandatory Order Handling Flag: Tag 1031 - 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>.

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 canceled 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)	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 is currently available in New Release for customer testing.

Certification is not required for iLink Mandatory Order Handling Flag.

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Decommission of Select ITC Market Data - November 22

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:

• 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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Original Client Order ID Change on Cancel Request - Q4 2019

Effective Q4 2019, to better align with FIX Protocol standards, CME Globex will remove FIX tag 41-OrigClOrdID validation from the Order Cancel Request (tag 35-MsgType=F) message. With this change, tag 41-OrigClOrdID will no longer be required on Order Cancel Request messages. If the tag is present on the Request, CME Globex will return it on the Execution Report (tag35=8, 39=4).

This change is currently available for customer testing in New Release.

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CME Globex Market Segment Gateway Enhancements  - January 26, 2020

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 Acknowledgment 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, 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 CME Equity Futures II; CBOT Equity Futures CBOT Commodity Futures II CME FX Futures and 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 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, March 8, 2020

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Mandatory iLink3 Binary Order Entry Protocol for MSGW - Q2 2020

CME Group is introducing iLink 3, a new order entry protocol for trading futures, options, and BrokerTec products on CME Globex. The iLink 3 protocol is currently available in New Release and with new production parallel channels for futures and options beginning in March 2020. All customers connected via Market Segment Gateway (MSGW) will need to migrate to the iLink 3 by Q4 2020.

iLink 3 includes:

• Simple Binary Encoding (SBE);delivers faster encoding/decoding
• FIX Performance (FIXP) protocol; very simple, lightweight, point-to-point session layer
• More efficient iLink FIX messaging
• Standard message size, fixed positions, and fixed length fields
• Consistent encoding method for order entry and market data

iLink 3 will only support iLink MSGW sessions. The Client Impact Assessment is available and provides detailed functionality and messaging information.

A new iLink certification suite will be available in AutoCert+ in November 2019; certification is required for all client systems on MSGWs.

• August 26, 2019 – iLink 3 available in New Release environment for core functionality for futures and options
• November 2019 – Complete iLink 3 functionality in New Release; Autocert+ certification for futures and options;
• March – April  2020 –  Production launch of iLink 3
• Q4 2020 – Elimination of iLink 2 for MSGW

Further information on the production launch deployment schedule, and mock trading sessions will be published in upcoming CME Globex Notices.

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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Product Launches

BTIC+ and TACO+ Futures on E-mini S&P 500 Futures - This Week

Effective this Sunday, October 6 (trade date Monday, October 7), pending completion of all regulatory review periods BTIC+ and TACO+ futures on E-mini S&P 500 futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Please note: The products do not follow the typical Monday through Friday expiration cycle of daily futures currently listed for trading on CME Globex.

BTIC+ and TACO+ Futures 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	Listing Schedule
Nearby BTIC+ Futures on E-mini Standard & Poor’s 500 Stock Price Index Futures	ES1	SK	318	Nearest 6 Monday, Wednesday, and Friday contract days for the nearest expiring month; and the next Friday; and the last trading day of the month, regardless of the day of the week. (2 Mondays, 2 Wednesdays, 3 Fridays, at any one time, and last trading day of the month)
Deferred BTIC+ Futures on E-mini Standard & Poor’s 500 Stock Price Index Futures	ES2	SK	318	Nearest 3 Monday, Wednesday, and Friday contract days for the second nearest expiring month.
TACO+ Futures on E-mini Standard & Poor’s 500 Stock Price Index Futures	EQ1	4T	318	3rd Friday of 3 consecutive months

These futures have daily settlements and expire into the underlying futures via a BTIC and TACO transaction allowing market participant to trade futures against the closing or opening index value days in advance.

Example: After ES1M905 BTIC+ ceases trading on June 4, 2019, each open contract would be fulfilled by assignment of a June 2019 E-mini S&P 500 BTIC (ESTM9) traded and settled on June 5, 2019.

• ES1 would be fulfilled by assignment of the ES Future that is the “front month” future as of the assignment date.
• ES2 would be fulfilled by assignment of the second-nearest contract month of the ES future.
• EQ1 would be fulfilled by assignment of a “front month” ES future.”

BTIC+ and TACO+ Frequently Asked Questions (FAQ) is now available.

These futures are 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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SGE Gold Futures - October 13

Effective Sunday, October 13 (trade date Monday, October 14), pending completion of all regulatory review periods, SGE Gold futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

SGE Gold Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Shanghai Gold (USD) Futures	SGU	AG	360
Shanghai Gold (CNH) Futures	SGC	AG	360

These futures are currently available for customer testing in New Release.

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

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U.S. LNG Export Futures and Fixing Price - October 13

Effective Sunday, October 13 (trade date Monday, October 14), pending completion of all regulatory review periods, U.S. LNG Export futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

With this launch, a fixing price for U.S. LNG Export futures will be calculated Sunday through Friday and will be disseminated from 5:00 p.m.to 4:00 p.m. Central Time (CT) with a 60-minute break each day beginning at 4:00 p.m. CT.

U.S. LNG Export Futures and Fixing Price
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
U.S. LNG Export Futures	LNG	LN	386

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 will be set to 0 = New
• Tag 269-MDEntryType will be set to W = Fixing Price
• Tag 5796-Trading Reference will display the date for which the marker price was calculated

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.

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MGEX SPIKES ™ Volatility Index Futures and Spreads - November 17

Effective Sunday, November 17 (trade date Monday, November 18), SPIKES™  Volatility Index futures and spreads will be listed for pre-open purposes on CME Globex pending regulatory approval.  The product will open for initial trading on Monday, November 18.  For additional information on spread definitions and examples refer to Spreads and Combinations available on CME Globex.

SPIKES ™ Volatility Index Futures and Spreads
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Tag 762-SecuritySubType	Market Data Channel
SPIKES™  Volatility Index Futures	SPK	MX	RT (Reduced Tick Spread)	460
SPIKES™  Volatility Index Futures TAS	SPT	MV	EC (TAS Calendar Spread)	460

These futures and spreads are currently available for customer testing in New Release.

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

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Product Changes

UpdateUpdate - Rename Micro Metals Futures - October 13

† Denotes update to the article

Effective †Sunday, October 13 (trade date Monday, October 14), and pending all relevant CFTC regulatory review periods, the Micro Metals futures will be renamed.

Rename Micro Metals Futures
Current Product Name	New Product Name	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0: tag 1151 - Security Group
E-micro Gold Futures	Micro Gold Futures	MGC	GC
1,000-oz. Silver Futures	Micro Silver Futures	SIL	SI
E-micro Palladium Futures	Micro Palladium Futures	PAM	PD

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

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Renaming of Micro FX Futures - October 13

Effective Sunday, October 13 (trade date Monday, October 14), pending completion of all CFTC regulatory review periods, the following Micro FX futures will be renamed.

Renaming of Micro FX 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
E-micro British Pound/American Dollar Futures	Micro GBP/USD Futures	M6B	6B
E-micro Australian Dollar/American Dollar Futures	Micro AUD/USD Futures	M6A	6A
E-micro Euro/American Dollar Futures	Micro EUR/USD Futures	M6E	6E
E-micro Canadian Dollar/American Dollar Futures	Micro CAD/USD Futures	MCD	6C
E-micro Japanese Yen/American Dollar Futures	Micro JPY/USD Futures	MJY	6J
E-micro Swiss Franc/American Dollar Futures	Micro CHF/USD Futures	MSF	6S
E-micro Indian Rupee/USD Futures	Micro INR/USD Futures	MIR	6P
E-micro Size USD/Offshore RMB (CNH) Futures	Micro USD/CNH Futures	MNH	RM

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

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NewNew - Change to Non-Reviewable Range for PJM Daily Load Forecast Futures  - October 13

Effective Sunday, October 13 (trade date Monday, October 14), the Non-Reviewable Range for PJM Daily Load Forecast futures will be changed as follows:

Change to Non-Reviewable Range for PJM Daily Load Forecast 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
PJM Daily Load Forecast Futures	PDJ	PW	500	200

The risk parameter settings for these and all CME Globex products are defined in the CME Globex Product Reference.

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

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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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Strike Price Listing Expansion for U.S. Midwest Domestic Hot-Rolled Coil Steel (CRU) Index Average Price Option - November 3

Effective Sunday, November 3 (trade date Monday, November 4), the listing cycle for U.S. Midwest Domestic Hot-Rolled Coil Steel (CRU) Index Average Price options will be expanded on CME Globex.

Strike Price Listing Expansion for U.S. Midwest Domestic Hot-Rolled Coil Steel (CRU) Index Average Price Option
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Listing Schedule	New Listing Schedule
U.S. Midwest Domestic Hot-Rolled Coil Steel (CRU) Index Average Price Option	HRO	H1	3 strikes above and below the at the money strike at $5.00 plus the dynamic strikes at $5.00 above and below the highest and lowest pre-listed strikes	30 strikes above and below the at the money strike at $5.00 plus dynamic strikes at $5.00 above and below the highest and lowest pre-listed strikes for months 1 to 24. Dynamic strikes only at $5.00 for months 25+.

These changes are 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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Events and Announcements

NewNew - Client Systems Wiki Site Maintenance - This Week

Effective this Sunday, October 6, to ensure optimal site performance and security, CME Group will perform recurring weekly scheduled maintenance on the Client Systems Wiki site from approximately 3:00 am – 3:30 am Central Time (CT) on Sundays, and additional maintenance on Friday, October 11 between 5:00 – 9:00 pm CT.

Please plan site visits accordingly, as the Client Systems Wiki may not be available during these maintenance periods.

Please contact your Global Account Manager in the U.S. at 312 634 8700, in Europe at 44 203 379 3754, or in Asia at 65 6593 5505 with any questions.

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Disaster Recovery (DR) Testing - October 26

CME Group is committed to the protection of its members, employees and stakeholders and has a long history of successfully managing risk. In keeping with those traditions, CME Group has a comprehensive business continuity program in place. To ensure customer readiness, CME Group will offer CME Globex & Clearing Disaster Recovery (DR) Failover testing, in conjunction with the Futures Industry Association (FIA) test on Saturday, October 26.

The CME Globex & Clearing DR Failover test is designed to ensure customers can successfully failover to the CME Globex & Clearing DR environment, send orders and fallback to the production environment in case of an emergency.

A detailed time line and testing script is available on the FIA's website.

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