GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Management
Subject | CME Globex Notices: July 23, 2007
Notice Date | 2007-07-23
Notice Number | 072307
Effective Date | 1969-12-31
Welcome to the CME Globex Notices for the week of July 23, 2007. New Functionality Instrument Creation (MO) Message Enhancements - This Week New! FIX/FAST Launch in New Release Environment – August 13 Product Launches NYMEX Brent Last Day Futures Launch - This Week New! Cat In A Box Futures and Options Launch - August 5 Futures Strips on Cash-Settled Butter and Dry Whey Futures - August 5 New! S&P Futures and Options Launch - August 19 NYMEX RBOB and Heating Oil Options Launch on CME Globex - August 19 Product Changes Instrument Group Code Changes for CME Globex - This Week Strategy Type Code Changes for Swap Rate Calendar Spreads - This Week New! Equity Options Expansion on CME Globex - August 19 Events and Announcements CBOT Merger Client Impact Assessment Customer Forum for CME-CBOT Merger - Beginning July 30! If you have any questions or concerns, please contact your CME Globex Account Manager at 312.634.8700; +44.20.7796.7100 in Europe; or at +852.3101.7696 in Asia. New Functionality Instrument Creation (MO) Message Enhancements Effective this Sunday, July 29, 2007, CME Group is launching the following enhancements to the Instrument Creation (MO (m-oh)) RLC market data message in the New Release environment. These new fields provide important instrument information, such as the fractional versus decimal price display, originating exchange and explicit Cabinet price for options. These new fields are scheduled to launch in the production environment in Q1 2008. Complete specifications for the MO market data message is available in the Market Data Platform RLC Message Specifications.
New Fields in MO Messages
Position | Title | Length | Description
798 | Fractional Pricing Flag | 1 | Indicates if instrument should display with decimal or fractional price 0 = Decimal display 1 = Fractional Display
900-903 | Exchange Code | 4 | ISO Standard Exchange identifier XCME = CME XNYM = NYMEX XCEC = COMEX XOCH = OneChicago
904-922 | Cabinet Price | 19 | 19byte price field defines cabinet price for options. First byte is the decimal locator. This field is populated only for options.
Please note: New Release, Certification and Production are completely independent environments. Product listings and ISIN codes, as found in the CME Globex Internal ID field of the MO message, may be different in each environment. CME Group recommends that customers use the Market Data Platform channels specific to each environment, as defined in the channel definitions: New Release Channel Definitions Certification Channel Definitions Production Channel Definitions FIX/FAST Launch in New Release Environment Effective Monday, August 13, 2007, in the New Release environment, CME Group is launching the new FIX/FAST market data format for customer testing. FIX/FAST drastically reduces end-to-end latency and improves bandwidth scalability. The new format is based on FIX and FAST protocols for increased efficiency. FIX provides the core message structure and syntax while the FAST protocol increases optimization. FIX/FAST is the basis of a new industry standard for market data. The FIX/FAST Software Development Kit, including Market Data Platform channel definitions and reference code, is available online at www.cme.com/fixfast. Please note: the TCP replay functionality will not be available in New Release with this launch. The TCP replay functionality launch will be announced in a later CME Globex Notice. FIX/FAST is scheduled to launch in production in Q3 2007. Product Launches NYMEX Brent Last Day Futures Launch Effective this Sunday, July 29, 2007 (for trade date Monday, July 30), NYMEX Brent Last Day futures, spreads and TAS contracts will launch on the CME Globex platform. Complete CME Globex product specifications are available in the NYMEX on CME Globex Snapshot. More information on the Brent Last Day futures is available from NYMEX Product Marketing at 212.299.2301.
NYMEX Brent Financial Last Day Outright Products
Product | Instrument Group Code | Product Code | MDP RLC Channel
Brent Last Day | CL | BZ | 30
Brent Last Day TAS | WT | BZT | 30
NYMEX Brent Financial Last Day Future Spreads
Product | Instrument Group Code | Product Code | Strategy Type Code | MDP RLC Channel
Brent Last Day Futures Strips | CL | BZ:FS | FS | 30
Brent Last Day Futures Calendar Spreads | CL | BZ:SP | SP | 30
Intercommodity Spreads
Crude Oil vs Brent Last Day | CL | CL-BZ | IS | 30
Brent Last Day vs REBCO | CL | BZ-RE | IS | 30
These products are currently available for customer testing in the New Release environment. Cat In A Box Futures and Options Launch Effective Sunday, August 5, 2007 (for trade date Monday, August 6), the following hurricane futures and options will launch on the CME Globex platform:
Product | Instrument Group Code | Product Code
Cat In a Box futures and options | HF | HP1-HP9, HP0
Cat In a Box Seasonal futures and options | HPA
Cat In a Box Seasonal Maximum futures and options | HPM
Cat In a Box products provide a vital risk management tool against natural catastrophes occuring in a pre-defined geographical area. The area covered by these futures and options is located in the Gulf of Mexico, defined by 95°30'0"W on the west, 87°30'0"W on the east, 27°30'0"N on the south and United States coastline on the north. These Cat In a Box products will be available for customer testing in the New Release environment this Monday, July 30. Futures Strips on Cash-Settled Butter and Dry Whey Futures Effective Sunday, August 5, 2007 (for trade date Monday, August 6), CME Group is launching 3-, 6- and 12-month futures Packs for Cash-Settled Butter and Dry Whey futures. These new spreads will use Strategy Type Code FS. The Strategy Type Code can be found at position 727-728 in the Instrument Creation (MO (m-oh)) RLC market data message. More information on the Strategy Type Code and MO messages is available in the RLC Message Specifications module of the Market Data Platform SDK. These new Packs will be available in the New Release environment for customer testing Monday, July 30. New S&P Futures and Options Launch Effective Sunday, August 19, 2007 (for trade date Monday, August 20), the following new S&P equity products will launch on the CME Globex platform.
New S&P Futures and Options Outrights on CME Globex
Product | Instrument Group Code | Product Code
S&P SmallCap 600® futures† | SM | SMP
E-mini S&P MidCap 400® option outrights | MC | EMD
† S&P SmallCap 600 futures will be available for trading on CME Globex during Electronic Trading Hours (ETH) only.
New E-mini S&P MidCap 400 Option Spreads on CME Globex
Product | Strategy Type Code | Instrument Group Code | Product Code
Horizontal Option Spread | HO | 8V | EMD
Butterfly Option Spread | BO
Strangle Option Spread | SG
Straddle Option Spread | ST
Vertical Call Option Spread | VC
Vertical Put Option Spread | VP
These new Equity futures, options and spreads will be available for customer testing in the Certification environment Monday, August 6. NYMEX RBOB and Heating Oil Options Launch on CME Globex Effective Sunday, August 19 (for trade date Monday, August 20), NYMEX RBOB and Heating Oil options on futures will launch on the CME Globex platform. Complete CME Globex product specifications are available in the NYMEX Options on CME Globex Snapshot. More information on these NYMEX options is available from NYMEX Product Marketing at 212.299.2301. CME Group will be hosting a mock trading session for the NYMEX RBOB and Heating Oil options on CME Globex Saturday, August 11. More information will be available prior to the session.
NYMEX RBOB and Heating Oil Options on CME Globex
Product | Instrument Group Code | Product Code | MDP RLC Channel
RBOB Options | OB | OB | 35
Heating Oil Options | OH | OH | 35
The NYMEX RBOB and Heating Oil options will be available for customer testing in the Certification environment Monday, August 6. Product Changes Instrument Group Code Changes for CME Globex To prepare for upcoming product launches, the existing Instrument Group Codes for the following products will be changed. The Instrument Group Code can be found in the Instrument Creation (MO) message at position 70-71. This change will be effective in all customer environments (Production, Certification and New Release) this Sunday, July 29, 2007. New Instrument Group Codes may require front-end system or trading application changes. Please contact your system provider for more information.
New Instrument Group Codes
AFFECTED PRODUCTS | Current Instrument Group Code | New Instrument Group Code
NASDAQ-100® options on futures | ZD | XH
Euro FX/Japanese Yen Cross Rate options | ZO (z-oh) | X8
E-mini Russell 1000® futures | RS | XU
Israeli Shekel futures | IS | XI (x-eye)
Futures on iShares Russell 2000 Index Fund™ | IW | QQ
Futures on S&P 500 ® Depositary Receipts | PY | QQ
EuroFX options | ZC | XT
New Zealand Dollar outright options | ZN | 2N
New Zealand option spreads | 0N (zero-N) | 3N
British Pound outright options | OB | XB
Strategy Type Code Changes for Swap Rate Calendar Spreads Effective this Sunday, July 29 (for trade date Monday, July 30), the Strategy Type Code for all 2-year, 5-year and 10-year Swap Rate futures calendar spreads will change to SP. Currently, the Strategy Type Code is FX. The Strategy Type Code can be found at position 727-728 in the Instrument Creation (MO (m-oh)) RLC market data message. More information on the Strategy Type Code and MO messages is available in the RLC Message Specifications module of the Market Data Platform SDK. Equity Options Expansion on CME Globex Effective Sunday, August 19, 2007 (for trade date Monday, August 20), the following Equity options listings will be extended:
Expanded Equity Options Listings on CME Globex
Options | Instrument Group Code | Product Code | Current Listing Rules | New Listing Rules
E-mini S&P 500® options | EZ | ES | 2 quarterlies | 4 quarterlies
E-mini NASDAQ-100® options | QZ | NQ
NASDAQ-100 options | XH | ND
E-mini Russell 2000® | RQ | ER
End Of Month S&P 500 options | EV | EV | 3 serials | 6 serials
End of Month E-mini S&P 500 options | EW | EW
These expanded contract listings will be available for customer testing in the Certification environment Monday, August 6. Events and Announcements CBOT Merger Client Impact Assessment CME Group previously announced that it intends to migrate e-cbot products to CME Globex in a phased approach beginning Q1 2008. In an effort to provide information as early as possible regarding this electronic trading migration, the CME/CBOT Client Impact Assessment document is now available for your reference at www.cme.com/CBOTImpact. Key topics discussed in this document are as follows: Key Dates and Events CME Globex System Impacts Product-Specific Functionality Fractional and Cabinet Pricing Implied Spread Functionality Matching Algorithms Market Data Messages and Channels Testing and Certification Bandwidth Recommendations Messaging Policy Implications User Identification Learn about the transition of CBOT trading on CME Globex FCMs, IBs, proprietary trading groups, ISVs and market data distributors - Register today for the Electronic Trading Customer Forum. The Electronic Trading Customer Forums are designed to bring CME Group and its customers together. The forum will focus on electronic trading readiness for the CBOT-CME merger. By attending, you will learn how to be prepared for the migration of CBOT products onto CME Globex. These events are free and attendance is limited to CME Group customers. The forum will cover:
CME Globex Access Customer System Impacts Functionality Enhancements | Connectivity and the Certification Environments Market Operations Transition Process
Chicago Monday, July 30 and Tuesday, July 31 3:30 p.m. Registration 4:00 p.m. Presentation Reception to follow in the CME Club CME Group Headquarters Auditorium 20 S. Wacker Dr. Chicago, IL 60606 |  | New York Wednesday, August 1 4:30 p.m. Registration 5:00 p.m. Presentation Reception to follow Le Parker Meridien Estrela Penthouse 118 West 57th Street New York, NY 10019 |  | London Tuesday, August 7 15:30 Registration 16:00 Presentation Reception to follow The Old Library Lloyd's One Lime Street London EC3M 7HA
A customer forum will be held in Singapore at a later date. CLICK HERE to register. © Copyright 2007 CME Group All rights reserved. The Globe Logo, Globex®, E-mini®, iLink®, Globex Trader®, Galax-C®, and CME® are trademarks of CME Group.