• CME Globex Notices: July 28, 2008

      • To
      • CME Globex Account Customers
      • From
      • CME Globex Account Management
      • #
      • 20080728
      • Notice Date
      • 28 July 2008
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      Events and Announcements
      Critical System Updates

      Order Status Enhancements
      CME Group is launching enhancements to both the inbound Order Status Request and outbound Execution Report - Order Status iLink messages. Scheduled to launch Sunday, August 24, 2008, these enhancements will provide more precise and current state information on working orders.

      These enhancements provide:

      • The most current state in the order chain is always reflected in the Execution Report - Order Status Reponse Message
      • Cumulative order quantity reflects the actual quantity in the most current state in the order chain.
      • More precision on the details of the order state.

       Client Impact Assesment is now available with detailed information. CME Group strongly recommends all front-end trading systems completely test the enhanced order status messaging in New Release, available now.

      New Functionality

      Implied Functionality Enhancements
      In Q4 2008, CME Group is scheduled to launch enhancements to the implied functionality on CME Globex. This launch will also include new implied intercommodity spreads for Treasury futures.

      With this launch, Eurodollar Pack Spreads, including Pack Butterflies, will support implied functionality for the first 10 years listed.

      Customers and system providers are not required to certify for these enhancements; however, CME Group encourages all system providers to complete testing with these new instruments and functionality in the New Release environment starting September 11.

       Client Impact Assesment is now available with detailed information.

      Product Launches

      Options on Eurodollar Futures Calendar Spreads
      Effective Sunday, August 17, 2008 (trade date Monday, August 18), CME Group is launching options on Eurodollar futures calendar spreads. Both outright options and straddles will be available on CME Globex for trading, as well as full User-Defined Spreads (UDS) functionality.

      Eurodollar calendar spread options are designed to help market participants better manage risk exposures specifically tied to the slope of the Eurodollar rate curve. Call options will be exercisable into one long nearby Eurodollar futures contract and one short deferred Eurodollar futures contract, for example June 2008 (long) and June 2009 (short). Put options will be exercisable into a short nearby Eurodollar future and a long deferred one.

      These options will be listed with the futures calendar spread as the indicated underlying. There will not be a synthetic future listed, as is the current practice for the NYMEX complex options on CME Globex. These options will support zero and negative strike prices.

      Eurodollar Calendar Spread Options

      Product Instrument Group Code Product Code Strategy Type Code
      Eurodollar Calendar Spread Options 8I (8-eye) SPO
      Eurodollar Calendar Spread Option Straddles 8G ST

      These options and strategies are now available for customer testing in New Release.

      NEW Regional Greenhouse Gas Initiative (RGGI) CO2 Allowance Futures on CME Globex
      Effective Sunday, August 24 (trade date Monday, August 25), NYMEX, in connection with the Green Exchange initiative, is launching the Regional Greenhouse Gas Initiative (RGGI) CO2 Allowance futures for trading on the CME Globex platform. These new futures will use the Product Code RGI.

      The new RGGI CO2 Allowance futures will be available for customer testing in the New Release and Certification environments Monday, August 11.

      NYMEX LCH ECM & MTF Products on CME Globex
      As previously announced, this summer NYMEX and LCH.Clearnet are launching a broad range of global energy products for trading on the CME Globex platform. NYMEX is offering a new and distinct slate of OTC and futures products for clearing through LCH.Clearnet through two new exchanges: NYMEX ECM and NYMEX MTF. The initial slate will encompass the global benchmark oil contracts, including WTI, Brent and Gasoil, as well as key natural gas and electricity contracts. These new products will be cleared by LCH.Clearnet using existing and widely distributed clearing technology, thus optimizing operational efficiencies for market participants.

      This historic alliance will deliver improved capital and operational efficiencies through wider execution capabilities, broader credit intermediation and margining benefits for customers and market participants.

      More information on the arrangement and benefits for market participants is available at  www.nymexonlchclearnet.com.

      Please note: the NYMEX ECM contracts require development to support trading of these unique products. Detailed development information is available in the  NYMEX ECM and NYMEX MTF Products on CME Globex Client Impact Assessment. The complete lists of new products are available in the  NYMEX ECM Snapshot and  NYMEX MTF Snapshot.

      These products are currently available for customer testing in the New Release environment. The mock trading session previously scheduled for June 28 has been cancelled. End-to-end testing to the LCH Clearing House is available in the New Release environment for configured customers. Please contact  CSET at 312.930.2322 or your  CME Globex Account Manager at 312.634.8700 to be configured.

      Product Changes

      NEW Changes for Legacy CBOT Commodity Products
      Effective this Sunday, August 3, 2008 (trade date Monday, August 4), the maximum order quantity will be decreased for the following legacy CBOT commodity futures and options:

      Maximum Order Quantity for Legacy CBOT Commodities

      Product Instrument Group Code Product Code Current Maximum Order Quantity New Maximum Order Quantity
      Outrights Spreads Outrights Strategies
      Ethanol Futures EH 49,999 1,000 2,500
      Corn Futures ZC
      South American Soybean Futures ZK
      Soybean Oil Futures ZL
      Soybean Meal Futures ZM
      Oats Futures ZO
      Rough Rice Futures ZR
      Soybean Futures ZS
      Wheat Futures ZW
      E-mini Corn Futures XC
      E-mini Soybean Futures XK
      E-mini Wheat Futures XW
      Ethanol Options 5X OEH 49,999 9,999
      Corn Options OC OZC
      Soybean Oil Options 0O (zero-oh) OZL
      Soybean Meal Options ML OZM
      Oats Options OO OZO
      Rough Rice Options RR OZR
      Soybean Options SQ OZS
      Wheat Options OW OZW

      Please note: the intercommodity spreads for legacy CBOT commodity futures will also reflect these new Maximum Order Quantity limits. The Maximum Order Quantity for each instrument can be found in tag 1140-MaxTradeVol, in the FIX/FAST Security Definition message (tag 35-MsgType=d).

      Along with these maximum order quantity changes, the FIFO component of the allocation algorithm (K) will be changed from zero to 10 percent. This change will apply to the following futures:

      • Soybeans and E-mini Soybeans
      • Soybean Oil
      • Soybean Meal
      • Wheat and E-mini Wheat
      • Corn and E-mini Corn
      • Rough Rice, and
      • Ethanol futures

      Allocating a percentage of the trade to FIFO will reward those users who leave resting orders in the book. As we continue to refine the algorithm, we will be able to increase participation utilizing a combination of FIFO, leveling, Pro Rata, and priority (TOP) elements.

      These changes are currently available for customer testing in New Release.

      Israeli Shekel Calendar Spreads Algorithm Change
      To align the FX futures calendar spreads matching behavior, the allocation algorithm for the Israeli Shekel calendars will be changed from FIFO (F) to Currency Calendars (C). With this change, all FX futures calendar spreads will use C.

      This change will go into effect in all CME Globex environments this Sunday, August 3 (trade date Monday, August 4).

      The allocation algorithm is defined in FIX tag 1142-MatchAlgorithm, in the FIX/FAST Security Definition message (35=d).

      30-Day Fed Funds Futures and Options Enhancements
      Beginning this Sunday, August 3, 2008 (trade date Monday, August 4) the following changes will be applied to the 30-Day Fed Funds futures, options and spreads:

      • The expiring, front month of the 30-Day Fed Funds futures contract will trade in 1/4 basis points. Currently, all Fed Funds futures trade in 1/2 basis point increments. With this change, the front Fed Funds future will always trade in 1/4 tick increments beginning the first Sunday within the expiration month. Implied functionality will not be available on the 1/4 tick front month outrights and spreads.
      • The price display format for the Fed Funds futures and options will be changed to match the current Eurodollar price display convention. With this change, the CME Globex minimum tick for the expiring, front month future will display 0.25. All options and the further-out futures will display the minimum tick 0.50. Currently, the 30-Day Fed Funds price displays use a single decimal (i.e., minimum tick is 2.5 or 5).
      • 12-month futures strips will be listed for trading on the CME Globex platform.

      All these changes and the new 12-month futures strips are currently available in New Release for customer testing.

      Interest Rate Futures Group Code Consolidation
      Effective this Sunday, August 3 (trade date Monday, August 4), the Instrument Group Codes for the following Interest Rate futures will be changed:

      Interest Rate Futures & Spreads Group Code Changes

      Product Product Code Current Instrument
      Group Code
      New Instrument
      Group Code
      30-Year U.S. Treasury Bond ZB ZB ZB
      10-Year U.S. Treasury Note ZN ZN
      5-Year U.S. Treasury Note ZF ZF
      2-Year U.S. Treasury Note ZT ZT
      30-Year U.S. Interest Rate Swap I3 I3
      10-Year U.S. Interest Rate Swap SR SR
      5-Year U.S. Interest Rate Swap SA SA

      The Instrument Group Code can be found in the Security Definition (tag 35-MsgType=d) FIX/FAST message, tag 55-Symbol; and in the Instrument Creation (MO) RLC-format message at position 70.

      These changes are now available for customer testing in New Release.

      Events & Announcements

      NEW CME Globex Disaster Recovery Connectivity 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  online. Disaster Recovery IPs and ports have been distributed by your CME Globex Account Manager.

      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 Overview.

      NEW CME Clearing360 Trade Reporter
      In August, CME Group will launch a new trade capture web-based user interface, and an updated application programming interface (API) that will provide a new and more efficient means to report privately-negotiated trades and get them submitted to CME Clearing. The goal is to make processing easier and more straight-through for traders, brokers and clearing firms.

      This new application is called CME Clearing360 Trade Reporter and will be accessible through CME EOS Trader, which is one of the applications using the API. Using the web-based Trade Reporter application, a trader can report a block trade for any block eligible CME Group product.

      Clearing360 and the Trade Reporter system will:

      • Price all the legs of the strategy
      • Verify that the trade conforms with minimum quantity rules
      • Eliminate the need for a phone call to the CME Globex Control Center (GCC)
      • Submit the trade to clearing
      • Enable the trade automatically to be loaded to the two clearing firms, once the trade has either passed a credit check on both sides or been explicitly accepted

      Bottom line: your trading will be more efficient

      • No need for a call to the GCC to report the trade
      • No need for the clearing firm to submit the trade;
        • Trade details will automatically flow from the clearing system to the clearing firm.

      The following CME Group products are eligible for block trade clearing through Trade Reporter.

      Interest Rate Products

      • Eurodollars
      • 2-Year Treasury Notes
      • 5- and 10-Year Treasury Notes
      • 30-Year Treasury Bonds
      • 30-Day Fed Funds
      • 5-, 10- and 30- Year Interest Rate Swaps
      • Lehman Brothers U.S. Aggregate Index
      • CME Cleared Swaps (as of 9/2/08)

      FX Products

      • FX Options Block Trades
      • FX EFP

      Equity Products

      • E-mini Russell 2000 (through 9/19)
      • Russell 2000 (through 9/19)
      • E-mini MSCI EAFE
      • E-mini MSCI Emerging Markets

      For more information, including how to obtain access to Trade Reporter, please contact your  CME Globex Account Manager.

      FIX/FAST Migration Updates
      Migration & the Elimination of RLC Format
      Customers must complete their migration to FIX/FAST from the legacy RLC format market data by October 17, 2008.

      The mandatory certification for FIX/FAST can be completed through AutoCert+ in Certification. More information is available in the  AutoCert+ User Guide. FIX/FAST is currently available for customer testing in the New Release and Certification environments.

      After October 17, support surcharges will be assessed for each site still receiving RLC format market data:

      • $2,000 per week in October
      • $4,000 per week in November
      • $6,000 per week in December

      The legacy RLC format market data will be eliminated no later than the end of December 2008. Please note that we cannot extend RLC broadcast beyond the December deadline, due to internal system dependencies. The FIX/FAST Software Development Kit, including Market Data Platform channel definitions and reference code, is available  online.

      On Sunday, October 14, 2007, CME Group launched the new FIX/FAST market data format on the CME Globex platform. FIX/FAST is the basis of a new industry standard for market data and improves bandwidth scalability. The new format is based on FIX and FAST protocols for increased efficiency. FIX provides the core message structure and syntax while the FAST protocol increases optimization.

      FIX/FAST Market Data Statistics
      Effective Friday, August 1, 2008, FIX/FAST market data statistics will be available on the  CME Group Metrics page. The CME Group Metrics page provides insight to key market data statistics, including average bandwidth, peak bandwidth, average message rate and peak message rate on a daily, monthly or quarterly basis.

      Saturday FIX/FAST Testing
      Through Saturday, October 4, CME Group will replay production-speed market data in the production environment for FIX/FAST and RLC formats for 30 minutes, from 11:30 a.m. to noon Central time (CT).

      There will be no replay window on the Labor Day holiday weekend, Saturday, August 30.

      The data disseminated during each Saturday's replay window will be captured during the prior mid-week trading.

      CME Group recommends all system providers purge and reload their instrument databases every week. To support testing during these replay windows, the FIX/FAST Security Definition (tag 35=d) and RLC Instrument Creation (MO) messages from the prior week will be available on the instrument definition channels each Saturday morning starting at 10:00 a.m.

      Support will be available; customers may call 312.715.6003 with any questions during the replay windows.

      The following market data channels for FIX/FAST and RLC formats will be available:

      MDP Channels for Production Replay Windows

      Products FIX/FAST Channel RLC Channel
      Legacy CME Equity Futures 7 7
      Legacy CME Equity Options 8 8
      Legacy CME Interest Rate Futures 9 9
      Legacy CME Interest Rate Options 10 10
      NYMEX Crude Oil Energy Futures 30 30
      NYMEX Crude Oil Energy Options 35 35
      Legacy CBOT Commodity Futures 111 111
      Legacy CBOT Commodity Options 112 112
      Legacy CBOT Interest Rate Futures 115 115
      Legacy CBOT Interest Rate Options 116 116

      Channel definitions, including IPs and ports, are available online:

      • Certified FIX/FAST customers can access the channel definitions in XML format at  ftp.cme.com
      • RLC channel definitions are available in  PDF format

      Please contact your  CME Globex Account Manager with any questions at 312.634.8700; in Europe at +44.20.7796.7100; or in Asia at +852.3101.7696.