GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Management
Subject | CME Globex Notices: April 21, 2008
Notice Date | 2008-04-21
Notice Number | 20080421
Effective Date | 1969-12-31
Topics in this issue include:
| Critical System Updates Book Depth Change for U.S. Treasury, Swap and Fed Fund Options - May 4 Request for Cross on CME Globex - May 11 Eurodollar Options Strategies on CME Globex - May 18 FIX/FAST 1.2 - June 1
| Product Launches Nonfarm Payroll Futures and Options - This Week Options on Frozen Pork Belly Futures - This Week
| Product Changes Calendar Spreads for Uranium Futures - This Week User-Defined Spreads for KCBT and MGEX Options - This Week Euroyen TIBOR Futures Packs and Bundles Algorithm Indicator Change - This Week NASDAQ-100 and E-mini NASDAQ-100 Options Strike Listing Changes - This Week Matching Algorithm Changes for Legacy CBOT Interest Rate and Commodity Futures - May 4 Butterfly and Condor Spreads for KCBT and MGEX Futures - May 18
| Events and Announcements CME Globex Disaster Recovery Program Jackson Direct Launch - May 1 Cancel on Disconnect Available Now! CME Globex Trader Decommission Postponed - June 27
Critical System Updates
Book Depth Change for U.S. Treasury, Swap and Fed Fund Options Effective Sunday, May 4 (trade date Monday, May 5), in response to customer requests, the market data book depth for all U.S. Treasury, Swap and Fed Fund options on futures on Market Data Platform channel 116 will change to three deep. Currently, these markets only support top-of-book market depth. This change will impact both the FIX/FAST- and RLC-format market data books. The complete list of impacted products is available below. For FIX/FAST, this change will result in a move to the incremental book management style from the current overlay style, as reflected in tag 279 MDUpdateAction in the Market Data Incremental Refresh message (tag 35=X). Valid values for this tag will now include 0 (New), 1 (Change) and 2 (Delete). The book depth for every instrument on CME Globex is detailed in tag 264 MarketDepth in the Security Definition (tag 35=d). CME Group strongly recommends customer applications utilize tag 264 to identify the supported instrument book depth level dynamically. CME Group also recommends all customer applications should be designed to leverage all possible values for tag 279 MDUpdateAction in the Market Data Incremental Refresh message (tag 35=X) for all markets and channels, to minimize the impact of future book depth changes. The FIX/FAST Software Development Kit, including details on book management in the Core Functionality module, is available online. Please contact Customer Support for Electronic Trading (CSET) at 312.930.2322 for development assistance. This book depth change is now available for customer testing in New Release. Options with Three-Deep Market Data
Product | Instrument Group Code | Product Code | MDP Channel
Binary Options on the Target Fed Funds Rate Outrights | C8 | BUS | 116
Binary Options on the Target Fed Funds Rate Spreads | B1
5-Year Interest Rate Swap Outrights | Y5 | OSA
5-Year Interest Rate Swap Spreads | 05
10-Year Interest Rate Swap Outrights | AT | OSR
30-Year U.S. Treasury Bond Outrights | UZ | OZB
30-Year U.S. Treasury Bond Spreads | U3
5-Year U.S. Treasury Note Outrights | 0N | OZF
5-Year U.S. Treasury Note Spreads | 9S
10-Year U.S. Treasury Note Outrights | TE | OZN
10-Year U.S. Treasury Note Spreads | T$
30-Day Fed Funds Outrights | CF | OZQ
30-Day Fed Funds Spreads | FO
2-Year U.S. Treasury Note Outrights | N2 | OZT
2-Year U.S. Treasury Note Spreads | 2$
Request for Cross on CME Globex Effective Sunday, May 11 (trade date Monday, May 12), the method for submitting a Cross order on CME Globex will change for legacy CME Commodity, FX and Equity options to use the New Order Cross (FIX tag 35-MsgType=s) message. Currently, these products use the Quote Request (tag 35-MsgType=R) message with tag 54-Side=8. With this change, the Quote Request method for cross orders will no longer be supported on CME Globex. Please note: legacy CBOT options remain ineligible for Cross orders on CME Globex. In addition to the technical changes, the regulatory requirements and process will also change. More information is available in the Regulatory Advisory. Cross order eligibility is defined in positions 789, RFC Eligible Flag, and 800, RFQ for Cross Eligible Flag. For more information please review the Cross Order section of the Options module of the iLink SDK. These products with RFC eligibility will be available for customer testing in New Release Monday, April 21. Customer applications are required to certify for the New Order Cross message before submitting cross orders in production. Please contact your trading application provider for more information. Eurodollar Options Strategies on CME Globex Effective Sunday, May 18 (trade date Monday, May 19), the Eurodollar options strategies instrument management will change to allow CME Group to eliminate strategies that, due to market movement, are outside the listing range. Currently, all strategies once listed are maintained through to expiration regardless of market activity. This change will allow CME Group to better manage the volume of listed instruments, in response to customers' concerns about the weekly instrument download. This is the process currently in place for Equity options strategies. The new elimination process only applies to Eurodollar options strategies; there is no change for option outrights, futures or future spreads. Any orders submitted for an eliminated strategy instrument will be rejected by CME Globex. Customers can use User-Defined Spreads (UDS) functionality to create and trade any desired options strategy. Please contact your front-end system provider for more information. CME Group recommends all customers purge and re-load their instrument databases weekly from the FIX/FAST Security Definition or RLC Instrument Creation (MO) market data messages every week. There is no impact for customers who follow this recommendation; by completing a weekly refresh you will capture the current listed instruments. Please contact your front-end system provider for more information. This change is currently implemented in New Release. FIX/FAST 1.2 On Sunday, June 1 (trade date Monday, June 2), CME Group is scheduled to release FIX/FAST 1.2. This release introduces enhancements to the Market Data Incremental Refresh (tag 35-MsgType=X), Security Definition (tag 35-MsgType=d) and Market Data Snapshot Full Refresh (tag 35-MsgType=W) messages. This release will be available for customer testing in New Release Thursday, May 8. Detailed information on FIX/FAST 1.2 is available in the FIX/FAST 1.2 Client Impact Assessment.
Product Launches
Options on Frozen Pork Belly Futures Effective this Sunday, April 27 (trade date Monday, April 28), options on Frozen Pork Belly futures will be listed for trading on the CME Globex platform. These options will support User-Defined Spreads (UDS) functionality upon launch. Options on Frozen Pork Belly Futures
Product | Instrument Group Code | Product Code | MDP Channel
Frozen Pork Belly Options Outrights | 5P | GPB | 14
Frozen Pork Belly Options Spreads | 8P
These products are currently available for customer testing in New Release and Certification. Nonfarm Payroll Futures and Options Effective this Sunday, April 27 (trade date Monday, April 28), CME Group is launching futures and options on the U.S. Bureau of Labor Statistics' (BLS) Nonfarm Payroll data exclusively on the CME Globex platform. These new products will allow customers to directly manage exposure to the government labor number and offset positions in the financial markets. Please note: these options are eligible for negative strike prices. More information on negative strike prices on the CME Globex platform is available online. Nonfarm Payroll Futures & Options
Product | Instrument Group Code | Product Code | MDP Channel
Nonfarm Payroll Futures | NP | NFP | 9
Nonfarm Payroll Options on Futures | 1F | NFP | 10
More information is available online. Nonfarm Payroll futures and options are available for customer testing in Certification and New Release.
Product Changes
Calendar Spreads for Uranium Futures Effective this Sunday, April 27 (trade date Monday, April 28), calendar spreads (Strategy Type Code SP for NYMEX Uranium futures will be listed for trading on the CME Globex platform. These future calendar spreads are available for customer testing in New Release. User-Defined Spreads for KCBT and MGEX Options Effective this Sunday, April 27 (trade date Monday, April 28), full User-Defined Spreads (UDS) functionality, including Covereds and Combos, will be implemented on the following KCBT and MGEX options on futures. Effective this Sunday, April 27 (trade date Monday, April 28), the Matching Algorithm Indicator for the Euroyen TIBOR future Packs (Strategy Type Code PK) and Bundles (Strategy Type Code FB) will be modified to read F for FIFO, to match the outright futures and current matching behavior. Currently, the Packs and Bundles show a T. The Matching Algorithm Indicator can be found in the Instrument Creation (MO) message, position 685. This change is available for testing in New Release. NASDAQ-100 and E-mini NASDAQ-100 Options Strike Range Changes Effective this Sunday, April 27 (trade date Monday, April 28), the strike listing ranges will change for the options on NASDAQ-100® and E-mini NASDAQ-100 futures. NASDAQ-100 & E-mini NASDAQ-100 Options Strikes
Product | Product Code | Strike Interval | Current Listings | New Listings
NASDAQ-100 Options | ND | 25 basis points | ATM ± 15% | ATM ± 30%
E-mini NASDAQ-100 Options | NQ | 25 basis points | ATM ± 15% | ATM ± 30%
These new strikes are currently available for customer testing in New Release. Matching Algorithm Changes for Legacy CBOT Interest Rate and Commodity Futures In response to customer feedback and in the interest of the market, CME Group will revise the Split FIFO/Pro Rata (K) allocation algorithm for selected CBOT markets. With this change, the pro rata allocation matching behavior will more closely follow the behavior of that on e-cbot by allocating a quantity of one contract to orders that have an allocation value of less than one (the amount calculated to allocate). The revised K algorithm will also be applied to additional products, as detailed below. Currently, the K algorithm is only applied to the 2-Year U.S. Treasury Note futures.
The Split FIFO/Pro Rata algorithm assigns TOP priority to an order that
betters the market, and meets the minimum volume threshold.
The Split FIFO/Pro Rata algorithm also establishes a volume cap that limits the quantity a priority order can receive.
Allocation Sequence
TOP Order percentage Allocation (with Minimum/Maximum) LMM Remaining quantity split - X% FIFO, X% Pro Rata (fields must sum to 100%) X% FIFO (based on remaining quantity * FIFO %) Pro Rata with Min (based on remaining quantity * Pro Rata %) Pro Rata Leveling (new allocation) Timestamp Priority (any remainder from Pro Rata)
If a product does not have any registered LMMs, the LMM allocation is skipped. The FIFO percentage in the third allocation may be set to zero, which will result in a 100% Pro Rata with Min allocation. Only the 2-Year Treasury Note futures have a FIFO allocation at the third step.
The new Pro Rata Leveling component within the K algorithm will also be applied to other products on the following schedule:
May 4
2-Year Treasury Note futures, legs and spreads Legacy CBOT Agricultural futures, legs and spreads
May 9
5-Year Treasury Notes futures calendar spreads 10-Year Treasury Note and 30-Year Bond futures Reduced Tick Spreads
May 18
5-, 10- and 30-Year Interest Rate Swap futures, legs and spreads
Late June
Fed Funds futures, legs and spreads
More information on this algorithm, including allocation examples, is available in the CBOT Merger Client Impact Assessment.
Customers can determine the matching algorithm assigned to each product from FIX tag 1142-Match Algorithm, in the FIX/FAST Security Definition (tag 35=d) market data message.
Butterfly and Condor Spreads for KCBT and MGEX Futures Effective Sunday, May 18 (trade date Monday, May 19), Butterfly (Strategy Type Code BF) and Condor (CF) future spreads listings will be expanded on the following products: Butterfly and Condor Spreads Listings
Futures | CME Globex Product Code | Current Butterfly Spreads Listings | New Butterfly Spreads Listings | Current Condor Spreads Listings | New Condor Spreads Listings
MGEX Hard Red Spring Wheat | MWE | 2 | 5 | 2 | 7
KCBT Wheat | KE | 3 | 5 | 3 | 7
These new futures spreads will be available in New Release for customer testing Monday, May 5.
Events & Announcements
CME Globex Disaster Recovery Program CME Group is committed to the protection of its members, employees and stakeholders and has a long history of successfully managing risk. In keeping with those traditions, CME Group has a comprehensive business continuity program in place. CME Group offers two programs for business continuity testing: CME Globex DR Connectivity testing and Simulated CME Globex DR testing. The CME Globex DR Connectivity testing, conducted monthly, is designed to ensure that customers can establish a connection to the DR environment in case of an emergency. Customers are required to register in advance to participate by e-mail. Disaster Recovery IPs and ports will be distributed by your CME Globex Account Manager in the near future. Complete information on the CME Group business continuity program and the CME Globex DR Connectivity testing, including testing session dates, is available online. CME Group encourages all directly connected customers review the DR Client Impact Assessment. Jackson Direct Launch The new Jackson Direct connectivity solution launches Thursday, May 1. Jackson Direct is a customer-managed 40Mbps direct connection to the CME Globex fiber network from the Chicago Board of Trade building at 141 W. Jackson, Chicago, IL 60604. CME Group will begin accepting Jackson Direct orders, via Schedule 2 to the CME Connection Agreement, on Thursday, May 1. More information, including an FAQ and connectivity guide, is available on the CME Group Web site. Cancel on Disconnect Available Now! CME Group is now offering Cancel on Disconnect, another new risk management service. Upon an involuntarily dropped CME Globex-to-iLink-user connection, Cancel On Disconnect (COD) cancels all resting session/day futures and options orders for that user. COD Features Opt-in, subscription-based Free service For more information, please visit www.cmegroup.com/cod or contact your CME Globex Account Manager at 312.634.8700; or at +44.20.7796.7100 in Europe or +852.3101.7696 in Asia. CME Globex Trader Decommission Postponed At customers' request, CME Group has agreed to maintain CME Globex Trader for one additional month, until end of day Friday, June 27. This extension only applies to customers who access CME Globex Trader over the Internet or dedicated lines with existing user IDs. No new IDs will be issued. It will not be available on the trading floor at the Chicago Board of Trade building at 141 W. Jackson. Please note this is the last possible extension CME Group will be able to provide; no further extensions will be granted. If you have questions, please contact your CME Globex Account Manager at 312.634.8700; or at +44.20.7796.7100 in Europe or +852.3101.7696 in Asia.