Topics in this issue include:
For the latest roadmap of CME Group technology initiatives:
See the Development Launch Schedule.
† Denotes update to the article
On †Sunday, November 3 (trade date Monday, November 4), CME Group will continue implementing 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 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 | Available |
50 |
CME Interest Rate Options |
Available | November 3 |
| 54 56
58 82 |
CBOT and CME Equity Options CBOT Interest Rate Options CME Interest Rate Futures
|
Available | November 17 |
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, November 3 (trade date Monday, November 4), the maximum order quantity logic for CBOT Treasury Futures Tail User Defined Spreads (UDS) will be enhanced on CME Globex.
The maximum order quantity for all instruments can be found in the Security Definition message (tag 35-MsgType=d) in tag 1140-MaxTradeVol.
Currently, CBOT Treasury Futures Tail UDS have a maximum order quantity equal to the smallest quantity of any underlying leg.
With this enhancement, the Tail spread will always have the same maximum order size as the underlying calendar spread.
This enhancement is currently available in New Release for customer testing.
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.
These enhancements will be available for customer testing in New Release on Tuesday, October 1.
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 applicable CME iLink 2.x order entry messages. With this change, in-scope CME iLink messages without tag 1031-CustOrderHandlingInst or with an invalid value in the tag will be rejected.
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.
Customers are encouraged to implement their changes to CME iLink as soon as possible to facilitate migration. This is a forward-compatible change.
Please review the Client Impact Assessment for additional information and decommission schedules.
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.
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:
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 |
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.
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:
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.
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.
On Sunday, November 17, 2019 (trade date Monday, November 18), CME Group will launch CME Smart Stream on Google Cloud Platform (GCP). CME Smart Stream will offer CME Group market data through Google Cloud Platform (GCP). With the launch of CME Smart Stream, client systems will be able to access data and run operational processes in a cloud-based environment, with the cost-to-access measured in dollars per day.
CME Smart Stream will offer the following Simple Binary Encoded (SBE) market data:
Please review the Client Impact Assessment for additional information.
CME Smart Stream is currently available for customer testing in the New Release environment. Certification via Autocert+ is required for all client systems that will support CME Smart Stream on GCP. The AutoCert+ test suite is now available for certification.
Effective Sunday, November 10 (trade date Monday, November 11), pending completion of all regulatory review periods, U.S. Midwest Shredded Scrap (Platts) futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.
| U.S. Midwest Shredded Scrap (Platts) Futures | |||
|---|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Market Data Channel |
| U.S. Midwest Shredded Scrap (Platts) Futures | SHR | ST | 360 |
These U.S. Midwest Shredded Scrap (Platts) futures are currently available for customer testing in New Release.
These contracts are listed with, and subject to, the rules and regulations of COMEX.
Effective Sunday, November 17 (trade date Monday, November 18), and pending final regulatory approval, Bursa Malaysia Derivatives (BMD) USD RBD Palm Olein options will be made available for trading on CME Globex.
| Bursa Malaysia Derivatives (BMD) USD RBD Palm Olein Options | |||
|---|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Market Data Channel |
| USD RBD Palm Olein options | OPOL | B8 (UDS: B9) | 431 |
These options will be available for customer testing in New Release on Monday, October 21.
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.
Effective Sunday, November 17 (trade date Monday, November 18), the following Freight futures spreads will be listed for trading on CME Globex.
| Listing Freight Futures Spreads | |||
|---|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Tag 762- SecuritySubType |
| Freight Route TC5 (Platts) Futures | TH | FT | SP - Standard Calendar Spread: All Calendar Month Spreads for the front 24 outright months with Implication |
| SA - Energy Strip: Quarter’s for 24 months and 2 yearly strips | |||
| SB - Balanced Strip: All Quarter strip spread combinations and a single yearly strip spread | |||
| Freight Route TC2 (Baltic) Futures | TM | FT | SP - Standard Calendar Spread: All Calendar Month Spreads for the front 24 outright months with Implication |
| SA - Energy Strip: Quarter’s for 24 months and 2 yearly strips | |||
| SB - Balanced Strip: All Quarter strip spread combinations and a single yearly strip spread | |||
| Freight Route TC14 (Baltic) Futures | FRC | FT | SP - Standard Calendar Spread: All Calendar Month Spreads for the front 24 outright months with Implication |
| SA - Energy Strip: Quarter’s for 24 months and 2 yearly strips | |||
| SB - Balanced Strip: All Quarter strip spread combinations and a single yearly strip spread | |||
| Freight Route TC6 (Baltic) Futures | TC6 | FT | SP - Standard Calendar Spread: All Calendar Month Spreads for the front 24 outright months with Implication |
| SA - Energy Strip: Quarter’s for 24 months and 2 yearly strips | |||
| SB - Balanced Strip: All Quarter strip spread combinations and a single yearly strip spread | |||
| Freight Route TC9 (Baltic) Futures | TC9 | FT | SP - Standard Calendar Spread: All Calendar Month Spreads for the front 24 outright months with Implication |
| SB - Balanced Strip: All Quarter strip spread combinations for 24 months and a single yearly strip spread | |||
| Freight Route TC12 (Baltic) Futures | FRS | FT | SP - Standard Calendar Spread: All Calendar Month Spreads for the front 24 outright months with Implication |
| SA - Energy Strip: Quarter’s for 24 months and 2 yearly strips | |||
| SB - Balanced Strip: All Quarter strip spread combinations and a single yearly strip spread | |||
| Freight Route TC15 (Baltic) Futures | T5C | FT | SP - Standard Calendar Spread: All Calendar Month Spreads for the front 24 outright months with Implication |
| SB - Balanced Strip: All Quarter strip spread combinations for 24 months and a single yearly strip spread | |||
| Freight Route TD3C (Baltic) Futures | TL | FT | SP - Standard Calendar Spread: All Calendar Month Spreads for the front 24 outright months with Implication |
| SA - Energy Strip: Quarter’s for 24 months and 2 yearly strips | |||
| SB - Balanced Strip: All Quarter strip spread combinations and a single yearly strip spread | |||
| Freight Route TD20 (Baltic) Futures | T2D | FT | SP - Standard Calendar Spread: All Calendar Month Spreads for the front 24 outright months with Implication |
| SB - Balanced Strip: All Quarter strip spread combinations for 24 months and a single yearly strip spread | |||
| Freight Route TD8 (Baltic) Futures | TD8 | FT | SP - Standard Calendar Spread: All Calendar Month Spreads for the front 24 outright months with Implication |
| SB - Balanced Strip: All Quarter strip spread combinations for 24 months and a single yearly strip spread | |||
| Freight Route TD3C (Platts) Futures | TD3 | FT | SP - Standard Calendar Spread: All Calendar Month Spreads for the front 24 outright months with Implication |
| SA - Energy Strip: Quarter’s for 24 months and 2 yearly strips | |||
| SB - Balanced Strip: All Quarter strip spread combinations and a single yearly strip spread | |||
| Freight Route TD7 (Baltic) Futures | TK | FT | SP - Standard Calendar Spread: All Calendar Month Spreads for the front 24 outright months with Implication |
| SA - Energy Strip: Quarter’s for 24 months and 2 yearly strips | |||
| SB - Balanced Strip: All Quarter strip spread combinations and a single yearly strip spread | |||
| Freight Route TD22 (Baltic) Futures | ACB | FT | SP - Standard Calendar Spread: All Calendar Month Spreads for the front 24 outright months with Implication |
| SA - Energy Strip: Quarter’s for 24 months and 2 yearly strips | |||
| SB - Balanced Strip: All Quarter strip spread combinations and a single yearly strip spread | |||
| Freight Route TD25 (Baltic) Futures | AEB | FT | SP - Standard Calendar Spread: All Calendar Month Spreads for the front 24 outright months with Implication |
| SA - Energy Strip: Quarter’s for 24 months and 2 yearly strips | |||
| SB - Balanced Strip: All Quarter strip spread combinations and a single yearly strip spread | |||
| USGC to UK Continent (Platts) Dirty Freight Futures | USE | FT | SP - Standard Calendar Spread: All Calendar Month Spreads for the front 24 outright months with Implication |
| SA - Energy Strip: Quarter’s for 24 months and 2 yearly strips | |||
| SB - Balanced Strip: All Quarter strip spread combinations and a single yearly strip spread | |||
| USGC to China (Platts) Dirty Freight Futures | USC | FT | SP - Standard Calendar Spread: All Calendar Month Spreads for the front 24 outright months with Implication |
| SA - Energy Strip: Quarter’s for 24 months and 2 yearly strips | |||
| SB - Balanced Strip: All Quarter strip spread combinations and a single yearly strip spread | |||
These spreads will be available for customer testing in New Release on Monday, November 4.
These contracts are listed with, and subject to, the rules and regulations of NYMEX.
† Denotes update to the article
Effective Sunday, January 5, 2020 (trade date Monday, January 6), pending completion of all regulatory review periods, Options on Three-Month SOFR futures will be listed for trading on CME Globex and the CME Trading floor, and for submission for clearing via CME ClearPort.
| Three-Month SOFR Futures Options | ||||
|---|---|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Market Data Channel | New Release Availability |
| Standard | SR3 | JE, UDS-U$ | 313 | †November 4 |
| One-Year Mid-Curve | S0 (“S ZERO”) |
J1, UDS - U$ | 313 | |
| Two-Year Mid-Curve | S2 | J2, UDS - U$ | 313 | |
| Three-Year Mid-Curve | S3 | J3, UDS - U$ | 313 | |
| Four-Year Mid-Curve | S4 | J4, UDS - U$ | 313 | |
| Five-Year Mid-Curve | S5 | J5, UDS - U$ | 313 | |
| Three-Month Mid-Curve | TS2 | JT, UDS - U$ | 313 | |
| Six-Month Mid-Curve | TS3 | J6, UDS - U$ | 313 | |
| Nine-Month Mid-Curve | TS4 | J9, UDS - U$ | 313 | |
| Weekly One-Year Mid-Curve | S01, S02, S03, S04, S05 (“S ZERO 1” ...) |
J1, UDS - U$ | 313 | †November 11 |
| Weekly Two-Year Mid-Curve | S21, S22, S23, S24, S25 | J2, UDS - U$ | 313 | |
| Weekly Three-Year Mid-Curve | S31, S32, S33, S34, S35 | J3, UDS - U$ | 313 | |
† These options will be available for customer testing in New Release on Monday, November 4.
These contracts are listed for trading on, and subject to, the rules and regulations of CME.
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.
Effective Sunday, November 24, (trade date Monday, November 25), Request for Cross (R-Cross) functionality will be enabled for MGEX agriculture futures, options and calendar spread options (CSOs) on CME Globex, pending any regulatory approval.
| Enable R-Cross Functionally for MGEX Products | ||
|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
| National Corn Index Futures | IC | IC |
| MGEX National Corn Index Options | OIC | O1 |
| MGEX Hard Red Winter Index Futures | IH | IH |
| MGEX Hard Red Winter Index Options | OIH | O4 |
| MGEX Hard Red Spring Wheat Index Futures | IP | IP |
| MGEX Hard Red Spring Wheat Index Options | OIP | O5 |
| MGEX National Soybean Index Futures | IS | IS |
| MGEX National Soybean Index Options | OIS | O2 |
| MGEX Soft Red Winter Wheat Index Futures | IW | IW |
| MGEX Soft Red Winter Wheat Index Options | OIW | O3 |
| Non-Consecutive CSO (JUL-DEC) | MP1 | O7 |
| Non-Consecutive CSO (JUL-MAR) | MP2 | O7 |
| Non-Consecutive CSO (JUL-MAY) | MP3 | O7 |
| Non-Consecutive CSO (SEP-MAR) | MP4 | O7 |
| Non-Consecutive CSO (SEP-MAY) | MP5 | O7 |
| Non-Consecutive CSO (SEP-JUL) | MP6 | O7 |
| Non-Consecutive CSO (DEC-MAY) | MP7 | O7 |
| Non-Consecutive CSO (DEC-JUL) | MP8 | O7 |
| Non-Consecutive CSO (DEC-SEP) | MP9 | O7 |
| Consecutive Hard Wheat CSO | MU1 | O7 |
| Annual Hard Wheat CSO (SEP-SEP) | MU2 | O7 |
| Annual Hard Wheat CSO (DEC-DEC) | MU3 | O7 |
| Non-Consecutive CSO (MAR-JUL) | MU4 | O7 |
| Non-Consecutive CSO (MAR-SEP) | MU5 | O7 |
| Non-Consecutive CSO (MAR-DEC) | MU6 | O7 |
| Non-Consecutive CSO (MAY-SEP) | MU7 | O7 |
| Non-Consecutive CSO (MAY-DEC) | MU8 | O7 |
| Non-Consecutive CSO (MAY-MAR) | MU9 | O7 |
| MGEX Hard Red Spring Wheat Futures | MWE | MW |
| MGEX Hard Red Spring Wheat Options | OMW | O6 |
These changes will available in New Release for customer testing on Monday, October 28.
Customer systems must be certified to leverage the R-Cross Functionality.
These contracts are listed with, and subject to, the rules and regulations of MGEX.
The temporary suspension of the European Union Allowance (EUA) futures and options has been extended. Effective Sunday, February 2, 2020 (trade date Monday, February 3), beginning with the February 2020 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.
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 this 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.