Dear CME^® Globex^® Customers,

Please be aware that under certain conditions semi- or fully automated trading systems may quote excessively, which may negatively impact the market. For example:

• When a trader quotes both sides of a spread where market liquidity is, or becomes, very thin; and the trader has a spread size that is, or becomes, the largest in the market.
• When two independent systems quote opposite sides of the same spread where market liquidity is, or becomes, very thin; and the trader has a spread size that is, or becomes, the largest in the market.

When using certain functionality provided by Independent Software Vendors (ISVs) and proprietary systems in these types of situations, these tools may lean against their own volume (if actively quoting both sides of the spread) or against the volume of another trading system.

When a front end leans against its own or another trading system's volume in an illiquid market, a continuous cycle of requoting may occur. For example:

• Two traders quote the same thin spread
• Trader 1 enters an automated spread order actively quoting Leg A
• Trader 2 enters an automated spread order actively quoting Leg B
• Trader 1's Leg A requotes the order
• • Because there is now volume at a new price that Trader 1's order in Leg A can lean against
• Trader 2's Leg B requotes the order
• • Because Trader 1's Leg A requote created volume at a new price for Trader 2s Leg B to lean against
• Trader 1's Leg A requotes the order based on Trader 2s Leg B requote
• This cycle of requoting can continue indefinitely

We encourage all users of semi- or fully automated trading systems to carefully monitor their messaging as well as software configuration to avoid scenarios like this. Excessive quoting can negatively impact the overall trading and market integrity of a product, and may result in surcharges.

Please note, all automated trading systems should be registered with CME. To register your automated trading system, please contact your CME Globex Account Manager at 312.634.8700.

If you have any questions or concerns, please contact your CME Globex Account Manager at 312.634.8700 or the CME Globex Control Center at 312.456.2391.

Thank you,

Chicago Mercantile Exchange
CME Globex Account Management
312.634.8700
CME Globex Control Center
312.456.2391

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