GLOBEX Advisory Notices
To | GLOBEX Customers
From | Chicago Mercantile Exchange
Subject | GLOBEX Match Engine Upgrade Reminder
Notice Date | 2003-10-31
Notice Number | 10-31
Effective Date |
Dear GLOBEX Customers, CME would like to remind its customers of the upcoming GLOBEX(R) engine upgrade which is scheduled for implementation November 16, 2003. This planned GLOBEX engine release includes 1) two new order types and 2) enhanced cancel/replace logic. The changes, both of which improve GLOBEX order processing and matching functionality, were developed in response to customer requests. New GLOBEX Order Types CME will be introducing both Market with Protection and Stop with protection orders with this release. Both order types will be 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. For 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. 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. 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. In addition, both GLOBEX Interface customers and GLOBEX Trader customers may test their applications in production on Saturday November 15, from 9:30am-12:00pm CST. Please contact your Technology Marketing Account Manager should you have any questions regarding the new GLOBEX functionality at (800) 331-3332.