CME Globex Notices: September 28, 2020

Critical System Updates

iLink 2 on MSGW Decommission - February 26, 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, 2021, 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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iLink 3 – IP Address Change for BrokerTec Order Entry Service Gateways - This Week

Effective close of business Friday, October 30, CME Group will change source IPs for iLink 3 BrokerTec Order Entry Gateways market segment ID 14 - BTEC US Order Entry Service Gateway and 16 - BTEC EU Order Entry Service Gateway.

A new MSGW config.xml file will be available for customer download this Saturday, October 31. See additional information on SFTP - MSGW Configuration.

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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 for both Convenience Gateway(CGW) and Market Segment Gateway(MGSW) sessions 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.

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>.

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

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iLink 3 SBE Schema Update - January 24, 2021

Starting Sunday, January 24, 2021, CME Group will update the schema for iLink 3 to support the upcoming CME FX Link Enhancements and EBS initiatives on CME Globex.  The overview of iLink 3 schema updates is now available.

In order to ease customer development efforts, the new SBE schema files will support Template Extension for iLink 3 massages sent from Client systems to CME Globex until the end of day Friday, March 26, 2021.  Client systems can send iLink 3 messages using the preceding version of a schema; however CME Globex will only send messages using the latest version of a schema.

Effective Sunday, March 28, 2021, version 6 schema will be the only supported in production.  Client systems can only send version 6 messages.

The new version 6 schema is currently available New Release for customer testing.

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Phase 1 CME FX Link Enhancements - February 21, 2021

Effective Sunday, February 21, 2021 (for trade date Monday, February 22, 2021), CME Group will launch the Phase 1 CME FX Link enhancements.  CME FX Link is a spot FX basis spread on CME Globex, which provides unique new capital, margin and operational benefits for the FX marketplace by efficiently linking trading activity in FX Futures and OTC Spot FX via a single spread trade.

With these enhancements, CME Globex will provide the actual OTC Spot FX leg fill price, notional value for base and counter currency on the iLink fills for the OTC Spot FX leg instruments.   Currently, these transaction details are not available via CME Globex and can only be obtained via CME Straight Through Processing (STP).

CME FX Link enhancements will apply to both iLink 2.x and iLink 3 customers.   For iLink 3, these enhancements will be launched in production using the schema version 6.  Additional information on the new FIX tags and messaging impacts for CME FX Link enhancements are available in the Client Impact Assessment.

The CME FX Link enhancements will be available for customer testing in New Release this Thursday, October 29, 2020.

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Phase 1 CME FX Link Enhancements: Drop Copy Impact - February 21, 2021

Effective Sunday, February 21, 2021 (for trade date Monday, February 22, 2021), CME Group will launch the Phase 1 CME FX Link enhancements.  CME FX Link is a spot FX basis spread on CME Globex, which provides unique new capital, margin and operational benefits for the FX marketplace by efficiently linking trading activity in FX Futures and OTC Spot FX via a single spread trade.

With these enhancements, the CME Drop Copy Service message payload will reflect the actual OTC Spot FX leg fill price, notional value for base and counter currency on the iLink fills for the OTC Spot FX leg instruments in the encapsulated XML Non-Fix (tag 35-MsgType=n) Message. Currently, these transaction details are not reflected in  the CME Drop Copy message payload and can only be obtained via CME Straight Through Processing (STP).

To support the implementation FX Link, the acknowledgments and execution reports on the encoded payload messages sent on Drop Copy will reflect the following new tags and enumerations:

• Tag 381 - GrossTradeAmt
• Tag 1056 - CalcCcyLastQty

Please note: Certification of client systems already leveraging Drop Copy Convenience Gateway (CGW) and Market Segment Gateway (MSGW) is not required.

Additional information on the new FIX tags and messaging impacts for the CME Drop Copy payload message for CME FX Link enhancements are available in the Client Impact Assessment.

The CME FX Link enhancements will be currently available for customer testing in New Release this Thursday, October 29, 2020.

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New Functionality

CME Benchmark Administration Premium - November 22

On Sunday, November 22 (for trade date Monday, November 23), CME Group will launch CME Benchmark Administration Premium market data group to support CME Term SOFR Reference Rates.  CME Benchmark Administration Premium group will be available in the following connection options:  

• Simple Binary Encoding (SBE) Multicast
• CME Smart Stream on GCP SBE

Please review the Client Impact Assessment for additional information and launch schedules.

The Benchmark Administration Premium Market Data group will be available New Release for customer testing starting Monday, November 2.

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Product Launches

Pork Cutout Futures and Options - November 8

Effective Sunday, November 8 (trade date Monday, November 9), pending completion of all regulatory review periods, Pork Cutout futures and options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

These futures and 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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Product Changes

Renaming Rate Synthetic Futures  - November 8

Effective Sunday, November 8 (trade date Monday, November 9), the Rate Synthetic futures will be renamed to Term SOFR Fixing.

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

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Changes to Cross Functionality for Certain CME and CBOT Products - November 8

Effective Sunday, November 8 (trade date Monday, November 9), and pending all relevant regulatory review periods, with the exception of dairy products, the cross functionality for CME and CBOT agriculture futures and CBOT agriculture options on CME Globex will change as follows:

• From the current R-Cross to C-Cross capability.
• Configure a Better Price or Volume Match (BPVM) allocation of 50%.

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

For additional information, please review the Special Executive Report (SER).

Certification is mandatory for all customers who intend to leverage the cross functionality on CME Globex futures and options contracts.

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Change to Australian Dollar/U.S. Dollar (“AUD/USD”) Futures - November 22

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

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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Changes to Russian Ruble/U.S. Dollar and South African Rand/U.S. Dollar Options: Resting Order Elimination - November 22

Effective Sunday, November 22 (trade date Monday, November 23), the following changes will be implemented to the Security Definition (tag 35-MsgType=d) message of the Russian Ruble/U.S. Dollar and South African Rand/U.S. Dollar options on CME Globex:

• Tag 969-MinPriceIncrement
• Tag 9787- DisplayFactor
• Tag 9850-Mincabprice

These changes will be available for customer testing in New Release on Monday, November 9.

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

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NewNew - Changes to E-mini FTSE China 50 Index Futures - November 22

Effective Sunday, November 22 (trade date Monday, November 23), pending completion of all regulatory review periods, E-mini FTSE China 50 Index Futures will be changed as follows

• Tag 969-MinimumPriceIncrement
• Last Trade Date
• Listing Schedule

These changes will be available for customer testing in New Release on Monday, November 16.

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

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NewNew - Changes to Minimum Price Increment for FTSE Emerging Index Futures Calendar Spread  - November 22

Effective Sunday, November 22 (trade date Monday, November 23), the minimum price increment tag 969-MinPriceIncrement will be changed for the E-mini FTSE Emerging Index futures BTIC and FTSE Emerging Index futures calendar spread as follows:

Please Note: The outright minimum price increment will remain unchanged.

This change will be available for customer testing in New Release on Monday, November 16.

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

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NewNew - Changes to Minimum Price Increment for Chicago Ethanol (Platts) Futures: Resting Order Elimination - November 22

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

This change will be available for customer testing in New Release on Monday, November 9.

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

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NewNew - Changes to Minimum Price Increment for Palladium Futures: Resting Order Elimination - December 6

Effective Sunday, December 6 (trade date Monday, December 7), pending completion of all regulatory review periods, Palladium futures will be changed as follows:

• Tag 969-MinimumPriceIncrement
• Tag 762-SecuritySubType

These changes will be available for customer testing in New Release on Monday, November 23.

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

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NewNew - Mini FTSE Bursa Malaysia Mid 70 Index Futures Reactivation - December 13

Effective Sunday, December 13 (trade date Monday, December 14), subject to receipt of regulatory approval prior to such date, the previously suspended Mini FTSE Bursa Malaysia Mid 70 Index futures and spreads will be made available for trading on CME Globex. With this reactivation, the following changes will be made to the minimum price increment tag 969-MinPriceIncrement and unit of measure quantity 1147- UnitOfMeasureQty.

Please Note: The Mini FTSE Bursa Malaysia Mid 70 Index futures and spreads were previously suspended from trading in March 2020.

These changes will be available for customer testing in New Release on Monday, November 16.

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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 prior to participating in any mock trading session. The AutoCert+ test suites are now available 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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