CME Globex Notices: May 25, 2009

SenderCompID Validation on Cancel and Cancel/Replace Request
Effective this Sunday, May 31, 2009, CME Globex will validate FIX tag 49-SenderCompID on all Order Cancel Request (tag 35-MsgType=F) and Cancel/Replace Request (tag 35=G) messages. The value in tag 49-SenderCompID must match the tag 49 value on the original New Order message (tag 35=D).

Any Order Cancel Requests or Cancel/Replace Requests submitted with a tag 49 value that does not match the value in the original New Order message will be rejected.

This validation is currently available for customer testing in New Release.

Market Depth Change to 10-Deep for Futures
Effective this Sunday, May 31, 2009, 10-deep market data will be launched for CME Equities (Market Data Platform channel 7), MGEX futures (118) and KCBT futures (120). 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, to better support customer testing, will be held this Saturday, May 30, 9 - 10 a.m. CT, for CME Equity futures on channel 7. 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.

During the mock, 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 tomorrow, Friday, May 29, to participate in these mock trading sessions with 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 currently available in New Release for customer testing.

Market Depth Change to 10-Deep for DME Futures
Effective Sunday, June 14, 2009, 10-deep market data will be launched for DME futures on CME Globex (Market Data Platform channel 28). 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.

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

10-deep futures order book for DME instruments on channel 28 will be available in New Release for customer testing this Monday, June 1.

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. Heartbeats were broadcast during Sunday, April 19's start-up; however, the launch was postponed to allow additional customer testing time.

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.

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:

•  Client impact assessment
•  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

Options on Commodity Futures Calendar Spreads
Effective this Sunday, May 31 (trade date Monday, June 1), options on the following commodity futures calendar spreads will be launched on CME Globex. Outright options and full User-Defined Spreads (UDS) functionality will be available on CME Globex for trading.

These products are options on the price differential between two contract months, rather than on the underlying asset itself. Therefore, they offer alternative hedging capabilities compared to standard options, and can provide a more precise hedge against adverse movements in price spreads in the grain and oilseed markets. Calendar spread options are sensitive only to the value and volatility of the spread itself, rather than the price of the underlying commodity. They are more efficient than combining options on 2 different months in an effort to replicate the spread, and provide a better risk management device for hedgers and market participants exposed to calendar spread risks.

These options will be listed with the futures calendar spread as the indicated underlying. In line with the current listing of Eurodollar calendar spread options, there will not be a synthetic future listed. These options will support zero and negative strike prices.

These options are currently available for customer testing in New Release.

 Ethanol Futures and Spreads tag 462-UnderlyingProduct Change
Effective this Sunday, May 31, in all customer-facing environments, the value for tag 462-UnderlyingProduct in the Security Definition message (tag 35-MsgType=d) for the following Ethanol futures instruments will be 16.

• Ethanol futures outrights (tag 1151-SecurityGroup=ZE)
• Ethanol calendar spreads (tag 762-SecuritySubType=SP)
• Ethanol butterflies (tag 762=BF)
• Ethanol condors (tag 762=CF)

Currently, tag 462 is 2 for these instruments. With this change, all Ethanol instruments, including futures strips, will reflect 16.

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 this Monday, June 1.

FIX tag 55-Symbol Consolidation for Soybean Complex Futures
Effective Sunday, June 28, the Symbol (FIX tag 55) for the Soybean complex futures will be consolidated.

This tag 55-Symbol consolidation is currently available in New Release for customer testing.

FIX/FAST Security Definition Information on the CME Group FTP site
In response to customer requests, effective this Sunday, May 31, 2009, CME Group will make available a file of FIX/FAST Security Definition (tag 35-MsgType=d) messages in FIX format via the  CME Group FTP site.

The file will contain CME Globex production instrument data and daily settlement prices. It is provided as a convenience to users who have specific or unique Security Definition processing requirements.

This file is static and will be refreshed at the end of each trading day. It is not your primary source for instrument information. Best practices require that CME Globex users obtain all Security Definition information from the Incremental Data channel or the Instrument Definition loop channel to ensure that intra-day instrument additions are captured. Once a trading day has started, the following intra-day changes are not reflected in the FIX/FAST Security Definition file:

• New products added during the day
• User-Defined Spreads (UDS) created during the trading day

CME Group strongly recommends the FIX/FAST Security Definition file only be used in addition to, or as a backup for, standard Security Definition message processing.

More information on the CME Group FTP site and the Security Definition Information file is available in the  Core Module of the FIX/FAST Software Development Kit.