• CME Globex Notices: January 12, 2008

      • To
      • CME Globex Customers
      • From
      • CME Globex Account Management
      • #
      • 20090112
      • Notice Date
      • 12 January 2009
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      Events and Announcements
      Critical System Updates

      iLink tag 108-HeartBtInt Change
      To optimize load balancing and your iLink session behavior, CME Group recommends that the iLink heartbeat intervals be set to between 5 and 60 seconds. This interval will allow CME Group to more quickly identify any connection issues and enable a faster recovery.

      Effective this Sunday, January 18, 2009, in all customer-facing environments, all iLink Logon messages (MsgType=A) from the customer to CME Globex where FIX tag 108-HeartBtInt is set to greater than 60 will not be accepted. The customer will receive a Logout message (MsgType=5) in return.

      Customers must set their heartbeat interval to less than or equal to 60 seconds in order to successfully login to the CME Globex electronic trading platform.

      Please contact your  CME Globex Account Manager with any questions or concerns at 312.648.3736; or in Europe at 44.20.7796.7100; or in Asia at 852.3101.7696.

      Update 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.

      The Client Impact Assessment has been updated to include additional details on cancel confirmations for unsolicited cancels. Complete information on these messaging enhancements is detailed in the   FIX/FAST and iLink Message Enhancements Client Impact Assessment.

      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.

      These messaging enhancements are currently available for customer testing in New Release.

      New Functionality

      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 3:00 p.m. Central time.

      We recommend all system providers supporting FX futures test these changes thoroughly in New Release. These enhancements are currently available in New Release for customer testing.

      NEW Higher-Order User-Defined Spreads Harmonization
      In Q2 2009, CME Group is scheduled to remove all exchange-defined options spreads. To facilitate the transition to the full user-defined options spreads (UDS) model, beginning Sunday, April 19, 2009, CME Group will harmonize the recognized Higher-Order User-Defined option spread types across all products complexes. All customer-created user-defined spreads (UDS) that match a CME Globex-recognized spread type will be identified as that strategy type in the Security Definition message (tag 35-MsgType=d, tag 762-SecuritySubType), regardless of the product complex.

      Please note: the following exclusions apply:

      • Horizontal and Diagonal spreads (tag 762=HO) will continue as today, because they are defined specifically to their product complex
      • Conditional Curve (tag 762=CC) will only be available for Eurodollar options
      • FX volatility-quoted options will not be affected by this change

      CME Group-recognized option spread types are documented  online.

      The harmonization will be available for testing in New Release on Monday, March 23.

      Product Launches

      DME Products and Mock Trading Session
      The DME Oman Crude Oil and Oman Crude Oil Financial futures and future spreads are now available for customer testing in the CME Globex New Release environment.

      CME Globex product specifications are available  online now. These products will be listed with implied functionality turned on. Complete product specs, including trading hours, are available on the  DME web site.

      A mock trading session in the CME Globex production environment will be held Saturday, January 24. Detailed information on the session is published in the  DME Mock Trading Script.

      DME products are scheduled to launch for trading electronically exclusively on the CME Globex platform effective Monday, February 2, 2009, subject to final DME board approval of the definitive agreement. The arrangement remains subject to negotiation of definitive documents and obtaining all necessary regulatory approvals.

      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.

      Turkish Lira Futures
      Effective Sunday, January 25, 2009 (trade date Monday, January 26), Turkish Lira futures will be launched on the CME Globex platform, denominated in both U.S. dollars (USD/TRY) as well as euros (EUR/TRY).

      Turkish lira pricing is typically not as tightly arbitraged as other currencies, and as such can present opportunities for profit. Since the introduction of the New Turkish Lira in 2004, the lira has seen unprecedented growth, even rising against the U.S. dollar and euro in recent years. With a growing industrial sector, Turkey has been repeatedly cited as a country with an emerging market for upcoming years.

      USD/TRY and EUR/TRY Futures and Options

      Product Symbol SecurityGroup SecuritySubType
      USD/TRY futures CZ TRY
      USD/TRY futures calendar spreads FX
      EUR/TRY futures TRE
      EUR/TRY futures calendar spreads FX

      These products are currently available for customer testing in the New Release environment.

      Product Changes

      FX Futures Schedule Change
      Effective Sunday, February 8, 2009 (trade date Monday, February 9), at customers’ request, the Sunday open for all FX futures and future spreads on CME Globex will be updated. FX futures markets will open on Sunday at 5:00 p.m. Central time (CT). Currently, these markets open at 3:00 p.m. CT.

      KCBT Value Line Options Maximum Order Quantity Change
      Effective Sunday, January 25, 2009 (trade date Monday, January 26), to create consistency in the equity options markets, the maximum order quantity for all KCBT Value Line options listed on CME Globex will be reduced to 1,500. Currently, the maximum order quantity is 49,999.

      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.

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

      Treasury Implied Intercommodity Spreads (ICS) Changes
      Due to feedback from the trading community, effective Sunday, February 8 (trade date Monday, February 9), CME Group will modify the construction and external instrument name for all the implied intercommodity Treasury spreads (ICS). The changes include:

      Ratio Changes
      ICS will be listed with a variable number of contracts for the front leg. Currently, the front leg always consists of 10 contracts. The sum of the legs in a single ICS instrument cannot exceed 40 contracts.

      External Naming Convention Changes
      The external naming convention will contain the actual ratio instead of the decimal representation of the ratio value.

      • Convention Spread, Ratio, Maturity
      • New external name NOB 11-07 H9
        • Current external name: NOB 16666 H9
      • Defined ratio 11:7

      Implied intercommodity spreads (ICS) are an exchange-defined spread type created to address specific trader requirements for flexibility in spread trading different instruments. ICS allow users the opportunity to manage risk using combined components of the Treasury yield curve. ICS functionality offers intercommodity spreading between:

      • Different term Treasury futures contracts
      • Swap futures contracts and Treasury futures contracts

      The new ICS instruments are currently available for testing in New Release.

      Events & Announcements

      NEW Router Replacement – CME DIRECTLink 20 and 40mbps Subscribers
      Commencing January 20, 2009, CME Globex Services will be contacting via email all 20 and 40mbps CME DIRECTLink customers to begin the process of replacing their existing 2821 Cisco routers with the higher capacity 6504 Cisco routers. The new, higher capacity 6504 Cisco routers will be better able to support the anticipated increases in market data messaging rates from:

      • 10-deep futures FIX/FAST market data, beginning in Q1 2009
      • ITC migration (ITC and FIX/FAST in parallel)
      • 3-deep options FIX/FAST market data expansion

      NEW CME Globex Messaging Volume Controls
      Latencies in CME Globex markets can be caused by customers sending messages at sustained, high frequencies. To protect all market participants from the negative effects of this extraordinary and excessive messaging, CME Group is implementing automated controls at the iLink session level to monitor for excessive new order (tag 35-MsgType=D) and order cancel/replace (tag 35=G) messaging. If an iLink session exceeds the designated message per second (MPS) threshold over a rolling three second window, subsequent messaging will be rejected until the average MPS rate falls below the threshold. Effective Sunday, January 25, 2009, this threshold will be set to 750 MPS. We expect to further lower the threshold to 500 MPS in the future. Normally, messaging from customers does not approach the 500 MPS threshold.

      Implementing this volume control for new order and order cancel/replace messaging is designed to:

      • Support valid trading activity; and,
      • Prevent a malfunctioning trading system from impacting the markets.

      Please note: the volume control for order cancel (tag 35=F) messaging remains at the current 1,000 MPS threshold.

      For more information, please contact the  CME Globex Control Center at 312.456.2391.

      CME Globex Disaster Recovery Connectivity Test
      CME Group is committed to the protection of its members, employees and stakeholders, and has a long history of successfully managing risk. In keeping with those traditions, CME Group has a comprehensive business continuity program in place.

      CME Group offers two programs for business continuity testing: CME Globex DR Connectivity testing and Simulated CME Globex DR testing. A CME Globex DR event is defined when CME Group switches client systems processing from the CME Globex production environment to the CME Globex DR environment. This environment provides a redundant standby system upon a failure or abnormal termination of the CME Globex Production environment. During a CME Globex DR Connectivity test, participating customers connect to CME Globex, front-end applications, support tools and supplemental information to ensure a smooth recovery in the case of an actual business continuity interruption. The next CME Globex DR Connectivity test is scheduled for Saturday, February 21.

      Simulated CME Globex DR testing sessions are scheduled for March and September 2009. More information on these sessions will be available in February via the CME Globex Notices.

      The CME Globex DR Connectivity testing, conducted monthly, is designed to ensure that customers can establish a connection to the DR environment in case of an emergency. Customers are required to register in advance to participate  online. Disaster Recovery IPs and ports have been distributed by your CME Globex Account Manager.

      Complete information on the CME Group business continuity program and the CME Globex DR Connectivity testing, including testing session dates, is available  online. CME Group encourages all directly connected customers review the  DR Client Impact Assessment.