GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Management
Subject | CME Globex Notices: May 12, 2008
Notice Date | 2008-05-12
Notice Number | 20080512
Effective Date | 1969-12-31
Topics in this issue include:
| Critical System Updates FIX/FAST 1.2 - June 1
| Product Changes Matching Algorithm Changes for Legacy CBOT Interest Rate and Commodity Futures - This Week Butterfly and Condor Spreads for KCBT and MGEX Futures - This Week E-mini S&P MidCap 400 - E-mini Russell 2000 Intercommodity Spread - This Week Security Description Naming Convention Change for Binary Options Strategies on Target Federal Funds Rate Futures - June 1
| Events and Announcements CME Globex Memorial Day Holiday Schedule CME Globex Trader Decommission - June 27
Critical System Updates
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 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 Changes
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. Currently, the K algorithm is 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:
May 18
5-, 10- and 30-Year Interest Rate Swap futures, legs and spreads
Late June
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.
Butterfly and Condor Spreads for KCBT and MGEX Futures Effective this 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 are now available in New Release for customer testing. E-mini S&P MidCap 400 - E-mini Russell 2000 Intercommodity Spread Effective this Sunday, May 18, 2008 (trade date Monday, May 19), a new intercommodity spread for the E-mini S&P® MidCap 400® versus E-mini Russell 2000® futures will be available for trading on the CME Globex platform. Three spreads will be listed upon launch: June 2008 E-mini S&P MidCap 400 future - June 2008 E-mini Russell 2000 future (EMDM8-ER2M8) September 2008 E-mini S&P MidCap 400 future - September 2008 E-mini Russell 2000 future (EMDU8-ER2U8) September 2008 E-mini S&P MidCap 400 future - June 2008 E-mini Russell 2000 future (EMDU8-ER2M8) These 1:1 ratio intercommodity spreads will use Strategy Type Indicator EC and Group Code ME. They will be available in New Release for customer testing this Monday, May 12. CME Group is launching these intercommodity spreads to help customers looking for a way to transfer their E-mini Russell 2000 open interest to a liquid trading alternative. Traders can go long or short the spread, which enables you to simultaneously establish a one-to-one position on the underlying futures contracts. For more information, visit www.cmegroup.com/equities. Security Description Naming Convention Change for Binary Options Strategies on Target Federal Funds Rate Futures Effective 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.
Events & Announcements
CME Globex Memorial Day Holiday Schedule The CME Globex Memorial Day holiday schedule is now available online. CME Globex Trader Decommission Postponed 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.