• CME Globex Notices: January 26, 2009

      • To
      • CME Globex Customers
      • From
      • CME Globex Account Management
      • #
      • 20090126
      • Notice Date
      • 26 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 this 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.

      Update 10-Deep Futures Market Data
      Effective Sunday, March 22, 2009 (trade date Monday, March 23), CME Globex will 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 functionality will be introduced per product complex as follows:

      Sunday, March 22
      CBOT Commodity futures (channel 111)
      CBOT Equity Index futures (channel 113)
      Sunday, March 29
      CBOT Interest Rate futures (channel 115)
      Sunday, April 5
      NYMEX and COMEX futures (channels 30, 31, 32)

      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. The enhancements and the new templates for the Security Definition (35=d) and Security State (35=f messages will be launched April 19, 2009.

      More details on this launch and the required customer development is available online in the  Client Impact Assessment.

      The 10-deep futures order book will be phased into the New Release environment for customer testing over three weekends:

      Sunday, February 8
      CBOT Commodity futures (channel 111)
      CBOT Equity Index futures (channel 113)
      Sunday, February 22
      CBOT Interest Rate futures (channel 115)
      Sunday, March 1
      NYMEX and COMEX futures (channels 30, 31, 32)

      The enhancements and template changes for the Security Definition (35=d) and Security State (35=f messages will be launched March 8, 2009.

      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.

      A mock trading session will held this Saturday to help customers prepare for this launch. Details are available  below.

      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.

      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 on CME Globex
      The DME Oman Crude Oil and Oman Crude Oil Financial futures and future spreads are scheduled to launch for trading electronically exclusively on the CME Globex platform effective this Sunday, February 1, 2009 (trade date Monday, February 2), 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.

      A mock trading session in the CME Globex production environment will be held this Saturday, January 24. Detailed information is  below.

      CME Globex product specifications are available  online now. Please note: these products will have DUMX in the Security Definition (tag 35=d) tag 207-SecurityExchange. Complete product specs are available on the  DME web site. These products will be listed with implied functionality turned on.

      Trading hours for DME products on CME Globex will match the NYMEX Crude Oil products: Sunday - Friday, 5:00 p.m. - 4:15 p.m. CT. This Sunday only, February 1, CME Group will provide an extended pre-open starting at 3:15 p.m. CT, to facilitate customers' order entry. Please note: resting orders on DME DIRECT will not be moved to CME Globex. Customers are responsible for re-entering any DME DIRECT orders onto CME Globex upon product migration.

      Customers will be notified as early as possible if the migration to CME Globex is postponed. If the migration is postponed:

      • DME products will open as usual on the DME DIRECT platform
        • DME products will not be available on CME Globex
      • Resting orders on DME DIRECT will be preserved
        • Customers will not be required to re-enter their resting orders
      • Market data distribution, order routing, customer permissions and trading hours on DME DIRECT will be identical to today

      DME products are now available for customer testing in the CME Globex New Release environment.

      Product Changes

      NEW 30-Day Federal Funds Options Strike Expansion
      Effective Sunday, February 8, 2009 (trade date Monday, February 9), at customers' requests, all eligible 2009 30-Day Federal Funds option strikes above par (0000) will be listed for trading on CME Globex. Strikes will be generated per the CME rulebook listing rules, i.e., ten ± at the money (ATM) strikes at 6 ¼ basis points (0.0625) intervals, and ten ± ATM strikes at 12 ½ basis points (0.1250) intervals.

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

      Example 30-Day Federal Funds Options Strikes

      Underlying Future Price tag 107-SecurityDesc
      Option Outright
      tag 107-SecurityDesc
      Option Strategy
      30-Day Federal Funds Interest Rate
      99.4375 OZQMY C9943 OZQ:STMYC943 0.005625
      99.5 OZQMY C9950 OZQ:STMYC950 0.005
      99.5625 OZQMY C9956 OZQ:STMYC956 0.004375
      99.625 OZQMY C9962 OZQ:STMYC962 0.00375
      99.6875 OZQMY C9968 OZQ:STMYC968 0.003125
      99.75 OZQMY C9975 OZQ:STMYC975 0.0025
      99.8125 OZQMY C9981 OZQ:STMYC981 0.001875
      99.875 OZQMY C9987 OZQ:STMYC987 0.00125
      99.9375 OZQMY C9993 OZQ:STMYC993 0.000625
      100 OZQMY C0000 OZQ:STMYC000 0.0
      100.0625 OZQMY C0006 OZQ:STMYC006 -0.000625
      100.125 OZQMY C0012 OZQ:STMYC012 -0.00125
      100.1875 OZQMY C0018 OZQ:STMYC018 -0.001875
      100.25 OZQMY C0025 OZQ:STMYC025 -0.0025
      100.3125 OZQMY C0031 OZQ:STMY C031 -0.003125
      100.375 OZQMY C0037 OZQ:STMYC037 -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

      FX Futures Enhancements Mock Trading Session on CME Globex
      At customers' requests, to prepare for the upcoming launch of the  FX futures enhancements on Sunday, February 8, CME Group will host a mock trading session this Saturday, January 31, from 8:00 - 10:00 a.m. Central time.

      Detailed information on the session is published in the  FX Futures Enhancements Mock Trading Script.

      The FX futures enhancements are currently available for testing in New Release.

      DME Mock Trading Session on CME Globex
      A mock trading session for DME futures and spreads on CME Globex will be held this Saturday, January 31, from 8:00-11:00 a.m. Central time (CT). Detailed information on the session is published in the  DME Mock Trading Script.

      The DME Oman Crude Oil and Oman Crude Oil Financial futures and future spreads are currently available for customer testing in New Release environment.

      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 this 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.