• CME Globex Notices: December 1, 2008

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      • CME Globex Customers
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      • CME Globex Account Management
      • #
      • 20081201
      • Notice Date
      • 01 December 2008
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      Events and Announcements
      Critical System Updates

      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.

      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.

      New Functionality

      NEW FX Futures Enhancements
      Effective Sunday, February 8, 2009 (trade date Monday, February 9), a number of enhancements will be introduced for FX futures and future spreads on CME Globex. The messaging and functionality impacts are documented  online.

      This launch will also 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%.

      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%.

      Please note: all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders will be deleted from CME Globex prior to the open on February 8. To allow customers a chance to re-enter GTC and GTD orders, the FX futures markets will pre-open early on Sunday, February 8, at 1:00 p.m. Central time. The settlement prices distribution for all FX futures instruments will be broadcast early, between 12:30-1:00 p.m. CT.

      We recommend all system providers supporting FX futures test these changes thoroughly in New Release. These enhancements will all be available in New Release for customer testing on Monday, December 22.

      Product Launches

      NEW DME Products Launch for Testing in New Release
      Effective Monday, December 15, 2008, the DME Oman Crude Oil and Oman Crude Oil Financial futures and future spreads will be available for customer testing in the CME Globex New Release environment.

      CME Globex product specifications are available  online now.

      DME products are scheduled to launch for trading on CME Globex in Q1 2009.

      Please note: all currently connected customers may begin front-end testing with these new instruments upon New Release launch. However, to complete end-to-end testing through clearing, customers must be permissioned to trade DME products via the CME Connection Agreement Schedule 6, Clearing Firm Guarantee. The Schedule 6 is available at  www.cmegroup.com/connectionagreement.

      European-style AUD/USD Premium- and Volatility-Quoted Options
      Effective Sunday, December 21, 2008 (trade date Monday, December 22), the following European-style AUD/USD premium- and volatility-quoted options and strategies will be listed for trading on the CME Globex electronic trading platform:

      AUD/USD Options & Strategies

      Product Symbol Security Group Listing Rules
      Outrights ZA XAD ATM ± 24
      Weekly Outrights XA1, XA2, XA3, XA4, XA5
      Straddles 0A XAD:ST
      Strangles XAD:SG
      Verticals XAD:VT
      Volatility-Quoted Outrights 3A VXA ATM ± 24
      Volatility-Quoted Weekly Outrights VAA, VAB, VAC, VAD, VAE
      Volatility-Quoted Straddles 4A VXA:ST
      Strangles VXA:SG
      Verticals VXA:VT

      These new options and strategies will be available for customer testing in New Release Monday, December 8.

      Update Coal Futures
      Effective Sunday, December 21 (trade date Monday, December 22), Central Appalachian (CAPP) Coal Futures will be available for trading on the CME Globex platform.

      Coal is the principal fuel for generating electricity in the United States, accounting for approximately 55% of total electricity output. This coal futures contract is designed to provide both the coal mining and electric power industries with a range of risk management opportunities.

      These futures will use the SecurityGroup (FIX tag 1151) QLD and Symbol (tag 55) UX. 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.

      These new futures and spreads will be available for customer testing in New Release Tuesday, December 9.

      Product Changes

      Implied Functionality for Treasury & Swaps Intercommodity Spreads
      Implied functionality for the Treasury and Swaps intercommodity spreads is scheduled to launch on the CME Globex platform Sunday, December 14 (trade date Monday, December 15).

      This launch is designed to ensure there is no disruption to activity during the roll to the March contract. By December 14, the majority of market liquidity should have migrated to the March contracts.

      Detailed information on this launch is available in the   Client Impact Assesment.

      Implied Commodity Butterfly Spreads
      Effective Sunday, December 14 (trade date Monday, December 15), implied functionality will be turned on for all Commodity butterfly futures spreads (FIX tag 762-SecuritySubType=BF).

      Implied functionality for instruments on CME Globex is indicated in the FIX/FAST Security Definition Message (tag 35-MsgType=d, tag 1144-ImpliedMarketIndicator=3).

      The implied functionality for Commodity butterfly spreads will be available for testing in New Release on Monday, December 8.

      Matching Algorithm Change for Commodity Futures
      Effective Sunday, December 21 (trade date Monday, December 22), to better meet market needs, the matching algorithm for the following Commodity futures and future spreads will be changed to K, Split FIFO/Pro-Rata. Currently, these instruments use the matching algorithm T, Lead Market Maker with TOP.

      Commodity Futures Matching Algorithm Change

      Product Symbol Security Group
      Feeder Cattle GF GF
      Lean Hogs HE HE
      Frozen Pork Bellies GPB
      Live Cattle LE LE
      Milk Class III DC DC
      Milk Class IV GDK
      Nonfat Dry Milk GNF
      Cash-settled Butter CB CB
      Dry Whey DY DY
      Wood Pulp WP WP
      Random Length Lumber LBS

      The matching algorithm indicator is sent in the FIX/FAST Security Definition message for each instrument on CME Globex (tag 35-MsgType=d, tag 1142-MatchAlgorithm).

      This change will be available for customer testing in New Release on Monday, December 8.

      Events & Announcements

      FIX/FAST Migration Updates
      Migration & the Elimination of RLC Format
      The FIX/FAST migration deadline of November 14, 2008, has now been passed.

      Customers that have failed to migrate off RLC-format market data will be surcharged this week, retroactive to the original deadline of October 17, amounting to a total of $12,000.00 per customer site. Subsequent surcharges will be assessed per week, per site† for customers who continue to pull RLC-format market data as follows:

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

      The legacy RLC-format market data will be eliminated in production on December 26, 2008. RLC-format market data has been retired in Certification and will be retired in New Release at close of business on Friday, December 13.

      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.

      †A site is defined as a primary and backup network connection pulling market data directly from CME Globex.

      Update Saturday FIX/FAST Testing
      CME Group will replay production-speed market data in the production environment for FIX/FAST and RLC formats. The replay windows will occur on the following Saturdays:

      • December 6, 9:30 - 11 a.m. CT
      • December 13, 12:30 - 1:30 p.m. CT
      • December 20, 11:30 a.m. - 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.