• CME Globex Notices: May 8, 2023

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions & Services (GMSS)
      • #
      • 20230508
      • Notice Date
      • 11 May 2023

    • Topics in this issue include:

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

      Critical Updates

      Enhancements to Public Settlement “stl” Files on CME FTP - This Week

      Effective this Sunday, May 14, CME Group will provide new, enhanced Public Settlement "stl" files on the CME FTP site. The legacy file formats will be decommissioned by Friday, May 12.

      Please review the updated Clearing Advisory for full technical details and decommission of legacy file schedule. 

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      Instrument Capacity for Futures and Options - This Week

      Starting this Sunday, May 14 (trade date, Monday May 15), CME Group will increase the capacity for futures and options instruments listed. Currently, CME Globex only lists up to 1 million instruments. With this change, the full existing capacity will be unlocked, supporting the entire range of 2,147,483,646.

      There is no expectation at this time of a significant increase to the number of instruments listed.

      Due to recent volatility and global events, the need to list additional futures and options instruments has significantly increased and consequently, CME Group will update the SecurityID capacity. There is no change to the SecurityID field length and there will be no change to SBE message schemas or templates; but the possible values of the SecurityID field will expand to a maximum of 10 digits and a max value of 2,147,483,646.

      Please review the Client Impact Assessment for full technical details and launch schedule.

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      Derived Data Enhancement for BrokerTec U.S. Treasury Channel 215 - May 21

      Effective Sunday, May 21, CME Group will support implied prices for RV Curve instruments and a new Simple Binary Encoding (SBE) schema on the derived data channel 215 - BrokerTec U.S. Treasuries. This launch will not impact the BrokerTec on CME Globex market data channels. 
      The schema update will impact all client systems connecting to channel 215. The impacted services are as follows:

      Please review the Client Impact Assessment for full technical details and launch schedule.

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      iLink Cancel Reason Enhancements - June 25

      Effective Sunday, June 25 (trade date Monday, June 26), CME Group will implement enhancements to iLink cancel reason to accurately identify origin of the order cancel. These enhancements will be reflected in tag 378-ExecRestatementReason on the Execution Reports for order cancels (tag 35-MsgType=8, tag 39-OrdStatus=4) messages.

      iLink Cancel Reason Enhancements
      Cancel Reason Current Tag 378 - ExecRestatementReason New Tag 378 - ExecRestatementReason
      When a  Market order is determined by CME Globex to trigger Velocity Logic:
      • Market order acknowledged and then cancelled with tag 378-ExecRestatementReason
      		 8 = Exchange (GCC) 111 = System Cancel
      Self-Match Prevention (SMP) is triggered by an aggressing Market order with tag 8000-SelfMatchPreventionInstruction = O (Old)
      • Resting order cancelled due to SMP
      • Aggressing Market order acknowledged and then cancelled with tag 378-ExecRestatementReason
      		 8 = Exchange (GCC) 111 = System Cancel

      iLink Cancel Reason enhancements will apply to both iLink 2 and iLink 3 customers. 

      These changes will be available in New Release for customer testing on Thursday, May 18.

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      CME Benchmark Administration Premium SBE Schema and RFR Benchmark Launch - June 25

      Effective Sunday, June 25 (trade date Monday, June 26), CME Group will launch new Simple Binary Encoding (SBE) schemas on all CME Benchmark Administration Premium channel 261.

      Additionally with this release, CME Benchmark Administration Premium will launch RepoFunds Rate (RFR) Benchmarks with this update comprising of RFR Euro (including the 10 underlying countries), RFR Sterling and RFR JBOND Benchmarks. These Benchmarks are available to license under Schedule 7 Appendix D of the Information License Agreement.

      Please review the Client Impact Assessment for full technical details and launch schedule.

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      GLink Network Infrastructure Upgrade in Aurora - Q3 2023

      In 2023, CME Group is upgrading its GLink network infrastructure at the CME Co-Location Facility in Aurora, IL. This network upgrade consists of:

      • Replacement of the existing end of life (EOL) Juniper switches with new Arista switches which will utilize new customer ports and new CME IPs
      • Introduction of a new GLink Demarc Cable providing customers with equidistant connectivity to any rack unit (RU) in their cabinet

      The new GLink switches will also expand capacity to support future growth while the new GLink Demarc Cable will allow customers to optimize their CME Co-location Licensed Space.  The new GLink infrastructure is anticipated to be ready in Q3 2023 with customer testing and cutover to the new network taking place during Q3/Q4 2023. Further details will be communicated during Q2 2023.

      Please see the Client System Impact for details and an enhanced FAQ.

      Any immediate questions can be directed to Global Account Management.

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      Mandatory Migration - iLink3 Binary Order Entry Protocol for CGW  - Q1 2024

      CME Group is introducing iLink 3 on Convenience Gateways (CGW) for trading futures and options on CME Globex. The iLink 3 protocol will launch on the existing CGWs beginning Q1 2024. All customers connected via CGW will need to migrate to iLink 3 by Q4 2024.

      iLink 3 includes:

      • Simple Binary Encoding (SBE) for faster message encoding and decoding
      • A simple, lightweight, point-to-point session layer protocol using FIX Performance (FIXP)
      • More efficient iLink FIX messaging
      • Standard message size, fixed positions, and fixed length fields
      • A consistent encoding method for order entry and market data

      The Client Impact Assessment is available and provides detailed functionality and messaging information.

      iLink 3 on CGW is currently available in New Release for customer testing.

      AutoCert+ certification is required for all client systems using CGWs.

      • May 8, 2023 – iLink 3 CGW functionality available in New Release and AutoCert+ certification for On-Demand administrative information
      • September 25,  2023 – iLink 3 CGW functionality available in New Release and AutoCert+ certification for Pre-registered administrative information
      • February 4,  2024 –  Production launch of iLink 3 on CGW
      • December 2024 – Deadline for customer migration

      Further information on the production launch deployment schedule, and mock trading sessions will be published in upcoming CME Globex Notices.

      Please contact your Global Account Manager for additional information.

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      Drop Copy Impacts - Mandatory iLink 3 Binary Order Entry Protocol for Convenience Gateway Sessions - Q1 2024

      In Q1 2024, CME Group will launch iLink 3 Convenience Gateway for trading futures and options on CME Globex. All customers connected via Convenient Gateway (CGW) are encouraged to migrate to iLink 3 as early as possible prior to the iLink 2 decommission, key events and dates are listed here.

      Impacts of mandatory iLink3 Binary Order Entry protocol for Convenience Gateway on Drop Copy Convenience Gateway target sessions.

      • Message encoding: The Drop Copy encapsulated XML Non-Fix (tag 35-MsgType=n) Message payload sent from iLink 3 source sessions will be in ASCII format.
        •  Message payload mapping conforming to the iLink 3 formats and encoding will feature deprecated message tags, additional tags and enumerations for order entry, clearing and regulatory compliance messaging specifications.
        • A summary of ASCII encoded tags with their equivalent values in Simple Binary Encoding tags and enumerations is available here.
      • Target Session: Current Drop Copy CGW target session users do not need to request new target sessions although upon requesting the mandatory iLink 3 source session, a new target session may be automatically created to accommodate iLink order entry infrastructure load balancing and optimization considerations. Customers are requested to check for new automatically generated Drop Copy CGW target sessions.
      • Parallel period: During the parallel period which runs until Q4 2024, CME Globex will support Drop Copy target sessions connected to both iLink 2 and iLink 3 CGW sessions. When iLink 2 is decommissioned in Q4 2024, any Drop Copy target sessions with iLink 2 sessions only will be removed from the platform.
      • AutoCert+ Certification: Certification is not required for existing Drop Copy CGW session users.

      Please review Mandatory iLink 3 Binary Order Entry Protocol for CGW for additional details.

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      Product Launches

      Argus Bakken Crude Oil Differential Futures - This Week

      Effective this Sunday, May 14 (trade date Monday, May 15), pending completion of all regulatory review periods, Argus Bakken Crude Oil Differential futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Argus Bakken Crude Oil Differential Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Market Data Channel
      Bakken DAPL (Argus) Monthly futures DAB CC 382
      Bakken Patoka (Argus) Monthly futures BPA CC 382
      Guernsey Light Sweet (Argus) Monthly futures GSW CC 382

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

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

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      Listing New Weather Futures - May 21

      Effective Sunday, May 21 (trade date Monday, May 22), pending completion of all regulatory review periods, the following Weather futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.


      Listing New Weather Futures
      Product

       

      		 MDP 3.0: tag 6937-Asset

       

      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group

       

      		 Market Data Channel

       
      Boston HDD Index futures HW HW 316
      Boston HDD Nov Seasonal Strip futures HWX HW 316
      Boston HDD Dec Seasonal Strip futures HWZ HW 316
      Boston CDD Index futures KW HW 316
      Boston CDD May Seasonal Strip futures KWK HW 316
      Boston CDD Jul Seasonal Strip futures KWN HW 316
      Burbank HDD Index futures LP HW 316
      Burbank HDD Nov Seasonal Strip futures LPX HW 316
      Burbank HDD Dec Seasonal Strip futures LPZ HW 316
      Burbank CDD Index futures KP HW

      316
      Burbank CDD May Seasonal Strip futures KPK HW 316
      Burbank CDD Jul Seasonal Strip futures KPN HW 316
      Houston HDD Index futures HR HW 316
      Houston HDD Nov Seasonal Strip futures HRX HW 316
      Houston HDD Dec Seasonal Strip futures HRZ HW 316
      Houston CDD Index futures KR HW 316
      Houston CDD May Seasonal Strip futures KRK HW 316
      Houston CDD Jul Seasonal Strip futures KRN HW 316
      Philadelphia HDD Index futures H6 HW 316
      Philadelphia HDD Nov Seasonal Strip futures H6X HW 316
      Philadelphia HDD Dec Seasonal Strip futures

       

      		 H6Z HW 316
      Philadelphia CDD Index futures K6 HW 316
      Philadelphia CDD May Seasonal Strip futures K6K HW 316
      Philadelphia CDD Jul Seasonal Strip futures K6N HW 316
      Paris HDD Index futures D1 HW 316
      Paris HDD Nov Seasonal Strip futures D1X HW 316
      Paris HDD Dec Seasonal Strip futures D1Z HW 316
      Paris CAT Index futures G1

      HW

      316
      Paris CAT May Seasonal Strip futures G1K HW 316
      Paris CAT Jul Seasonal Strip futures G1N HW 316
      Essen HDD Index Futures D4 HW 316
      Essen HDD Nov Seasonal Strip Futures D4X HW 316
      Essen HDD Dec Seasonal Strip Futures D4Z HW 316
      Essen CAT Index futures G4 HW 316
      Essen CAT May Seasonal Strip futures G4K HW 316
      Essen CAT Jul Seasonal Strip futures G4N HW 316

      These  futures will be available for customer testing in New Release on Monday, May 15.

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

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      Listing Additional Weekly Crypto Options - May 21

      Effective Sunday, May 21 (trade date Monday, May 22), pending completion of all regulatory review periods, additional weekly Cryptocurrency options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Listing Additional Weekly Crypto Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 ILINK: TAG 55-SYMBOL
      MDP 3.0 TAG 1151 - SECURITY GROUP (UDS)      		 Market Data Channel
      Monday options on Bitcoin futures - Weeks 1-5 P1A - P5A B2 B4 327
      Tuesday options on Bitcoin futures - Weeks 1-5 P1B - P5B B2 B4 327
      Wednesday options on Bitcoin futures - Weeks 1-5 P1C - P5C B2 B4 327
      Thursday options on Bitcoin futures - Weeks 1-5 P1D- P5D B2 B4 327
      Friday options on Bitcoin futures - Weeks 1-4 P1E - P4E B2 B4 327
      Monday options on Ether futures - Weeks 1-5 Y1A - Y5A T9 T0 327
      Tuesday options on Ether futures - Weeks 1-5 Y1B - Y5B T9 T0 327
      Wednesday options on Ether futures - Weeks 1-5 Y1C - Y5C T9 T0 327
      Thursday options on Ether futures - Weeks 1-5 Y1D - Y5D T9 T0 327
      Friday options on Ether futures - Weeks 1-4 Y1E - Y4E T9 T0 327
      Tuesday options on Micro Bitcoin futures - Weeks 1-5 W1B-W5B B1 B5 327
      Thursday options on Micro Bitcoin futures - Weeks 1-5 W1D-W5D B1 B5 327
      Tuesday options on Micro Ether futures - Weeks 1-5 V1B-V5B T5 T6 327
      Thursday options on Micro Ether futures - Weeks 1-5 V1D-V5D T5 T6 327

      These options will be available for customer testing in New Release on Monday, May 15.

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

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      Product Changes

      Changes to Strike and Series Listing Cycle for Equity Options - May 21

      Effective Sunday, May 21 (trade date Monday, May 22), the strike listing rule and listing cycle for the following Equity Index options will be amended on CME Globex.

      Listing Cycle Amendment for Equity 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
      E-mini S&P 500 options ES EW Quarterly contracts (Mar, Jun, Sep, Dec) listed for 9 consecutive quarters and 3 additional December contract months Quarterly contracts (Mar, Jun, Sep, Dec) listed for 8 consecutive quarters and 3 additional December contract months
      E-mini Nasdaq-100 options NQ QZ Quarterly contracts (Mar, Jun, Sep, Dec) listed for 5 consecutive quarters and 4 additional December contract months Quarterly contracts (Mar, Jun, Sep, Dec) listed for 4 consecutive quarters and 4 additional December contract months
      E-mini Nasdaq-100 Monday Weekly options - Week 1-5 Q1A-Q5A NW Weekly contracts listed for 4 weeks Weekly contracts listed for 2 weeks
      E-mini Nasdaq-100 Wednesday Weekly options - Week 1-5 Q1C-Q5C NW Weekly contracts listed for 4 weeks Weekly contracts listed for 2 weeks
      E-mini Nasdaq-100 End-of-Month options QNE NW Monthly contracts listed for 4 consecutive months Monthly contracts listed for 3 consecutive months and 1 additional December contract month
      Options on E-mini Russell 2000 Index futures RTO R4 Quarterly contracts (Mar, Jun, Sep, Dec) listed for 3 consecutive quarters Quarterly contracts (Mar, Jun, Sep, Dec) listed for 4 consecutive quarters
      E-mini Russell 2000 Monday Weekly options - Week 1-5 R1A-R5A R4 Weekly contracts listed for 4 weeks Weekly contracts listed for 2 weeks
      E-mini Russell 2000 Wednesday Weekly options - Week 1-5 R1C-R5C R4 Weekly contracts listed for 4 weeks Weekly contracts listed for 2 weeks
      E-mini Russell 2000 Weekly options - Week 1-4 R1E-R4E R4 3 weekly contracts listed for weeks 1, 2 and 4 and 3 weekly contracts of week 3 (exclusive of March quarterly months) 4 weekly contracts listed for weeks 1, 2 and 4 and 3 weekly contracts of week 3 (inclusive of March quarterly months)
      Please note: No contract series will be removed for any listing reductions. Existing contract months will be permitted to expire until the new listing cycle is met.
      Strike Listing Rule Amendments for Equity Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Strike Listing Rule New Strike Listing Rule
      E-mini Nasdaq-100 Options NQ QZ 500-point increment: -80% - + 30% (when listed)
      250-point increment: -40% - +20% (<96 DTE)
      100-point increment: -30% - +15% (<66 DTE)
      50-point increment: -20% - +10% (<35 DTE)
      25-point increment: -10% - +5% (<10 DTE)
      10-point increment: -10% - +5% (<5 DTE)      		 500-point increment: -80% - + 40% (when listed)
      250-point increment: -40% - +20% (<96 DTE)
      100-point increment: -20% - +10% (<66 DTE)
      50-point increment: -14% - +7% (<35 DTE)
      25-point increment: -10% - +5% (<14 DTE)
      10-point increment: -8% - +4% (<7 DTE)
      E-mini Nasdaq-100 Monday Weekly Options - Week 1-5 Q1A-Q5A NW
      E-mini Nasdaq-100 Tuesday Weekly Options - Week 1-5 Q1B-Q5B QZ
      E-mini Nasdaq-100 Wednesday Weekly Options - Week 1-5 Q1C-Q5C NW
      E-mini Nasdaq-100 Thursday Weekly Options - Week 1-5 Q1D-Q5D QZ
      E-mini Nasdaq-100 Weekly Options - Week 1-4 QN1-QN4 NW
      E-mini Nasdaq-100 End-of-Month Options QNE NW
      Options on Micro E-mini Nasdaq-100 Index Futures MNQ> NE
      Monday Weekly Options on Micro E-mini Nasdaq-100 Index Futures - Week 1-5 (European-Style) D1A-D5A NE
      Tuesday Weekly Options on Micro E-mini Nasdaq-100 Index Futures - Week 1-5 (European-Style) D1B-D5B NE
      Wednesday Weekly Options on Micro E-mini Nasdaq-100 Index Futures - Week 1-5 (European-Style) D1C-D5C NE
      Thursday Weekly Options on Micro E-mini Nasdaq-100 Index Futures - Week 1-5 (European-Style) D1D-D5D NE
      Weekly Options on Micro E-mini Nasdaq-100 Index Futures - Week 1-4 MQ1-MQ4 NE
      Micro E-mini Nasdaq-100 Index EOM Options MQE NE
      E-mini Russell 2000 Monday Weekly Options - Week 1-5 R1A-R5A R4 100-point increment: -80% - + 30% (when listed)
      50-point increment: -40% - +20% (<96 DTE)
      25-point increment: -20% - +15% (<66 DTE)
      10-point increment: -15% - +10% (<35 DTE)
      5-point increment: -10% - +5% (<10 DTE)      		 100-point increment: -80% - + 30% (when listed)
      50-point increment: -40% - +20% (<96 DTE)
      25-point increment: -15% - +10% (<66 DTE)
      10-point increment: -10% - +7% (<35 DTE)
      5-point increment: -8% - +4% (<7 DTE)
      Tuesday Options on E-mini Russell 2000 Futures - Week 1-5 R1U-R5U R4
      E-mini Russell 2000 Wednesday Weekly Options - Week 1-5 R1C-R5C R4
      Thursday Options on E-mini Russell 2000 Futures - Week 1-5 R1D-R5D R4
      E-mini Russell 2000 Weekly Options - Week 1-4 R1E-R4E R4
      E-mini  Russell 2000 EOM Options RTM R4
      E-mini  Russell 2000 Options RTO R4
      E-mini S&P 500 Options ES EW 100-point increment: -80% - + 30% (when listed)
      50-point increment: -40% - +15% (<366 DTE)
      25-point increment: -25% - +10% (<126 DTE)
      10-point increment: -20% - +10% (<96 DTE)
      5-point increment: -10% - +5% (<10 DTE)      		 100-point increment: -80% - + 40% (when listed)
      50-point increment: -40% - +20% (<366 DTE)
      25-point increment: -20% - +10% (<96 DTE)
      10-point increment: -14% - +7% (<66 DTE)
      5-point increment: -10% - +5% (<10 DTE)
      E-mini S&P 500 Monday Weekly Options - Week 1-5 E1A-E5A EW
      E-mini S&P 500 Tuesday Weekly Options - Week 1-5 E1B-E5B EW
      E-mini S&P 500 Wednesday Weekly Options - Week 1-5 E1C-E5C EW
      E-mini S&P 500 Thursday Weekly Options - Week 1-5 E1D-E5D EW
      E-mini S&P 500 Weekly Options - Week 1-4 EW1-EW4 EW
      E-mini S&P 500 EOM Options EW EW
      Options on Micro E-mini Standard and Poor’s 500 Stock Price Index Futures MES EO
      Monday Weekly Options on Micro E-mini S&P 500 Index Futures - Week 1-5 (European-Style) X1A-X5A EO
      Tuesday Weekly Options on Micro E-mini S&P 500 Index Futures - Week 1-5 (European-Style) X1B-X5B EO
      Wednesday Weekly Options on Micro E-mini S&P 500 Index Futures - Week 1-5 (European-Style) X1C-X5C EO
      Thursday Weekly Options on Micro E-mini S&P 500 Index Futures - Week 1-5 (European-Style) X1D-X5D EO
      Weekly Options on Micro E-mini Standard and Poor’s 500 Stock Price Index Futures - Week 1-4 EX1-EX4 EO
      Micro E-mini Standard and Poor’s 500 Stock Price EOM Options EX EO

      These 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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      Events and Announcements

      SPAN 2 Approximation Files Available Now

      As previously announced, the SPAN 2 framework will be rolled out for specific product groupings in a phased multi-year approach after extensive testing, starting with major NYMEX energy futures and options on futures. 

      To help clients prepare for this launch, CME Group is offering the following services:

      • Tools for replicating SPAN 2 margin requirements through software and API solutions for post-trade processes.
      • New SPAN 2 approximation file to help firms estimate SPAN 2 margins in low latency margin calculation scenarios for pre-trade margin approximation processes.

      Please contact PostTradeServices@cmegroup.com now to get ready for this critical migration.

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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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