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

Critical Updates

UpdateMass Quote Protection Enhancements - June 30

† Denotes update to the article

Effective Sunday, June 30 (trade date Monday, July 1), in addition to the current Mass Quote Protection (MQP) types, CME Group will offer the new Fill % (F) MQP type at the Group Code and Product Line levels.

Mass Quote Protection Enhancements
New MQP Type	Definition
Fill % (F)	Fill % (F) will be the cumulative sum of each quote's execution quantity relative to its original quote quantity during a single MQP duration. Tallies each time a quote's bid or ask trades Example:  A bid-side quote quantity =10 trades as a partially fill for 2.  The remaining (resting ) bid-side quotes quantity = 8  and the Fill % (F) MQP tallies to 20%. MQP functionality will be triggered after the cumulative Fill Percentage exceeds the Fill % (F) threshold.

†Please note: Fill % (F) will default to a null value. If utilized, the value will default to 90%. Customers can only edit it to a value more than 90%.

More information about the new MQP type is available in the client impact assessment.

Certification for the new Fill % (F) MQP type is not mandatory for client systems already certified for the Mass Quote suite.

The new MQP Type is currently available in New Release for customer testing.

Current MQP Type Decommission

Effective Sunday, October 13, the following MQP types will be decommissioned:

• New Quote Fill (X)
• Execution (Y)
• Buy/Sell (Sides)
• Delta (D)

Please Note: CME Group will continue to support the existing MQP type - Traded Quantity (Z).

The current and new MQP types will be supported in parallel as follows:

MQP Types	Currently	June 30	October 13
New - Fill % (F)	Not Available	Supported	Supported
Traded Quantity (Z)	Supported	Supported	Supported
New Quote Fill (X)	Supported	Supported	Decommissioned
Execution (Y)	Supported	Supported	Decommissioned
Buy/Sell (Sides)	Supported	Supported	Decommissioned
Delta (D)	Supported	Supported	Decommissioned

All iLink Mass Quote customers are encouraged to migrate to the new Fill % (F) type as early as possible prior to the current MQP types decommission.

Balanced Strip Butterfly Spread on CME Globex - July 28

Effective Sunday, July 28 (trade date, Monday July 29), a new exchange-defined Balanced Strip Butterfly futures spread will be made available for trading on CME Globex. The new spread will utilize a new strategy type (BB).

The Balanced Strip Butterfly spread will represent a differential spread composed of three legs having equidistant expirations—the near and deferred expirations of a Balanced Strip Butterfly on one side of the spread, and twice the quantity of the middle expirations of a pack on the other side (1:2:1).

Please review the client impact assessment for detailed spread construction and pricing examples.

The spread is currently available for customer testing in New Release.

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

CME Globex Order Entry Web Service APIs - Q2 2024

Clients now have access to CME Group futures and options on the new Order Entry Suite of APIs - Hosted by Google Cloud.

This solution is accessible over the public internet without the commitment of leased line or co-location investments. RESTful and WebSocket APIs with full order routing and instrument creation functionality deliver real-time trading and market exposure insight. This lightweight product is optimized for the needs of less latency sensitive traders and algorithms, while still offering fulsome functionality and utilizing the full suite of CME Globex risk and credit controls.

The OE APIs are made up of two Web Service APIs: RESTful and WebSocket. These APIs support:

• Order Submission and Modifications
• Strategy Creation (UDS) and Request for Quotes (RFQ) Capabilities
• Order and Trade Status Request

Please review the client impact assessment for full technical details and updated launch schedule.

This solution is currently available in the New Release environment; a production date will be announced in future notices.

iLink 3 CGW Migration - Deadline December 31

iLink 3 is now live in production for CGW since January 28, 2024. All customers using the Convenience Gateways (CGW) for order entry must complete their migration to iLink 3 by Tuesday, December 31, including functional certification and session migration as outlined in the client impact assessment. 

A charge of $1,000 USD per iLink session per week is applied to each session that has not yet migrated to iLink 3. Port activation charges (PAC) and market inactivity charges (MIC) for new iLink 3 sessions for CGW will be waived automatically from creation through the end of October 2024.

Effective Sunday, February 2, 2025, iLink 2 on CGW will be decommissioned and all CGW sessions will support iLink 3.

Update on Order Routing and Front-End Audit Trail Requirements for iLink 3

As part of the iLink 3 migration, the following rules for an audit trail certification apply:

• All customer systems using Audit Trail 2.x CSV or FIX formats will be required to certify for Audit Trail 3.x CSV or FIX formats.
• Any certified Audit Trail 3.x CSV or FIX system that is not adding new functionality will not be required to recertify their audit trail system.
• Any certified Audit Trail 3.x CSV or FIX system that is adding new functionality or changes its Administrative Information Registration (On Demand or Pre-Registered) will be required to recertify their audit trail system.
• A new iLink 3.x CGW Order Entry System can be associated to an existing certified Audit Trail 3.x CSV or FIX system. Please send an email request to Audit Trail.

Only after your Order Entry is certified, please complete the questionnaire so an audit trail profile can be created. Audit Trail Production sample requirements guidelines can be found here.

More information regarding the iLink 3 audit trail test suite can be found at:

• iLink 3 - Minimum Acceptable Audit Trail Elements - Data Definitions and Validation Rules
• AutoCert+ Audit Trail for iLink 3 User Manual

Please contact Market Regulation Audit Trail Team if you have any questions.

Please note: There is no open interest in the impacted contract months.

For additional information, please refer to the Special Executive Report SER-9390. 

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

FIX Tag Changes for Certain Equity Options - June 30

Effective Sunday, June 30 (trade date Monday, July 1), the FIX tags will be changed for the products listed below.

Fix Tag Changes for Certain Equity Options
Product	MDP 3.0: tag 6937-Asset	Current MDP 3.0 tag 1151 - Security Group	New MDP 3.0 tag 1151 - Security Group
Options on E-mini Dow Jones Industrial Average Index Futures - End-of-Month (European-Style)	EYM	OL	C9
Weekly Options on E-mini Dow Jones Industrial Average Index Futures - Week 1-4 (European-Style)	YM1-YM4
Options on E-mini Nasdaq-100 Index Futures	NQ	QZ	NW
Tuesday Weekly Options on E-mini Nasdaq-100 Index Futures - Week 1-5 (European-Style)	Q1B-Q5B
Thursday Weekly Options on E-mini Nasdaq-100 Index Futures - Week 1-5 (European-Style)	Q1D-Q5D

Please Note: UDS Groups will not be affected by this change.

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

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

Changes to External Instrument Name for S&P 500 Options - Limited Resting Order Eliminations - June 30

Effective Sunday, June 30 (trade date Monday, July 1), CME Group will make changes to the external instrument name to support 5-byte strike prices for S&P 500 options. The external instrument name is provided in MDP 3.0 tag 55-Symbol and iLink tag 107-SecurityDesc.

Only S&P 500 options that have strikes less than 1,000 will be impacted.

Please Note: To facilitate this change, customers will be asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders for contracts with strikes < 1,000, including any User- or Exchange-Defined Spreads, by the close on Friday, June 28. After 4:00 p.m. Central Time (CT) on Friday, June 28, any remaining GT orders on these markets will be removed by the CME Global Command Center (GCC).

External Alias and Strike Price Listing for S&P 500 Options
PRODUCT	MDP 3.0: TAG 6937-ASSET	ILINK: TAG 55-SYMBOL MDP 3.0 TAG 1151 - SECURITY GROUP	Example of Current MDP 3.0 TAG 55-SYMBOL	Example of New MDP 3.0 TAG 55-SYMBOL
E-mini S&P 500 Options	ES	EW	E1AF4 C0900	E1AF4 C900
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 Poors 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 Poors 500 Stock Price Index Futures - Week 1-4	EX1-EX4	EO
Micro E-mini Standard and Poors 500 Stock Price EOM Options	EX	EO

As a reminder, CME Group does not recommend parsing the external instrument name to determine instrument characteristics.

Please Note: tag 202-Strike Price on the MDP 3.0 Security Definition (tag 35-MsgType=d) message will not change.

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

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

Change Non-Reviewable Range for Cryptocurrency Futures - July 14

Effective Sunday, July 14 (trade date Monday, July 15), the Non-Reviewable Ranges for CME Cryptocurrency Futures will be changed as follows:

Change to Non-Reviewable Range for Cryptocurrency 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
Bitcoin Futures	BTC	BF	1%	400 Index Points
BTIC on Bitcoin futures against London Close (Bitcoin Reference Rate - BRR)	BTB	BX	50% of Underlying NRR	100 Index Points
BTIC on Bitcoin futures against New York Close (Bitcoin Reference Rate New York - BRRNY)	BNB	BI	50% of Underlying NRR	100 Index Points
BTIC on Bitcoin futures against APAC Close (Bitcoin Reference Rate APAC – BRRAP)	ABB	HB	50% of Underlying NRR	100 Index Points
Bitcoin Euro Futures	BTE	GB	1%	400 Index Points
Micro Bitcoin Euro Futures	EBM	GB	1%	400 Index Points
Micro Bitcoin Futures	MBT	BF	1%	400 Index Points
BTIC on Micro Bitcoin futures against London Close (Bitcoin Reference Rate - BRR)	MIB	BX	50% of Underlying NRR	100 Index Points
BTIC on Micro Bitcoin futures against New York Close (Bitcoin Reference Rate New York - BRRNY)	MYB	BI	50% of Underlying NRR	100 Index Points
BTIC on Micro Bitcoin futures against APAC Close (Bitcoin Reference Rate APAC - BRRAP)	AMB	HB	50% of Underlying NRR	100 Index Points
Ether/Bitcoin Ratio Futures	EBR	E3	200 Index Points	400 Index Points
Ether Futures	ETH	EZ	3%	40.00 Index Points
BTIC on Ether futures against London Close (Ether-Dollar Reference Rate - ETHUSD_RR)	ETB	RJ	50% of Underlying NRR	10.00 Index Points
BTIC on Ether futures against New York Close (Ether-Dollar Reference Rate New York - ETHUSD_NY)	ENB	RJ	50% of Underlying NRR	10.00 Index Points
BTIC on Ether futures against APAC Close (Ether-Dollar Reference Rate APAC - ETHUSD_AP)	ATB	EC	50% of Underlying NRR	10.00 Index Points
Ether Euro Futures	ETE	OE	3%	40.00 Index Points
Micro Ether Euro Futures	EEM	OE	3%	40.00 Index Points
Micro Ether Futures	MET	EZ	3%	40.00 Index Points
BTIC on Micro Ether futures against London Close (Ether-Dollar Reference Rate - ETHUSD_RR)	EMB	RJ	50% of Underlying NRR	10.00 Index Points
BTIC on Micro Ether futures against New York Close (Ether-Dollar Reference Rate New York - ETHUSD_NY)	EYB	RN	50% of Underlying NRR	10.00 Index Points
BTIC on Micro Ether futures against APAC Close (Ether-Dollar Reference Rate APAC - ETHUSD_AP)	AHB	EC	50% of Underlying NRR	10.00 Index Points

The risk parameter settings for these and all CME Globex products are defined in the CME Globex Product Reference.

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

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

Listing Cycle Change for Crude Oil Weekly Options - July 21

Effective Sunday, July 21 (trade date Monday, July 22), the listing cycle for the following Crude Oil Weekly options will be amended on CME Globex.

Additionally, the holiday exception is removed from the termination of trading rule, so trading always terminates on the contract day.

LISTING CYCLE CHANGE FOR CRUDE OIL WEEKLY 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	CURRENT LISTING SCHEDULE	NEW LISTING SCHEDULE
Crude Oil Monday Weekly Option	ML1-ML5	LO	1N	Weekly contracts listed for 4 consecutive weeks.	Weekly contracts listed for 4 consecutive weeks. No weekly contract listed if it would expire on a non-business day
Crude Oil Wednesday Weekly Option	WL1-WL5	LO	1N
Crude Oil Friday Weekly Option	LO1-LO5	LO	1N

These options will be available for customer testing in New Release on Monday, July 1.

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

Listing Cycle Expansion for Henry Hub Natural Gas Look-Alike Last Day Financial European Seasonal Strips - July 28

Effective Sunday, July 28 (trade date Monday, July 29), the listing cycle for the following Henry Hub Natural Gas Look-Alike Last Day Financial European Seasonal strips will be expanded on CME Globex.

Listing Cycle Expansion for Henry Hub Natural Gas Look-Alike Last Day Financial European Seasonal Strips
PRODUCT	MDP 3.0: TAG 6937-ASSET	ILINK: TAG 55-SYMBOL MDP 3.0 TAG 1151 - SECURITY GROUP	Current Listing Schedule	New Listing Schedule
Henry Hub Natural Gas Look-Alike Last Day Financial Futures	HH	NG	4 years	Current year and the next 12 years

These products will be available for customer testing in New Release on Monday, July 15.

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

UpdateChange to Minimum Price Increment for Scandinavian FX Futures: Resting Order Elimination - July 28

† Denotes update to the article

Effective Sunday, July 28 (trade date Monday, July 29), the minimum price increment (tag 969-MinPriceIncrement) and †display factor (tag9787-DisplayFactor) will be changed for the below products:

 

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, July 26. After 16:00 CT on Friday, July 26 all GT orders for this future will be cancelled or deleted by the CME Global Command Center (GCC).

Scandinavian FX Futures
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	†Current TAG 9787-DISPLAYFACTOR	†NEW TAG 9787-DISPLAYFACTOR
Norwegian Krone/U.S. Dollar (NOK/USD) Futures	NOK	NO	1	25	5	6
Swedish Krona/U.S. Dollar (SEK/USD) Futures	SEK	SE	1	25	5	6
Euro/Norwegian Krone (EUR/NOK) Futures	ENK	FM	5	25	4	4
Euro/Swedish Krona (EUR/SEK) Futures	ESK	FS	5	25	4	4

This change will impact trades for outright futures only. Spreads remain the same.

These futures will be available for customer testing in New Release on Monday, May 20.

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

Events and Announcements

NewInformation for French Financial Intermediaries

This notification is addressed to French financial intermediaries pursuant to article 251-3 of the Reglement General de l’Autorite des Marches Financiers (the “AMF General Regulation”). The Board of Trade of the City of Chicago, Inc (“Chicago Board of Trade” or “CBOT”), the Chicago Mercantile Exchange Inc (“CME”), the New York Mercantile Exchange Inc (“NYMEX”) and the Commodity Exchange Inc. (“COMEX”) are recognised foreign markets in France.

This notification is to inform you and your underlying market participants with trades originating within the territory of the French Republic of updated information regarding the operations of the markets operated by each of CME, CBOT, NYMEX and COMEX. This information must be provided to French market participants in an “Information Document” pursuant to the AMF General Regulation. The purpose of this Information Document is to provide to market participants within the territory of the French Republic certain background information related to the markets operated by CME, CBOT, NYMEX and COMEX; the ways in which orders are placed and executed; and the various products which can be traded on these markets.

Please ensure to make the document available to all your potential market participants operating within the territory of the French Republic.

This updated Information Document amends and supplements any prior Information Document that may have been supplied to market participants operating within the territory of the French Republic. Please consult the CME Group website (www.cmegroup.com) for the latest information in respect of any CME, CBOT, NYMEX or COMEX product or market.

For any questions or further information required in relation to this document, please contact  internationallegalregulatoryteam@cmegroup.com.

Revised CME Globex Messaging Efficiency Program and Resources - October 1

Effective trade date Tuesday, October 1, CME Group will revise the CME Globex Messaging Efficiency Program (Program) to more effectively target messaging that can negatively impact system performance, impair efficient access to the market, and create unnecessary infrastructure and processing costs for market participants.

The existing Program will remain in effect through Monday, September 30, and will be retired when the revised Program is implemented on Tuesday, October 1.

The following changes will be made under the revised Program:

• Message scoring will be calculated and applied for the entire CME Globex trading session versus the current hours between 7:00 a.m. – 3:15 p.m. Central Time (CT)
• Previously excluded instruments and back months will be included and scored at a reduced weighting

To account for these changes, messaging tiers will be expanded.

To assist potentially impacted firms on a T+1 basis following the conclusion of trade date July 1, CME Group will notify assigned messaging contacts of any instances where product group benchmarks have been exceeded using the revised Program scoring methodology.

For more information, view CME Globex Messaging Efficiency Program Resources such as:

• Current Program and Benchmarks
• Upcoming Program and Benchmarks
• CME Globex Messaging Efficiency Program Holiday Calendar
• CME Globex Messaging Policy

For questions, contact the Global Command Center (GCC) at 1 800 438 8616 or Global Account Management.