Critical CME Globex Updates

CME Group has discovered a number of issues with last weekend's CME Globex enhancements, as detailed below. After a thorough investigation, we are addressing these issues as quickly as possible. We are communicating these now to minimize additional customer impacts.

These are presented in order of likely impact. The table   below presents these in chronological order by fix date.

FirmSoft
For orders where the last 5bytes of tag 11-ClOrdID aren't unique, order states for cancelled and modified orders are not accurately reflected in customer's FirmSoft screens. In the interim, customers are encouraged to contact the CME Globex Control Center (   GCC) at 312.456.2391 to verify order state information. This will be corrected Sunday, February 15.

FIX tag 11-ClOrdID & Clearing Messages
In last week's iLink enhancements, FIX tag 11-ClOrdID was reduced to 20bytes and now the full 20bytes are returned to the trader. However, as communicated in multiple   Clearing House notices, clearing applications and messaging, including FEC, will not support the 20byte tag 11 until Sunday, March 8. Until this date, customers must ensure that the last five bytes are unique to allow end-to-end reconciliation.

tag 11 & Futures Stop Orders
Execution report-Acknowledgement (tag 35-MsgType=8, tag 39-OrdStatus=0) messages for futures Stop orders elected during the opening do not include tag 11. This will be corrrected this Sunday, February 8.

tag 11 & Futures Good 'till Date Order Eliminations Execution reports-Elimination (tag 35=8, tag 39=C) messages for futures GTD orders do not include tag 11. This will be corrected this Sunday, February 8.

tag 78-NoAlloc and tag 79-AllocAccount
tag 78-NoAlloc and tag 79-AllocAccount were added to CME Globex iLink messaging last weekend to allow customers to identify account numbers for give-up trades, in addition to identifying the give-up firm via the existing tags tag 9708-CmtaGiveupCD=GU and tag 9707-GiveUpFirm. CME Clearing will not be able to process these additional tags until Sunday, March 8. CME Group recommends customers not use the new tags 78 and 79 until March 8.

tag 5797-AggressorSide for Futures Trades
The new tag 5797-AggressorSide is currently not sent for futures trades in FIX/FAST Market Data Incremental Refresh (tag 35=X) messages. This will be corrected this Sunday, February 8.

Single Stock Futures
A number of mandatory FIX tags are missing from Execution reports-Fill (tag 35=8, tag 39=1 or 2). This will be corrected this Sunday, February 8.

tag 39-OrdStatus and 151-LeavesQty for Futures Spreads
In Execution Report-Fill (tag 35=8, tag 39=1 or 2) messages for the legs of futures spreads, tag 39 and tag 151 are not populating correctly. This issue is currently under analysis. Further information and the date this will be fixed will be communicated via the CME Globex Notices.

tag 151-LeavesQty for Futures Fill And Kill (FAK) Orders
Execution Report-Elimination (tag 35=8, tag 39=C) messages for futures FAK orders do not include tag 151. This issue is currently under analysis. Further information and the date this will be fixed will be communicated via the CME Globex Notices.

Effective Sunday, March 29, 2009, the MO.dat file, previously used with the legacy RLC market data format to obtain instrument definitions, will no longer be available.

All customer systems should use the FIX/FAST Security Definition (tag 35-MsgType=d) messages to populate their instrument databases. The Security Definition message contains all the necessary instrument characteristics and are broadcast at startup and upon mid-week instrument creation on the market data incremental channels; they are always available in a replay loop on the Instrument Definition feeds. Because the messages are segregated by channel (exchange, product complex and instrument type), customers can connect and download only those channels in which they are interested. For more information on FIX/FAST and Security Definition messages, please see the  FIX/FAST Software Development Kit.

Please note: to ensure customer systems have the most current instruments, CME Group recommends all customers purge and re-load their instrument databases from the Security Definition market data messages every week.

Please contact  CSET for more info at 312.930-2322.

As previously announced, this 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, and have been updated with more information on the addition of milliseconds to time stamps and order quantity for cancel confirmations.

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. To help customers prepare for these enhancements, a mock trading session was held last Saturday, January 31.