|Topics in this issue include:
|Critical System Updates|
CME Globex Performance Enhancements
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
Scheduled for Sunday, November 9
Scheduled for Sunday, November 16
Scheduled for Sunday, November 23
FX futures are scheduled for a number of enhancements in Q1 2009 that will include performance improvements.
Postponed! Book Depth Change for Equity, Commodity, FX and Energy Options on CME Globex
iLink and FIX/FAST Message Enhancements
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.
Implied Functionality Enhancements & Implied Treasury Intercommodity Spreads
With this launch, Eurodollar Pack Spreads, including Pack Butterflies, will support implied functionality for the first 10 years listed.
The price ratios for the new implied intercommodity spreads for Treasury futures will be updated in New Release this Monday, October 27, to reflect current market prices. The new price ratios are available now in the Client Impact Assesment, along with detailed information on this launch.
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.
New Options Order Types & Qualifiers
The Minimum Quantity and Hidden Quantity order qualifiers, and the Market with Protection order type, are currently available for customer testing in all options markets in New Release.
Euro-Denominated S&P 500 Futures
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:
The Euro-denominated E-mini S&P 500 futures and calendar spreads are currently available for customer testing in New Release.
These options will use the SecurityGroup (FIX tag 1151) OSS. Straddles will also be available for trading at launch.
Like their futures counterparts, OIS options on futures track the overnight effective Federal Funds rate, a major benchmark of the U.S. short-term interest rate market, and complement the 30-Day Fed Funds and Eurodollar contracts. Whereas the Fed Funds contract reflects the average of the Fed Funds rate over the course of a calendar month, the OIS contract reflects the compounded Fed Funds rate over a 3-month period that is identical to the interbank deposit tenor for the corresponding 3-Month Eurodollar futures contract. More information is available online.
These new options and strategy will be available for customer testing in New Release Monday, November 10.
Display Factor Change for SSF Products
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.
Soybean Complex Futures Early Listings
The maximum order quantity for every instrument listed on CME Globex is identified in tag 1140-MaxTradeVol, in the Security Definition (tag 35=d) message.
Implied Functionality for OIS Futures
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 is available for customer testing in New Release and Certification.
Eurodollar Futures Spreads Extension
The extended spreads are currently available for customer testing in New Release.
S&P-GSCI Trading Hours Change
|Events & Announcements|
FIX/FAST Migration Updates
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.
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
There will be no replay window 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.
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.