Welcome to the CME Globex Notices for the week of September 10, 2007.
Critical System Updates
New Functionality
Product Launches
Product Changes
Events and Announcements
If you have any questions or concerns, please contact your
CME Globex Account Manager at
312.634.8700; +44.20.7796.7100 in Europe; or at +852.3101.7696 in Asia.
Critical System Updates
Alphanumeric Firm IDs Launch
As previously announced, CME Group is introducing three-byte alphanumeric Firm IDs effective
Sunday, September 30, 2007. Currently, all Firm IDs are three-byte numerical only.
Starting September 30, new customers will be assigned three-byte alphanumeric IDs.
The Firm ID is a sub-field of FIX tag 49, SenderCompID, and is required in iLink order entry
messaging. Tag 49 is composed of the three-byte Session ID, three-byte Firm ID, and one-byte Fault
Tolerance Indicator.
More information on this enhancement to the Firm ID and tag 49, SenderCompID, is available in
the
Enhanced Trade and Settlement Prices Client Impact
Assessment. More information on tag 49, SenderCompID, is available in the
iLink Message Specifications module of
the iLink SDK.
The alphanumeric Firm ID
1P1 is currently available for customer testing in Certification.
Introducing Alphanumeric Host Order Numbers
(HON)
Effective
September 15 in the New Release environment, CME Group will introduce alphanumeric
Host Order Numbers (HON) in FIX tag 37, OrderID, in all applicable iLink messaging. CME Group will
force the following December 2007 futures to an alphanumeric HON in New Release:
- NYMEX Crude Oil - CLZ7
- E-mini S&P 500
® - ESZ7
- Eurodollar - GEZ7
- Euro FX - 6EZ7
Tag 37 is defined with a String format in the
iLink Message Specifications module of
the iLink Software Development Kit (SDK), so there is no field type change. Tag 37 is used to
uniquely identify orders per contract, per trading session. Currently numeric only, tag 37 will use
alphanumeric values to support the growth in trading and messaging volume.
Alphanumeric values for tag 37 will be launched in production in October.
ITC 2.1 Changes on the Market Data Platform
Effective
Sunday, October 14, 2007, CME Group will implement changes to the current ITC 2.1
channel schema for CME Globex data on the Market Data Platform. The following channels will be
added to the Market Data Platform to provide more granular and scalable ITC 2.1 format market
data:
- Channel 200 - CME Globex Equity Futures
- Channel 201 – CME Globex Equity Options
- Channel 202 – CME Globex Interest Rate Futures
- Channel 203 – CME Globex Interest Rate Options
- Channel 204 – CME Globex FX Futures
- Channel 205 – CME Globex FX Options
- Channel 206 – CME Globex Commodity, Industrials and TRKRS Futures
- Channel 207 – CME Globex Commodity, Industrials and TRKRS Options
These changes
only impact the ITC 2.1 channels; there is no change to RLC-format channels.
The current channels 4, 5 and 6 for CME Globex ITC 2.1 market data will be maintained in
parallel with the new channels in production until December 1, 2007.
- Channel 4 – CME Globex Futures
- Channel 5 – CME Globex Options
- Channel 6 – CME Globex Spreads
Please note: these ITC 2.1 channels, 4-6 and 200-207, disseminate
Top of Book market data only.
These new channels will be available for customer testing in the New Release environment on
September 19, and in Certification on October 16. The
channel definitions for New
Release will be available by the end of this week at
www.cme.com/certsdk.
Changes to Instrument Creation (MO) Replay
Channels
Effective
Sunday, November 18, 2007, CME Group is introducing new Instrument Creation (MO)
Replay channels on the Market Data Platform in production. With these new channels, every product
RLC data channel (e.g., channel 7, Equity futures; channel 8, Equity options, etc.) will have a
dedicated MO Replay channel so customers can listen
only to the MO messages for which they receive market data.
The current MO Replay channels (channel 1 and 16) will be maintained in parallel for at least
eight weeks before those channels are decommissioned.
Please note, these changes only affect the RLC-format channels. There are no changes to the ITC
2.1-format channels.
The new MO Replay channels will be available in New Release for customer testing Thursday,
October 4. The new MO replay channels will not be available in Certification until Wednesday,
November 21. The
channel definitions for New
Release will be available by the end of this week at
www.cme.com/certsdk.
CBOT and Hosted Exchange Products and Functionality
Launch
Effective
January 2008, the CBOT and Hosted Exchange functionality and products are
scheduled to launch on the CME Globex electronic trading platform. Commodities, Dow and Hosted
Exchange futures and options are scheduled to launch January 13, 2008. Interest Rate futures and
options are scheduled to launch January 27. Jade and Metal products are not included in this
launch.
All CBOT-related functionality and CBOT and Hosted Exchange products, including futures,
options, spreads and strategies, are currently available for testing in New Release.
The new functionality to support this launch includes Fractional and Cabinet pricing; matching
algorithms; new spreads; and enhancements to the Instrument Creation (MO) and Security Definition
(MU) market data messages. Complete information on the customer system impacts for this launch is
available in the
CBOT Client Impact Assessment.
New Functionality
Enhanced Strike and Trade Prices on CME
Globex
As previously announced, CME Group is launching support for 0 (zero) and negative strike
prices for options, and negative trade and settlement prices for futures. With these enhancements,
customers will be able to trade futures at negative trade prices, and options with negative strike
prices. This launch will also introduce expanded strike prices up to six bytes long.
The following test products are currently available in the Certification environment for
customers to test this new functionality:
| Enhanced Strike and Trade Prices Test Products |
| Product |
Max Strike Price Length |
Strike Prices |
Trade Prices |
Settlement Prices |
| Supports
Zero |
Supports
Negative |
Supports
Zero |
Supports
Negative |
Supports
Zero |
Supports
Negative |
| Z5
options |
5b |
X
|
X
|
X
|
|
X
|
|
| Z6
options |
6b |
X
|
X
|
X
|
|
X
|
|
| Weekly
Weather futures |
—x
<
/td> |
—x
<
/td> |
—x
<
/td> |
X
|
X
|
X
|
X
|
Effective
Sunday, September 30, 2007 (for trade date Monday, October 1), Weekly Weather
futures on CME Globex will be eligible for 0 and negative trade and settlement prices.
More information on these pricing enhancements is available in the
Enhanced Trade and Settlement Prices Client Impact
Assessment.
Product Launches
Dairy Launch on CME Globex
Effective
this Sunday, September 16 (for trade date Monday, September 17), the following
dairy commodity futures and options will launch on the CME Globex platform.
| Dairy Future Outrights on CME Globex |
| Product |
Instrument
Group Code |
Product
Code |
| Non-Fat
Dry Milk futures |
DC |
GNF |
| Class
IV Milk futures |
DC |
GDK |
| Dairy Future Spreads on CME Globex |
| Product |
Strategy
Type Code |
Instrument
Group Code |
Product
Code |
| Non-Fat
Dry Milk Calendar Spreads |
SP |
DC |
GNF |
| Non-Fat
Dry Milk 3-, 6- & 12-month Packs |
FS |
DC |
GNF |
| Class
IV Milk Calendar Spreads |
SP |
DC |
GDK |
| Class
IV Milk 3-, 6- & 12-month Packs |
FS |
DC |
GDK |
| Dairy Option on Futures on CME Globex |
| Product |
Instrument
Group Code |
Product
Code |
| Non-Fat
Dry Milk Options |
N7 |
GNF |
| Class
IV Milk Options |
D8 |
GDK |
| Dry
Whey Options |
Y0
(zero) |
DY |
| Cash-Settled
Butter Options |
C0
(zero) |
CB |
| Class
III Milk Options |
A6 |
DC |
| Dairy Options Spreads on CME Globex |
| Product |
Strategy
Type Code |
Instrument
Group Code |
Product
Code |
| Non-Fat
Dry Milk Straddles |
ST |
N8 |
GNF |
| Non-Fat
Dry Milk Strangles |
SG |
N8 |
GNF |
| Non-Fat
Dry Milk Verticals |
VT |
N8 |
GNF |
| Class
IV Milk Straddles |
ST |
D9 |
GDK |
| Class
IV Milk Strangles |
SG |
D9 |
GDK |
| Class
IV Milk Verticals |
VT |
D9 |
GDK |
| Dry
Whey Straddles |
ST |
Y3 |
DY |
| Dry
Whey Strangles |
SG |
Y3 |
DY |
| Dry
Whey Verticals |
VT |
Y3 |
DY |
| Cash-settled
Butter Straddles |
ST |
C3 |
CB |
| Cash-settled
Butter Strangles |
SG |
C3 |
CB |
| Cash-settled
Butter Verticals |
VT |
C3 |
CB |
| Class
III Milk Straddles |
ST |
A9 |
DC |
| Class
III Milk Strangles |
SG |
A9 |
DC |
| Class
III Milk Verticals |
VT |
A9 |
DC |
These new futures and options are currently available for customer testing in the Certification
environment.
NYMEX Ardour Global Index Futures Launch
Effective
Sunday, September 30, 2007 (for trade date Monday, October 1), the NYMEX Ardour
Global Index futures will launch on the CME Globex electronic trading platform. Complete CME Globex
product specifications are available in the
NYMEX on CME Globex Snapshot. More information
on Ardour Global Index futures is available from
NYMEX Product Marketing at 212.299.2301.
The Ardour Global Index futures are based on the Ardour Global
SM
(Extra Liquid) (Ardour-XL
SM
) Index, a benchmark index for the global alternative energy industry.
Lehman Brothers U.S. Aggregate Index Futures
Launch
Effective
Sunday, September 30, 2007 (for trade date Monday, October 1), futures on the
Lehman Brothers U.S. Aggregate Index will launch on the CME Globex platform. Futures calendar
spreads will also be available upon launch, using the new Strategy Type Code
SD.
The Strategy Type Code can be found at position 727-728 in the Instrument Creation (MO (m-oh))
RLC market data message. More information on the Strategy Type Code and MO messages is available in
the
RLC Message Specifications module of
the Market Data Platform SDK.
The
Lehman Brothers U.S. Aggregate Index futures will
represent the world's first exchange-traded contracts on a U.S. broad-based, fixed-income index.
Lehman Brothers U.S. Aggregate Index futures provide traders and investors a new tool for:
- Asset allocation
- Passive indexation
- Portable alpha strategies
- Spreading against other exchange-traded products
| Product |
Instrument
Group Code |
Product
Code |
Listed
Contracts |
| Lehman
Brothers U.S. Aggregate Index futures |
LB |
LBA |
4
quarterlies |
| Product |
Instrument
Group Code |
Product
Code |
Strategy
Type Code |
Listed
Contracts |
| Lehman
Brothers U.S. Aggregate Index calendar spreads |
LB |
LBAMY-LBA
MY† |
SD
|
6
spreads |
†
MY = Month and year in normal CME Group terminology, e.g. U7
These new futures will be available for customer testing in the Certification environment this
Monday, September 17.
Futures Strips on NYMEX Uranium Launch
Effective
Sunday, October 14 (for trade date Monday, October 15), strips on the NYMEX
Uranium futures will be launched on the CME Globex platform. These new strips will use the Strategy
Type Code
FS. Complete CME Globex product specifications are available in the
NYMEX on CME Globex Snapshot.
The Strategy Type Code can be found at position 727-728 in the Instrument Creation (MO (m-oh))
RLC market data message. More information on the Strategy Type Code and MO messages is available in
the
RLC Message Specifications module of
the Market Data Platform SDK.
These new Uranium strips will be available in the Certification environment for customer testing
Monday, October 1.
Product Changes
Housing Extension
Effective
this Sunday, September 16, 2007 (for trade date Monday, September 17), CME Group
is extending the listed
Housing futures from the currently listed four
quarterlies to a total of
60 months. This change will apply to all of the Housing futures on CME Globex,
including the Composite Index and 10 U.S. cities.
The currently listed spreads will also be extended out the full 60 months, including the
intercommodity spreads.
| Housing Futures Extension |
| Product |
Current
Listings |
Extended
Listings |
Boston
Chicago
Denver
Las Vegas
Los Angeles
Miami
New York
San Francisco
San Diego
Washington
Composite Index |
4
quarterly futures in February cycle |
First
18 months: 6 quarterly futures in February cycle
Second 18 months: 7 biannual futures in May cycle
Last two years: 2 annual futures in November cycle |
The Chicago and Las Vegas futures and spreads are currently available for customer testing in
the Certification environment.
Ethanol Futures Delisting
Effective at close of business
Friday, September 21, 2007, the Ethanol, Urea, Urea Ammonium Nitrate and
Diammonium Phosphate futures will be delisted from all venues. There is no open interest in any of
the contract months.
FX American-style Quarterly Options
Extension
Effective
Sunday, September 30 (for trade date Monday, October 1), the following
American-style FX options on futures will be extended:
| FX American-style Options Extension |
| FX Product |
CME Globex Product Code |
Currently Listed |
Extended Listings |
| Serials |
Quarterlies |
Serials |
Quarterlies |
| Australian
Dollar |
6A |
Two |
Two |
Two |
Four
|
| New
Zealand Dollar |
6N |
One |
| British
Pound |
6B |
Two |
| Canadian
Dollar |
6C |
| Euro
FX |
6E |
| Japanese
Yen |
6J |
| Swiss
Franc |
6S |
These extended listings will be available for customer testing in the New Release environment
Monday, September 24.
FX Options Strategies Launch
Effective
Sunday, September 30, 2007 (for trade date Monday, October 1), Horizontal and Risk
Reversal option strategies on the following American-style FX options will be launched on the CME
Globex platform.
- Euro FX options (product code 6E)
- Japanese Yen options (product code 6J)
- British Pound options (product code 6B)
- Swiss Franc options (product code 6S)
- Canadian Dollar options (product code 6C)
- Australian Dollar options (product code 6A)
- New Zealand Dollar options (product code 6N)
- Mexican Peso options (product code 6M)
- Russian Ruble options (product code 6R)
These strategies will use the current Strategy Type Codes
HO for Horizontals and
RR for Risk Reversals.
The Strategy Type Code can be found at position 727-728 in the Instrument Creation (MO (m-oh))
RLC market data message. More information on the Strategy Type Code and MO messages is available in
the
RLC Message Specifications module of
the Market Data Platform SDK.
The RR strategies will be available in the New Release environment for customer testing this
Monday, September 17; the HO strategies will be available in New Release beginning Thursday,
September 20.
Events and Announcements
Change in Quantity Limit for New Products on EOS
Trader
Effective
immediately, all new products available on the
EOS Trader front-end system will have
the default order size maximum set to 0 (zero). To allow EOS Trader users to trade the new
products, Clearing Firm Administrators must expand the product’s order size maximum for each
trader. EOS Trader administrators are able to set these parameters prior to the product launch date
via their administrator screens.
For more information, or if you need to establish an EOS Trader administrator, please contact
your
CME Globex Account Manager at
312.648.3736, or +44.20.7796.7100 in Europe, or +852.3101.7696 in Asia.
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