CME STP Notices: July 19, 2017

CME STP

UpdateUpdate - Enhancements for OTC FX Transfers - August 6 

Effective Sunday, August 6 (trade date Monday, August 7), to facilitate OTC FX transfers between clearing firms, the following enhancements will be made to the Trade Capture Report messages:

Please Note: 

• Transfers for OTC trades result in an Offset and Onset message being generated.
• Transfers of Non-OTC trades result in an Offset and Onset with TrdTyp=3 (transfer), but without an OfstInst attribute.
  

These enhancements will be available for customer testing in New Release on Wednesday, July 26.

Back to Top

UpdateUpdate - Attributes for TAS and TAM Spreads  - August 6

† Denotes update to the article

Effective Sunday, August 6 (trade date, Monday, August 7), to support Trade at Settlement (TAS) and Trade at Marker (TAM) spread trades, the following price attributes will be added at the Trade Instrument Leg Group level for MLegRptTyp="3" messages. TAS and TAM products are traded at a differential price from prior settlement or marker price.

• Price Subtype (PxSubTyp) 
• Price Type (PxTyp)
• Differential Price (DiffPx)
• Differential Price Type (DiffPxTyp)

To additionally support TAM spreads, the Leg Security Alternate Identifier block will also be added at the Trade Instrument Leg level:

Instrmt Sym="OQB:SP" ID="OQB" SecTyp="COMBO" Src="H" SubTyp="SP" MMY="20170700" MatDt="2017-05-31" Mult="1000" Exch="DME" PxQteCcy="USD"/>
<TrdLeg LegNo="1" Qty="100" RefID="100001" LastPx="49.93" RptID="15CA1F75A5491155A" PxTyp="2" PxSubTyp="0" DiffPx="0.01" DiffPxTyp="0">
<Leg ID="OQ" MMY="20170700" Mat="2017-05-31" CFI="FCEPSX" Exch="DME" Side="1" Mult="1000" SecTyp="FUT" Sym="OQDN7XXX"/>
<LegAID SecAltID="12345" SecAltIDSrc="112"/>
</TrdLeg>

These enhancements will be available for customer testing in New Release on †Wednesday, July 26.

Back to Top

UpdateUpdate - Delivery Restriction Values Update  - August 6

† Denotes update to the article

Effective Sunday, August 6 (trade date Monday, August 7), to more accurately reflect the delivery restriction from CME ConfirmHub submitted trades, the Delivery Restriction attribute (TrdCaptRpt/Instrmt/Strm/DlvryStrm/@DlvryRstctn) will be set to: 

• 101 - when "Firm, with liquidating damages" is received from CME ConfirmHub
  
• 102 - when "WSPP Schedule C Firm, with Liquidating Damages" is received from CME ConfirmHub

Confirm Letters in STP Trade View will display the original text: "Firm, with liquidating damages" or "WSPP Schedule C Firm, with Liquidating Damages," respectively.

These enhancements will be available for customer testing New Release †Wednesday, July 26.

Back to Top

New New - Settlement Provision Relative Date for Non-deliverable Swap Currencies  - August 6

Effective Sunday, August 6 (trade date Monday, August 7), to increase accuracy of Settlement Provision relative date, the embedded FpML for IRS and FRA trades will use “dateRelativeToPaymentDates” element for all non-deliverable swap currencies except the Brazilian Real (BRL).

This enhancement will be available in the New Release environment on Wednesday, July 26.

Back to Top

New New - Populate Trading Quantity and Original Time Unit - August 13

Effective Sunday, August 13 (trade date Monday, August 14), to provide additional trade information, Trading Quantity (TrdgQty) and Original Time Unit (OrigTmUnit) attributes will be populated at the Trade Capture Report and Trade Capture Report/Trade Leg  level for all trades.

Please see Quantity Calculation examples.

These enhancements will be available in the New Release environment on Wednesday, August 2.

Back to Top

CME STP Enhancements for Straight Through Processing  - Q3 2017

Effective Q3 2017, to better support Straight Through Processing, the following enhancements will be implemented in CME STP for CME Globex trades:

• CME Globex Trade Capture Report spreads (MLegRptTyp=”3”) will be published by CME STP, providing greater flexibility in trade reporting, with the following exception:
  • Interexchange spreads and legs will continue to be supported by MLegRptTyp=”2”, but will not be supported by MLegRptTyp=”3”.
• A new field Market Data Trade Entry ID (MDTrdEntrID) will be added to Trade Capture Report messages for:
  • MLegRptTyp=”2” – Trade Capture Reports on all trades of outright instruments and the individual, outright legs of multi-leg security (spread/combo) trades
  • MLegRptTyp=”3” – Trade Capture Reports on all trades of outright instruments and multi-leg securities (spread/combo). Legs are included in repeating groups in the mutli-leg security trades TCR.
  • This field will reflect an end-to-end value available on CME Globex iLink order entry, MDP 3.0 market data, and CME STP clearing messages, allowing clients to follow an order from CME Globex execution through clearing.

• A new format for Execution ID (TradeCaptureReport/@ExecID) will align the CME Globex Execution ID with the CME STP Execution ID, so both are identical.
  • The new format for Execution ID also enables linking a newly created trade to a cancelled trade resulting from a price adjustments using the right most nine characters:
    • Execution ID associated with order execution and cancelled trade: 00010720170407163234TN0000023
    • Execution ID associated with new Trade Capture Report: 8245:M:258TN0000023

These enhancements are currently available in the New Release for customer testing.

Back to Top

Information Security Update  - December 18

CME Group is committed to our customers’ information security. To deliver the best security and customer experience, effective Sunday, December 18 (trade date Monday, December 19), the listed CME Group services will support Transport Layer Security (TLS) version 1.2 only, and TLS 1.0 and 1.1 will be disabled. Customers are encouraged to upgrade to TLS 1.2 immediately; please contact your system administrator or network provider today to ensure seamless access.

This change will be effective in New Release on Tuesday, August 29.

Back to Top

CME STP FIX

UpdateUpdate - Delivery Restriction Values Update  - August 6

† Denotes update to the article

Effective Sunday, August 6 (trade date Monday, August 7), to more accurately reflect the delivery restriction from CME ConfirmHub submitted trades, Delivery Restriction (tag 41063- DlvryRstctn in the Stream Group ) will be set to: 

• 101 - when "Firm, with liquidating damages" is received from CME ConfirmHub
  
• 102 - when "WSPP Schedule C Firm, with Liquidating Damages" is received from CME ConfirmHub

Confirm Letters in STP Trade View will display the original text: "Firm, with liquidating damages" or "WSPP Schedule C Firm, with Liquidating Damages," respectively.

These enhancements will be available in New Release on †Wednesday, July 26.

Back to Top

New New - Settlement Provision Relative Date for Non-deliverable Swap Currencies  - August 6

Effective Sunday, August 6 (trade date Monday, August 7), to increase accuracy of Settlement Provision relative date, the embedded FpML for IRS and FRA trades will use “dateRelativeToPaymentDates” element for all non-deliverable swap currencies except the Brazilian Real (BRL).

This enhancement will be available in the New Release environment on Wednesday, July 26.

Back to Top

New New - Populate Trading Quantity and Original Time Unit - August 13

Effective Sunday, August 13 (trade date Monday, August 14), to provide additional trade information, Trading Quantity (tag 10037-TrdgQty) and Original Time Unit (tag 997-OrigTmUnit) attributes will be populated at the Trade Capture Report and Trade Capture Report/Trade Leg  level for all trades. 

Please see Quantity Calculation examples.

These enhancements will be available in the New Release environment on Wednesday, August 2.

Back to Top

CME STP FIX Enhancements for Straight Through Processing  - Q3 2017

Effective Q3 2017, to better support Straight Through Processing, the following enhancements will be implemented in CME STP FIX for CME Globex trades:

• CME Globex Trade Capture Report spreads (tag 442-MultiLegReportingType = 3) will be published by CME STP FIX, providing greater flexibility in trade reporting, with the following exception:
  • Interexchange spreads and legs will continue to be supported by tag 442-MultiLegReportingType = 2, but will not be supported by tag 442-MultiLegReportingType = 3.
• A new tag 37711-MDTradeEntryID will be added to Trade Capture Report messages for:
  • tag 442-MultiLegReportingType = 2 - Trade Capture Reports on all trades of outright instruments and the individual, outright legs of multi-leg security (spread/combo) trades
  • tag 442-MultiLegReportingType = 3 - Trade Capture Reports on all trades of outright instruments and multi-leg securities (spread/combo). Legs are included in repeating groups in the mutli-leg security trades TCR.
  • This tag will reflect an end-to-end value available on CME Globex iLink order entry, MDP 3.0 market data, and CME STP FIX clearing messages, allowing clients to follow an order from CME Globex execution through clearing.

• A new format for Execution ID (Tag 17-ExecID) will align the CME Globex Execution ID with the CME STP FIX Execution ID, so both are identical.
  • The new format for Execution ID also enables linking a newly created trade to a cancelled trade resulting from a price adjustments using the right most nine characters:
    • Execution ID associated with order execution and cancelled trade: 00010720170407163234TN0000023
    • Execution ID associated with new Trade Capture Report: 8245:M:258TN0000023

These enhancements are currently available in the New Release for customer testing.

Back to Top

Information Security Update  - December 18

CME Group is committed to our customers’ information security. To deliver the best security and customer experience, effective Sunday, December 18 (trade date Monday, December 19), the listed CME Group services will support Transport Layer Security (TLS) version 1.2 only, and TLS 1.0 and 1.1 will be disabled. Customers are encouraged to upgrade to TLS 1.2 immediately; please contact your system administrator or network provider today to ensure seamless access.

This change will be effective in New Release on Tuesday, August 29.

Back to Top

Contacts

Please contact the following support teams for:

• New Release Environment Support:
  Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803 or in Asia at +65 6593 5593.
• Production Environment Support:
  CME Global Command Center (GCC) in the U.S. +1 800 438 8616, in Europe at +44 20 7623 4747 or in Asia at +65 6532 5010.

Back to Top