CME Globex Notices: August 31, 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 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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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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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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NewNew - iLink Enhancements for Location ID and Displayed Quantity - November 15

Effective Sunday, November 15,(trade date Monday, November 16), CME Group will implement iLink changes to Location ID and Displayed Quantity Order Modification as follows:

Location ID

To accurately reflect Location ID sent by client system, CME Globex will return the Location ID value on the iLink Execution Report - Cancel (tag 35-MsgType=8 & tag 39-OrdStatus =4) message from the Location ID on the Order Cancel Request (tag 35-MsgType=F) message.    Currently, the iLink Execution Report - Cancel contains the Location ID value from the original order.

iLink Execution Report - Order Cancel
iLink Protocol	Tag	Name	Req	Description
iLink 2	143	TargetLocationID	Y	Contains value sent by client system in tag 142-SenderLocationID from the order cancel request
iLink 3	9537	Location	Y	Contains value sent by client system in tag 9537-Location from the order cancel request

Displayed Quantity Order Modification

To better align with BrokerTec markets,  iLink customers will no longer be able to modify the resting Displayed Quantity orders to the Non-Displayed Quantity orders, and vice versa.   Currently, CME Globex allows this Displayed Quantity order modification for Futures and Options markets.  With the change, CME Globex will validate display quantity value on  iLink messages.   Any resting Displayed Quantity order modified to become a Non-Display Quantity order, and vice versa, will be rejected. CME Globex will send an Execution Report-Reject (tag 35-MsgType=8, tag 39-OrdStatus=8) message including tag 103-OrdRejReason=5102 and tag 58-Text=<Modification of orders from Iceberg to Non-iceberg & vice-versa is not allowed>.

Displayed Quantity Order Qualifier
iLink Protocol	Tag	Name	Req	Description
iLink 2	210	MaxShow	N	Maximum quantity of an order to be shown in the order book at any given time.
iLink 3	1138	DisplayQty	N	The quantity to be displayed. Required for Display Quantity orders.

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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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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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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

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 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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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

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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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 Friday, September 18. After 16:00 CT on Friday,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 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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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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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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