GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Management
Subject | CME Globex Notices: January 15, 2006
Notice Date | 2007-01-15
Notice Number | 011507
Effective Date |
Welcome to the CME Globex Notices for the week of January 15, 2007. January Reminder: Dynamic Settlement Price Updates to Instrument Creation (MO) Updates Reminder: Market Data Alert Reminder: NYMEX iPort 3-2-1 Plus Index on CME Globex Reminder: CME Market Data Platform Change Reminder: ITC 2.1 Market Data Change Reminder: Instrument Group Code Changes February Reminder: Cabinet Pricing Change for CME FX and Commodity Options Reminder: CME Euroyen TIBOR Futures and Options Launch Reminder: CME FX Option Spreads Launch March Reminder: Enhanced Execution Reports and UDS: Combos Reminder: NYMEX Gulf Coast Products on CME Globex If you have any questions or concerns, please contact your CME Globex Account Manager at 312.634.8700; or at +44.207.623.2550 in Europe. Reminder: Dynamic Settlement Price Updates to Instrument Creation (MO) Messages Currently, Instrument Creation (MO) market data messages are available throughout the week on the following CME Market Data Platform channels: Instrument Creation (MO) Messages - Replay Only (1) Instrument Creation (MO) Messages - Replay Only Excluding CME Eurodollar Options (16) Updated daily settlement price information is disseminated during the week via the Price (M7) market data message. As detailed in CME Market Data Platform RLC Message Specifications, customers must obtain current daily settlement price information from the M7 message. Effective Sunday, January 21, 2007, CME will dynamically update daily settlement price data in MO market data messages in the production environment. The following data will be updated in MO messages as soon as it is published in an M7 message: Settlement Date, position 578 - 585, expressed as yyyyMMdd Reference/Settlement Price Indicator, position 586, 1 = Settlement Price Settlement Price, positions 587 - 605 With this launch, MO messages with the current daily settlement price information will be available on CME Market Data Platform channels 1 and 16. Up-to-date daily settlement prices will thus be available to customers throughout the week via both M7 and MO market data messages. These dynamic updates are currently available in the certification environment. Reminder: Market Data Alert To better support customer trading, this Sunday, January 21, CME will complete internal updates that will change some existing ISIN codes. If your front-end system requires it, customers must purge their instrument databases for both the CME certification and production environments and re-populate using new Instrument Creation (MO (m-oh)) market data messages. Please contact your front-end system provider for more information. The new MO market data messages for the CME certification and production environments will be published before the start of trading on Sunday, January 21, via the CME Market Data Platform. If you have any questions or concerns, please contact the CME Globex Control Center (GCC) at 312.456.2391. Reminder: NYMEX iPort 3-2-1 Plus Index on CME Globex Effective this Sunday, January 21, 2007 (for trade date Monday, January 22), the NYMEX iPortTM3-2-1 Plus futures, spreads and TAS contracts will launch on the CME Globex electronic trading platform.
NYMEX iPort 3-2-1 Products on CME Globex
Product | Product Code | Instrument Group Code | Spreads
NYMEX iPort 3-2-1 Plus | WX | WX | Calendar
NYMEX iPort 3-2-1 Plus TAS | WXT | WT |
NYMEX iPort products are new index and portfolio instruments, designed to maximize potential exposure and hedge sector risk in energy and metals markets. NYMEX iPort indexes are different combinations of benchmark NYMEX contracts. The NYMEX 3-2-1 Plus Index equals the sum of the value of the nearest NYMEX futures contracts divided by ten, as follows: three NYMEX Light Sweet Crude Oil contracts, two NYMEX RBOB contracts, one NYMEX Heating Oil contract, and one NYMEX Natural Gas contract. These new NYMEX iPort products are now available for customer testing in the certification environment. CME Globex contract specifications for these products are available in the NYMEX Snapshot. More information on NYMEX and COMEX products on the CME Globex platform is available at www.nymexoncmeglobex.com. Reminder: CME Market Data Platform Change As previously announced, effective this Sunday, January 21, 2007, CME is removing all of the following market data messages from the CME Market Data Platform administration channel (2) in the production environment. Instrument Creation (MO) messages Trading Day Timetables (MH) messages Group State Change Marker (MJ) messages Start of CME Globex Platform (MK) messages Start of Instrument Referential Broadcasting (ML) messages End of Instrument Referential Broadcasting (MM) messages As of Sunday, January 21, these messages will be disseminated only via their respective CME Market Data Platform product data channels. These same market data messages have been removed from the Administration channel (2) in the certification environment, and in both the certification and production environment for CME Equity, FX and Commodity options only. There is no change to the Instrument Creation (MO) Messages - Replay Only and Instrument Creation (MO) Messages - Replay Only (Excluding CME Eurodollar Options) channels (1 and 16). CME strongly recommends customers use the Instrument Creation (MO) Messages - Replay Only and Instrument Creation (MO) Messages - Replay Only (Excluding CME Eurodollar Options) channels (1 and 16) to download MO messages for the week, and use the product channels for mid-week instrument adds. More information on the CME Market Data Platform is available in the CME Market Data Platform Developer's Guide. Details on the CME market data messages can be found in the CME Market Data Platform RLC Message Specifications. Reminder: ITC 2.1 Market Data Change This Sunday, January 21, to improve market data bandwidth management, the ITC 2.1 market data messages for CME E-mini Russell 2000® and CME E-mini S&P 500® options will be moved from the CME Globex Options Top of Book channel (5) to the CME Globex Spreads Top of Book channel (6). Please note: this change only affects the ITC 2.1 message channels. There is no change to the RLC channels. More information on the CME Market Data Platform channels is available online. Reminder: Instrument Group Code Changes Effective Sunday, January 28, 2007, the following Instrument Group Code changes will be implemented in both the certification and production environments. With this change, all Instrument Group Codes will conform to the standard two-character length. To support this change, all resting GTC and GTD orders for these products will be eliminated at session close Friday, January 26.
CME Futures Instrument Group Code Changes
Product | Product Codes | Current Instrument Group Code | New Instrument Group Code
CME Housing futures | CUS, BOS, CHI, DEN, LAV, LAX, MIA, NYM, SDG, SFR, WDC | H | HI (H-eye)
CME Euro/Czech Koruna futures | ECK | K | KC
CME Euro/Hungarian Forint futures | EHF | K | KC
CME Euro/Polish Zloty futures | EPZ | K | KC
CME Options Instrument Group Code Changes
Product | Product Codes | Current Instrument Group Code | New Instrument Group Code
CME Euro/Czech Koruna options | ECZ | R | RC
CME Euro/Hungarian Forint options | EHU | R | RC
CME Euro/Polish Zloty options | EPL | R | RC
Instrument Group Codes can be found at position 70 - 71 of the Instrument Creation (MO) market data message. More information on MO messages is available in CME Market Data Platform RLC Message Specifications. Reminder: Cabinet Pricing Change for CME FX and Commodity Options Effective Sunday, February 4, 2007, at customers' requests, CME will provide actual Cabinet prices for CME FX and Commodity outright options in all CME iLink order entry and RLC market data messages. With this change, orders submitted with a price below the Low Limit price, including a 0 (zero) price, will be rejected. Currently, in these products, outright option orders at a 0 price are treated as Cabinet orders. The actual Cabinet prices will be broadcast in the Instrument Creation (MO) market data messages at position 625-643, Low Limit. The Cabinet values are currently available at www.cme.com/contractspecs. The Cabinet pricing change will be available for customer testing in the certification environment Sunday, January 21. Please note: there is no change to ITC 2.1 market data messages at this time, which will continue to reflect Cabinet trade prices as 0. Reminder: CME Euroyen TIBOR Futures and Options Launch Effective Sunday, February 4, 2007 (for trade date Monday, February 5), CME Euroyen TIBOR futures and options will launch on the CME Globex platform. Electronically traded CME Euroyen TIBOR futures and options are identical to and fully fungible with the currently available floor contracts. Please note: these products have different Product and Instrument Group Codes, as detailed in the table below. The Euroyen market has become more volatile in recent months and this is a particularly auspicious time to offer hedgers and traders even wider access to CME Euroyen contracts via CME Globex. These new products will be available for customer testing in the certification environment this Monday, January 22.
CME EuroYen TIBOR Futures and Options on CME Globex
Product | Product Code | Instrument Group Code | Strategy Type Code
Futures and Future Spreads
CME EuroYen TIBOR Futures | EJ | EJ | —
Packs | EJ | EJ | PK
Pack Spreads | EJ | EJ | PS
Bundles | EJ | EJ | FB
Calendars | EJ | EJ | SP
Butterflies | EJ | EJ | BF
Options and Option Spreads
CME EuroYen TIBOR Options† | EJ | EY | —
1-Year Mid-Curve Options | EJ0 (zero) | J0 (zero) | —
Straddles | EJ, EJ0 | J$ | ST
Strangles | EJ, EJ0 | J$ | SG
Horizontals | EJ, EJ0 | J$ | HO
Ratio 1x2 | EJ, EJ0 | J$ | 12
† Excludes 1-Year Mid-Curve Options Reminder: CME FX Options Spreads Launch Effective Sunday, February 4, 2007 (for trade date Monday, February 5), Straddle, Strangle and Vertical spreads for the following CME Foreign Exchange (FX) options will be launched on the CME Globex platform. CME Euro FX options (product code 6E) CME Japanese Yen options (product code 6J) CME British Pound options (product code 6B) CME Swiss Franc options (product code 6S) CME Canadian Dollar options (product code 6C) CME Australian Dollar options (product code 6A) CME New Zealand Dollar options (product code 6N) CME Mexican Peso options (product code 6M) CME Russian Ruble options (product code 6R) These new options spreads will be available for customer testing in the certification environment Monday, January 22. Reminder: Enhanced Execution Reports and UDS: Combos The Enhanced Execution Reports and User-Defined Spreads (UDS): Combos release, scheduled to launch Sunday, March 25, 2007, introduces two sets of functional enhancements to the CME Globex platform. Enhanced Execution Reports With this release, Fill and Trade Cancellation messages will be enhanced for all products traded on the CME Globex platform with new FIX tags 442-MultiLegReportingType, 393-TotalNumSecurities and 527-SecondaryExecID. Customers will be able to use the enhanced Fill and Trade Cancellation messages to: Differentiate messages for outrights, legs and spreads Correlate leg and spread messages Identify the number of legs associated with a spread CME strongly recommends all customers test the enhanced execution reports prior to the production launch. Enhanced execution reports will be available in the certification environment effective January 30, 2007. UDS: Combos With UDS: Combos functionality, customers will be able to define and trade unique options instruments intra-day, composed of any or all of the following: Exchange-defined outright option(s) Exchange-defined option spread(s) Existing user-defined spreads Front-end trading applications interested in UDS: Combos functionality are required to certify via CME AutoCert+. This functionality will be available for testing and certification effective February 20, 2007. To access CME AutoCert+, please contact your CME Globex Account Manager at 312.634.8700. More information on this release is available in the UDS: Combos and Enhanced Execution Reports Client Impact Assessment. Reminder: NYMEX Gulf Coast Products on CME Globex In preparation for a later launch, the following new NYMEX Gulf Coast futures, spreads and TAS contracts are available for customer testing in the CME certification environment.
New NYMEX Gulf Coast Products on CME Globex
Product | Product Code | Instrument Group Code | Spreads
Gulf Coast Gasoline | LR | CL | Calendar
Gulf Coast Ultra Low Sulfur Diesel (ULSD) | LU | CL | Calendar
New Intercommodity Spreads
Gulf Coast Gasoline vs. RBOB | LR:RB | CL |
Gulf Coast Gasoline vs. Gulf Coast ULSD | LR:LU | CL |
Gulf Coast ULSD vs. Heating Oil | LU:HO | CL |
New TAS Instruments
Gulf Coast Gasoline TAS | LRT | CT |
Gulf Coast Ultra Low Sulfur Diesel (ULSD) TAS | LUT | CT |
CME Globex contract specifications for these products are available in the NYMEX Snapshot. More information on NYMEX and COMEX products on the CME Globex platform is available at www.nymexoncmeglobex.com. ©2006 Chicago Mercantile Exchange Inc (CME). All rights reserved. The Globe Logo, Globex®, E-mini®, iLink® Globex Trader® and CME® are trademarks of CME