GLOBEX Advisory Notices
To | GLOBEX Customers
From | Chicago Mercantile Exchange
Subject | GLOBEX Engine Upgrade
Notice Date | 2003-10-17
Notice Number | 10-17
Effective Date |
CME's upcoming GLOBEX® engine upgrade is now 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 is introducing two new GLOBEX order types. The first is a market order which is being implemented using "protection points". Unlike a conventional market order where customers are at risk of being filled at extreme prices, the market order with protection allows the order to be filled within a pre-defined range of prices. The protection points are defined as 75% of the Price Band Value for each product. Please note that in the event that a market order is not completely filled, these partially executed market orders will now have a resting limit price at 75% of the Price Band Value for that product +/- the opposite best price in the market. The second new order type is a stop order also implemented "with protection", which allows a triggered stop order to be filled within a predefined range of prices, but without risk of extreme-price fills. 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 iLinkTM 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 A detailed description of the new functionality as well as the impact on all GLOBEX customers can be found on the CME Web site at www.cme.com/globexenhancements. CME has published three distinct impact documents, each specific to the interface you are using. CME requires technical certification for firms making changes to their applications to implement the new functionality. A detailed description of the certification requirements can be found in the impact documents mentioned above. All new functionality is currently available in CME's Certification environment. 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. More Information for GLOBEX TraderTM Customers Concurrent with the upcoming host release, CME is launching GLOBEX Trader version 5.01 which will offer the new order types described above. Please note that the cancel/replace logic for GLOBEX Trader has not changed. Additional information regarding the next software version of GLOBEX Trader will be distributed by November 3, 2003. The software will be available for download by Friday, November 7th, after the market close. As mentioned above, clients may test the software in production on Saturday November 15, from 9:30am -12:00pm CST. Please contact GLOBEX Services at (312) 634-8864 or email globexservices@cme.com should you have any questions.