GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Management
Subject | CME Globex Notices: October 22, 2007
Notice Date | 2007-10-22
Notice Number | 102207
Effective Date | 1969-12-31
Welcome to the CME Globex Notices for the week of October 22, 2007. Critical System Updates Introducing Alphanumeric Host Order Numbers (HON) - This Week! Changes to Instrument Creation (MO) Replay Channels - November 18 ITC2.1 Market Data Platform Channel Changes - December 1 New Functionality Instrument Creation (MO) Message Enhancements - November 18 Product Launches U.S. Commercial Real Estate Futures - This Week! Treasury Matched Mid-Curve Options - November 18 Product Changes Delisting Butterfly Strategies on E-mini Equity Options - This Week! Strike Listing Change for E-mini NASDAQ-100 Options - November 18 Additional Calendar Spreads for E-mini Equity Futures - November 18 Implied Functionality for Feeder Cattle Futures - November 18 Events and Announcements Daylight Saving Time Change - November 4 Certification and New Release Access via the London Hub! - November 19 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. Critical System Updates Introducing Alphanumeric Host Order Numbers (HON) Effective this Sunday, October 28, 2007, CME Group is launching alphanumeric Host Order Numbers (HON) in FIX tag 37, OrderID, in all applicable iLink messaging. Alphanumeric values for tag 37 are currently available in the New Release environment. The following December 2007 futures are available with an alphanumeric HON in New Release: NYMEX Crude Oil - CLZ7 E-mini S&P 500 ® - ESZ7 Eurodollar - GEZ7 Euro FX - 6EZ7 Tag 37 is defined with a String format in the iLink Message Specifications module of the iLink Software Development Kit (SDK), so there is no field type change. Tag 37 is used to uniquely identify orders per contract, per trading session. Currently numeric only, tag 37 will use alphanumeric values to support the growth in trading and messaging volume. Changes to Instrument Creation (MO) Replay Channels Effective Sunday, November 18, 2007, CME Group is introducing new Instrument Creation (MO) Replay channels on the Market Data Platform in production. With these new channels, every product RLC data channel (e.g., channel 7, Equity futures; channel 8, Equity options, etc.) will have a dedicated MO Replay channel so customers can listen only to the MO messages for which they receive market data. The current MO Replay channels (channel 1 and 16) will be maintained in parallel for at least eight weeks before those channels are decommissioned. Please note, these changes only affect the RLC-format channels. There are no changes to the ITC 2.1-format channels. The new MO Replay channels are currently available in New Release for customer testing. The new MO replay channels will be available in Certification on Wednesday, November 21. The channel definitions for New Release are now available at www.cme.com/certsdk. ITC2.1 Market Data Platform Channel Changes The legacy ITC2.1 Market Data Platform channels 4, 5 and 6 for CME Globex market data will be decommissioned on December 1, 2007. Until December 1, the legacy ITC2.1 Market Data Platform channels will operate in parallel with the new ITC2.1 channels. The new channel schema, launched on Sunday, October 14, 2007, provides more granular and scalable ITC2.1-format market data. More information on this change and the new channels is available online. New Functionality Instrument Creation (MO) Message Enhancements Effective Sunday, November 18, 2007, the following enhancements will be made to the Instrument Creation (MO) RLC-format market data message.
Title | Position | Description
RFC Eligible Flag | 788 | Change to existing field Indicates whether a product is eligible for RFC functionality "0" = does not support RFC "1" = supports RFC Currently used to indicate method for cross (RFC vs. RFQ for cross)
Fractional Pricing Flag | 798 | New field Indicates whether a product uses standard decimal or fractional price display "0" = Standard decimal price display "1" = Fractional price display Currently populated with a space " "
N/A | 799 | New field In preparation for upcoming functionality, this position will now have a "0" Currently populated with a space " "
RFQ Cross Eligible Flag | 800 | New field Indicates whether a product is eligible for RFQ for cross functionality "0" = does not support RFQ for cross "1" = supports RFQ for cross
Exchange Code | 900-903 | New field Indicate the home exchange for the product ISO standard exchange identifier: XCME = CME XOCH = OneChicago XNYM = NYMEX XCEC = COMEX XFMS = FXMarketSpace
Cabinet Price | 904-922 | New field Provides cabinet price for the product in standard price format for options, and a space (" ") followed by 18 zeros (0) if a cabinet price doesn't apply
More information on these changes to the MO message, RFC and RFQ for cross functionality, is available in the CBOT Client Impact Assessment. MO messages with these fields are currently available for customer testing in New Release. Product Launches U.S. Commercial Real Estate Futures Effective this Sunday, October 28, 2007 (for trade date Monday, October 29), U.S. Commercial Real Estate futures will launch on the CME Globex electronic trading platform. Ten quarterly cash-settled contracts will be available upon launch: a national composite index, five geographic regional indexes, and four national property type indexes. Based on the S&P/GRA Commercial Real Estate Indices (SPCREX™), these products will have a significant impact on how institutional and retail investors hedge and gain exposure to the U.S. commercial real estate market by expanding opportunities with investment choices by geography and property type.
U.S. Commercial Real Estate Futures
Product | Instrument Group Code | Product Code | MDP RLC Channel | Listed Contracts
Desert Mountain West | HI | CED | 9 | 20 quarterlies in the March cycle (5 years)
Mid-Atlantic South | CES
Midwest | CEM
Northeast | CEN
Pacific West | CEW
Apartments | CEA
Office | CEO
Retail | CEL
Warehouse | CEE
National Composite | CEC
These futures are currently available in Certification for customer testing. Treasury Matched Mid-Curve Options Effective Sunday, November 18, 2007 (for trade date Monday, November 19), Treasury Matched Mid-Curve (TOMMi) options on Eurodollar futures will launch on the CME Globex platform. These options are part of the weekly mid-curve suite of Eurodollar options but have extended expirations to match the longer-dated Treasury options. Designed to meet the need for a mid-curve Eurodollar option that expires at the same time as the Treasury options, TOMMi options will eliminate the date mismatch between Treasury and mid-curve options. The matched expirations will also facilitate more precise volatility spreading with Eurodollar and Treasury options. The CME Globex product code for these options is TE0 (t-e-zero). Please note: CME Group will not list any weekly options that would expire on the same day as a TOMMi option. The TOMMi options will launch on CME EOS Trader with a default clip size of "99999". These options will be available in New Release for customer testing Monday, November 5. Product Changes Delisting Butterfly Strategies on E-mini Equity Options Effective at close of business tomorrow, Friday, October 26, 2007, all Butterfly strategies (Strategy Type Code BO) on E-mini Equity options will be delisted. Customers can leverage the User-Defined Spreads: Combos functionality to create any desired strategies. Strike Listing Change for E-mini NASDAQ-100 Options Effective Sunday, November 18, 2007 (for trade date Monday, November 19), the strikes listing rules for E-mini NASDAQ-100® options will change as described below.
E-mini NASDAQ-100 Strikes Listing Rules
Strike Interval | Current Listings | New Listings
10 basis points | ATM ± 7.5% | ATM ± 7.5%
25 basis points | None | ATM ± 15%
The new strikes will be available for customer testing in the New Release environment Monday, November 5. Additional Calendar Spreads for E-mini Equity Futures Effective Sunday, November 18, 2007 (for trade date Monday, November 19), futures calendar spreads will be expanded to include the five quarterly outrights on the following E-mini Equity futures: E-mini S&P 500® E-mini NASDAQ-100 E-mini S&P MidCap 400® E-mini S&P SmallCap 600® The available futures calendar spread listings will be expanded to include all four quarters for the E-mini Russell 2000®. These products currently list only one futures calendar spread each. The extended calendar spreads will be available for customer testing in Certification and New Release environments on Monday, November 5. Implied Functionality for Feeder Cattle Futures Effective Sunday, November 18, 2007 (for trade date Monday, November 19), implied functionality for Feeder Cattle futures (CME Globex product code GF) will launch on the CME Globex platform. As a reminder, position 777 of the Instrument Creation (MO (oh)) message indicates whether a product will return legs and create implied orders. For more information, please see the Message Specifications module of the Market Data Platform SDK. Implied functionality on Feeder Cattle futures will be available for customer testing in Certification on Monday, November 5. Events and Announcements Daylight Saving Time Change Effective this year, the schedule for Daylight Saving Time has been extended by the Energy Policy Act of 2005. Daylight Saving Time is now in effect from Sunday, March 11, 2007, through November 4, 2007. Previously, Daylight Saving Time ran from the first Sunday in April through the last Sunday in October. CME Globex will continue to observe Daylight Saving Time and the new schedule. More information is available online. Time-dependent front-end trading applications may be affected by this change. Please contact your front-end system provider for more information before November 4, 2007. Certification and New Release Access via the London Hub! Direct access to the Certification and New Release environment is now available via the CME Globex London Hub. Beginning Monday, November 19, CME Group customers will be able to access the Certification and New Release environments via the London Hub. This access option allows customers to fully leverage the capabilities of the environments, including production-level market data messaging for performance testing, on circuits up to 100mbps. Access to the Certification and New Release environments requires a new circuit to the London Hub which can be ordered now from any of the CME Group-approved telecommunication providers. The annual fee for this service is $6000.00. For more details, please contact Mark Vogel or Matthew Judge or call +44.207.796.7100. © Copyright 2007 CME Group All rights reserved. The Globe Logo, Globex®, E-mini®, iLink®, Globex Trader®, Galax-C®, TRKRS®, EOS Trader TM and CME® are trademarks of CME Group.