CME Globex Notices: July 27, 2020

Critical System Updates

NewNew - iLink 3 MSGW Session Migration

On Sunday, July 27, CME Group completed the launch of iLink 3, a new order entry protocol for trading futures and options markets on CME Globex designed to provide more efficient iLink FIX messaging.

Currently, Market Segment Gateway (MSGW) sessions support both iLink 2.X and iLink 3 messaging protocols.  By Q4 2020, all customers connected via MSGW will need to migrate to the iLink 3 sessions as iLink 2.X MSGW sessions will be decommissioned.  More information on the decommission date will be announced in future CME Globex Notices.

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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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CME Globex Market Segment Gateway Enhancements - August 9

On Sunday, August 9, 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.

MSGW Enhancements Timeline
Market Segment ID	Market Segment Description	Production Launch
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, August 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, August 16, 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 30, 2020

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UpdateUpdate - Options on Micro E-mini Equity Index Futures - August 30

† Denotes update to the article

Effective Sunday, August 30, (for trade date Monday, August 31), pending completion of all regulatory review periods, Options on Micro E-mini Equity Index futures will be listed for trading on CME Globex.

These options will be available for customer testing in New Release on Monday, August 3.

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

Options on Micro E-mini Equity Index Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel	ITC Code
Quarterly Micro E-mini S&P 500 Options	MES	EO; EN-UDS	323	MSO
End of Month Micro E-mini S&P 500 Options	EX	EO; EN-UDS	323	EX
Weekly Micro E-mini S&P 500 Options	EX1, EX2, EX3, EX4	EO; EN-UDS	323	EX1, EX2, EX3, EX4
Quarterly Micro E-mini Nasdaq-100 Options	MNQ	NE; NF-UDS	319	MQO
End of Month Micro E-mini Nasdaq-100 Options	MQE	NE; NF-UDS	319	MQE
Weekly Micro E-mini Nasdaq-100 Options	MQ1, MQ2, MQ3, MQ4	NE; NF-UDS	319	MQ1, MQ2, MQ3, MQ4

New MDP 3.0 Channel for Micro E-mini S&P 500 Options

The Micro E-mini S&P 500 options market data will be published on a new MDP 3.0 channel, 323-CME Globex Equity Options - Micro E-mini S&P 500 Options. This new channel will use the multicast IPs previously used for channel 346, but will reflect new host IPs for the Incremental A and B feeds only. All other network information will remain the same. Heartbeats will be published on channel 323 at launch to facilitate client connectivity validation. The transition from 346 to 323 will be effective:

• New Release: Available now
• †Certification: Sunday, August 9
• Production: Sunday, August 2

Channel ID	Environment	Feed Type	IP	Host IPs
346	New Release	Incremental A	224.0.28.84	69.50.112.89
		Incremental B	224.0.28.80	69.50.112.89
323	New Release	Incremental A	224.0.28.84	69.50.112.95
		Incremental B	224.0.28.80	69.50.112.95
†346	Certification	Incremental A	233.158.8.84	69.50.112.19
		Incremental B	233.158.8.80	69.50.112.19
†323	Certification	Incremental A	233.158.8.84	69.50.112.14
		Incremental B	233.158.8.80	69.50.112.14
346	Production	Incremental A	224.0.31.70	205.209.221.75 205.209.223.75
		Incremental B	224.0.32.70	205.209.212.75 205.209.211.75
323	Production	Incremental A	224.0.31.70	205.209.223.70 205.209.221.70
		Incremental B	224.0.32.70	205.209.211.70 205.209.212.70

Product Launches

European Renewable Futures  - August 16

Effective Sunday, August 16 (trade date Monday, August 17), pending completion of all regulatory review periods, four (4) European Renewable Fuel futures (UCOME and UCO) will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

European UCOME & UCO Biodiesel Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
UCOME Biodiesel (RED Compliant) FOB ARA (Argus) Futures	UCR	JR	86
UCOME Biodiesel (RED Compliant) FOB ARA (Argus) vs Low Sulphur Gasoil Futures	UCS	JR	86
UCO T1 CIF ARA Excluding Duty (PRIMA) Futures	UCE	JR	86
UCO T1 CIF ARA Excluding Duty (PRIMA) vs Low Sulphur Gasoil Futures	USG	JR	86

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

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

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Singapore Gasoil vs. Marine Fuel Spreads - August 16

Effective Sunday, August 16 (trade date Monday, August 17), pending completion of all regulatory review periods, the Singapore Gasoil (Platts) vs. Singapore Marine Fuel 0.5% (Platts) Spread futures and the Singapore Gasoil (Platts) vs. Singapore Marine Fuel 0.5% (Platts) Spread BALMO futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Singapore Gasoil vs. Marine Fuel Spreads
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Singapore Gasoil (Platts) vs. Singapore Marine Fuel 0.5% (Platts) Spread Futures	GMS	CP	386
Singapore Gasoil (Platts) vs. Singapore Marine Fuel 0.5% (Platts) Spread BALMO Futures	GMB	CP	386

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

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

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NewNew - Test Products for Options on Micro E-mini Equity Index Futures - August 16

Effective Sunday, August 16 (trade date Monday, August 17), the following options will be listed for testing on CME Globex on new channels as below:

Micro Equity Test Products
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Test Micro E-mini S&P 500 Options	0MS	#X	323
Test Micro E-mini Nasdaq-100 Options	0MQ	#Y	325

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

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NewNew - SOFR-Based Eris Swap Futures and SOFR-Based MAC Swap Futures - October 4

Effective Sunday, October 4 (trade date Monday, October 5), pending completion of all regulatory review periods, Eris SOFR Swap Futures and MAC SOFR Swap Futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

SOFR-Based Eris Swap Futures and SOFR-Based MAC Swap Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
1-Year Eris SOFR Swap Futures	YIA	EB	344
2-Year Eris SOFR Swap Futures	YIT	EB	344
3-Year Eris SOFR Swap Futures	YIC	EB	344
4-Year Eris SOFR Swap Futures	YID	EB	344
5-Year Eris SOFR Swap Futures	YIW	EB	344
7-Year Eris SOFR Swap Futures	YIB	EJ	344
10-Year Eris SOFR Swap Futures	YIY	EJ	344
12-Year Eris SOFR Swap Futures	YII	EJ	344
15-Year Eris SOFR Swap Futures	YIL	EK	344
20-Year Eris SOFR Swap Futures	YIO	EK	344
30-Year Eris SOFR Swap Futures	YIE	EK	344
2-Year MAC SOFR Swap Futures	T1S	SJ	344
5-Year MAC SOFR Swap Futures	F1S	SF	344
7-Year MAC SOFR Swap Futures	S1S	S7	344
10-Year MAC SOFR Swap Futures	N1S	SN	344
20-Year MAC SOFR Swap Futures	E1S	S2	344
30-Year MAC SOFR Swap Futures	B1S	SM	344

Eris Swap Futures Inter-Commodity Spreads
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Tag 762-SecuritySubtype
1-Year Eris SOFR Swap Future vs. 2-Year Eris SOFR Swap Future	EAT	EN	IV-Intercommodity Spread
1-Year Eris SOFR Swap Future vs. 3-Year Eris SOFR Swap Future	EIC	EN	IV-Intercommodity Spread
2-Year Eris SOFR Swap Future vs. 3-Year Eris SOFR Swap Future	ETC	EN	IV-Intercommodity Spread
2-Year Eris SOFR Swap Future vs. 5-Year Eris SOFR Swap Future	ETW	EN	IV-Intercommodity Spread
3-Year Eris SOFR Swap Future vs. 4-Year Eris SOFR Swap Future	EID	EN	IV-Intercommodity Spread
3-Year Eris SOFR Swap Future vs. 5-Year Eris SOFR Swap Future	ECW	EN	IV-Intercommodity Spread
4-Year Eris SOFR Swap Future vs. 5-Year Eris SOFR Swap Future	EDW	EN	IV-Intercommodity Spread
5-Year Eris SOFR Swap Future vs. 10-Year Eris SOFR Swap Future	EIY	EN	IV-Intercommodity Spread
4-Year Eris Swap Future vs. 4-Year Eris SOFR Swap Future	EDI	EN	IV-Intercommodity Spread
5-Year Eris Swap Future vs. 5-Year Eris SOFR Swap Future	EIW	EN	IV-Intercommodity Spread
7-Year Eris Swap Future vs. 7-Year Eris SOFR Swap Future	EBB	EN	IV-Intercommodity Spread
10-Year Eris Swap Future vs. 10-Year Eris SOFR Swap Future	EYY	EN	IV-Intercommodity Spread
30-Year Eris Swap Future vs. 30-Year Eris SOFR Swap Future	EEE	EN	IV-Intercommodity Spread

These futures will be available for customer testing in New Release on Monday, August 17.

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

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Product Changes

Changes to Strike Price Listing for Bitcoin Options - August 2

Effective Sunday, August 2 (trade date Monday, August 3), the strike price listing rule will be changed for Bitcoin options on CME Globex and for submission for clearing via CME ClearPort. With this change, Dynamic Strike Eligibility will also be enabled in 25 point exercise prices in all available months.

Changes to Strike Price Listing for Bitcoin Options
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current	New
Bitcoin Options	BTC	B2	All contract months:  100000 point strikes listed for all contract months 10000 point strike increments from 10000-600% above the ATM strike price 1000 point strike increments from 1000-400% above the ATM strike price Nearest two contract months: 500 point strike increments from 50% below to 50% above the ATM strike price and 100 point strike increments from 20% below to 10% above the ATM strike price If underlying future price falls below 5000, 50 point strike increments from 20% below  to 10% above the ATM strike price	All contract months:  100000 point strikes listed for all contract months 10000 point strike increments from 10000-600% above the ATM strike price 1000 point strike increments from 1000-400% above the ATM strike price Dynamic strike creation in 25 point strike increments Nearest four contract months: 500 point strike increments from 50% below to 50% above the ATM strike price Nearest three contract months: 100 point strike increments from 30% below to 30% above the ATM strike price Nearest two contract months: If underlying future price falls below 5000, 50 point strike increments from 20% below  to 10% above the ATM strike price

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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Fixing Price for Options on Russian Ruble/U.S. Dollar (RUB/USD) Futures - August 16

Effective Sunday, August 16 (trade date Monday, August 17), CME Group will begin disseminating a fixing price for RUB/USD options.

To determine whether an option is in or out of the money on this day, the CME Group shall calculate the relevant “CME currency fixing price” from GLOBEX-traded underlying futures contracts as follows:

Tier 1: Take the 60-second average of trade prices, weighted by volume from 12:29:00 to 12:29:59 p.m. Moscow time on the day of determination of the CME currency fixing price.

Tier 2: If less than twenty or no trades occurred during the 60-second interval noted above, take the midpoint of each bid & ask spread where available and average the resulting midpoints over the 60-second interval.

Tier 3: If no trades and no bid and ask prices occurred during the 60-second interval, then CME Group staff shall derive the CME currency fixing price (as a synthetic futures price) from quote vendor spot rates and appropriate maturity forward points.

Fixing Price for Options on Russian Ruble/U.S. Dollar (RUB/USD) Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	ITC Commodity Code
RUB/USD Monthly Options	RU	UO	6R
RUB/USD Weekly Friday Options	RU1-5	UO	6R1-5

Fixing Price data blocks are sent in the MDP 3.0 Market Data Incremental Refresh (tag 35-MsgType=X) with the following attributes:

• Tag 279- MDUpdateAction will be set to 0 = New
• Tag 269-MDEntryType will be set to W = Fixing Price
• Tag 5796-Trading Reference will display the date for which the marker price was calculated

Also, effective Sunday, August 16 (trade date Monday, August 17), CME Group will update the Last Trade Date and Time for the Russian Ruble/U.S. Dollar Monthly Options and Weekly Options:

Update Last Trade Date and Time for Options on Russian Ruble/U.S. Dollar (RUB/USD) Futures
Product	Product ITC Code	Current Rules	New Rules
RUB/USD Monthly Options	6R	11:00 AM Moscow time on the underlying’s LTD (15th day of the contract month)	12:30 PM Moscow time two business days prior to the 15th of the month
RUB/USD Weekly Friday Options	6R1-5	2:00 PM on those Fridays that are not also the termination of trading of a monthly option	12:30 PM Moscow time on those Fridays that are not in the same week as the termination of trading of a monthly option

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

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

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Update Underlying Futures Contract for the South African Rand/U.S. Dollar Monthly & Weekly Options and for the Russian Ruble/U.S. Dollar Monthly & Weekly Options - August 16

Effective Sunday, August 16 (trade date Monday, August 17), CME Group will update the underlying contract for the Russian Ruble/U.S. Dollar options and the South African Rand/U.S. Dollar options in addition to amendment to ZAR/USD Futures Fixing.

Update Underlying Contract for Options on Russian Ruble/U.S. Dollar (RUB/USD) Futures and Options on South African Rand/U.S. Dollar (ZAR/USD) Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Product ITC Code	Current Rules	New Rules
RUB/USD Monthly Options	6R	UO	6R	The underlying futures contract is the same as the option contract month (i.e., the January futures is the contract underlying the January option)	The underlying futures contract is the nearest March quarterly cycle (i.e., March, June, September and December) contract month that has not yet terminated trading
RUB/USD Weekly Friday Options	6R1-5	UO	6R1-5	The underlying futures contract is the nearest contract month that has not yet terminated trading	The underlying futures contract is the nearest March quarterly cycle (i.e., March, June, September and December) contract month that has not yet terminated trading
ZAR/USD Monthly Options	RO	A4	RO	The underlying futures contract is the same as the option contract month (i.e., the January futures is the contract underlying the January option)	The underlying futures contract is the nearest March quarterly cycle (i.e., March, June, September and December) contract month that has not yet terminated trading
ZAR/USD Weekly Friday Options	1N-5N	A4	1N-5N	The underlying futures contract is the nearest contract month that has not yet terminated trading	The underlying futures contract is the nearest March quarterly cycle (i.e., March, June, September and December) contract month that has not yet terminated trading
ZAR/USD Futures Fixing	6Z	ZAR	ZRA	Tier 1: Take the 60-second average of trade prices, weighted by volume from 8:59:00 to 8:59:59 a.m. on the day of determination of the CME currency fixing price. Tier 2: If less than twenty or no trades occurred during the 60-second interval, then Exchange staff shall derive the CME currency fixing price (as a synthetic futures price) from quote vendor spot rates and appropriate maturity forward points.	Tier 1: Take the 60-second average of trade prices, weighted by volume from 8:59:00 to 8:59:59 a.m. on the day of determination of the CME currency fixing price. Tier 2: If less than twenty or no trades occurred during the 60-second interval, take the midpoint of each bid & ask spread where available and average the resulting midpoints over the 60- second interval. Tier 3: If no trades and no bid and ask prices occurred during the 60-second interval, then Exchange staff shall derive the CME currency fixing price (as a synthetic futures price) from quote vendor spot rates and appropriate maturity forward points.

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

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

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Change to Strike Price Listing for Russian Ruble/U.S. Dollar and South African Rand/U.S. Dollar Options - August 16

Effective Sunday, August 16 (trade date Monday, August 17), the strike price listing rule will be changed for Russian Ruble/U.S. Dollar and South African Rand/U.S. Dollar Options and they will be listed for trading on CME Globex.

Change to Strike Price Listing for Russian Ruble/U.S. Dollar and South African Rand/U.S. Dollar Options
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current	New
Options on South African Rand/U.S. Dollar (ZAR/USD) Futures.	RO	A4	Strike increment: 0.0025 Strike range: -/+ 8 strikes Contract listings: 12 monthlies plus four weeklies	+/- 20 strikes at 0.0005 for 3 front monthlies and +/- 20 strikes at 0.0010 for 9 monthlies
Weekly Options on South African Rand/U.S. Dollar (ZAR/USD) Futures	1N,2N,3N,4N,5N	A4	Strike increment: 0.0025 Strike range: -/+ 8 strikes	+/- 15 strikes at 0.0005 for 4 weeklies
Options on Russian Ruble/U.S. Dollar (RUB/USD) Futures.	6R	UO	Strike increment: 0.00025 Strike range: +/- 25 strikes	+/- 20 strikes at 0.00010 for 3 front monthlies and +/- 20 strikes at 0.00020 for 9 monthlies
Weekly Options on Russian Ruble/U.S. Dollar (RUB/USD) Futures.	6R1,6R2,6R3,6R4,6R5	UO	Strike increment: 0.00025 Strike range: +/- 25 strikes	+/- 15 strikes at 0.00010 for 4 weeklies

These contracts 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 - Extending Implied Functionality for INR/USD Futures - August 16

Effective Sunday, August 16 (trade date Monday, August 17), the implied functionality for the Indian Rupee/U.S. Dollar (INR/USD) futures and spreads will be expanded as follows.

>

Extending Implied Functionality for INR/USD Futures
Product	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Implication Listing Rule	New Implication Listing Rule
INR/USD Futures	SIR	6P	Nearest 4 consecutive contract months	Nearest 12 consecutive contract months

This change will be available for customer testing in New Release on Monday, August 3.

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

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Events and Announcements

Removal of Traffic Shaping from the CME Globex Production Feeds - This Week

On Saturday, August 1, CME Group will remove traffic shaping from the CME Globex production A Feed.

• Saturday, August 1 -A Feed

While, we do not expect the removal of traffic shaping to impact customers, CME Group currently provides a bandwidth utilization tool that provides daily market statistics per market data channel in intervals of -1ms. This bandwidth utilization tool allows customers to more effectively manage their bandwidth subscriptions and network utilization for their connectivity to CME Group markets. Starting November 16, 2020, with the BrokerTec EU integration, it will also include BrokerTec markets.

Any connectivity issues should be reported to the CME Global Command Center (GCC) in the US at +1 800 438 8616, in Europe at +44 20 7623 4747 or in Asia at +65 6532 5010.   

For more information, please contact your Global Account Manager.

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BrokerTec Markets on CME Globex  

For comprehensive information on the BrokerTec migration, please contact your Global Account Manager.

All APIs for BrokerTec on CME Globex are now available in New Release for client testing. More information about the APIs, onboarding and connectivity options is available 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.

Client systems must certify for all applicable APIs before the first mock trading session in October 2020. The AutoCert+ test suites are rolling out now for client system certification.

BrokerTec Integration Timeline

• October – November: Production Mock Trading Sessions
• November 16 – BrokerTec EU Launch
• December 7 – BrokerTec US Launch

The full release calendar is available on the BrokerTec Support Portal.

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