CME Globex Notices: November 10, 2008

 New tag 1057 in iLink Options Fill Messages
Effective this Sunday, November 16, 2008, individual leg execution report - fill messages for all options strategies will include tag 1057-AgressorFlag. This flag is currently sent on the execution report – leg fills for all Interest Rate options strategies.

Tag 1057 is scheduled to be added to the iLink execution report – fill messages for all outrights and spread summary fills on February 1, as described in the  FIX/FAST and iLink Message Enhancements Client Impact. This tag is not intended for leg fill messages and we will be removing it from leg fill reports soon. More detailed information will be available in future CME Globex Notices.

Please note: tag 1057 is a FIX 5.0 tag. Customers using a FIX 4.2 tag dictionary may not be able to support this tag until it is manually loaded into the dictionary.

 Implied COMEX Silver Futures Market Data Enhancement
Currently, in implied COMEX Silver futures markets, calendar spreads trade in a smaller tick increment than the outright futures legs. This can result in the legs being traded at a non-standard tick. These non-standard prices are reflected in the iLink execution reports – leg fill messages but are rounded in the market data messaging to the nearest standard tick increment.

This rounding for implied legs can result in market data books that appear to have the same price at two different levels.

Effective this Sunday, November 16, 2008, CME Group is implementing a fix for this issue that will consolidate all quantity at a particular price to a single book level in market data messaging. iLink execution reports – leg fill messages will continue to reflect the true, non-standard prices.

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:

This Week

• 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.

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 are currently available for customer testing in New Release.

Implied Functionality Enhancements & Implied Treasury Intercommodity Spreads
This Sunday, November 16 (trade date Monday, November 17), new implied intercommodity spreads for Treasury futures will be available for trading. The price ratios in production will be updated to reflect current market conditions and will not match the ratios currently available in New Release.

The detailed information on this launch and the new price ratios are available now in the  Client Impact Assesment.

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
Effective this Sunday, November 16, 2008, for all 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, and the Market with Protection order type, are currently available for customer testing in all options markets in New Release.

† These additional order types and qualifiers were added to Eurodollar and Euroyen options markets last week, November 9.

 REBCO Financial Futures
Effective Sunday, November 23, 2008 (trade date Monday, November 24), a new Russian Export Blend Crude Oil (REBCO) Financial futures contract will be listed for trading on the CME Globex platform.

These futures will use the SecurityGroup (FIX tag 1151) REB and Symbol (tag 55) CL. They will be listed with a CME Globex MinPriceIncrement (tag 969) of 1 and a price DisplayFactor (tag 9787) of 0.01.

With this launch, calendar spreads and futures strips will also be available for trading as well as three new intercommodity spreads:

• Crude Oil vs. REBCO Financial futures (CLMY-REBMY)
• Brent Crude Oil Last Day vs. REBCO Financial futures (BZMY-REBMY)
• REBCO vs. REBCO Financial futures (REMY-REBMY)

Please note: thes new REBCO Financial futures are identical to the existing REBCO physically settled futures except for the settlement type.

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

 Natural Gas Penultimate Swap Futures
Effective Sunday, November 23 (trade date Monday, November 24), the Natural Gas Penultimate Swap futures contracts will be listed for trading on the CME Globex platform.

These futures will use the SecurityGroup (tag 1551) NPG and Symbol (tag 55) NG. They will be listed with a CME Globex MinPriceIncrement (tag 969) of 1 and a price DisplayFactor (tag 9787) of 0.001.

With this launch, calendar spreads and futures strips will also be available for trading.

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

Options on OIS Futures
Effective Sunday, November 23, 2008 (trade date Monday, November 24), options on the 3-month Overnight Index Swaps (OIS) will launch on the CME Globex platform.

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 are currently available for customer testing in New Release.

Feeder Cattle Options
Effective Sunday, November 23, 2008 (trade date Monday, November 24), options on Feeder Cattle futures will be listed for trading on the CME Globex platform. These options will use the SecurityGroup (FIX tag 1151) GF and Symbol (tag 55) F0.

Feeder Cattle futures and options provide a way to:

• Engage in price discovery for cattle to be placed in feedyards for fattening
• Participate in a market in which prices are influenced by factors that affect both feedgrain and feeder cattle prices
• Effectively manage the price risk that merchandisers, producers, processors and others have related to the purchase or sale of feeder cattle
• Evaluate or reflect on both the current and future supply and demand situation for feeder cattle, other meats and feedgrains
• Trade to hedge or speculate based on expectations of directional price, spread movement or volatility in feeder cattle

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

Eurodollar Futures Spreads Extension
Effective this 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 are currently available for customer testing in New Release.

S&P-GSCI Trading Hours Change
Effective this Sunday, November 16, (trade date Monday, November 17), the trading halt in the S&P-GSCI futures markets from 1:40 - 2 p.m. Central time (CT) will be eliminated. With this change, the S&P-GSCI futures trading schedule on CME Globex will match the trading schedule of the other legacy CME Commodities futures. The trading halt from 4 - 5 p.m. CT will continue to be observed.

Ethanol Futures Strips and Options Blocks
Effective Sunday, November 23 (trade date Monday, November 24), Ethanol futures and options on CME Globex will be enhanced to better meet customers' needs.

Ethanol futures strips will be listed for trading on CME Globex. These strips will be indicated with SecuritySubType FS in FIX tag 762 in the FIX/FAST Security Definition (tag 35=d) message.

Block trading for ethanol options will be supported. Block trading eligibility is detailed in the repeating group where tag 871=24 and tag 872=3 in the FIX/FAST Security Definition (tag 35=d) message.

Both of these changes are available for customer testing in New Release.

 RGGI Futures Extension
Effective Sunday, November 23, 2008 (trade date Monday, November 24), the listing range for Regional Greenhouse Gas Initiative (RGGI) CO2 Allowance futures will be extended to include January 2009 through December 2011 maturities.

The additional contracts are now available for customer testing in New Release.

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.

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.