CME Globex Notices: April 20, 2009

 Heartbeats on FIX/FAST Snapshot Recovery and SecurityDefinition Replay Channels
In response to customers' requests, effective Sunday, June 14, 2009, heartbeats (tag 35-MsgType=0) will be broadcast during Sunday start-up on the FIX/FAST Snapshot Recovery and SecurityDefinition replay channels in the production environment.

These heartbeat messages will facilitate connection verification during Sunday start-up, as customers connect but data is not yet available for replay. Currently, customers have to wait until data begins flowing on the replay channels to verify connectivity.

Heartbeats were broadcast during last Sunday's start-up; however, the launch is being delayed to allow additional customer testing time. Detailed information on this change is available online in the  Client Impact Assessment in section 2.1. The heartbeat messages at start-up are currently available in New Release for customer testing.

 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:

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
• Currently available in New Release

The following resources are available for UDS functionality:

• A New  client impact assessment is now available.
•  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

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). Detailed product information for CME Globex is available  online.

Please note: At customers' requests, to support an extended testing time for these new product types and messaging tags, these products are 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.

Effective this Sunday, April 26, 2009, 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.

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.

A  Client Impact Assessment is available online that details the FIX/FAST messaging impacts and order entry display considerations to support these new products.

This launch will result in a new template for SecurityDefinition messages. The updated template is now available in New Release and production. Please note: CME Group recommends customer systems pull the templates from the  CME Group ftp site every week, prior to Sunday start.

 Display Factor Change for E-mini Gold Futures
At customers' requests, effective this Sunday, April 26, tag 9787-Display Factor in the SecurityDefinition messages (tag 35-MsgType=d) for E-mini Gold futures will be changed to 0.1 in all customer-facing environments. Currently, tag 9787= 0.01 for E-mini Gold futures.

CME Group recommends all customers purge and re-load their instrument databases to ensure they have complete and up-to-date Security Definition (tag 35=d) messages every week.

Implied Functionality for 3-Month OIS vs Eurodollar Intercommodity Spreads
Effective Sunday, May 3 (trade date Monday, May 4), implied functionality will be enabled for the 3-month Overnight Index Swaps vs Eurodollar futures intercommodity spread.

To support this launch, the Symbol (FIX tag 55) for the 3-month OIS futures and spreads will be changed to GE. Currently, these instruments use F2.

The Symbol change for the 3-month OIS futures and spreads, and implied functionality for the 3-month OIS vs Eurodollar futures intercommodity spread, is currently available for customer testing in New Release.

 Implied Functionality for 3-Year U.S. Treasury Note Calendar Spreads
Effective Sunday, May 17 (trade date Monday, May 18), implied functionality will be enabled for the calendar spreads on 3-Year U.S. Treasury Note futures.

Implied functionality for the 3-Year U.S. Treasury Note futures calendar spreads will be available for customer testing in New Release Thursday, May 7.

 Energy TAS Pricing Changes
Effective Sunday, June 21 (trade date Monday, June 22), the trade pricing conventions for all energy Trade At Settlement (TAS) products listed on CME Globex will be re-benchmarked.

Currently on CME Globex, these products trade at settlement price equals 100, with valid trade prices ranging from 110 to 90.

With this change, settlement price will equal 0, and valid trade prices will range from -10 to 10. Thus, these instruments may trade at both negative and zero price.

As a reminder, instruments eligible to trade at negative prices are identified by tag 871=24, tag 872=11 in the Security Definition (tag 35=d) message. Instruments eligible to trade at zero prices are identified by tag 871=24, tag 872=16 in the Security Definition message.

The TAS products with the new pricing convention will be available for customer testing in New Release on Monday, June 1.

 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 Sunday, May 10. 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 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.