CME Globex Notices: December 16, 2019

 

Critical System Updates

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

† Denotes update to the article

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 will be available for customer testing in New Release on †Monday, January 13, 2020.

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

Starting Sunday, March 29, 2020 (trade date Monday, March 30), CME Group will launch iLink 3, a new order entry protocol for trading futures, options, and BrokerTec products on CME Globex, 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.

The iLink 3 protocol is currently available in New Release. A new iLink certification suite will be available in AutoCert+ in January 2020; certification is required for all client systems on MSGWs.

iLink 3 Binary Order Entry Timeline
Market Segment ID	Market Segment Description	Production Launch
76	NYMEX Metals, Softs and Alternative Markets Futures; COMEX Futures	Sunday, March 29, 2020
50 68	CME Interest Options CME Equity Futures II; CBOT Equity Futures	Sunday, April 19, 2020
52 54 58 60 70 72 84 88	CME FX Futures and Options II CME and CBOT Equity Options CBOT Interest Rate Options CME, CBOT and MGEX Commodity Options CME, CBOT and MGEX Commodity Futures CBOT Commodity Futures II CBOT Interest Rate Futures CME FX Futures and Options	Sunday, May 3, 2020
56 64 74 78 80 82	NYMEX Emissions Options; NYMEX Energy, Metals, Softs and Alternative Market Options; COMEX Options; DME Options CME Equity Futures – E-mini S&P BMD Futures and Options; NYMEX SEF NYMEX Emissions and Non-Crude Energy Futures DME Futures; NYMEX Crude and Crude Refined Energy Futures CME Interest Rate Futures	Sunday, May 17, 2020

Mock Trading Session:

To support customer experience with the iLink 3 protocol in the CME Globex production environment, CME Group will offer six customer mock trading sessions on:

• Saturday, March 7, 2020
• Saturday, March 21, 2020
• Saturday, March 28, 2020
• Saturday, April 18, 2020
• Saturday, May 2, 2020
• Saturday, May 16, 2020

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.

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

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

Certification of client systems leveraging Drop Copy Market Segment Gateway (MSGW) is not required.

Please find the iLink 3 binary order entry deployment schedule here.

Mock Trading Session:

To support customer experience with the iLink 3 protocol impacts on Drop Copy in the CME Globex production environment, CME Group will offer customer mock trading sessions on the following dates:

 

• Saturday, March 21, 2020
• Saturday, April 18, 2020
• Saturday, May 2, 2020
• Saturday, May 16, 2020

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.

CME Group strongly recommends Drop Copy clients thoroughly test these changes to the encoded iLink messages before migration.

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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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

UpdateUpdate - Bursa Malaysia Derivatives (BMD) USD RBD Palm Olein Options  - Postponed

† Denotes update to the article

†The previously announced launch of Bursa Malaysia Derivatives (BMD) USD RBD Palm Olein Options scheduled for Sunday, December 15, was postponed. 

The new production launch date for Bursa Malaysia Derivatives (BMD) USD RBD Palm Olein options on CME Globex will be announced in future CME Globex notices pending final regulatory approval.

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

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LNG Freight Futures - This Week

Effective this 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 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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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 are currently available for customer testing in New Release.

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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NewNew - Block Cheese Futures and Options - January 12, 2020

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

Block Cheese Futures and Options
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Block Cheese Futures	BLK	DC	316
Options on Block Cheese Futues	BLK	CK; UDS - CX	317

These futures and options will be available for customer testing in New Release on Monday, December 23.

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

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NewNew - Bursa Malaysia Derivatives (BMD) Single Stock Futures and Spreads - January 12, 2020

Effective Sunday, January 12 (trade date Monday, January 13), and pending final regulatory approval, Bursa Malaysia Derivatives (BMD) Single Stock Futures and spreads will be made available for trading on CME Globex.

Bursa Malaysia Derivatives (BMD) Single Stock Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
My EG Service Bhd Futures	FMEG	BS	430
Genting Malaysia Bhd Futures	FGEM	BS	430
Inari Amerthon Bhd Futures	FINA	BS	430
DRB-HICOM Bhd Futures	FDRB	BS	430
Gamuda Bhd Futures	FGAM	BS	430
CIMB Group Holding Bhd Futures	FCIM	BS	430
Hartalega Holding Bhd Futures	FHAR	BS	430
Top Glove Bhd Futures	FTOP	BS	430

These futures and spreads will be available for customer testing in New Release on Monday, December 23.

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Product Changes

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

NewNew - Order Routing and Front-End Audit Trail Requirements - January 2, 2020

Effective on trade date Thursday, January 2, 2020, pending all relevant regulatory review periods, CME, CBOT, NYMEX/COMEX Rule 536.B.2 (“Electronic Audit Trail Requirements for Electronic Order Routing/Front-End Systems”) will be amended with respect to certain audit trail requirements for order routing/front-end systems that connect to Globex. Upon the effective date, Market Regulation will discontinue electronic audit trail examinations of Tier 2 audit trail data. The rule amendments do not require changes for customer systems currently certified to iLink 2 and Audit Trail. The current audit trail format that includes tier 1 and tier 2 will continue to be compliant.

The audit trail requirements on the Client Systems Wiki will be updated by January 2, 2020, to reflect the rule amendments.

Please forward any questions regarding Order Routing and Front-End Audit Trail Requirements to: audittrail@cmegroup.com.

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CME Globex Messaging Efficiency Program - January 2, 2020

Effective trade date Thursday, 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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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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