GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Management
Subject | CME Globex Notices: May 26, 2008
Notice Date | 2008-05-26
Notice Number | 20080526
Effective Date | 1969-12-31
Topics in this issue include:
| Critical System Updates FIX/FAST 1.2 - This Week
| Product Launches NYMEX LCH ECM & MTF Products on CME Globex - Summer 2008
| Product Changes Security Description Naming Convention Change for Binary Options Strategies on Target Federal Funds Rate Futures - This Week NYMEX SO2 Emissions Futures Extension - This Week Matching Algorithm Changes for Legacy CBOT Interest Rate and Commodity Futures - June 22
| Events and Announcements CME Globex Disaster Recovery Program AutoCert+ Unavailable - This Friday Afternoon CME Globex Trader Decommission - June 27 Earlier Sunday Security Definition and MO Messages - July 13
Critical System Updates
FIX/FAST 1.2 This 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 is now available for customer testing in New Release. Detailed information on FIX/FAST 1.2 is available in the FIX/FAST 1.2 Client Impact Assessment.
Product Launches
NYMEX LCH ECM & MTF Products on CME Globex As previously announced, this summer NYMEX and LCH.Clearnet are launching a broad range of global energy products for trading on the CME Globex platform. NYMEX is offering a new and distinct slate of OTC and futures products for clearing through LCH.Clearnet through two new exchanges: NYMEX ECM and NYMEX MTF. The initial slate will encompass the global benchmark oil contracts, including WTI, Brent and Gasoil, as well as key natural gas and electricity contracts. These new products will be cleared by LCH.Clearnet using existing and widely distributed clearing technology, thus optimizing operational efficiencies for market participants. This historic alliance will deliver improved capital and operational efficiencies through wider execution capabilities, broader credit intermediation and margining benefits for customers and market participants. More information on the arrangement and benefits for market participants is available at www.nymexonlchclearnet.com. Please note: the NYMEX ECM contracts require development to support trading of these unique products. Detailed development information is available in the NYMEX ECM and NYMEX MTF Products on CME Globex Client Impact Assessment. The complete lists of new products are available in the NYMEX ECM Snapshot and NYMEX MTF Snapshot. These products will be available for customer testing in the New Release environment on Monday, June 9. A mock trading session will be held Saturday, June 28. More information will be available soon.
Product Changes
Security Description Naming Convention Change for Binary Options Strategies on Target Federal Funds Rate Futures Effective this Sunday, June 1, in all customer-facing environments, the Security Description naming convention for strategies on the Binary Options on Target Federal Funds Rate futures will change to use the left-most three bytes for strike price. The Security Description currently uses the right-most three bytes for the strike price. This change will ensure unique Security Descriptions can be maintained regardless of market movement. There is no impact on option outrights; this change only affects the exchange-defined options strategies. For example, currently the Security Description for a Christmas Tree strategy, with leg strike prices of 6000, 6125 and 6250, is BUS:XTU8C000 125 250. With this change, the Security Description for the same strategy will be BUS:XTU8C600 612 625. This change will affect the iLink and FIX/FAST tag 107-SecurityDesc; and the RLC Instrument Creation (MO) message position 72-91, Complete Instrument Code. Please note, CME Group strongly recommends customers do not parse the Security Description. Complete instrument information for all products is available in the FIX/FAST Security Definition (tag 35-MsgType=d) and RLC MO messages. NYMEX SO2 Emissions Futures Extension Effective this Sunday, June 1, 2008 (for trade date Monday, June 2), the NYMEX SO2 Emissions futures listed on CME Globex (RSN) will be extended to 91 contract months. This change will allow customers to trade SO2 Emissions futures through December 2015. Currently, 36 months are listed for trading on CME Globex. These additional contract months are currently available in Certification for customer testing. More information on this extension to NYMEX SO2 Emissions futures is available from NYMEX Product Marketing at 212.299.2301. 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. Previously, the K algorithm was 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:
June 22
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.
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 online. Disaster Recovery IPs and ports have been distributed by your CME Globex Account Manager. 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. AutoCert+ Unavailable AutoCert+ will be unavailable due to scheduled maintenance this Friday afternoon, May 30, starting at 12:00 p.m. Central time. CME Globex Trader Decommission 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. Earlier Sunday Security Definition and MO Messages Effective Sunday, July 13, in all customer-facing environments, the weekly FIX/FAST Security Definition (FIX tag 35-MsgType=d) and RLC Instrument Creation (MO) message broadcasts will go out one hour earlier at 11:00 a.m. Central time (CT). Currently, these messages go out every Sunday at 12:00 p.m. CT.