• CME Globex Notices: April 27, 2020

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions & Services (GMSS)
      • #
      • 20200427
      • Notice Date
      • 30 April 2020
    • For the latest roadmap of CME Group technology initiatives:
      See the Development Launch Schedule.

      Critical System Updates

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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, May 17 (trade date Monday, May 18), 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:

      During the iLink 2 to 3 session migration, any MSGW sessions configured for iLink 3 must send iLink 3 messages if market segments are migrated to iLink 3, and send iLink 2 messages if market segments have not yet migrated to iLink 3.  A new MSGW config.xml file with a flag to indicate for each MSGW if it is enabled for iLink 3 is now available for customer download from CME Group SFTP site.

      All client systems must complete the full certification before migrating to iLink 3 in production. All iLink 3 tests are now available in Autocert+.

      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, May 17, 2020
      50
      †64
      CME Interest Rate Options
      †CME Equity Futures – E-mini S&P
      Sunday, May 31, 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, June 7, 2020

       

      56
       

      68
      74
      78
      80
      82

      NYMEX Emissions Options; NYMEX Energy, Metals, Softs and Alternative Market Options; COMEX Options; DME Options

      †CME Equity Futures II; CBOT Equity Futures
      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, June 21, 2020

       

      Mock Trading Session:

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

      • Saturday, May 2, 2020
      • Saturday, May 16, 2020*
      • Saturday, May 30, 2020*
      • Saturday, June 6, 2020*
      • Saturday, June 20, 2020*

      Customers are required to register in advance in order to participate in this mock trading session. The updated mock trading session script is now available.

      *For any customers who plan to keep their sessions on iLink 3 for production launch weekends, in addition to registering those sessions for the mock they must also update the session protocol in CME Request Center by Friday prior to each iLink 3 production launch weekend.

      For the iLink 2 to 3 migration, CME Group does not require customers to obtain new iLink sessions. Customers will have the ability to migrate their existing iLink sessions from iLink 2 to 3 within the CME Request Center starting Sunday, March 15.  For all existing migrated sessions, standard Session Policy Charges will apply. 

      Please Note: Customers who chose to create new iLink sessions to facilitate this migration will be subject to the standard Port Activation charges.  However, the Monthly Inactivity charges will be waived for these new iLink sessions during the iLink 3 rollout from May 1 through July 31, after which standard Session Policy charges will apply.

      Client systems must be certified for all iLink 3 tests via Autocert+ prior to participate the iLink 3 mock trading sessions. Please note that only iLink 3 sessions will be available for testing CME Globex markets during the mock trading sessions

      †iLink 3 Message Specification Update

      †The iLink 3 message specification in the Client Systems Wiki has been updated to accurately reflect validation and description for iLink 3 messages:

      Please contact your Global Account Manager for additional information.

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

      As noted in the CME Globex Notice on January 30, 2020, the required audit trail specifications in the Client Systems Wiki were amended in connection with the implementation of iLink 3.

      All customer systems must be certified for Audit Trail for 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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      Drop Copy Impact: iLink 3 Binary Order Entry Protocol for MSGW - Available Now in New Release

      Starting Sunday, May 17, 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 see the iLink 3 binary order entry deployment schedule.

      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, May 2, 2020
      • Saturday, May 16, 2020
      • Saturday, May 30, 2020
      • Saturday, June 6, 2020
      • Saturday, June 20, 2020

      The updated mock trading session script is now available.

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

      Please contact your Global Account Manager for additional information.

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      CME Globex Updates: Market Segment and MDP 3.0 Channel Migrations  - May 17

      Effective Sunday, May 17 (for trade date Monday, May 18), to better align related markets across the platform, the following changes will be applied to CME Globex market segments and MDP 3.0 market data channels.

      • All futures currently listed on market segment 72 will migrate to segment 70.
      • Good Till Cancel and Good Till Date (GTC and GTD) orders will migrate with the markets.
      • Market Data for all migrated products will be published on channel 340.
      • The updated config.xml files for MDP will be available at launch.
      • The Non-tradeable Synthetic Futures Spreads will migrate from Security Group 03 to 05. The Security Group is found in the MDP 3.0 Security Definition message, tag 1151; and iLink tag 55-Symbol.
      Product CME Globex Product Code Current Market Segment ID New Market Segment ID Current MDP 3.0 Channel New MDP 3.0 Channel
      Denatured Fuel E thanol Futures and Spreads EH 72 70 346 340
      Oat Futures and Spreads ZO 72 70 346 340
      Soybean Oil Futures and Spreads ZL 72 70 346 340
      Test Soybean Futures and Spreads 00S 72 70 346 340
      Soybean Oil TAS Futures and Spreads ZLT 72 70 346 340
      Soybean Futures and Spreads ZS 72 70 346 340
      BTIC on Bloomberg Roll Select Commodity Index Futures and Spreads DRT 72 70 346 340
      Soybean Meal Futures and Spreads ZM 72 70 346 340
      Soybean Meal TAS Futures and Spreads ZMT 72 70 346 340
      Bloomberg Roll Select Commodity Index Futures and Spreads DRS 72 70 346 340
      Rough Rice Futures and Spreads ZR 72 70 346 340
      Soybean TAS Futures and Spreads SBT 72 70 346 340
      Denatured Fuel Ethanol Forward Month Futures and Spreads FZE 72 70 346 340
      Mini Soybean Futures and Spreads XK 72 70 346 340
      BTIC on Bloomberg Commodity Index Futures and Spreads AWT 72 70 346 340
      Bloomberg Commodity Index Futures and Spreads AW 72 70 346 340
      Non-tradeable Synthetic Futures Spreads BCX, SOM, QC4, QM2, QM3, QM4, QM5, QM6, QO2, QO3, QO4, QO5, QO6, QS0, QS1, QS2, QS3, QS5, QS8, QS9, QX5, S7C, SQ2, SQ5 72 70 346 340

      In internal testing, these changes increased round-trip times for iLink less than 5% at the 50th percentile.

      With this change, market segment 72 will not have any listed markets, and MDP channel 346 will only publish heartbeats. CME Group intends to use this MDP 3.0 channel again soon and strongly encourages clients to keep the channel information in their configurations.

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

      Effective Sunday, June 21 (trade date Monday, June 22), the following additional changes will be made:

      • All products on market segment 54 except the standard and e-mini S&P 500 options markets will migrate to market segment 72.
      • The standard S&P 500 options markets will migrate to MDP 3 channel 311 (currently on 319)
      • User-Defined Spreads, Good Till Cancel and Good Till Date (GTC and GTD) orders will migrate with the markets, except for standard S&P 500 options.
      • Market data will continue to be published on channels 311, 319 and 343.
      • Market data channels 319 and 343 will reflect new source IPs.
      • The updated config.xml files for MDP and MSGW will be available at launch.
      Product CME Globex Product Code Current Market Segment ID New Market Segment ID MDP 3.0 Channel
      Test Nikkei 225 (YEN) Options 0NK 54 72 319
      Test E-mini Dow ($5) 0OY 54 72 343
      Test E-mini S&P 500 Options 0SO 54 54 311
      Options on Bitcoin Futures BTC 54 72 319
      E-mini S&P 500 Monday Weekly Options E1A-E5A 54 54 311
      Wednesday Weekly Options on E-mini S&P 500 Futures E1C-E5C 54 54 311
      E-mini S&P 400 Options EMD 54 72 319
      E-mini S&P 500 Options ES 54 54 311
      S&P 500 End Of Month Options EV 54 54 311
      S&P 500 Weekly Options EV1-EV5 54 54 311
      E-mini S&P 500 EOM Option EW 54 54 311
      E-mini S&P 500 Weekly Options EW1-EW5 54 54 311
      E-mini Dow ($5) End of Month Options EYM 54 72 343
      Weekly Options on E-mini S&P MidCap 400 Futures ME1-ME5 54 72 319
      Nikkei/Yen Quarterly Options NKW 54 72 319
      Option on Yen Denominated Nikkei Stock Average Futures NKY 54 72 319
      E-mini Nasdaq 100 Options NQ 54 72 319
      E-mini Dow ($5) Options OYM 54 72 343
      E-mini Nasdaq 100 Weekly Options QN1-QN5 54 72 319
      E-mini Nasdaq 100 End-of-Month Options QNE 54 72 319
      Weekly Options on E-mini Russell 2000 Futures R1E-R5E 54 72 319
      Options on E-mini Russell 2000 Index Futures - End-of-Month RTM 54 72 319
      Options on E-mini Russell 2000 Index Futures RTO 54 72 319
      S&P 500 Monday Weekly Options S1A-S5A 54 54 311
      S&P 500 Wednesday Weekly Options S1C-S5C 54 54 311
      E-mini S&P 600 SmallCap Options SMC 54 72 319
      S&P 500 Options SP 54 54 311
      E-mini Dow ($5) Weekly Options YM1-YM5 54 72 343

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

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      Decommission of Select ITC Market Data - May 29

      On Friday, May 29, 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. On Friday, May 29, 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

      Real-time trading floor data and indexes, 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 - June 21

      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 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.

      The CME Globex MSGW enhancements are currently 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, May 30 and Saturday, June 6, 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.

      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, June 21, 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, July 12, 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, July 26, 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, August 2, 2020

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      Product Launches

      Options on One-Month SOFR Futures  - This Week

      Effective this Sunday, May 3 (trade date Monday, May 4), pending completion of all regulatory review periods, options on One-Month SOFR futures will be listed for trading on CME Globex and the CME Trading Floor, and for submission for clearing via CME ClearPort.

      Options on One-Month SOFR Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Market Data Channel ITC Code
      Options on One-Month SOFR Futures SR1 JA, UDS-JB 313 S1O (oh)

      These options 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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      Product Changes

      Changes to Variable Tick for Bitcoin Options - This Week

      Effective Sunday, May 3 (trade date Monday, May 4), CME Group will modify the tick increment of Bitcoin options to a variable minimum tick increment defined in tag 969-MinPriceIncrement in the instrument’s Security Definition Message (tag 35-MsgType=d). Currently, these instruments use a fixed tick increment Tag 969-MinPriceIncrement=5. With this change, a new Variable Tick Index Code "13" will be introduced to the Variable Tick Table.

      Please Note: To facilitate this change, customers will be asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders for the affected products by the close on Friday, May 1. After 16:00 CT on Friday, May 1, any remaining GT orders will be canceled or deleted by the CME Global Command Center (GCC).
      Options on Bitcoin Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Bitcoin Options BTC B2; UDS - B4

      The variable minimum tick increment for Bitcoin options will be as follows:

      Variable Tick Table Index Code CME Globex Price CME Globex Tick Size
      13 -25 ≤ P ≤ 25 1
      13 P < -25 5
      13 P > 25 5

      The Variable Tick Table (VTT) values are defined in the instrument’s Security Definition Message (tag 35-MsgType=d) in tag 6350-TickRule tick table value as described online.

      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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      NewNew - Changes to Price and Strike Price Eligibility Flags for Certain DME Energy Products - This Week

      Effective this Sunday, May 3 (trade date Monday, May 4), to support negative pricing and strikes, the MDP 3 Security Definition (tag 35-MsgType=d) for the following DME Energy outright futures and options on CME Globex will be flagged as eligible to trade at negative prices and list negative strike prices.

      Changes to Price and Strike Price Eligibility Flags for Certain DME Energy Products
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Market Data Channel
      Brent (Singapore Marker) vs. DME Oman Crude Oil Futures BDS DE 440
      Brent vs. Dubai (Platts) Crude Oil BALMO Futures DHI DE 440
      Brent vs. Dubai (Platts) Crude Oil Futures DBI DE 440
      DME Oman vs. Dubai (Platts) Crude Oil Futures DDO DE 440
      Dubai Crude Oil (Platts) Average Price Option DAH 10
      (UDS: 20)
      441
      Dubai Crude Oil (Platts) BALMO Futures DDI DE 440
      Dubai Crude Oil (Platts) Futures DCD DE 440
      Singapore Jet Kerosene (Platts) vs. DME Oman Crude Oil Futures DKR DE 440
      Singapore Mogas 92 Unleaded (Platts) vs. DME Oman Crude Oil Futures DDE DE 440
      Singapore Fuel Oil 180 cst (Platts) Futures DUP DE 440
      Singapore Fuel Oil 380 cst (Platts) Futures DSE DE 440
      Singapore Fuel Oil 180 cst vs. 380 cst (Platts) Futures DSD DE 440

      Negative trade price instruments, and negative strike price eligible instruments, are identified in the MDP 3.0 Security Definition (tag 35-MsgType=d), in repeating group tag 871-InstAttribType:

      • tag 872-InstAttribValue= 9: Negative Strike Eligible
      • tag 872-InstAttribValue=10: Negative Price Eligible
      • tag 872-InstAttribValue= 14: Zero Price Eligible

      DME Energy Products Not Eligible for Negative Pricing

      The following DME Energy outright futures and options on CME Globex will not be negative price and strike eligible, they will not allow negative price submission on futures or list negative strikes on options.

      DME Energy Products Not Eligible for Negative Pricing
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Market Data Channel
      DME Oman Crude Oil Futures OQD DE 440
      DME Oman Crude Oil Financial Futures  ZGD DE 440
      DME Oman Crude Oil European Style Option OQE 10
      (UDS: 20)
      441
      DME Oman Crude Oil BALMO Futures DDB DE 440
      DME Oman Crude Oil Calendar Futures ODO DE 440
      DME Oman Crude Oil Average Price Option DRD 10
      (UDS: 20)
      441

      These changes will be available in New Release for customer testing on Monday, May 4.

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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 should 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 should 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 Global Account Manager for additional information.

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      NewNew - iLink Message Specification Update 

      The iLink message specifications in the Client Systems Wiki have been updated to more accurately reflect validation for messages sent by the client to CME Globex.

      iLink tag 5979-RequestTime is now a required tag for all iLink application messages sent from CME Globex to the client system, except for the following application messages:

      • Security Definition (tag 35-MsgType=d)
      • Quote Cancel Acknowledgement (tag 35-MsgType=b, Tag 9775-UnsolicitedCancelType=A, B, C, D, E, F or H)
        • Only for Unsolicited Quote Cancel

      Previously, this tag was flagged as optional.

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