CME Globex Notices: March 23, 2009

Market Depth Change to 10-Deep for Futures
Effective Sunday, March 22, 2009, CME Globex began 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.

This functionality will be introduced per product complex as follows:

This Week - Sunday, March 29

CBOT Interest Rate futures (channel 115)

Sunday, April 5

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

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  CME Globex Account Manager.

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 are now available in New Release for customer testing.

Legacy MO.dat File Elimination 
Effective this 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.

Elimination of Exchange-Defined 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:

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.
• Currently available in New Release

2 August

• 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 Monday, April 20

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
• Recognized options spread types for FX volatility-quoted options will not be affected

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.

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  CME Group ftp site every week, prior to Sunday start.

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

The enhancements for the Security Definition (35=d) and Security State (35=f) messages are currently available for testing 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 schedule for the Interest Rate options will match the current schedule for their underlying futures.

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
As previously announced, the first Variable Quantity energy products will launch on CME Globex Sunday, May 10, 2009 (trade date Monday, May 11). The following futures, calendar spreads, and future strips will be available for trading upon this launch:

• Henry Hub Swap
• PJM Western Hub Peak Calendar-Month Real-Time LMP
• PJM Western Hub Peak Calendar-Month Real-Time LMP 50Mwh
• Houston Ship Channel Basis Swap
• Northwest Pipeline, Rockies Basis Swap
• Waha, Texas Basis Swap
• Texas Eastern Zone M-3 Basis Swap
• Natural Gas Pipeline TexOK Basis Swap
• Panhandle Basis Swap
• TCO Basis Swap
• Columbia Gulf Onshore Basis Swap
• NGPL Midcontinent Basis Swap
• Northern Natural Gas Demarcation Basis Swap
• Ventura Basis Swap

Detailed product information for CME Globex is available  online.

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  Client Impact Assessment is available online that details the FIX/FAST messaging impacts and order entry display considerations to support these new products, including information on the three test products currently available in New Release.

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  CME Group ftp site every week, prior to Sunday start.

 E-mini Gold and Silver Futures
Effective Sunday, April 19 (trade date Monday, April 20), E-mini gold kilo and E-mini silver 1,000 oz futures and calendar spreads will be listed for trading on the CME Globex platform.

More information on these products is available  online.

These futures and calendar spreads will be available for customer testing in the New Release environment Monday, April 6.

 Deliverable Nonfat Dry Milk Futures and Options
Effective Sunday, April 19 (trade date Monday, April 20), Deliverable Nonfat Dry Milk futures, calendar spreads, futures strips and options will be launched on the CME Globex platform.

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.

These products will be available for customer testing in New Release Monday, April 6.