Topics in this issue include:
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Critical System Updates | |||||||||
Market Depth Change to 10-Deep for Futures This functionality will be introduced per product complex as follows:
There is no change for implied market data book depth. Mock trading sessions have been added to better support customer testing.
10-deep FIX/FAST market data will be broadcast at production levels for all products on the listed channels. 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 FirmSoft will not be available, and price banding and limits will not be in effect. CME Globex Control Center support will be available for mock participants at 312.456.2391. Customers are encouraged to dial into the teleconference for information related to the mock trading session at 866.548.4703 or 719.785.9423, passcode 584529. Customers are required to register by noon of the preceding Friday to participate in these mock trading sessions via your 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 The 10-deep futures order book are now available in New Release for customer testing. Legacy MO.dat File Elimination 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 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 Elimination of Exchange-Defined Options Strategies on CME Globex The decommission of CMEG options EDS will happen on the following timeline: 19 April
2 August
Please note: the following exclusions to the spread type harmonization apply:
The following resources are available for UDS functionality:
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. This launch will result in new templates for Security State and Security Definition messages. The updated templates are now available in New Release, and will be published in production for April 19. Please note: CME Group recommends customer systems pull the templates from the More details on this launch and the required customer development is available online in the The enhancements for the Security Definition (35=d) and Security State (35=f) messages are currently available for testing in New Release. |
New Functionality | |||||||||||||||||||||||||||
Interest Rate Options Pre-Open 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 schedule for the Interest Rate options will match the current schedule for their underlying futures. CME and CBOT Interest Rate Products Schedule — Effective April 5
All times are given in Central time (CT). The pre-open market state for all Interest Rate options are currently available for customer testing in New Release. Variable Quantity Products
Detailed product information for CME Globex is available At customers' requests, to support an extended testing time for these new product types and messaging tags, these products will be available as betas in New Release. Customers should re-load the instruments each week at startup to ensure any changes to the instruments are captured. Any changes will be communicated via the CME Globex Notices. Please note: the test products Chicago Natural Gas Basis Swap (NBN) and NYISO Zone A Locational Based Monthly Peak Swap Futures (KAN), currently listed in New Release for testing purposes only, are still available as well. 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 With this launch, the new tag 996-UnitofMeasure will be populated with a unit of measure for the contract size for all outright instruments listed on CME Globex. This launch will result in a new template for Security Definition messages. The updated template is now available in New Release, and will be published in production for April 19. Please note: CME Group recommends customer systems pull the templates from the |
Product Launches | ||||||||||||||||||||||||||||||||||||||||||
More information on these products is available E-mini Gold Kilo and E-mini Silver 1,000 Oz Futures
These futures and calendar spreads will be available for customer testing in the New Release environment Monday, April 6.
The deliverable nonfat dry milk futures, spreads and options will provide physical delivery of a 44,000 pound contract of Grade A and Extra Grade dry milk. This new nonfat dry milk listing, in addition to the existing cash-settled product, will enable customers to utilize more efficient risk management strategies. Full User-Defined Spreads (UDS) functionality will be available upon launch. The futures will support implied functionality. Deliverable Nonfat Dry Milk
These products will be available for customer testing in New Release Monday, April 6.
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