CME Globex Notices: October 5, 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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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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UpdateUpdate - iLink Enhancements for Location ID and Displayed Quantity - November 15

† Denotes update to the article

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.

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 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 will be available New Release for customer testing starting Thursday, October 22, 2020.

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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 currently available for customer testing in New Release on 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 on Thursday, October 29, 2020.

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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.

Pork Cutout Futures and Options
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Pork Cutout Futures	PRK	PF	316
Pork Cutout TAS Futures	PKT	TH	316
Options on Pork Cutout Futures	PRK	P8; UDS – P9	317

These futures and options will be available for customer testing in New Release on Monday, October 12.

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

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Product Changes

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.

With this change, these contracts will be subject to daily price limits of 7% and will also be subject to Dynamic Special Price Fluctuation Limits at 3.5%.

Currently for daytime trading, the CME Equity futures markets are coordinated with stock circuit breakers at market 7%, 13%, and 20%. 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% and, or 13% 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 are currently available for customer in New Release.

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

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Listing Cycle Changes 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 modified 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 MDP 3.0 tag 1151 - Security Group	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

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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UpdateUpdate - Changes to Certain CME and CBOT Equity Futures and Options Daily Settlement Time - October 25

† Denotes update to the article

Effective Sunday, October 25 (trade date Monday, October 26), CME Group will modify the daily settlement (Incremental Refresh (35=X) with 269=6) message timing for these CME and CBOT Equity futures and options as follows:

Changes to Certain CME and CBOT Equity Futures and Options Daily Settlement Time
Product	Current Settlement Times	New Settlement Time
CME Equity Futures	Normal Trading Hours 3:15 PM (CT)	Normal Trading Hours 3:00 PM (CT)
	Shortened Trading Hours 12:15 PM (CT)	Shortened Trading Hours 12:00 PM (CT)

†There will be no changes to MDP 3.0 functionality, messaging format or regular trading hours.

For additional information, please refer to Special Executive Report SER-8591.

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

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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.

Renaming Rate Synthetic Futures
Current Product Name	New Product Name	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
Rate Synthetic Future 1	Term SOFR 1-Month	TR1	04
Rate Synthetic Future 3	Term SOFR 3-Month	TR3	04
Rate Synthetic Future 6	Term SOFR 6-Month	TR6	04

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

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Change to Australian Dollar/U.S. Dollar (“AUD/USD”) 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 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. 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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Disaster Recovery (DR) Testing - October 24

CME Group is committed to the protection of its members, employees and stakeholders and has a long history of successfully managing risk. In keeping with those traditions, CME Group has a comprehensive business continuity program in place. To ensure customer readiness, CME Group will offer CME Globex & Clearing Disaster Recovery (DR) Failover testing, in conjunction with the Futures Industry Association (FIA) test on Saturday, October 24.

The CME Globex & Clearing DR Failover test is designed to ensure customers can successfully failover to the CME Globex & Clearing DR environment, send orders and fallback to the production environment in case of an emergency.

A detailed time line, testing script, and registration is available on the FIA's website.

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