• CME Globex Notices: October 4, 2021

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions & Services (GMSS)
      • #
      • 20211004
      • Notice Date
      • 07 October 2021

    • Topics in this issue include:

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

      Critical System Updates

      iLink 3 FIXP Messaging Enhancements - October 17

      On Sunday, October 3, CME Group continues to implement enhancements to iLink 3 FIXP messages to be a more consistent customer experience.With this change, any error conditions for Negotiate and Establish with invalid UUID and/or NextSeqNo will lead to the FIXP session being terminated. Currently, we reject FIXP messages in some scenarios and terminate sessions in other scenarios.

      These enhancements will be reflected on the FIXP messages as follows:

      iLink 3 FIXP Messaging Enhancements
      Request from Client System to CME Globex Response from CME Globex to Client System
      FIXP Message Error Conditions Current New
      Negotiate Missing UUID Negotiation Reject Terminate
      UUID is not greater than the UUID used in the last successful Negotiate/Establish message Negotiation Reject Terminate
      Establish Missing UUID Establishment Reject Terminate
      UUID does not match with the UUID used in the previous Negotiate message Establishment Reject Terminate
      Missing NextSeqNo Establishment Reject Terminate

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

      ILINK 3 FIXP MESSAGING ENHANCEMENTS TIMELINE
      MARKET SEGMENT ID MARKET SEGMENT DESCRIPTION PRODUCTION LAUNCH
      12
      50
      60
      70
      		 Order Entry Service Gateway
      CME Interest Rate Options
      CME, CBOT and MGEX Commodity Options
      CME, CBOT and MGEX Commodity Futures      		 Sunday, October 17, 2021
      52
      54
      56

      58
      64
      68
      72
      74
      78
      80
      82
      84
      88
      		 CME FX Futures and Options II
      CME Equity Options - S&P Option
      NYMEX Emissions Options; NYMEX Energy, Metals, Softs and Alternative Market Options; COMEX Options; DME Options
      CBOT Interest Rate Options
      CME Equity Futures – E-mini S&P
      CME Equity Futures II; CBOT Equity Futures
      CBOT and CME Equity Options; excluding S&P
      BMD Futures and Options; NYMEX SEF
      NYMEX Emissions and Non-Crude Energy Futures
      DME Futures; NYMEX Crude and Crude Refined Energy Futures
      CME Interest Rate Futures
      CBOT Interest Rate Futures
      CME FX Futures and Options
      		 Sunday, October 31, 2021

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      NewNew - OAuth API ID Case-Sensitivity Requirement - October 30

      CME Group is committed to providing the highest levels of market integrity, including the security of CME Group and adjacent ecosystems. Effective Saturday, October 30, access to OAuth authenticated services will require a case-sensitive API ID on all requests.

      Currently, the following services use OAuth authentication:

      • Reference Data API
      • CME GC Allocator API

      To avoid any service interruptions, please verify all applications, scripts and services are using the API ID case (uppercase and/or lowercase) registered with CME Group.

      To verify or modify the case of an existing API ID, use your CME Group Login to access the CME Customer Center, then select the User icon > My Profile > API Management tab.

      For questions, please contact Global Account Management.

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      Bursa Malaysia Derivatives (BMD) Night Trading Session - December 2021

      In December 2021 and pending final regulatory approval, Bursa Malaysia Derivatives (BMD) will add a night trading session for all active products on CME Globex. Due to the time difference between Malaysian time and Central time, the night trading session activities will begin the business day prior to actual trade date in Malaysian time. The new night trading session will be open for trading Monday - Thursday.

      There will be no Friday night trading session. There is no impact to the current Monday - Friday day trading sessions.

      New Night Trading Session
      Product

      NEW
      Monday - Thursday Night Trading Session
      Night Session Trading Hours 21:00:00 hours to 23:30:00 hours (Malaysia time)

      Example of Monday-Thursday Trading Schedule

      • Trades executed during Monday night trading session will have a Tuesday trade date
      • Trades executed during Tuesday night trading session will have a Wednesday trade date
      • Trades executed during Wednesday night trading session will have a Thursday trade date
      • Trades executed during Thursday night trading session will have a Friday trade date
      • Friday night trading session is not supported

      Example of a Night Trading Session
      This example shows the night trading session market phases using a Monday, August 9, 2021, night trading session, with trades executed for a Tuesday, August 10, 2021, trade date.

      Monday Night Trading Session with a Tuesday Trade Date
      Night Session Trading Market State Malaysian Time (MYT)
      Pre-Open 20:45:00
      No-cancel 20:59:30
      Open 21:00:00
      Pause 23:30:00

       

      Products for Night Trading Session
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Crude Palm Oil Futures FCPO BC
      FTSE Kuala Lumpur Composite Index Futures FKLI BE
      Gold Futures FGLD BG
      USD RBD Palm Olein futures  FPOL BL
      MINI FTSE BURSE MALAYSIA MID 70 IDX FM70 BS
      Crude Palm Oil Options OCPO BP (UDS: BZ)
      FTSE Kuala Lumpur Composite Index Options OKLI BO (UDS: BU)
      FUPO BMD CRUDE PALM OIL FUPO BA
      Option on USD RBD Palm Olein Futures OPOL B8
      CRUDE PALM KERNEL OIL FUTURES FPKO BK
      BMD Tin Futures FTIN BN
      East Malaysia Crude Palm Oil Futures FEPO BR
      3 Month Kuala Lumpur Interbank Offered Rate Futures FKB3 BT

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

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      Product Launches

      BRIXX™ Retail Index Futures - October 17

      Effective Sunday, October 17 (trade date Monday, October 18), BRIXX™ Retail Index futures and spreads will be listed for trading on CME Globex pending regulatory approval.

      BRIXX™ Retail Index Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 FUTURE TAG 762-
      SECURITYSUBTYPE      		 Market Data Channel
      BRIXX™ Retail Index Futures BXT MF SP (Calendar Spread) 460

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

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

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      NewNew - Trading at Settlement (TAS) Eligibility for Treasury Futures - November 14

      Effective Sunday, November 14 (trade date Monday, November 15), pending completion of all regulatory review periods, Trading at Settlement (TAS) on treasury futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Trading at Settlement (TAS) Eligibility for Treasury Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Market Data Channel
      TAS on 2-Year Treasury Note Futures ZTT AT 344
      TAS on 5-Year Treasury Note Futures ZFT QT 344
      TAS on 10-Year Treasury Note Futures ZNS UT 344
      TAS on Ultra 10-Year Treasury Note Futures TNT VT 344
      TAS on U.S. Treasury Bond Futures ZBT WT 344
      TAS on Ultra U.S. Treasury Bond Futures       UBT XT 344

      These futures will be available for customer testing in New Release on Monday, November 1.

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

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      Product Changes

      Delisting and Removal of Synthetic Soybean Crush Spread Index - October 17

      On Sunday, October 17, the following Synthetic Soybean Crush Spread Index (BCX) will be delisted and removed from ITC market data.

      The Soybean Crush Spread and synthetic future (SOM) listed on CME Globex will not be affected by this change.

      Delisting and Removal of Synthetic Soybean Crush Spread Index
      Index ITC Ticker ITC Channel ITC Channel ID
      Synthetic Soybean Crush Spread BCX CBOT 100

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      Changes to Non-Reviewable Ranges for E-mini and Micro E-mini Nasdaq-100 Futures - October 31

      Effective Sunday, October 31 (trade date Monday, November 1), the Non-Reviewable Ranges will be modified for the following products:

      Changes to Non-Reviewable Ranges for E-mini and Micro E-mini Nasdaq-100 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
      E-mini Nasdaq-100 Index® Futures NQ NQ 12 Index Points 24 Index Points
      Micro E-mini Nasdaq-100 Index® Futures MNQ NQ 12 Index Points 24 Index Points

      These futures will be available for customer testing in New Release on Monday, October 4.

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

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      Listing Cycle Expansion for Select FX Options - November 7

      Effective Sunday, November 7 (trade date Monday, November 8), the listing cycle for the following Options on EURO/British Pound Sterling (EUR/GBP) Futures, Options on Euro/Japanese Yen (EUR/JPY) Futures, Options on Euro/Swiss Franc (EUR/CHF) Futures will be expanded on CME Globex.

      Listing Cycle Expansion for Select FX 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
      Options on EURO/British Pound Sterling (EUR/GBP) Futures RP 8E 2 Quarterlies and 2 Serials 3 Serials and 4 Quarterlies
      Options on Euro/Japanese Yen (EUR/JPY) Futures RY 8H
      Options on Euro/Swiss Franc (EUR/CHF) Futures RF 8C

      These options will be available for customer testing in New Release on Monday, October 25.

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

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      Amendment to Match Algorithm for Select Treasury Note Futures Calendar and Butterfly Spreads - November 7

      Effective Sunday, November 7 (trade date Monday, November 8), the CME Globex match algorithm for select Treasury Note Futures calendar and butterfly spreads will be modified so that the leveling component, will be replaced by a FIFO allocation.

      Currently, these spreads use the configurable (tag 1142=K) match algorithm for all calendar and butterfly spread months with leveling. The remaining quantity from rounding during the Pro Rata step is distributed to participating orders.

      Amendment to Match Algorithm for Select Treasury Note Futures Calendar AND BUTTERFLY Spreads
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group

      TAG 762-SECURITYSUBTYPE
      2-Year T-Note Futures Calendar Spread ZT-ZT
      		 ZT SP
      2-Year T-Note Futures Butterfly Spread ZT:BF ZT BF
      3-Year T-Note Futures Calendar Spread Z3N-Z3N
      		 Z3 SP
      3-Year T-Note Futures Butterfly Spread Z3N:BF Z3
      BF
      5-Year T-Note Futures Calendar Spread ZF-ZF ZF SP
      10-Year T-Note Futures Calendar Spread ZN - ZN ZN RT
      Ultra 10-Year U.S. Treasury Note Futures Calendar Spread TN – TN TN RT
      U.S. Treasury Bond Futures Calendar Spread ZB - ZB ZB RT
      Ultra U.S. Treasury Bond Futures Calendar Spread UB-UB UBE RT

      The match algorithm applied to each instrument is identified in the Security Definition (tag 35-MsgType=d) message in tag 1142-MatchAlgorithm. Descriptions of each algorithm currently in use on CME Globex are available online.

      The match algorithm change for these futures calendar and butterfly spreads will be available for customer testing in New Release on Monday, October 11.

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      Events and Announcements

      Disaster Recovery (DR) Testing - October 23

      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 23.

      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.

      Please Note: There is no pre-test Message Queue (MQ) ping requirement for front-end connections to the CME Group.

      To register and access the mock testing script, please complete the registration process at FIA's website.

      For inquiries regarding the registration process, please contact Steve Proctor at sproctor@fia.org.

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      UpdateUpdate - CME SPAN 2 Margin Methodology - H1 2022

      † Denotes update to the article

      CME Group is targeting the initial launch of SPAN 2 Margin Methodology in †H1 2022, starting with a subset of energy products. Any firm that currently uses the CME SPAN methodology and trades impacted products will need to implement one of the following services for computing CME SPAN 2 margin requirements:

      • CME Core – a CME Group hosted web application for Margin Calculation “CME CORE”
      • Margin API – a CME Group hosted margin calculation API
      • Deployable Margin Software – a CME Group java margin calculation library

      Please Note: A limited number of existing pre-trade execution margin calculation processes may continue to be supported.

      Firms using CME SPAN for pre-trade risk management can contact the Post Trade Services team for more information:

      US UK APAC
      +1 312 580 5353 +44 20 3379 3500 +65 6593 5599

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CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

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