GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Management
Subject | CME Globex Notices: April 14, 2008
Notice Date | 2008-04-17
Notice Number | 20080417
Effective Date | 1969-12-31
Topics in this issue include:
| Critical System Updates Request for Cross on CME Globex - May 11 FIX/FAST 1.2 - June 1
| Product Launches Nonfarm Payroll Futures and Options - April 27 Options on Frozen Pork Belly Futures - April 27
| Product Changes Delisting Monthly and Seasonal Frost Days Futures - This Week Calendar Spreads for Uranium Futures - April 27 User-Defined Spreads for KCBT and MGEX Options - April 27 Euroyen TIBOR Futures Packs and Bundles Algorithm Indicator Change - April 27 NASDAQ-100 and E-mini NASDAQ-100 Options Strike Listing Changes - April 27 Book Depth Change for U.S. Treasury, Swap and Fed Fund Options - May 4 Eurodollar Options Strategies on CME Globex - May 18 Butterfly and Condor Spreads for KCBT and MGEX Futures - May 18
| Events and Announcements CME Globex Disaster Recovery Program Cancel on Disconnect Available Now! Drop Copy Available Now!
Critical System Updates
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. 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 1. 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 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 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
Delisting Monthly and Seasonal Frost Days Futures Effective at close of business this Friday, April 18, the Monthly and Seasonal Frost Days futures (CME Globex product code FZ) will be delisted from all venues. There is no open interest in these contracts. CME Group will re-list these products, with the same product and clearing codes but refined contract specifications, in the near future. Calendar Spreads for Uranium Futures Effective 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 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 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 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. 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$
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. 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 a eliminated strategy instrument will be rejected by CME Globex. 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. 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. 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. Drop Copy Available Now! CME Group is now offering Drop Copy, a new risk management service that allows customers to receive real-time copies of CME Globex execution report and reject messages as they are sent over iLink sessions. This important service will be available without charge through Q2 2009. Beginning in Q3 2009, a monthly support charge will be assessed to cover the cost for this service. As a result, we anticipate that fees will be tiered based upon the number of iLink source sessions requested. Drop Copy is currently available in New Release for customer testing. A brief certification via AutoCert+ is mandatory to access Drop Copy in production. For more information, please visit www.cmegroup.com/dropcopy 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.