CME Globex Notices: August 24, 2020

Critical System Updates

UpdateUpdate - iLink 3 MSGW Session Migration 

† Denotes update to the article

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 †late 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 30

This Sunday, August 30, 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
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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Options on Micro E-mini Equity Index Futures - August 30

Effective this 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.

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
• Production: Available now
• Certification: Available now

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	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
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

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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), CME Globex will migrate 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 automatically enabled for the ICS.  Currently, when ICS are impacted by a velocity logic event, implied functionality must be manually enabled. This update will harmonize Enable/Disable Security Status message (35=f) behavior across CME Globex markets.

This change is currently available in New Release for customer testing.

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NewNew - CME Group Risk Management Tools Enhancement - September 20

Effective Sunday, September 20 (trade date Monday, September 21) CME Group will enhance the Access Manager function in the CME Group Risk Management Tools user interface to give Clearing, Execution and Trading Firm Administrators the option to prevent new order entry at the Execution Firm level during the two-day period prior to expiration in the front-month contract of CL, CLT, CLL, and CLS. These are the only products currently in scope for this enhancement.

Detailed information on these changes is available in the Clearing House Notice.

CME Group Risk Management Tools Enhancement
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
Light Sweet Crude Oil (WTI) Futures	CL	CL
Light Sweet Crude Oil (WTI) Futures - London	CLL	TM
Light Sweet Crude Oil Futures Trading At Settlement (TAS)	CLT	CT
WTI Crude Oil Futures Trading at Marker - Singapore	CLS	TS

Testing in New Release is now available and is highly encouraged to gain familiarity with the new enhancement.

Additional information, about the enhancement will be made available in the Risk Management Tools User Help system.

Please contact Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803 or in Asia at +65 6593 5593 with any questions on testing in New Release.

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Product Launches

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.

Adjusted Interest Rate S&P 500 Total Return Index Future
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Adjusted Interest Rate S&P 500 Total Return Index Futures	ASR	BV	318
BTIC on Adjusted Interest Rate S&P 500 Total Return Index Futures	AST	BV	318

The Adjusted Interest Rate S&P 500 Total Return Index futures are currently available for customer testing in New Release.

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

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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.

UAN FOB NOLA Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
UAN FOB NOLA Futures	UNO	UF	340

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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NewNew - FOB Santos Soybeans Financially Settled (Platts) Futures - September 20

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

FOB Santos Soybeans Financially Settled (Platts) Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
FOB Santos Soybeans Financially Settled (Platts) Futures	SAS	AS	340

These FOB Santos Soybeans Financially Settled (Platts) futures will be available for customer testing in New Release on Monday, September 7.

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

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NewNew - Listing 30-Day Federal Funds Futures and One-Month SOFR Futures Strip Spreads - September 20

Effective Sunday, September 20 (trade date Monday, September 21), additional futures strip spreads will be listed for 30-Day Federal Funds futures and One-Month SOFR futures on CME Globex as follows.

Listing 30-Day Federal Funds Futures and One-Month SOFR Futures Strip Spreads
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Tag 762- SecuritySubType	Listing Schedule
30-Day Federal Funds Futures	ZQ	ZQ	FS	Eighteen (18) three-consecutive month strips Thirteen (13) four-consecutive month strips Twelve (12) five-consecutive month strips Eleven (11) six-consecutive month strips Six (6) 12-consecutive month strips Three (3) 12-consecutive month strips, beginning with  the lead month for each respective year
One-Month SOFR Futures	SR1	SS	FS	Two (2) twelve-consecutive month strips
30-Day Federal Funds Futures Strips vs. One-Month SOFR Futures	ZQ:XS	ZQ	XS	Two (2) twelve-consecutive month strips

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

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

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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.

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	EH	IV-Intercommodity Spread
1-Year Eris SOFR Swap Future vs. 3-Year Eris SOFR Swap Future	EIC	EH	IV-Intercommodity Spread
2-Year Eris SOFR Swap Future vs. 3-Year Eris SOFR Swap Future	ETC	EH	IV-Intercommodity Spread
2-Year Eris SOFR Swap Future vs. 5-Year Eris SOFR Swap Future	ETW	EH	IV-Intercommodity Spread
3-Year Eris SOFR Swap Future vs. 4-Year Eris SOFR Swap Future	EID	EH	IV-Intercommodity Spread
3-Year Eris SOFR Swap Future vs. 5-Year Eris SOFR Swap Future	ECW	EH	IV-Intercommodity Spread
4-Year Eris SOFR Swap Future vs. 5-Year Eris SOFR Swap Future	EDW	EH	IV-Intercommodity Spread
5-Year Eris SOFR Swap Future vs. 10-Year Eris SOFR Swap Future	EIY	EH	IV-Intercommodity Spread
4-Year Eris Swap Future vs. 4-Year Eris SOFR Swap Future	EDI	EH	IV-Intercommodity Spread
5-Year Eris Swap Future vs. 5-Year Eris SOFR Swap Future	EIW	EH	IV-Intercommodity Spread
7-Year Eris Swap Future vs. 7-Year Eris SOFR Swap Future	EBB	EH	IV-Intercommodity Spread
10-Year Eris Swap Future vs. 10-Year Eris SOFR Swap Future	EYY	EH	IV-Intercommodity Spread
30-Year Eris Swap Future vs. 30-Year Eris SOFR Swap Future	EEE	EH	IV-Intercommodity Spread

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

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

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Nasdaq-100 Volatility Index Futures - October 4

Effective Sunday, October 4 (trade date Monday, October 5), pending completion of all regulatory review periods, Nasdaq-100 Volatility Index futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Nasdaq-100 Volatility 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
Nasdaq-100 Volatility Index Futures	VLQ	NQ	318	N/A

These  futures will be available for customer testing in New Release on Monday, August 31.

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

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Product Changes

Changes to Non-Reviewable Ranges for 3-Year Treasury Note Futures - August 30

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

Changes to Non-Reviewable Ranges for 3-Year Treasury Note Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Non-Reviewable Range	New Non-Reviewable Range
3-Year T-Note Futures	Z3N	Z3	15/32 of 1 point	8/32 of 1 point

This change is currently available for customer testing in New Release.  

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

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Change to Strike Price Listing for Options on Three-Month Eurodollar Futures and Options on Three-Month SOFR Futures - September 13

Effective Sunday, September 13 (trade date Monday, September 14), the strike price listing rule will be changed for options on Three-Month Eurodollar futures and options on Three-Month SOFR futures, listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Change to Strike Price Listing for Options on Three-Month Eurodollar Futures and Options on Three-Month SOFR Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Strike Price Listing	New Strike Price Listing
Options on Three-Month Eurodollar Futures	GE	ZE	Strike prices will be listed in intervals of 12.5 basis points (0.125) in a range of 150 basis points above and 150 basis points below the strike closest to the previous day's underlying futures settle price. Strike prices will be listed in intervals of 25 basis points (0.25) in a range of 550 basis points above and 550 basis points below the strike closest to the previous day's underlying futures settle price.	Strike prices will be listed in intervals of 12.5 basis points (0.125) in a range of 150 basis points above and 150 basis points below the strike closest to the previous day's underlying futures settle price. Strike prices will be listed in intervals of 25 basis points (0.25) in a range of 550 basis points above and 550 basis points below the strike closest to the previous day's underlying futures settle price. For the nearest six (6) contract months to expiration, strike prices will be listed in intervals of 6.25 basis points in a range of 150 basis points above and 150 basis points below the strike closest to the previous day's underlying futures settle price.
Options on Three-Month SOFR Futures	SR3	JE	Strike prices will be listed in intervals of 12.5 basis points (0.125) in a range of 150 basis points above and 150 basis points below the strike closest to the previous day's underlying futures settle price. Strike prices will be listed in intervals of 25 basis points (0.25) in a range of 550 basis points above and 550 basis points below the strike closest to the previous day's underlying futures settle price.	Strike prices will be listed in intervals of 12.5 basis points (0.125) in a range of 150 basis points above and 150 basis points below the strike closest to the previous day's underlying futures settle price. Strike prices will be listed in intervals of 25 basis points (0.25) in a range of 550 basis points above and 550 basis points below the strike closest to the previous day's underlying futures settle price. For the nearest six (6) contract months to expiration, strike prices will be listed in intervals of 6.25 basis points in a range of 150 basis points above and 150 basis points below the strike closest to the previous day's underlying futures settle price.

These changes will be available for customer testing in New Release on Monday, August 31.

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

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NewNew - Change to Pricing Functionality for FS Strips on Certain Futures - September 13

Effective Sunday, September 13 (trade date Monday, September 14), the pricing functionality for FS Strips (tag 762-SecuritySubType=FS) on the 30-Day Federal Funds and Chicago Ethanol futures will change from the current net-change pricing, which resets to zero (0) daily where the trade entry price is a net change from the settlement.

With this change, strips in these markets will be priced as the average of all legs and the Spread Trade Price will be assigned to each outright futures leg.

Change to Pricing Functionality for FS Strips on Certain Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
30 Day Federal Funds Futures	ZQ	ZQ
Chicago Ethanol Futures	EH	EH

Pricing Example: CU:FS 03M V6 trades at 13490
Given that:

• Average leg settlement price is 13550
  • Leg1 last settle price is 13750
  • Leg2 last settle price is 13550
  • Leg3 last settle price is 13350
• 13490 (Trade price) - 13550 (Average leg settlement price) = -60
  • Leg1 = 13750 (last settle price) - 60 = 13690
  • Leg2 = 13550 (last settle price) - 60 = 13490
  • Leg3 = 13350 (last settle price) - 60 = 13290

This change will be available for customer testing in New Release on Monday, August 31.

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

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NewNew - Change to Minimum Price Increment for Micro Silver Futures: Resting Order Elimination - September 20

Effective Sunday, September 20 (trade date Monday, September 21), the minimum price increment tag 969-MinPriceIncrement will be changed for Micro Silver futures.

To facilitate the change, customers are asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders after the close on September 18. After 16:00 CT on September 18, all remaining GT orders for this future will be cancelled or deleted by the CME Global Command Center (GCC).

Change to Minimum Price Increment for Micro Silver Futures: Resting Order Elimination
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current tag 969 - MinPriceIncrement	New tag 969 - MinPriceIncrement
Micro Silver Futures	SIL	SI	10.00000000	5.00000000

This change 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 COMEX.

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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.

Listing Cycle Expansion for Fed Funds Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Listing Schedule	New Listing Schedule
30 Day Federal Funds Futures	ZQ	ZQ	36 consecutive months	60 consecutive months

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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NewNew - Stay Informed about Content Updates  

To ensure all customers are aware of changes to technical content about CME Group APIs and application system impacts, CME Group maintains online details about documentation revisions.

• To view the latest details about impactful revisions to our technical services and API information, see the Client Systems Wiki Revision History. 
  • Also see the Revision History section in many of our Pending Client System Impact documents for more specific details about content revisions.
• To view details about content changes for features and functionality of CME Group front-end applications, see the “Getting Started>What’s New” topic of any front-end application User Help system.

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