CME Globex Notices: January 27, 2020

Critical System Updates

Leg Security Description Change on iLink Security Definition Request - March 8

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

† Denotes update to the article

Starting Sunday, March 29 (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.

†iLink 3 Binary Order Entry Update

Effective Wednesday, February 12, CME Group will update the schema to version 4 for iLink 3 in New Release. Version 4 will be used for the production launches, starting Sunday, March 29. Client certification will only be supported on version 4.

With this launch, only version 3 and version 4 messages will be accepted in the New Release environment and CME Globex will only send version 4 messages.

Version 4 includes the following enhancements:

• Change the data type of tag 54-Side from uInt8 to uInt8NULL for the 546-RequestForQuote message
• Addition of new tag 7552-DelayToTime to the following messages:
  • 522 - Execution Report – New Order
  • 531 - Execution Report - Modify
  • 534 - Execution Report - Cancel
  • 523 - Execution Report - Reject
  • 535 - Order Cancel Reject
  • 536 - Order Cancel Replace Reject
  • 558 - Order Mass Action Report
  • 545 - Mass Quote Acknowledgment
  • 547 - Quote Cancel Acknowledgment
  • 546 - Request for Quote Acknowledgment
• New tag 5392- SenderID to the 539-Execution Ack message (*for BrokerTec markets only)

The mandatory AutoCert+ certifications for iLink 3 will use version 4. Session layer certification is required prior to the mock trading session. All client systems must complete the full certification before migrating to iLink 3 in production.

• iLink 3 Session Layer Tests - February 12, 2020

Please note: There are no session layer message changes in schema versions 2, 3, or 4.

• iLink 3 Business Layer Tests -  Availability will be announced in the future Globex Notices

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.

†Client systems must be certified for iLink 3 session layer tests via Autocert+ prior to participate the iLink 3 mock trading sessions.

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, 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.

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.

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

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 and Saturday, May 2, 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.

The mock trading session script will be announced in future CME Globex Notices.

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Product Launches

Tanker Freight Futures - February 9

Effective Sunday, February 9 (trade date Monday, February 10), pending completion of all regulatory review periods, Freight Route TC7 (Baltic) futures and Freight Route TD19 (Baltic) futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

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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NewNew - Monday Premium Quoted Options on Five Major FX Futures - February 23

Effective Sunday, February 23 (trade date Monday, February 24), Monday Premium Quoted options on Five Major FX futures (AUD/USD, GBP/USD, CAD/USD, EUR/USD & JPY/USD) will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

These options will be available for customer testing in New Release on Monday, February 10.

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

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NewNew - TAPS on Dubai Crude Oil  - February 23

Effective Sunday, February 23 (trade date Monday, Monday 24), pending completion of all regulatory review periods, DME TAPS (Trade-at-Assessment Price on Settlement) on Dubai Crude Oil futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort. A TAPS transaction on the Dubai Crude Oil (Platts) futures will allow trades at a differential +/- 10 of the daily Platts Dubai Crude Crude Oil Assessment.

The TAPS products will function similar to the Basis Trade at Index Close (BTIC) products but will use the Platts "Dubai Crude Oil" assessment as the index reference.

These futures will be available for customer testing in New Release on Monday, February 10.

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

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Product Changes

NewNew - Renaming Net Energy Futures and Options 

On Sunday, January 26 (trade date Monday, January 27), the Net Energy futures and options were renamed to NE2 futures and options.

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

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NewNew - Henry Hub Natural Gas Last Day Financial Option - February 9

Effective Sunday, February 9 (trade date Monday, February 10), the listing cycle for Henry Hub Natural Gas Last Day Financial Option will be expanded on CME Globex.

This change will be available for customer testing in New Release on Monday, February 10.

This contract is listed with, and subject to, the rules and regulations of NYMEX.

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NewNew - Change to CME Globex Trading Hours for Black Sea Wheat and Corn Futures and Options - February 23

Effective Sunday, February 23 (trade date Monday, February 24), the trading hours for the following Black Sea Wheat and Corn futures and options will be expanded on CME Globex.

These changes will be available for customer testing in New Release on Monday, February 10.

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

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NewNew - Changes to Crude Oil Options - February 23

Effective Sunday, February 23 (trade date Monday, February 24), pending completion of all regulatory review periods, the following attributes of the crude oil options will be changed as follows:

With this change, the listing cycle change will be amended to ATM +/- 10 strikes at $0.25 plus dynamic strikes at $0.25 for months 1 to 24. Months 25+ dynamic strikes only at $0.25 for these products. Currently, the list listing cycle is dynamic only strikes at $0.25.

These changes will be available for customer testing in New Release on Monday, February 10.

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

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Transfer of NYMEX Ferrous Metals to COMEX – Resting Order Eliminations - Q1 2020

Pending CFTC regulatory review, effective Q1 2020, the following NYMEX Ferrous metals products will be transferred from the NYMEX Designated Contract Market (DCM) to the COMEX DCM. With this change, all CME Group Ferrous metal contracts will be listed on a single DCM.

The transfer of open interest will be administrative in nature as there will be no impact on trading or to the economic value of the contracts.  The contracts will continue to clear at CME Clearing and the commodity codes will remain unchanged.

To effect this change, the contracts will be removed from NYMEX and added to COMEX.  The product codes and Market Segments will not change. The product groups and market data channel changes are detailed below.

There will be no changes to MDP 3.0 functionality or messaging format. The multicast address, source IPs, TCP address, and ports for the channels and Market Segment Gateways are available on the CME FTP and SFTP sites.

Further details will be forthcoming closer to the effective date.

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Transfer of NYMEX UxC Uranium U308 Futures to COMEX – Resting Order Eliminations - Q1 2020

Pending CFTC regulatory review, effective Q1 2020, the UxC Uranium U308 futures (tag 6937-Asset=UX) will be transferred from the NYMEX Designated Contract Market (DCM) to the COMEX DCM.

The transfer of open interest will be administrative in nature as there will be no impact on trading or to the economic value of the contract.  The contract will continue to clear at CME Clearing and the commodity codes will remain unchanged. To effect this change, the contract will be removed from NYMEX and added to COMEX.  The product codes and groups will not change. The market segment, product groups and market data channel changes are detailed below.

There will be no changes to MDP 3.0 functionality or messaging format. The multicast address, source IPs, TCP address, and ports for the channels and Market Segment Gateways are available on the CME FTP and SFTP sites.

Further details will be forthcoming closer to the effective date.

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Events and Announcements

NewNew - Order Routing and Front-End Audit Trail Requirements for iLink 3  

The required audit trail specifications as described in the Client Systems Wiki have been amended in connection with the implementation of iLink 3. Please reference the updated specifications and amend your audit trail accordingly.

All customer systems must be certified iLink 3 prior to going to the production environment.

For additional information, please review the Market Regulation Advisory Notice on order routing and front-end audit trail regulatory requirements.

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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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