CME Globex Notices: September 29, 2008

Order Status Enhancements
CME Group is launching enhancements to both the inbound Order Status Request and outbound Execution Report - Order Status iLink messages. Previously scheduled to launch October 12, 2008, these enhancements will launch October 19 and 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.

A  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.

CME Globex Performance Enhancements
In Q4 2008, CME Group is implementing an upgrade to futures markets on the CME Globex electronic trading platform that will result in significantly reduced message response times. Already among the fastest in the industry, this upgrade is expected to reduce response times by an average of 40-50%, from an average of 10-12 milliseconds currently to approximately 5-7 milliseconds.

Please note: as a result of the reduced message response times, bandwidth utilization in these futures markets is expected to ultimately increase by as much as 20%.

This upgrade is designed to enhance our liquid, efficient and competitive marketplace for participants worldwide. It is scheduled for a phased launch as follows:

Tentatively Scheduled for Sunday, November 2

• All listed futures and future spreads for:
  • Legacy CME Interest Rates
  • Legacy CBOT Interest Rates
  • Legacy CME Commodities
  • TRAKRS

Tentatively Scheduled for Sunday, November 9

• All listed futures and future spreads for:
  • MGEX
  • KCBT
  • Legacy CBOT Commodities
  • Legacy CBOT Equities

Tentatively Scheduled for Sunday, November 16

• All listed futures and future spreads for:
  • NYMEX Energy
  • NYMEX Metals
  • COMEX Metals
  • NYMEX Softs

Tentatively Scheduled for Sunday, November 23

• All listed futures and future spreads for:
  • Legacy CME Equities

FX futures are scheduled for a number of enhancements in Q1 2009 that will include performance improvements.

Book Depth Change for Equity, Commodity, FX and Energy Options on CME Globex
Effective Sunday, November 9 (trade date Monday, November 10), in response to customer requests, the market data book depth for all Equity, Commodity, FX and Energy options on futures on Market Data Platform channels 8, 12, 35, 36, 37, 112 and 114 will change to three deep. Currently, these markets only support top-of-book market depth. This book depth change is now available for customer testing in New Release.

This change will impact both the FIX/FAST- and RLC-format market data books. The complete list of impacted products is available  online.

For FIX/FAST, this change will result in a move to the incremental book management style from the current overlay style, as reflected in tag 279 MDUpdateAction in the Market Data Incremental Refresh message (tag 35=X). Valid values for this tag will now include 0 (New), 1 (Change) and 2 (Delete).

The book depth for every instrument on CME Globex is detailed in tag 264 MarketDepth in the Security Definition (tag 35=d). CME Group strongly recommends customer applications utilize tag 264 to identify the supported instrument book depth level dynamically. CME Group also recommends all customer applications should be designed to leverage all possible values for tag 279 MDUpdateAction in the Market Data Incremental Refresh message (tag 35=X) for all markets and channels, to minimize the impact of future book depth changes.

The FIX/FAST Software Development Kit, including details on book management in the Core Functionality module, is available  online. Please contact Customer Support for Electronic Trading (CSET) at 312.930.2322 for development assistance.

Implied Functionality Enhancements & Implied Treasury Intercommodity Spreads
On Sunday, November 2, 2008 (trade date Monday, November 3), 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, available for trading Sunday, November 16 (trade date Monday, November 17).

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 immediately. The new implied intercommodity Treasury spreads will be available in New Release on September 29.

A  Client Impact Assesment is now available with detailed information.

Hot Rolled Steel Futures
Effective Sunday, October 19, 2008 (trade date Monday, October 20), Hot Rolled Steel futures, calendar spreads and future strips will launch on the CME Globex platform for trading.

The CME Globex product specifications are detailed below.

Hot Rolled Steel futures and spreads will be available for customer testing in the New Release environment Monday, October 6.

 Random Length Lumber Futures and Options
Effective Sunday, October 19, 2008 (trade date Monday, October 20), Random Length Lumber futures and options will be listed for trading on the CME Globex electronic trading platform. These products will use the SecurityGroup (FIX tag 1151) LBS. Exchange-defined futures calendar spreads (Strategy Type Code SP), and options vertical (VT) and horizontal (HO) strategies will also be available for trading at launch, as well as UDS:Covereds and Combos.

Random Length Lumber futures provide a way to:

• Engage in price discovery for lumber used for construction and rehabbing
• Effectively manage the price risk that mills, wholesalers, builders, retailers and others have related to the purchase or sale of lumber
• Trade to hedge or speculate based on expectations of directional price, spread movement or volatility in lumber

These new futures and options will be available for customer testing in New Release on Monday, October 6.

 Euro-Denominated S&P 500 Futures
Effective Sunday, October 26, 2008 (trade date Monday, October 27), Euro-denominated E-mini S&P 500 futures will launch on the CME Globex platform. These products will use the SecurityGroup (FIX tag 1151) EME. Calendar spreads will also be available for trading at launch.

This new product combines the leading U.S large-cap market benchmark with one of the world's most widely used currencies, all in a single electronic trade. The contract, which will be available exclusively on CME Globex, has a contract multiplier of 50 euros and presents many compelling benefits, including:

• Attractive spreading opportunities offered by correlations to:
  • Highly liquid USD-based E-mini S&P 500 futures (which have a $50 USD multiplier)
  • Euro-based trading derivatives
• Reduced currency risk and increased convenience for those who trade primarily in euros

The Euro-denominated E-mini S&P 500 futures and calendar spreads will be available for customer testing in New Release Monday, October 6.

 Options Unavailable in New Release
Options on futures will not be available for customer testing in the New Release environment all day Wednesday, October 8 and Wednesday, October 15. Customers may continue to test options products and markets in the Certification environment.

Please contact  CSET with any questions or concerns.

 FIX/FAST Migration Updates
Migration & the Elimination of RLC Format
In light of recent market events and to facilitate the migration for our customers, CME Group is extending the original October FIX/FAST migration deadline to November 14, 2008. As a result, customers must complete their migration to FIX/FAST from the legacy RLC format market data by November 14, 2008. Please note, those customer that fail to migrate by this date will be surcharged retroactively back to the original deadline of October 17, 2008, which was announced in October 2007.

The support surcharges schedule remains as previously communicated. Surcharges will accrue beginning the week of October 20, but will be assessed only if the customer has not migrated to FIX/FAST by Sunday, November 16.

• $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.

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.

Saturday FIX/FAST Testing
Through Saturday, November 22, CME Group will replay production-speed market data in the production environment for FIX/FAST and RLC formats. The replay windows will occur on Saturdays for one hour, from 11:30 a.m. to 12:30 p.m. CT.

There will be no replay windows on October 4, 11 and 25.

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  attached market data channels for FIX/FAST and RLC formats will be available.

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.

 Indicative Quotes on CME Globex
Due to customer feedback, the planned elimination of Indicative Quotes on CME Globex - announced in the September 8 CME Globex Notices - has been canceled.

Indicative quoting functionality will continue to be supported on CME Globex and EOS Trader.