• CME Globex Notices: May 5, 2008

      • To
      • CME Globex Customers
      • From
      • CME Globex Account Management
      • #
      • 20080505
      • Notice Date
      • 05 May 2008
    • Topics in this issue include:
      Critical System Updates
      Product Changes
      Events and Announcements


      Critical System Updates

      Request for Cross on CME Globex 
      Effective this Sunday, May 11 (trade date Monday, May 12), the method for submitting a Cross order on CME Globex will change for legacy CME Commodity, FX and Equity options to use the New Order Cross (FIX tag 35-MsgType=s) message. Currently, these products use the Quote Request (tag 35-MsgType=R) message with tag 54-Side=8.

      With this change, the Quote Request method for cross orders will no longer be supported on CME Globex.

      Please note: legacy CBOT options remain ineligible for Cross orders on CME Globex.

      In addition to the technical changes, the regulatory requirements and process will also change. More information is available in the  Regulatory Advisory.

      Cross order eligibility is defined in positions 789, RFC Eligible Flag, and 800, RFQ for Cross Eligible Flag. For more information please review the Cross Order section of the  Options module of the iLink SDK.

      These products with RFC eligibility will be available for customer testing in New Release Monday, April 21. Customer applications are required to certify for the New Order Cross message before submitting cross orders in production. Please contact your trading application provider for more information.

      FIX/FAST 1.2
      On Sunday, June 1 (trade date Monday, June 2), CME Group is scheduled to release FIX/FAST 1.2. This release introduces enhancements to the Market Data Incremental Refresh (tag 35-MsgType=X), Security Definition (tag 35-MsgType=d) and Market Data Snapshot Full Refresh (tag 35-MsgType=W) messages.

      This release is now available for customer testing in New Release.

      Detailed information on FIX/FAST 1.2 is available in the  FIX/FAST 1.2 Client Impact Assessment.

      Product Changes

      Matching Algorithm Changes for Legacy CBOT Interest Rate and Commodity Futures
      In response to customer feedback and in the interest of the market, CME Group will revise the Split FIFO/Pro Rata (K) allocation algorithm for selected CBOT markets. With this change, the pro rata allocation matching behavior will more closely follow the behavior of that on e-cbot by allocating a quantity of one contract to orders that have an allocation value of less than one (the amount calculated to allocate). The revised K algorithm will also be applied to additional products, as detailed below. Currently, the K algorithm is only applied to the 2-Year U.S. Treasury Note futures.

      The Split FIFO/Pro Rata algorithm assigns TOP priority to an order that
      • betters the market, and
      • meets the minimum volume threshold.
      The Split FIFO/Pro Rata algorithm also establishes a volume cap that limits the quantity a priority order can receive.
      Allocation Sequence
      1. TOP Order percentage Allocation (with Minimum/Maximum)
      2. LMM
      3. Remaining quantity split - X% FIFO, X% Pro Rata (fields must sum to 100%)
        1. X% FIFO (based on remaining quantity * FIFO %)
        2. Pro Rata with Min (based on remaining quantity * Pro Rata %)
      4. Pro Rata Leveling (new allocation)
      5. Timestamp Priority (any remainder from Pro Rata)
      If a product does not have any registered LMMs, the LMM allocation is skipped. The FIFO percentage in the third allocation may be set to zero, which will result in a 100% Pro Rata with Min allocation. Only the 2-Year Treasury Note futures have a FIFO allocation at the third step.
      The new Pro Rata Leveling component within the K algorithm will also be applied to other products on the following schedule:
      May 11
      • 5-Year Treasury Notes futures calendar spreads
      • 10-Year Treasury Note and 30-Year Bond futures Reduced Tick Spreads
      May 18
      • 5-, 10- and 30-Year Interest Rate Swap futures, legs and spreads
      Late June
      • Fed Funds futures, legs and spreads
      More information on this algorithm, including allocation examples, is available in the  CBOT Merger Client Impact Assessment.
      Customers can determine the matching algorithm assigned to each product from FIX tag 1142-Match Algorithm, in the FIX/FAST Security Definition (tag 35=d) market data message.

      NEW Delisting Three COMEX London Metal Futures
      Effective this Sunday, May 11, 2008 (trade date Monday, May 12), the following COMEX London Metal futures and all associated spreads will be delisted from the CME Globex platform:

      • COMEX London Aluminium futures (CME Globex product code LA)
      • COMEX London SHG Zinc futures (CME Globex product code LZ)
      • COMEX London Copper Grade A futures (CME Globex product code LK)

      There is no open interest on these products.

      Equities Group Code Consolidation
      To support the upcoming launch of the E-mini S&P® MidCap 400® - E-mini Russell 2000® intercommodity spread, the Group Code for the following futures and future spreads will change to ME. Currently, these products use Group Code ER.

      • E-mini S&P SmallCap 600® futures and future spreads
      • E-mini Russell 2000 futures and future spreads
      • E-mini S&P SmallCap 600 - E-mini Russell 2000 future intercommodity spread

      This change will take effect in all environments (certification, New Release and production) this weekend, May 11.

      The Group Code can be found in FIX tag 55-Symbol, in the Security Definition message (tag 35-MsgType=d) and Market State (tag 35-MsgType=f). More information is available in the  FIX/FAST Message Specifications module of the FIX/FAST SDK.

      Please note: there is no impact to the product symbols or External Instrument Names.


      Butterfly and Condor Spreads for KCBT and MGEX Futures
      Effective Sunday, May 18 (trade date Monday, May 19), Butterfly (Strategy Type Code BF) and Condor (CF) future spreads listings will be expanded on the following products:

      Butterfly and Condor Spreads Listings

      Futures CME Globex
      Product Code
      Current Butterfly
      Spreads Listings
      New Butterfly
      Spreads Listings
      Current Condor
      Spreads Listings
      New Condor
      Spreads Listings
      MGEX Hard Red Spring Wheat MWE 2 5 2 7
      KCBT Wheat KE 3 5 3 7

      These new futures spreads are now available in New Release for customer testing.

      E-mini S&P MidCap 400 - E-mini Russell 2000 Intercommodity Spread
      Effective Sunday, May 18, 2008 (trade date Monday, May 19), a new intercommodity spread for the E-mini S&P® MidCap 400® versus E-mini Russell 2000® futures will be available for trading on the CME Globex platform. Three spreads will be listed upon launch:

      • June 2008 E-mini S&P MidCap 400 future - June 2008 E-mini Russell 2000 future (EMDM8-ER2M8)
      • September 2008 E-mini S&P MidCap 400 future - September 2008 E-mini Russell 2000 future (EMDU8-ER2U8)
      • September 2008 E-mini S&P MidCap 400 future - June 2008 E-mini Russell 2000 future (EMDU8-ER2M8)

      These 1:1 ratio intercommodity spreads will use Strategy Type Indicator EC and Group Code ME. They will be available in New Release for customer testing this Monday, May 12.

      CME Group is launching these intercommodity spreads to help customers looking for a way to transfer their E-mini Russell 2000 open interest to a liquid trading alternative. Traders can go long or short the spread, which enables you to simultaneously establish a one-to-one position on the underlying futures contracts. For more information, visit  www.cmegroup.com/equities.

      Events & Announcements

      CME Globex Disaster Recovery Program
      CME Group is committed to the protection of its members, employees and stakeholders and has a long history of successfully managing risk. In keeping with those traditions, CME Group has a comprehensive business continuity program in place.

      CME Group offers two programs for business continuity testing: CME Globex DR Connectivity testing and Simulated CME Globex DR testing.

      The CME Globex DR Connectivity testing, conducted monthly, is designed to ensure that customers can establish a connection to the DR environment in case of an emergency. Customers are required to register in advance to participate by e-mail. Disaster Recovery IPs and ports will be distributed by your CME Globex Account Manager in the near future.

      Complete information on the CME Group business continuity program and the CME Globex DR Connectivity testing, including testing session dates, is available  online. CME Group encourages all directly connected customers review the  DR Client Impact Assessment.

      CME Globex Trader Decommission Postponed
      At customers' request, CME Group has agreed to maintain CME Globex Trader for one additional month, until end of day Friday, June 27. This extension only applies to customers who access CME Globex Trader over the Internet or dedicated lines with existing user IDs. No new IDs will be issued. It will not be available on the trading floor at the Chicago Board of Trade building at 141 W. Jackson.

      Please note this is the last possible extension CME Group will be able to provide; no further extensions will be granted.

      If you have questions, please contact your CME Globex Account Manager at 312.634.8700; or at +44.20.7796.7100 in Europe or +852.3101.7696 in Asia.