• CME Globex Notices: September 21, 2020

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      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions & Services (GMSS)
      • #
      • 20200921
      • Notice Date
      • 24 September 2020

    • Topics in this issue include:

    • For the latest roadmap of CME Group technology initiatives:
      See the Development Launch Schedule.

      Critical System Updates

      NewNew - iLink 2 on MSGW Decommission - March 28, 2021

      To accommodate client requests, iLink 2 on MSGW deprecation has been extended to the end of day Friday, February 26, 2021. Effective Sunday, February 28, all MSGW sessions still using iLink 2.x will be charged $1,000 per iLink session per week.

      Effective Sunday, March 28, 2021, iLink 2 on MSGW will be decommissioned and all MSGW sessions will support iLink 3 only.

      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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      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.

      These changes will be available in New Release for customer testing on  Thursday, September 24.

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      Product Launches

      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 ER IV-Intercommodity Spread
      1-Year Eris SOFR Swap Future vs. 3-Year Eris SOFR Swap Future EIC ER IV-Intercommodity Spread
      2-Year Eris SOFR Swap Future vs. 3-Year Eris SOFR Swap Future ETC ER IV-Intercommodity Spread
      2-Year Eris SOFR Swap Future vs. 5-Year Eris SOFR Swap Future ETW ER IV-Intercommodity Spread
      3-Year Eris SOFR Swap Future vs. 4-Year Eris SOFR Swap Future EID ER IV-Intercommodity Spread
      3-Year Eris SOFR Swap Future vs. 5-Year Eris SOFR Swap Future ECW ER IV-Intercommodity Spread
      4-Year Eris SOFR Swap Future vs. 5-Year Eris SOFR Swap Future EDW ER IV-Intercommodity Spread
      5-Year Eris SOFR Swap Future vs. 10-Year Eris SOFR Swap Future EIY ER IV-Intercommodity Spread
      4-Year Eris Swap Future vs. 4-Year Eris SOFR Swap Future EDI ER IV-Intercommodity Spread
      5-Year Eris Swap Future vs. 5-Year Eris SOFR Swap Future EIW ER IV-Intercommodity Spread
      7-Year Eris Swap Future vs. 7-Year Eris SOFR Swap Future EBB ER IV-Intercommodity Spread
      10-Year Eris Swap Future vs. 10-Year Eris SOFR Swap Future EYY ER IV-Intercommodity Spread
      30-Year Eris Swap Future vs. 30-Year Eris SOFR Swap Future EEE ER 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 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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      Listing One-Month SOFR Futures Strip versus 30-Day Federal Funds Futures Strip Spread - October 11

      Effective Sunday, October 11 (trade date Monday, October 12), futures strip spreads will be listed for One-Month SOFR futures strips vs. 30-Day Federal Funds futures strips on CME Globex as follows.

      Listing One-Month SOFR Futures Strip versus 30-Day Federal Funds Futures Strip Spread
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 TAG 762- Security SubType Listing Schedule
      One-Month SOFR Futures vs. 30-Day Federal Funds Futures Strips SS:XS SS XS Two (2) twelve-consecutive month strips

      These spreads will be available for customer testing in New Release on Monday, September 28.

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

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      NewNew - Listing Cycle Amendment for KC HRW-Chicago SRW Wheat Intercommodity Spread Options  - October 11

      Effective Sunday, October 11 (trade date Monday, October 12), the listing cycle for the following KC HRW-Chicago SRW Wheat Intercommodity Spread options will be amended on CME Globex. No additional contracts will be added beyond July 2021 expiry

      Listing Cycle Amendment for KC HRW-Chicago SRW Wheat Intercommodity Spread Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      		 Current Listing Schedule New Listing Schedule
      KC HRW-Chicago SRW Wheat Intercommodity Spread Options KWC KW December 2020 & July 2021 No new contracts will be added beyond July 2021

      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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      Product Changes

      NewNew - Changes to CME Equity Futures Price Limits and Pre-Open Timing - October 11 

      Effective Sunday, October 11 (trade date Monday, October 12), CME Group will make changes to these CME Equity Index futures as follows:

      • change to Overnight Trading Hours (OTH) price limits
      • changes to market re-open timing after a market halt
      Changes to CME Equity Futures Price Limits and Pre-Open Timing
      Product Current Daily Price Limits (OTH) New Daily Price Limits (OTH)
      CME Equity Futures 5% 7%

      The Daily Price Limits for CME Equity Index contracts are defined on the Price Limit Update page.

      Currently for daytime trading, the CME Equity futures markets are coordinated with stock circuit breakers at market 7%, 13%, and 20% circuit breaker levels. If the 7% level is reached, a 15 minute market pause with Security Status (tag 35-Msg-Type=f) message where tag 326-SecurityTradingStatus=21 (Pre-Open) follows.

      With this change, if the 7% level is reached, a 10 minute market pause with Security Status (tag 35-Msg-Type=f) message where tag 326-SecurityTradingStatus=21 (Pre-Open) follows.

      For additional information, please refer to Special Executive Report SER-8654.

      These changes will be available for customer in New Release on Monday, September 28.

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

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      UpdateUpdate - Change to Australian Dollar/U.S. Dollar (“AUD/USD”) Futures:  Resting Order Elimination - November 22

      † Denotes update to the article

      Effective Sunday, November 22 (trade date Monday, November 23), the minimum price increment tag 969-MinPriceIncrement will be changed for the following:

      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, November 20. After 16:00 CT on Friday, November 20, all remaining GT orders for this futures product will be cancelled or deleted by the CME Global Command Center (“GCC”).
      Changes to Australian Dollar/U.S. Dollar (“AUD/USD”) 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
      Australian Dollar/U.S. Dollar (“AUD/USD”) Futures 6A 6A 1.000000000 0.500000000

      This change is 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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      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

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

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