Client Management Advisory Notices
To | CBOT and CME Back Office Managers
From | CME Clearing House
Subject | SLEDS E2E Testing Cycles 3, 4 and 5 Notice Scripts
Notice Date | 2004-01-22
Notice Number | CMO#0007
Effective Date |
This coming week, we will run the final three cycles of SLEDS E2E testing. All firms will be required to enter a minimum number of scripted CBOT Pit SLEDS and submit leg price changes for two of those SLEDS trades after they have posted to Clearing. There will be no CME or non-SLEDS trades included in this first week of testing. Firms will receive three e-cbot SLEDS during each of the three remaining cycles. Firms will also be able to enter in their own orders into the Simulation LIFFE/CONNECT environment. Matched e-cbot orders will post to the CME Clearing System and confirms will be routed to the firm’s back office systems Firms who requested Handheld Trades (HHT) and Order Routing (Electronic Clerk) trades on their SLEDS E2E Testing Set-up questionnaire will receive 5 of each of these type of trades as well. Firms can access the CME Front End Clearing application for SLEDS E2E testing by using the Front End Clearing – E2E link under the Firms Quality Assurance Environment section of the CME Portal. Testing Schedule Cycle 3, 4 and 5 testing will run on a Monday-Wednesday-Friday schedule. Trade date will be the same as the test date: Monday, January 26th = Trade Date January 26th for Cycle 3 Wednesday, January 28th = Trade Date January 28th for Cycle 4 Friday, January 30th = Trade Date January 30th for Cycle 5 Start of Day Positions For next Monday’s test, start of day positions will be flat. However, we will roll positions forward from Cycle 3 to Cycle 4 and from Cycle 4 to Cycle 5. Pit SLEDS Trades A limited script for pit SLEDS trades will be available for each test cycle. The script will contain pit SLEDS trades that should be submitted to CME. Firms may use either their "buddy" firm as the opposite firm, if their buddy firm has agreed to submit the opposite trades into them, or they may use their "flip" firm as the opposite firm. (For trades submitted via TREX, the clearing system will automatically create the opposite side, guaranteeing that the trade will match.) Note: For SLEDS E2E testing, the “flip firm” will only work for trades submitted via TREX. There will not be a "flip" firm for Pit SLEDS entered directly into the CME FEC Clearing System. Firms who will be entering SLEDS directly into the CME Front End Clearing System, should key both sides of the trades into themselves. Also, we are requesting that firms submit leg price changes after they have sent their Pit SLEDS to Clearing. Suggested changes are included on the script, though firms may request whatever leg prices they want as long as they conform to the established leg price rules for Pit SLEDS. "Flip" Firms For pit trades in SLEDS E2E, all firms will use firm 672 as the opposite "flip" firm e-cbot Testing e-cbot users are encouraged to enter e-cbot users are encouraged to enter orders into the March 04/June 04 reduced tick calendar spreads (strategy code Z) in the following products: ZB, ZN and ZF. The prices to be used are as follows: ZB - bids should be entered with a price of 1142 and offers should be entered at a price of 1140. ZN - bids should be entered with a price of 1185 and offers should be entered at a price of 1182 ZF - bids should be entered with a price of 1120 and offers should be entered at a price of 1117 These price levels will match against previously entered bids and offers entered by the Exchange. All firms will continue to receive pre-defined 3 e-cbot SLEDS Order Routing (Electronic Clerk) e-cbot Testing For Cycle 3, 4 and 5 CBOT will provide 5 Order-Routing (Electronic Clerk) trades to selected firms. HHT For firms who requested HHT trades, these will be created and routed to the firms by the CBOT. PCS Firms must submit PCS to CME for each cycle of SLEDS E2E testing and should use the following PCS file name: TFTP.FXXXPCS.CCLTEST.DATA Script Locations As with CCL E2E testing, all scripts are located at: ftp.cme.com/pub/span/data/cme/test/scripts The pit trade scripts are provided separately for "A" firms and "B" firms, and both in Excel and PDF format, as: SLEDSPitScript_Cycle3_4_5_AFirm.xls SLEDSPitScript_Cycle3_4_5_AFirm.pdf SLEDSPitScript_Cycle3_4_5_BFirm.xls SLEDSPitScript_Cycle3_4_5_BFirm.pdf The listing of trading firms, their designation as "A" and "B" firms, and the assignment of "buddy" firms is provided as: TMFShortReport.mht, and has not changed from the version provided during CCL E2E testing. Scripts for Order-Routing, HHT and e-cbot trades will be posted on Friday, January 23rd, 2004 Contacts CME – Client Management Operations – 312/930-8159 CBOT Technical Support – 312/347-5611; CBOT Order Routing -- Larry Ratner – 312/789-8983 or Rick Dammer – 312/347-5475 SLEDS E2E Test Schedule for Week of January 26, 2004 – Cycle 3, 4 and 5 Monday, January 26th – Trade Date January 26th Ø Sunday 8:30 p.m. until Monday 12:00 p.m.: window for e-cbot Sim trade entry for E2E trade date January 26th. Ø 8:00 a.m. – 12:00 p.m.: Trade Entry. Firms will enter pit SLEDS, send in price changes and do post-trade processing activity, e.g. ACS and APS. Please note the deadline to submit trades to CME during End-To-End is 12:00 p.m. Ø 1pm: PCS deadline. Firms must submit PCS for Cycle 1 activity. Tuesday January 27th: Ø Noon: CME provides Trade Register Data Files (MRTR) for Cycle 1. File name (where xxx is the firm number): fxxx.cbtdata.cbttest.mrtrtest. Ø Trade Register Report on Infopac: CPM591E2E Wednesday January 28th: Trade Date January 28th: Ø Tuesday 8:30 p.m. until Wednesday 12:00 p.m.: window for e-cbot Sim trade entry for E2E trade date January 28th. Ø 8:00 a.m. – 12:00 p.m.: Trade Entry. Firms will enter pit SLEDS, send in price changes and do post-trade processing activity, e.g. ACS and APS. Please note the deadline to submit trades to CME during End-To-End is 12:00 p.m. Ø 1pm: PCS deadline. Firms must submit PCS for Cycle 1 activity. Thursday January 29th Ø Noon: CME provides Trade Register Data Files (MRTR) for Cycle 2. File name (where xxx is the firm number): fxxx.cbtdata.cbttest.mrtrtest. Ø Trade Register Report on Infopac: CPM591E2E Friday January 30th: Trade Date January 30th: Ø Thursday 8:30 p.m. until Friday 12:00 p.m.: window for e-cbot Sim trade entry for E2E trade date January 30th. Ø 8:30 a.m. – 12:00 p.m.: Trade Entry. Firms will enter pit SLEDS, send in price changes and do post-trade processing activity, e.g. ACS and APS. Please note the deadline to submit trades to CME during End-To-End is 12:00 p.m. Ø 1pm: PCS deadline. Firms must submit PCS for Cycle 1 activity. Monday February 2nd Ø Noon: CME provides Trade Register Data Files (MRTR) for Cycle 2. File name (where xxx is the firm number): fxxx.cbtdata.cbttest.mrtrtest. Ø Trade Register Report on Infopac: CPM591E2E