As previously communicated, CME will be implementing new functionality in its GLOBEX® match engines in late October 2003.  This new functionality will include enhanced cancel/replace logic which will help to mitigate the possibility of GLOBEX customers being over or under filled, as well as additional order types -- specifically Market with Protection and Stop with Protection orders. 

Currently, in iLinksm 1.0, the Order Management database (OM) keeps track of each order’s Total, Filled and Open quantities.  This allows iLink 1.0 customers to enter Total Quantity in their Cancel/Replace messages.  In iLink 2.0, the OM was removed which resulted in the requirement that customers keep track of their Filled Quantities and that they enter Open Quantity in their Cancel/Replace messages.  With the implementation of the new Cancel/Replace logic, this functionality has been moved to the GLOBEX host, allowing both iLink 1.0 and iLink 2.0 customers to take advantage of it.

In order to minimize the impact on development for CME customers, the default functionality in iLink 1.0 and 2.0 is different with respect to the Cancel/Replace logic.  In general, In-Flight Fill Mitigation requires that customers enter Total Quantity in Cancel/Replace messages.  Therefore, in iLink 1.0, (where the current default is for customers to enter Total Quantity), the new default will be for customers to continue to enter Total Quantity and they will receive In-Flight Fill Mitigation by default.  In iLink 2.0 (where the current default is for customers to enter Open Quantity), the new default will be for customers to continue to enter Open Quantity and such orders will not receive In-Flight Fill Mitigation by default.  In either case, customers may use the “other†cancel/replace functionality by making minor development changes and implementing our custom FIX tag #9768. 

CME will continue to offer all order types that it currently offers today in addition to the new order types described above.  However, please note that the value currently entered for a Market order will become the Market with Protection order with the implementation of the new functionality.

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 made available three distinct impact documents, each specific to the interface you are using.  CME will require technical certification for firms making changes to their applications to implement the new functionality.  A more detailed description of the certification requirements can be found in the impact documents listed above.

For assistance in testing and certifying this functionality, please contact our Certification and Support for Electronic Trading (CSET) team at 312.930.2322. 

CME plans to introduce this functionality in its certification environment on Friday September 26.  Both the cancel/replace logic and the new order types will be available on all GLOBEX engines. 

Please contact your Technology Marketing Account Manager should you have any questions regarding the new GLOBEX functionality at (800) 331-3332.