• CME Globex Notices: October 13, 2008

      • To
      • CME Globex Customers
      • From
      • CME Globex Management
      • #
      • 20081013
      • Notice Date
      • 13 October 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. Previously scheduled to launch October 12, 2008, these enhancements will launch this Sunday, 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.

       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 FXMarketSpace Decommission
      Effective end of day this Friday, October 17, 2008, as previously announced, all of the FXMarketSpace products will be decommissioned from the CME Globex platform in all environments. Any iLink orders submitted for the FXMarketSpace products will be rejected.

      As a result of this decommission, all iLink sessions permissioned exclusively for FXMarketSpace products will be disabled in all environments this weekend.

      Please contact your  CME Globex Account Manager for further information at 312.634.8700; or in Europe at +44.20.7796.7100 or in Asia at +852.3101.7696.

      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:

      Scheduled for Sunday, November 2

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

      Scheduled for Sunday, November 9

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

      Scheduled for Sunday, November 16

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

      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.

      iLink and FIX/FAST Message Enhancements
      Effective Sunday, February 1, 2009, CME Group is launching a number of messaging enhancements to both iLink order entry and FIX/FAST market data. These enhancements include new tags to provide additional order information, and changes to existing tags to make inbound and outbound messaging more FIX-compliant and consistent.

      Certification is not required for these iLink or Market Data Platform FIX/FAST enhancements. Complete testing in the iLink test suite of AutoCert+ is strongly recommended. Details on the iLink test suite in AutoCert+ are available  online.

      Complete information on these messaging enhancements is detailed in the   FIX/FAST and iLink Message Enhancements Client Impact Assessment.

      These messaging enhancements will be available for customer testing in New Release starting Thursday, November 6.

      New Functionality

      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 are currently available in New Release.

       Client Impact Assesment is now available with detailed information.

      New Options Order Types & Qualifiers
      Effective November 9, 2008, for Eurodollar and Euroyen options markets, and November 16, 2008, for all other options markets listed on CME Globex, three new order types and qualifiers will be supported for options markets:

      Market with Protection
      Market orders use a "Market with Protection" approach. Unlike a conventional Market order, where you are at risk of having your orders filled at extreme prices, Market with Protection orders are filled within a predefined range of prices (the protected range). The protected range is typically the current best bid or offer, plus or minus 50 percent of the product's No Bust Range. If the entire order cannot be filled within the protected range, the unfilled quantity remains on the book as a Limit order at the limit of the protected range.

      Minimum Quantity
      A Minimum Quantity order is executed only if a certain minimum quantity of that order can be immediately matched. The trader defines the minimum quantity at the time they place the order.

      Hidden Quantity, aka Iceberg, Max Show or Display Quantity
      A Hidden Quantity order displays only a small portion of the order to the marketplace. When the displayed quantity has been filled, another portion is then displayed.

      Currently, these order types are supported for futures markets and they will work in the same way for options. Messaging and functionality information is available in the  iLink SDK and  FIX/FAST SDK.

      The Minimum Quantity and Hidden Quantity order qualifiers are currently available for customer testing in all options markets in New Release. Market with Protection order type will be available for customer testing in all options markets in New Release starting this Monday, October 20.

      Product Launches

      Hot Rolled Steel Futures
      Effective this 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 on CME Globex

      Product Instrument
      Group Code
      Product Code Strategy
      Type Code
      Hot Rolled Steel futures ST HRC
      Hot Rolled Steel Calendars SP
      Hot Rolled Steel Strips FS

      Hot Rolled Steel futures and spreads are currently available for customer testing in the New Release environment.

      Random Length Lumber Futures and Options
      Effective this 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 are currently available for customer testing in New Release.

      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 are currently available for customer testing in New Release.

      Product Changes

      NEW Display Factor Change for SSF Products
      Effective Sunday, October 26 (for trade date Monday, October 27), the FIX tag 9787-DisplayFactor in the FIX/FAST Security Definition message (tag 35=d) for all Single Stock Futures (SSF) contracts will be corrected to 1. Currently, the Display Factor for these instruments is 0.01.

      The Display Factor provides the multiplier to convert the CME Globex price to the display price.

      This change is currently available in New Release for customer testing.

      Implied Functionality for OIS Futures
      Effective Sunday, November 9, 2008 (trade date Monday, November 10), implied functionality will be enabled for 3-month Overnight Index Swap (OIS) futures and future spreads.

      Implied functionality integrate bids and offers in both spreads and their outright contracts to provide the most liquid possible markets with the best possible prices.

      Implied functionality is indicated in the FIX/FAST Security Definition message (tag 35-MsgType=d), in tag 1144-ImpliedMarketIndicator, where 3 indicates Implied In and Out.

      Implied functionality for OIS futures and future spreads will be turned on for customer testing in New Release and Certification this Monday, October 20.

      NEW Eurodollar Futures Spreads Extension
      Effective Sunday, November 16 (trade date Monday, November 17), the Eurodollar futures Pack Spreads (tag 762-SecuritySubType=PS) and Pack Butterflies (PB) will be extended out the full listing curve, 10 years. These spreads will launch with implied functionality enabled as described in the  Implied Enhancements Client Impact Assessment.

      The extended spreads will be available for customer testing in New Release this Monday, October 20.

      Events & Announcements

      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 this Friday, October 17, 2008, which was announced in October 2007. These retroactive surcharges will thus amount to a total of $12,000.00 per customer site in the first week after the new deadline, November 14.

      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 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.

      Daylight Saving Time Changes
      Pursuant to the Energy Policy Act of 2005, Daylight Saving Time ends effective Sunday, November 2, 2008.

      CME Globex will continue to observe Daylight Saving Time and the new schedule. For the week of November 2 only, for RLC-format messages, there is an issue with the timestamp in the Market Data Platform message headers. More information is available  online.

      Time-dependent front-end trading applications may be affected by this change. Please contact your front-end system provider for more information before November 2, 2008.