Market Data Advisory Notices
To | Quote Vendors
From | Market Data Operations
Subject | RLC to FIX/FAST Market Data Format Conversion Deadline on October 17, 2008 and Mandatory Certification
Notice Date | 2008-06-12
Notice Number | Q2008-112
Effective Date | 2008-10-17
As a reminder, all CME Group Quote Vendors that currently use the legacy RLC format of market data must convert to FIX/FAST by October 17, 2008, or be subject to monetary penalties . Those Quote Vendors currently using the ITC message format must convert by Q2 of 2009. As a requirement to implement the FIX/FAST market data format, CME group is making testing and certification mandatory for all Quote Vendors. This notice contains the following information related to this requirement: · Benefits for Quote Vendors and CME Group’s customers worldwide · Description of CME Group’s two testing/certification environments · Information about connectivity options and establishing connections to the testing/certification environments · Completion of CME® Globex® Interface Development Agreement and Schedule B forms · CSET-provided assistance during development and testing/certification period · Accessing and using the AutoCert+ testing/certification tool · One-on-one developer meetings with CME Group can be scheduled, as needed, by contacting Market Data Operations at MDO@cmegroup.com . · A list of certified FIX/FAST Quote Vendors will be added to the CME Group web site Benefits of FIX/FAST Certification Certification is now mandatory, for the following reasons: · CME Group has responsibility for disseminating an ever-increasing amount of market data over its Market Data Platform (MDP). With the conversion to the FIX/FAST format from the legacy RLC message format by October 17, 2008 , a greater need has been identified for ensuring the integrity of the data, as it is processed and displayed by Quote Vendors to CME Group customers, worldwide. · The new format offers expanded functionality and has more nuances than our existing legacy message formats. As such, this creates the need for more extensive testing to ensure that Quote Vendor FIX/FAST development efforts have meticulously accounted for our published FIX/FAST specifications. · The responsibility for “maintenance of the order book” has been transitioned to our Quote Vendor community from CME Group, which is logic that must be thoroughly tested to ensure the results match CME Group’s. · The FIX/FAST suite of certification tests offered by CME Group enable Quote Vendors to test their applications repeatedly using specific scenarios, such as simulation of system failures, forced rejects or even market state changes. It will also help to ensure that Quote Vendor applications properly receive and manage data related to instrument dictionary, order book representation, market state, market statistics and other functionality supported on Globex. Two CME Group Testing Environments CME Group offers two testing environments that are dedicated to the development needs of our Quote Vendors. Both environments, which are described below, are similar in size and scale to CME Group’s production environment. Please note that only “one” network connection is required to access both testing environments. · The New Release Environment offers the newest release of market data functionality that has or will be implemented by CME Group, including FIX/FAST. Quote Vendors may use this environment as soon as they ready to facilitate and validate their FIX/FAST development efforts. This environment will also be used for all upcoming new market data-related releases. · The Certification Environment mirrors CME Group’s production market data environment in terms of functionality but not speed, including current RLC functionality and messaging and FIX/FAST. This is used for testing and certification of all functionality and messaging that exists in production. Quote Vendors must establish connectivity to both environments to certify (New Release = new functionality and Certification = Production). NOTE: For those Quote Vendors that provide front-end trading systems, both of these environments are connected to CME Group’s clearing test environments to facilitate front-end and back-end system testing simultaneously. CME Group Testing and Certification Environments -- Connectivity Options and Bandwidth Considerations There are four options described below for connecting to the two certification environments that were previously mentioned in this notice. However, it is important to note that the connection must be in addition to your “ production” network connection. Production network connections may NOT be used for testing/certification. Also, it is critically important to assess your bandwidth requirements as it relates to your conversion efforts. Our new bandwidth requirements were distributed to all Quote Vendors on Friday, June 6, 2008. More information can be obtained at www.cmegroup.com/customerforum . § VPN – This is the most basic connectivity option available and is free of charge. Quote Vendors are able to manage their own network and hardware connected to CME Group’s certification environment. § Client CERTLink – This option enables Quote Vendors to manage their own network and hardware that connects to CME Group’s certification environments within the ATM “clouds” of CME-certified Telecom vendors. This option is available worldwide. § CME CERTLink – This option is a CME-managed solution available to customers within the United States. § BT Radianz – This option, provided directly by the vendor, is fully managed and uses RadianzNet -- an IP-based extranet that connects financial institutions worldwide. CME Globex® Interface Development and Testing Agreement and Schedule B Completion of both the Globex Interface Development and Testing Agreement andSchedule B forms must be completed before access can be granted to CME Group’s New Release Environment (or Certification Environment used for production certification). Please note that for those Quote Vendors, which do not offer front-end trading systems, Schedules A.1 and A.2 need not be completed. Please contact Market Data Operations, Quote Vendor Support for the agreement and schedule. Upon execution of the forms, the forms should be sent to the following address; not to the address listed on the forms: CME Group Market Data Operations/Quote Vendor Support 20 S. Wacker Drive – 8 North Chicago , Illinois 60606 Accessing and Using the AutoCert+ Testing/Certification Tool The AutoCert+ tool is CME Group’s automated certification tool that is available via the Internet. To access AutoCert+, Quote Vendors must first obtain Channel Definitions, which can be done in one of two ways: Access this link: http://www.cme.com/trading/get/files/MDPFFACPChannelDefs.pdf , or Download the XML file from our FTP site. Additional information is provided in the Automated Certification Tool (AutoCert+) Access Guide. The link for this and other certification documentation is shown below under the Reference Materials caption. FIX/FAST Development and Certification Process -- Support Once you are connected to CME Group’s New Release Environment, and you are ready to test and certify, you may contact our CSET (Customer Support of Electronic Trading) group at 312.930-2322. CSET is available Monday through Friday, during regular trading hours. CSET is responsible for both CME Group’s testing environments and can answer any questions related to these environments. If you have questions outside of the hours listed above, they should be e-mailed to csetgroup@cme.com . Responses to all development questions received via email are sent within 24 hours. Upcoming Developer Round Table Meetings In the coming weeks, CME Group will offer additional Developer Round Table meetings in New York and Chicago. These meetings will address specific market data and trading system-related topics and will also be used as forums for Quote Vendor development staff to ask questions related to FIX/FAST and the new certification process. If you are interested in attending one of these Developer Round Table meetings, please email Quotevendorsupport@cmegroup.com Reference Materials Documentation for the FIX/FAST market data format is available at http://www.cmegroup.com/globex/resources/fix-fast-market-data-format.html . This site includes format specifications as well as a Reference Code, for your convenience, in both a Java and C++ version. The following is a list of essential and very informative CME Group Testing and Certification documentation that is available via http://www.cmegroup.com/globex/resources/testing-and-certification-documentation.html . § Certification Environments Overview § Certification Connectivity Guide § Automated Certification Tool (AutoCert+) Access Guide § New Release MDP Channel Definitions § Certification MDP Channel Definitions Action Items for Quote Vendors To quickly get up to speed in preparation for both the conversion to FIX/FAST and mandatory certification testing, we’ve listed the following action items that should be completed as soon as time permits. Going forward, your CME Group contact for questions, form requests, AutoCert+ logins/passwords and IP addresses and ports will be Market Data Operations/Quote Vendor Support. § Review this notice with other appropriate staff within your firm. § Access and review the certification documentation via the link shown in this notice. § Review the connectivity options, and choose your certification connectivity method. § Contact Market Data Operations/Quote Vendor Support to obtain the Globex® Interface Development and Testing Agreement and Schedule B forms. § Request AutoCert+ login and passwords. § Review all FIX/FAST documentation published to-date. § Establish connectivity to the New Release and Certification Environments. § Complete the Market Data Test Suite in AutoCert+ for FIX/FAST. § Request production IP’s and ports for FIX/FAST channels after completing the testing/certification process from Market Data Operations/Quote Vendor Support Summary We realize that there is considerable amount of information in this notice to digest and many to-dos that must be completed within the coming months. We are here to assist you through every stageof testing, certification and migration to FIX/FAST. Please be aware that as each of our Quote Vendors completes the certification process and converts to FIX/FAST, their name will be added to our CME Group web site indicating that they are a “ CME Group-certified FIX/FAST Vendor.”< /em> Market Data Operations/Quote Vendor Support Contacts As always, please don’t hesitate to contact the following individuals with any questions you may have: § Kevin Brady, Manager, Quote Vendor Support – 312.648-3653 or kevin.brady@cmegroup.com § Lakisha Speights, Project Manager, Quote Vendor Support – 312.338-7110 or lakisha.speights@cmegroup.com § Marilee Radecki, Associate Director, Market Data Operations – 312.930-8193 or marilee.radecki@cmegroup.com § Michele Ivanski, Associate Director, Client Management – 312.930-8504 or michele.ivanski@cmegroup.com THANK YOU!