GLOBEX Advisory Notices
To | GLOBEX Customers
From | Chicago Mercantile Exchange
Subject | GLOBEX Host Enhancements - Final Notice
Notice Date | 2003-11-13
Notice Number | 11-13
Effective Date |
Dear GLOBEX Customers, CME would like to remind its customers of the upcoming GLOBEX(R) engine upgrade which is scheduled for implementation this weekend. This planned GLOBEX engine release includes 1) enhanced cancel/replace logic and 2) two new order types. The changes, both of which improve GLOBEX order processing and matching functionality, were developed in response to customer requests. In addition, CME will also be implementing a new convention for the method by which leg prices of electronically traded equity futures spreads are assigned on November 23. Customers will have the opportunity to test their applications in production on Saturday, November 15, from 9:30 a.m.-12:00 p.m. CST. The contracts available during this time will be ESZ3 and 6EZ3. Please contact your CME Technology Marketing Account Manager at (312) 634-8700 if you plan to test your application on Saturday. The GLOBEX Control Center (GCC) will be available to assist customers during the Saturday session. The GCC phone number is (312) 456-2391. Enhanced Cancel/Replace Logic for GLOBEX Interface Customers CME is enhancing the GLOBEX Cancel-Replace logic to provide overfill and in-flight fill mitigation. The new logic tracks order quantity directly at the GLOBEX Host. Today, in iLink(TM) 1.0, an Order Management Database (OM) is used to keep track of partially filled orders. CME is simply moving the functionality from the OM to the match engine. As a result, the new Cancel/Replace logic is automatically enabled as the default. In iLink 2.0, where the OM has been removed from the order path, the customer is responsible for keeping track of partially filled orders. After this release, customers may continue to track partially filled orders themselves, or they may take advantage of the new cancel/replace logic and have the GLOBEX host track order quantities. To take advantage of the new Cancel/Replace functionality, customers need to make minor development changes and implement CME's custom FIX tag #9768. New GLOBEX Order Types CME will be introducing Market and Stop orders with this release. Both order types will be implemented using a "protection" approach, whereby orders are assigned a predefined protection range within which they can be filled. In order to allow our customers ample time to prepare for these changes, we will implement these order types in two phases. In Phase One, scheduled for November 16, CME will introduce both the new Market and Stop orders with protection points set to zero. By setting the protection points to zero, the new order types will effectively mimic the Market-to-Limit and Stop Limit orders that customers use today. In Phase Two, scheduled for January 30, 2004, we will expand the protection points to .75*(Price Band Value) for each product. At this time, both the market and stop order types may be filled at a range of prices. CME constantly monitors the Price Band Values and the Protection Points to ensure optimal fills and market integrity. More Information for GLOBEX Interface Customers Please note, CME has posted updated impact assessment documentation for this release on its Web site at www.cme.com/globexenhancements. The updates include a more detailed description of FIX Tag behavior and functionality for the new order types. A detailed description of the certification requirements can be found in the impact documents mentioned above. Also, CME requests that all firms, regardless of whether they are making changes to their application to employ the new functionality, test their applications against CME's certification environment to ensure compatibility. All new functionality is currently available in CME's Certification environment. The protection points for the Market with Protection and Stop with Protection have been set to .75*PBV for all products, save for the four listed below, which protection points have set to zero: GCH4, RPH4, G3M4, RLZ4. Testing and Support For assistance in testing and certifying this functionality, please contact our Certification and Support for Electronic Trading (CSET) team at 312.930.2322. New Spread Pricing Convention for Equity Products In addition to the above GLOBEX engine release, effective with the GLOBEX session on Sunday evening on November 23 (trade date of November 24) CME will change the way the legs of calendar spreads will be reported in electronically traded equity futures contracts. The current pricing convention "anchors" the price of the spread's front leg to the most recent outright price and then computes the back leg price based on the spread's differential price. This often results in multiple leg prices assigned to the spread trade at the same differential because the underlying front month contract moved before all the spreads are executed. This makes it difficult to know the prices of the individual legs and difficult to allocate across multiple accounts. Going forward, any calendar spread that is traded will have the first leg of the spread anchored to the previous day's settlement price. For example, if the E-mini S&P 500 futures calendar spread trades at -1.50, the legs will be assigned using the previous day's settlement price in the December futures contract for the December - March calendar spread. Example You place an order for 1000 E-mini S&P 500 futures December - March calendar spreads at -1.50. The current price of the December futures contract is 1051.00. December previous day's settlement price is 1050.00. Your spread order for all 1000 is executed in three separate transactions at -1.50 All the legs will be assigned at 1050.00 for the December leg and 1048.50 for the March leg. This will apply only for electronically traded equity futures calendar spreads and affects the following contracts: E-mini S&P 500 futures E-mini NASDAQ-100 futures E-mini Russell 2000 futures E-mini NASDAQ Composite futures E-mini S&P MidCap 400 futures S&P 500/BARRA Growth & Value futures Russell 1000 futures S&P SmallCap 600 futures Financial and Technology SPCTR futures For more information on the new spread pricing convention, please contact Equity Products at (312) 930-8233.