CME Globex Notices: February 23, 2009

Critical CME Globex Updates

CME Group has discovered a number of issues with the CME Globex enhancements introduced February 1, 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.

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   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 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 39-OrdStatus, 150-ExecType 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, tags 39, 150 and 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.

3-Deep CBOT Equity and FX Options Market Data
Effective this Sunday, March 1, in response to customer requests, the market data book depth for FX and legacy CBOT Equity options channels 12 and 114 will change to three deep. Currently, these markets only support top-of-book market depth in FIX/FAST. The book depth changes for channel 12 and 114 are now available for customer testing in New Release.

The complete list of impacted products is available online for the  March 1 launch.

This change will result in a move to the incremental book management style from the current overlay style, as reflected in tag 279-MDUpdateAction in the Market Data Incremental Refresh message (tag 35=X). Valid values for this tag will now include 0 (New), 1 (Change) and 2 (Delete).

The book depth for every instrument on CME Globex is detailed in tag 264-MarketDepth in the Security Definition (tag 35-MsgType=d). CME Group strongly recommends customer applications utilize tag 264 to identify the supported instrument book depth level dynamically. CME Group also recommends all customer applications should be designed to leverage all possible values for tag 279-MDUpdateAction in the Market Data Incremental Refresh message (tag 35=X) for all markets and channels, to minimize the impact of future book depth changes.

The FIX/FAST Software Development Kit, including details on book management in the Core Functionality module, is available  online. Please contact Customer Support for Electronic Trading (CSET) at 312.930.2322 for development assistance.

 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.

There is no change for implied market data book depth.

A mock trading session will be held 9:00 - 10:00 a.m. Central time, Saturday, March 7.

• 10-deep FIX/FAST market data will be broadcast at production levels for all products on channels 111 (CBOT Commodity futures) and 113 (CBOT Equity futures)
• CME Group strongly recommends participants also test the market recovery snapshots to ensure there is no negative system impact to recovery
• Participants may also submit orders via iLink
• Price banding and limits will not be in effect
• CME Globex Control Center support will be available for mock participants at 312.456.2391

Please note: customers should not make any changes to resting GTC/GTD orders during the mock session.

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:

Available Now

CBOT Commodity futures (channel 111)

CBOT Equity Index futures (channel 113)

CBOT Interest Rate futures (channel 115)

Sunday, March 1

NYMEX and COMEX futures (channels 30, 31, 32)

Legacy MO.dat File Elimination 
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.

Options Strategies on CME Globex
CMEG currently prelists approximately 360,000 options spreads per week, known as Exchange-Defined Spreads (EDS). Less than 1% of the more than 360,000 EDS have activity. Due to customer and system provider demand, CMEG has chosen to remove all EDS and make all option strategies user defined. A User-Defined Spread (UDS) is an option spread that a trader creates by defining the spread's legs and ratios. CME Globex receives these legs and creates a tradable instrument that is disseminated to the entire market. If the created spread matches a known CMEG spread type (e.g., straddle), CME Globex will properly identify the spread as that type.

The decommission of CMEG options EDS will happen on the following timeline:

22 March

• CMEG will delist all FX options EDS from CME Globex except:
  • AUD/USD (tag 1151-SecurityGroup=6A)
  • CAD/USD (tag 1151=6C)
  • GBP/USD (tag 1151=6B)
  • EUR/USD (tag 1151=6E)
  • JPY/USD (tag 1151=6J)
  • CHF/USD (tag 1151=6S)
  • All volatility-quoted FX options strategies
• CMEG will delist all Dairy options EDS from CME Globex except:
  • Dry Whey (tag 1151=DY)
  • Class III Milk (tag 1151=DC)
• This will be introduced into New Release March 9

19 April

• CMEG will harmonize the recognized option spread types (e.g., horizontal, butterfly, etc) across all product complexes. All customer-created 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.
• For a list of all CMEG recognized spreads, see the  Electronic Trading Concepts.
• This will be introduced into New Release on 20 March

31 July

• CMEG will add the following recognized UDS spread types: Jelly Roll, Iron Butterfly, Guts, 3-way Straddle vs. Call, and 3-way Straddle vs. Put
• CMEG will no longer pre-list any options spreads. Existing EDS will be removed, and no new EDS will be added. All option spreads must be created by traders using their trading software’s UDS functionality.
• All system providers that support option spreads must have developed to the UDS functionality properly identifying UDS' that match CMEG recognized spread types
• This will be introduced into New Release 17 April

Please note: the following exclusions to the spread type harmonization 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

The following resources are available for UDS functionality:

•  iLink order entry UDS specifications (Section 6, p. 40)
•  FIX/FAST market data UDS impact
• A list of all CMEG recognized spread types in  Electronic Trading Concepts

 FIX/FAST Enhancements

Effective Sunday, April 19, 2009 (trade date Monday, April 20), 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, and the Security Definition (tag 35=d) message will be enhanced to explicitly identify outright and implied book depth.

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

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

 FIX tag 969-MinPriceIncrement Change for VTT-Eligible Options
For all Variable Tick Table (VTT)-eligible options on futures instruments, currently tag 969-MinPriceIncrement in the Security Definition message (tag 35-MsgType=d) shows the value "0". Effective Sunday, March 22 (trade date Monday, March 23), tag 969 for VTT-eligible options on futures instruments will not be included in the Security Definition message. tag 969 is currently not included on Security Definition messages for VTT-eligible futures.

This change is currently available for customer testing for all options markets in New Release.

 Interest Rate Options Pre-Open
Effective Sunday, April 5 (trade date Monday, April 6), CME Group is introducing a pre-open market state for all CME and CBOT Interest Rate options on CME Globex. Currently, only futures markets on CME Globex have a pre-open market state.

The pre-open market state is a predetermined time before the trading session opens when customers can begin entering, modifying and canceling orders for the following trading day.

The pre-open schedule for the Interest Rate options will match the schedules for their underlying futures.

The pre-open market state for all Interest Rate options will be available for customer testing in New Release on Monday, March 9.

 Variable Quantity Products
Effective Sunday, April 26, 2009 (trade date Monday, April 27), the FIX/FAST Security Definition message (tag 35-MsgType=d) will be enhanced to support the upcoming launch of variable quantity energy products on CME Globex. These products have a fixed contract size and a multiplier, which is applied to the number of lots traded to calculate the total Cleared Quantity. The Cleared Quantity varies within a product based upon the instrument's maturity.

A  Client Impact Assessment is available online that details the FIX/FAST messaging impacts and order entry display considerations to support the following new products on CME Globex:

•  Henry Hub Natural Gas Swap Futures
•  Chicago (Natural Gas) Basis Swap Futures
•  New York Independent System Operator (NYISO) Zone A Locational Based Monthly Peak Swap Futures

These products are scheduled to launch for trading on CME Globex Sunday, May 10 (trade date Monday, May 11).

With this launch, the new tag 996-UnitofMesaure will be populated with a unit of measure for the contract size for all outright instruments listed on CME Globex.

The new products, enhanced Security Definition messages, and new template will abe available for customer testing in New Release Monday, March 9.

Forex E-micro Futures
Effective Sunday, March 22 (Monday, March 23), Forex E-micro futures and calendar spreads will be listed for trading on the CME Globex platform.

The Forex E-Micros are a series of innovative smaller-sized FX contracts, designed to enable retail traders and investors to cost-effectively access the security, transparency and liquidity of CME Group's FX products. The Forex E-micro contracts will be one-tenth the size of the corresponding CME FX contracts, making them accessible to active individual traders, small Commodity Trading Advisers (CTAs), and Small Medium Enterprises (SMEs).

More information on these new FX futures is available  online.

These futures and calendar spreads will be available for customer testing in the New Release environment Monday, March 9.

 3-Year U.S. Treasury Note Futures and Spreads
Effective Sunday, March 22 (trade date Monday, March 23), 3-Year U.S. Treasury Note futures and spreads will be launched on the CME Globex platform.

The launch of 3-Year U.S. Treasury Note futures creates a new marketplace for managing the interest rate exposure associated with the 3-year sector of the U.S. Treasury yield curve, and should have a significant impact on the strategies of market participants around the world.

Calendar, butterfly and condor spreads and futures strips will also be listed with this launch. In addition, CME Group will be listing four new Treasury implied intercommodity spreads:

• 2-Year Treasury Note Future vs. 3-Year Treasury Note Future
• 3-Year Treasury Note Future vs. 5-Year Treasury Note Future
• 3-Year Treasury Note Future vs. 10-Year Treasury Note Future
• 3-Year Treasury Note Future vs. 30-Year Treasury Bond Future

^†Where ##-## indicates the leg ratios and MY indicates the maturity month and year.

These products will be available for customer testing in New Release Monday, March 9.