CME Globex Notices: December 2, 2019

 

Critical System Updates

Mandatory iLink 3 Binary Order Entry Protocol for MSGW - Available Now in New Release

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 starting March 29, 2020 through May 17, 2020, over 4 launch weekends. 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.

Starting Wednesday, November 6, 2019, CME Group will update the schema for iLink 3 to support the following message enhancements for BrokerTec markets. The New Release launch information for BrokerTec markets is now available.

• Remove old template IDs for the following messages:
  • 541 - Security Definition Request
  • 542 - Security Definition Response
• Add new template IDs for the following messages:
  • 560 - Security Definition Request
  • 561 - Security Definition Response
  • 539 - Execution Ack
• Add new repeating group for MIFID reporting to the following messages:
  • 518 - Party Details Definition Request 
  • 519 - Party Details Definition Request Acknowledgment
  • 538 - Party Details List Report
• Add tag 9765-PossRetransFlag to the following messages:
  • 545 - Mass Quote Acknowledgment
  • 547 - Quote Cancel Acknowledgment
  • 558 - Order Mass Action Report
  • 546 - Request for Quote Acknowledgment
• Add null value to the following data types:
  • uInt64NULL
  • Decimal64NULL

The new version 2 schema is currently available in New Release for customer testing.

Please note: Templates are backward compatible for iLink 3 massages sent from Client system to CME Globex; however CME Globex will only send messages using the latest version of a message schema.

A new iLink certification suite will be available in AutoCert+ in January 2020; certification is required for all client systems on MSGWs.

• Available Now – iLink 3 available in New Release environment for core functionality for futures and options
• November 25, 2019 – Complete iLink 3 functionality for futures and options in New Release
• March 28, 2020 through May 17, 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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Drop Copy Impact: iLink 3 Binary Order Entry Protocol for MSGW - Available Now in New Release

Starting Sunday, March 29, 2020, CME Group will introduce iLink 3, a new order entry protocol on CME Globex. When source sessions for Drop Copy migrate to iLink 3, the encoded payload messages sent on Drop Copy will be in ASCII format but will reflect the following changes:

• Deprecated message tags
• Change to FIX Type for Tag 548-CrossID
• Additional Enumeration for Tag 59-TimeInForce

The Client Impact Assessment is available and provides detailed information on the changes to the encoded iLink 3 messages.
Certification of client systems leveraging Drop Copy Market Segment Gateway (MSGW) is not required. 

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

CME Group strongly recommends Drop Copy clients thoroughly test these changes to the encoded iLink messages before migration.
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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Decommission of Select ITC Market Data - Q1 2020

In Q1 2020, 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 is currently a parallel period from the Settlements and Valuations production launch and decommission of select ITC market data. In Q1 2020, the following ITC market data impacts will be implemented:

• 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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Leg Security Description Change on iLink Security Definition Request - March 8, 2020

On Sunday, March 8 (trade date Monday, March 9), to better align with iLink 3 Binary Order Entry Protocol, CME Globex will change FIX tag 620-LegSecurityDesc validation for the Security Definition Request (tag 35-MsgType=c) message.   Currently, CME Globex validate tag 620-LegSecurityDec in Security Definition Request, and the message is rejected if this tag is not included.  With this change, if the tag 620-LegSecurityDesc is not present, but the Security Definition Request contains tag 602-LegSecurityID, CME Globex will accept the message.

The Security Definition Request will be rejected with a Business Level Reject (35=j) message if the Security Definition Request:

• does not contain both tag 620-LegSecurityDesc and tag 602-LegSecurityID, the reject message will include the following tag 58-Text=<Business Reject: Required Fields Missing 'Missing fields: LEG_SECURITY_DESC (620) and LEG_SECURITY_ID (602)'>.  
• does not contain tag 620-LegSecurityDesc, but contains an invalid value for tag 602-LegSecurityID, the reject message will include the following tag 58-Text=< Business Reject: Required Fields Invalid 'Invalid fields: LEG_SECURITY_DESC (620) and LEG_SECURITY_ID (602)’>

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

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CME Globex Market Segment Gateway Enhancements  - May 17, 2020

The previously announced mock trading sessions and launches of CME Globex Market Segment Gateway (MSGW) Enhancements have been postponed.  The new production launch schedule will start on Sunday, May 17, 2020.

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 Wednesday, February 12, 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 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, April 18, 2020 and Saturday, May 2, 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, May 17, 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, May 31, 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, June 7, 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, June 21, 2020

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Product Launches

Bursa Malaysia Derivatives (BMD) USD RBD Palm Olein Options - December 15

Effective Sunday, December 15 (trade date Monday, December 16), 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 are currently available for customer testing in New Release.

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NewNew - LNG Freight Futures - December 22

Effective Sunday, December 22 (trade date Monday, December 23), pending completion of all regulatory review periods, the following LNG Freight futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

LNG Freight Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
LNG Freight Route BLNG3 (Baltic) Futures	BF3	FT	386
LNG Freight Route BLNG2 (Baltic) Futures	BF2	FT	386
LNG Freight Route BLNG1 (Baltic) Futures	BF1	FT	386

These LNG futures will be available for customer testing in New Release on Monday, December 16.

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

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Three-Month SOFR Options on Futures - January 5, 2020

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	Available
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	Available
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 contracts are listed for trading on, and subject to, the rules and regulations of CME.

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Options on Bitcoin Futures - January 12, 2020

Effective Sunday, January 12 (trade date Monday, January 13), pending completion of all regulatory review periods, options on Bitcoin futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Options on Bitcoin Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Options on Bitcoin Futures	BTC	B2; B4 – UDS	319

These options will be available for customer testing in New Release on Monday, December 9.

CME Group recommends all system providers use FIX tag-202 Strike Price in the Security Definition (tag 35-MsgType=d) message to determine strike price.

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

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Product Changes

NewNew - Delisting and Removal of Energy Futures - This Week

On Monday, December 2, the following energy futures were delisted, and effective close of business Friday, December 6, these futures will be removed from CME Globex.

Delisting and Removal of Energy Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
Henry Hub Natural Gas Last Day Physically-Delivered Futures	MNG	NG
CBL California Carbon Allowance Vintage-Specific 2016 Futures	C6C	VX

These futures currently have no open interest.

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Change to Maximum Order Quantity for E-mini Russell 2000 Index Futures - December 15

Effective Sunday, December 15 (trade date Monday, December 16), the maximum order quantity for E-mini Russell 2000 Index futures and BTICs will be changed as follows:

Change to Maximum Order Quantity for E-mini Russell 2000 Index Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current tag 1140-MaxTradeVol	New tag 1140-MaxTradeVol
E-mini Russell 2000 Index Futures	RTY	RY	500	1000
BTIC on E-mini Russell 2000 Index Futures	RLT	RT	500	1000

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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Listing Cycle Expansion for Bitcoin Futures - December 15

Effective Sunday, December 15 (trade date Monday, December 16), the listing cycle for Bitcoin futures will be expanded on CME Globex.

Listing Cycle Expansion for Bitcoin Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Listing Schedule	New Listing Schedule
Bitcoin Futures	BTC	BF	Two quarterly and two serial months	Six consecutive months and *two additional December contract months *If December is one of the six monthly contracts, only one additional December contract will be listed

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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Listing Cycle Expansion for Copper Futures - December 15

Effective Sunday, December 15 (trade date Monday, December 16), the listing cycle for the following Copper futures  will be expanded on CME Globex.

Listing Cycle Expansion for Bitcoin Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Listing Schedule	New Listing Schedule
Copper Futures	HG	HG	Monthly contracts listed 24 consecutive months and any March, May, July, September, and December in the nearest 60 Months	Monthly contracts listed 24 consecutive months and any March, May, July, September, and December in the nearest 63 Months

These are currently will be 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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Listing Cycle Expansion for NY Harbor ULSD TAS and RBOB (Blendstock) Gas TAS Calendar Spreads - December 15

Effective Sunday, December 15 (trade date Monday, December 16), the listing cycle for the following NY Harbor ULSD TAS and RBOB (Blendstock) Gas TAS calendar spreads  will be expanded on CME Globex.

Listing Cycle Expansion for NY Harbor ULSD TAS and RBOB (Blendstock) Gas TAS Calendar Spreads
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Spread Listing Schedule	New Spread Listing Schedule
NY Harbor ULSD TAS	HOT	CT	Calendar spreads for the first 4 TAS eligible months	Calendar spreads for the first 6 TAS eligible months
RBOB (Blendstock) Gas TAS	RBT	CT	Calendar spreads for the first 4 TAS eligible months	Calendar spreads for the first 6 TAS eligible months

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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Temporary Suspension of Three EUA Futures and Options  - February 2, 2020

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.

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Events and Announcements

BrokerTec CME Globex New Release Environment Access 

In preparation for the BrokerTec markets launch on CME Globex in Q4 2020, customers and vendors will need to begin to develop and test their applications via CME Globex New Release Environment. The New Release Environment supports products, messaging and functionality testing prior to production launch. Basic functionality for all APIs is currently available in the New Release Environment.
All BrokerTec customers will be required to establish connectivity to the CME Globex New Release Environment prior to testing. Customers may choose one of two ways to connect:

• CME Cert VPN - which uses a secure, encrypted tunnel through an Internet service that supports VPN protocols
• CME Cert Data Center - which allows customers to cross connect to CME Data Center locations where this option is offered, using a 1Gbps fiber handoff.

Internet access to the New Release environment for the CME STP and CME STP FIX APIs is also available now.

To request connectivity to the CME Globex New Release Environment for BrokerTec:

• BrokerTec customers who are new to CME Group must submit a Certification/New Release Environment Access Request and Change Form.  This form can be found on 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.  
• BrokerTec customers who already have a CME Cert VPN or CME Cert Data Center connection should contact their Global Account Manager to request that their existing connection be configured to connect to BrokerTec in the New Release Environment.

Learn more about how to get set up to test in the CME Globex New Release Environment:

If you have any questions, please contact your CME Global Account Manager in the U.S.: +1 312 634 8700, in Europe +44 203 379 3754 or in Asia +65 6593 5505 for additional information.

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CME Globex Hub Traffic Shaping Change - December 14

On Saturday, December 14, 2019, CME Group will modify traffic shaping from 1Gbps to 2Gbps at CME Globex Hubs in Hong Kong, Kuala Lumpur, Seoul, Singapore and Tokyo. Billing for customers with active 10Gbps interfaces at these locations will change to full price, $2,000 USD per month on Saturday, December 14, 2019.

As previously announced in late 2018, CME Group advised CME Globex Hub customers that traffic shaping in the APAC region would be modified from 1Gbps to 2Gbps at a later date with CME Group providing 4 weeks advance notice of the scheduled change.

For any questions, please contact your Global Account Manager.

Global Account Management:
U.S.: +1 312 634 8700 gam@cmegroup.com
Europe: +44 20 3379 3754 gamemea@cmegroup.com
Asia: +65 6593 5505 gamasia@cmegroup.com

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CME Globex Messaging Efficiency Program - January 2, 2020

Effective trade date January 2, 2020, ZQ-Fed Fund Futures will be added to the CME Globex Messaging Efficiency Program with the following Product Group Benchmarks:

• Tier 1 (>60,000 messages): 15:1
• Tier 2 (>40,000 messages): 30:1
• Tier 3 (>20,000 messages): 45:1
  

Additionally, Excessive Messaging Thresholds (EMT) will apply to all Product Groups that are included in the CME Globex Messaging Efficiency Program starting trade date January 2, 2020 and are in effect during all trade dates and hours in which the Globex platform is open.

The CME Globex Messaging Efficiency Program creates fair business guidelines by which customers are issued a surcharge for overly high message rates.

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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