• CME STP Notices: August 16, 2017

      • To
      • CME STP Customers
      • From
      • Global Market Solutions & Services
      • #
      • 20170816
      • Notice Date
      • 16 August 2017
      • Effective Date
      • 16 August 2017

    • Topics in this issue include:

    • CME STP

      CME STP Enhancements for Straight Through Processing  - September 10

      Starting Sunday, September 10 (trade date Monday, September 11), to better support Straight Through Processing, the following enhancements will be implemented by market segment 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.
      Attribute FIXML Field Name FIXML Message Component Level Description
      Market Data Trade Entry ID MDTrdEntrID Trade Capture Report Unique Trade Identifier that will match to a CME Globex order execution associated market data message and STP messaging
      • 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 New Release for customer testing.

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      New New - Cash-Settled OTC FX Options  - October 2017

      Effective October 2017, customers may consume cash-settled OTC FX Option deals using CME STP. The underlying block on the OTC FX Options will be a Future.The following updates facilitate this enhancement.

      New Fields:

      Settlement Method will be added at the Instrument level for single-sided trades, and Payment Date will be added to the Payment Group level.

      Attribute FIXML Field Name FIXML Message Component Level Description
      Settlement Method SettlMeth Instrument: TrdCaptRpt/Instrmt Settlement method for a contract.
      Payment Date Dt Payment Group: TrdCaptRpt/Pmt The adjusted payment date.

      Please Note:

      • For Bilaterals, settlement Method will continue to be mapped to Stream Type at the Stream Group level (/TrdCaptRpt/Instrmt/Strm/@Typ).
      • Premium information will be routed to the Payment Group.
      • Specification updates will be made to the Client Systems Wiki on the effective date for these enhancements.

      Please see sample message.

      These enhancements will be available for customer testing in New Release on Wednesday, August 30.

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      Information Security Update  - December 17

      CME Group is committed to our customers’ information security. To deliver the best security and customer experience, effective Sunday, December 17 (trade date Monday, December 18), 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.

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      CME STP FIX

      CME STP FIX Enhancements for Straight Through Processing  - September 10

      Starting Sunday, September 10 (trade date Monday, September 11), to better support Straight Through Processing, the following enhancements will be implemented by market segment in CME STP 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.
      Tag FIX Name FIXML Field Name FIXML Message Component Level Description
      37711 MDTradeEntryID MDTrdEntrID Trade Capture Report Unique Trade Identifier that will match to a CME Globex order execution, associated market data message and STP messaging
      • 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 New Release for customer testing.

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      New New - Attributes for TAS and TAM Spreads  - September 10 

      Effective Sunday, September 10 (trade date, Monday, September 11), 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 tag 442-MLegRptTyp=3 messages. TAS and TAM products are traded at a differential price from the current day's, yet to be determined settlement or marker price.

      Fix Tag Attribute FIXML Field Name Type Description Valid Values
      10051 LegPriceSubType PxSubType String This is a further qualification of the Price Type, and determines whether this is an initial (preliminary) or final price. 0 - Initial Price
      1 - Final Price
      10052 LegDifferentialPriceType DiffPxType String This indicates the type of differential price represented in the Differential Price attribute.  
      2492 LegDifferentialPrice DiffPx Price Represents the differential price for spreads, or a TAS or TAM differental price. 0 - Differential from Settlement Price
      1 - Differential between legs
      686 LegPriceType PxType String Indicates the type of the price associated with the trade. Will not be present for IRS/FRA trades. 1 - Percentage (i.e. percent of par)
      2 - Per unit (i.e. per share or contract)
      10 - Fixed cabinet trade price (primarily for listed futures and options)
      11 - Variable cabinet trade price (primarily for listed futures and options)
      100 - Tentative placeholder price
      101 - Updated actual price

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

      Fix Tag Attribute FIXML Field Name Type Description Valid Values
      604 NoLegSecurityAltID NoLegSecAltID NuminGroup Total number of entries in LegSecurityAltID Group.  
      →605 LegSecurityAltID SecAltID String Alternate Security identifier value for this security of SecurityAltIDSource type (e.g. CUSIP, SEDOL, ISIN, etc).  
      →606 LegSecurityAltIDSource SecAltIDSrc String Identifies class or source of the LegSecurityAltID value. Required if LegSecurityAltID is specified. 112 - TAM Marker Price Symbol

      Please Note: Specification updates will be made to the Client Systems Wiki on the effective date for these enhancements.

      These enhancements will be available for customer testing in New Release on Wednesday, August 30.

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      New New - Enhancements for OTC FX Transfers  - September 10

      Effective Sunday, September 10 (trade date Monday, September 11), to facilitate OTC FX transfers between clearing firms, the following enhancements will be made to the Trade Capture Report messages:

      Fix Tag Attribute Description FIXML Message Component Level
      939 TrdRptStatus New value for netting
      The Trade Report Status will be set to "7" (/tag 939-TrdRptStat =7) for trades terminated as a result of netting.      		 Trade Capture Report
      707 PosAmtType New value for transfer fees
      Amount Type will be set to “IPMT” (tag 707-PosAmtType=IPMT) where there are fees associated with the transfer.      		 Trade Capture Report/Amt
      830 TransferReason New Field
      The reason a trade is being transferred.      		 Trade Capture Report

      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 tag 828-TrdType=3 (transfer), but without an OfstInst attribute.
      • Specification updates will be made to the Client Systems Wiki on the effective date for these enhancements.

      These enhancements will be available for customer testing in New Release on Wednesday, August 30.

      Back to Top

      New New - Cash-Settled OTC FX Options  - October 2017

      Effective October 2017, customers may consume cash-settled OTC FX Option deals using CME STP FIX. The underlying block on the OTC FX Options will be a Future.The following updates facilitate this enhancement.

      New Fields:

      Settlement Method will be added at the Instrument level for single-sided trades, and Payment Date will be added to the Payment Group level.

      Fix Tag Attribute FIXML Field Name Type Description Valid Values
      1193 Settlement Method SettlMeth Instrument: TrdCaptRpt/Instrmt Settlement method for a contract. C - Cash settlement required
      P - Physical settlement required
      40222 Payment Date Dt Payment Group: TrdCaptRpt/Pmt The adjusted payment date.  

      Please Note:

      • For Bilaterals, settlement Method will continue to be mapped to Stream Type at the Stream Group level (/TrdCaptRpt/Instrmt/Strm/@Typ).
      • Premium information will be routed to the Payment Group.
      • Specification updates will be made to the Client Systems Wiki on the effective date for these enhancements.

      These enhancements will be available for customer testing in New Release on Wednesday, August 30.

      Back to Top

      Information Security Update  - December 17

      CME Group is committed to our customers’ information security. To deliver the best security and customer experience, effective Sunday, December 17 (trade date Monday, December 18), 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 Trade View

      New New - Cash-Settled OTC FX Options  - October 2017

      Effective October 2017, customers may view cash-settled OTC FX Options in CME STP Trade View.

      This enhancement will be available for customer testing in New Release on Wednesday, August 30.

      Back to Top

      Information Security Update  - December 17

      CME Group is committed to our customers’ information security. To deliver the best security and customer experience, effective Sunday, December 17 (trade date Monday, December 18), 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.

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      Contacts

      Please contact the following support teams for:

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