CME Globex Notices: August 3, 2020

Critical System Updates

iLink 3 MSGW Session Migration 

On Sunday, July 26, 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 - This Week

This 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.

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

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 are currently available for customer testing in New Release.

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

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
• Production: Sunday, August 2
• Certification: Sunday, August 9

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NewNew - Harmonization of Enable/Disable Implied Behavior for ICS - September 20

Effective Sunday, September 20 (for trade date Monday, September 21), during velocity logic events for all Inter-Commodity Spreads (ICS), Globex will migrate enable/disable the implied state functionality from the instrument level (tag 48-SecurityID) to the Security Group (1151-SecurityGroup) level on the Security Status message (35=f).  Consequently, when an ICS spread leaves a velocity logic event, implied functionality will be reenable for the ICS.  Currently, for ICS, when a velocity logic event ends the spread implied functionality is not reenabled.  This update will harmonize Enable/Disable Security Status message (35=f) behavior across CME Globex markets.

This change will be available in New Release for customer testing on Monday, August 24.

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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.

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.

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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Synthetic Test Micro E-mini S&P 500 Options - August 16

Effective Sunday, August 16 (trade date Monday, August 17), Synthetic Test Micro E-mini S&P 500 Options will be listed for internal testing purposes on CME Globex.

Synthetic products are listed on CME Globex for internal testing purposes only. As a reminder, these products are not eligible for customer order entry.

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NewNew - Adjusted Interest Rate S&P 500 Total Return Index Future - September 20

Effective Sunday, September 20 (trade date Monday, September 21), pending completion of all regulatory review periods, Adjusted Interest Rate S&P 500 Total Return Index futures and BTIC on Adjusted Interest Rate S&P 500 Total Return Index futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

The Adjusted Interest Rate S&P 500 Total Return Index 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 CME.

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NewNew - UAN FOB NOLA Futures - September 20

Effective Sunday, September 20 (trade date Monday, September 21), pending completion of all regulatory review periods, UAN FOB NOLA futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

These futures will be available for customer testing in New Release on Monday, September 14.

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

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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.

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

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 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:

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.

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.

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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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.

This change is 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 Non-Reviewable Ranges for 3-Year Treasury Note Futures - August 30

Effective Sunday, August 30 (trade date Monday, August 31), the Non-Reviewable Ranges will be modified for 3-Year Treasury Note futures.

This change 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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NewNew - Listing Cycle Expansion for Fed Funds Futures - September 20

Effective Sunday, September 20 (trade date Monday, September 21), the listing cycle for the 30 Day Federal Funds futures will be expanded on CME Globex.

These changes will be available for customer testing in New Release on Monday, August 24.

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

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Events and Announcements

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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