• CME Globex Notices: January 19, 2009

      • To
      • CME Globex Customers
      • From
      • CME Globex Account Management
      • #
      • 20090119
      • Notice Date
      • 19 January 2009
    • 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.

      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 10-Deep Futures Market Data
      CME Globex is targeting the end of Q1 2009 to begin a phased implementation of 10-deep books for futures market data via FIX/FAST on the Market Data Platform. Currently, CME Globex supports a maximum 5-deep book.

      This launch will impact all client systems because all systems must process all 10 levels, even if you choose to display 5-deep order books.

      Also with this launch, the FIX/FAST Security State (tag 35-MsgType=f) message will be enhanced to provide more detailed information on the market state of an instrument.

      The Security Definition (tag 35=d), Market Data Incremental Refresh (tag 35=X) and Security State (tag 35=f) messages will be impacted by this launch. More details on the 10-deep order book and the required customer development is available online in the  Client Impact Assessment.

      The 10-deep futures order book will be available in the New Release environment for customer testing in Q1. The precise launch schedule will be announced next week in the CME Globex Notices.
      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.

      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 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 this 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 this 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

      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

      KCBT Value Line Options Maximum Order Quantity Change
      Effective this 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.

      NEW Eurodollar Options Strike Expansion
      Effective Sunday, January 25, 2009 (trade date Monday, January 26), at customers' requests, all 2009 Eurodollar option strikes above par (0000) will be listed for trading on CME Globex. Strikes will be generated per the CME rulebook listing rules, with approximately six 0.00125 strikes, and then in 0.0025 increments. Based on current market price levels, strikes will be generated for interest rates from -0.00125 through -0.005 for the Red, White, serials, weeklies and mid-curves options, and all related exchange-defined strategies.

      Strikes will be listed following the standard 4-byte format for outrights and 3-byte format for strategies:

      Eurodollar Options Strikes

      Underlying Future Price tag 107-SecurityDesc
      Option Outright      		 tag 107-SecurityDesc
      Option Strategy      		 Eurodollar Interest Rate
      99.5 GEMY C9950 GE:STMYC995 0.005
      99.625 GEMY C9962 GE:STMYC996 0.00375
      99.75 GEMY C9975 GE:STMYC997 0.0025
      99.875 GEMY C9987 GE:STMYC998 0.00125
      100 GEMY C0000 GE:STMYC000 0.0
      100.125 GEMY C0012 GE:STMYC001 -0.00125
      100.25 GEMY C0025 GE:STMYC002 -0.0025
      100.375 GEMY C0037 GE:STMYC003 -0.00375

      For additional information, please contact Jeff Kilinski at 312.648.3817, or David Reif at 312.648.3839 in Interest Rate Products.

      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.

      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

      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 this 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.

      NEW New Release Environment Harmonization
      To provide a robust customer testing environment as close to production as possible, CME Group is harmonizing the New Release environment on Sunday, February 1. This synchronization will result in listed instruments in New Release better matching those listed in production; for instance, strike prices will match. The following impacts will occur:

      • All GTC and GTD orders will be removed.
      • All User-Defined Spreads (UDS) will be eliminated.
      • The ISIN Codes for all the currently listed products will be impacted.
        • CME Group recommends all customers purge and re-load their instrument databases from the Security Definition (tag 35-MsgType=d) market data messages every week.
        • There is no impact for customers who purge and re-load weekly, or who do not rely on the ISIN Code for instrument identification.
        • Please contact your front-end system provider for more information.

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