CME Globex Notices: October 25, 2021

Critical System Updates

OAuth API ID Case-Sensitivity Requirement - This Week

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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CME Globex iLink Convenience Gateway Performance Enhancements - This Week

Starting this Sunday, October 31, CME Group will implement hardware upgrades for CME Globex iLink Convenience Gateways. In internal testing, these upgrades improved performance on the CME Convenience Gateways by more than 10%.

The changes will be phased in over the following weekends:

• Sunday, October 31
• Sunday, November 21
• Sunday, December 5

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iLink 3 FIXP Messaging Enhancements - This Week

This Sunday, October 31, 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
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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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™ Office Index Futures - November 7

Effective Sunday, November 7 (trade date Monday, November 8), BRIXX™ Office Index futures and spreads will be listed for trading on CME Globex pending regulatory approval.

BRIXX™ Office 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™ Office Index futures	BXO	MF	SP (Calendar Spread)	460

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 MGEX.

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Trading at Settlement (TAS) Eligibility for Treasury Futures and Spreads - 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 and spreads will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Trading at Settlement (TAS) Eligibility for Treasury Futures and Spreads
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	ZTF	QT
TAS on 10-Year Treasury Note Futures	ZNS	UT
TAS on Ultra 10-Year Treasury Note Futures	TNT	VT
TAS on U.S. Treasury Bond Futures	ZBT	WT
TAS on Ultra U.S. Treasury Bond Futures	UBT	XT

The match algorithm and Maximum order quantity applied to each instrument are identified in the Security Definition (tag 35-MsgType=d) message in tag 1142-MatchAlgorithm=F(FIFO) and tag 1140-MaxTradeVol=4999 for outrights and tag 1140-MaxTradeVol=9999 for spreads. Descriptions of algorithms currently supported on CME Globex are defined here.

The timing of each TAS groups’ pre-open state is randomized, more information on pre-open procedures for TAS products communicated via the market data Security Status message (tag 35-MsgType=f), tag 326-SecurityTradingStatus=2 are described here.

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

For additional information, please refer to Special Executive Report SER-8863.

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

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NewNew - BRIXX™ Residential and Hospitality Index Futures - November 21

Effective Sunday, November 21 (trade date Monday, November 22), BRIXX™ Residential and Hospitality Index futures and spreads will be listed for trading on CME Globex pending regulatory approval.

BRIXX™ Residential and Hospitality 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™ Residential Index futures	BXR	MF	SP (Calendar Spread)	460
BRIXX™ Hospitality Index futures	BXH	MF

These futures will be available for customer testing in New Release on Monday, November 8.

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

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CVOL Indicators on Benchmark Administration Premium - November 21

Effective Sunday, November 21 (trade date Monday, November 22), CME Group will launch the CME Group Volatility Index (CVOL) Indicators on Benchmark Administration Premium MDP.

The market data messages will be sent on the Benchmark Administration Premium Simple Binary Encoding (SBE) Multicast channel ID 261 via SBE template MDIncrementalRefreshSettle401. The CVOL Index will include the following new values:

• Up Variance (Up Var) - Implied volatility of call options
• Down Variance (Down Var) - Implied volatility of put options
• Skew - Difference of Up Var and Down Var
• At the Money Vol (ATM Vol) - Implied volatility of the theoretical at-the-money (ATM) Premium
• Convexity - The degree of curvature of the volatility curve as indicated by the ratio of the Volatility Index value and the ATM Vol.

Please see the CVOL Indicators for the full list of symbols.

The CVOL Indicators will have the following message layout:

CVOL Indicators on Benchmark Administration Premium
TAG	FIX NAME	NEW VALID VALUES	DESCRIPTION
269	MDEntryType	3 = Index Value	Indicates the type of price
55	Symbol	CVOL Indicators	Contract name

Additional product and instrument information are defined in Reference Data API.

The CVOL Indicators will be available for customer testing in New Release on Monday, November 1.

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Product Changes

Changes to Non-Reviewable Ranges for E-mini and Micro E-mini Nasdaq-100 Futures - This Week

Effective this 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 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 Maximum Order Quantity for E-mini FX Futures and SD Calendar Spreads - November 7

Effective Sunday, November 7 (trade date Monday, November 8), the maximum order quantity for these FX futures outrights and all SD calendar spreads(quarterly-to-quarterly) will be amended as follows:

CHANGE TO MAXIMUM ORDER QUANTITY FOR FX FUTURES AND SD CALENDAR SPREADS
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	CURRENT TAG 1140-MAXTRADEVOL	NEW TAG 1140-MAXTRADEVOL
E-mini EUR/USD Futures	6E	E7	250	2500
E-mini JPY/USD Futures	6J	J7	250	2500

This change is 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 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 3 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 is 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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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 are currently for customer testing in New Release.

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NewNew - Changes to Circuit Breaker Event Market Pause Interval in Futures Spreads - November 21

Effective Sunday, November 21 (trade date Monday, November 22), the market pause interval for a circuit breaker event in futures spreads on CME Globex, will be reduced from the current 2 minutes to 30 seconds.

Please Note: This change does not impact the market pause for outright futures.

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Events and Announcements

CME SPAN 2 Margin Methodology - H1 2022

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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