CME Globex Notices: June 1, 2009

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 are currently available in New Release for customer testing.

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.

 New FIX/FAST Template and ITC 2.1 Decommission
Effective Sunday, June 28, 2009, to facilitate the upcoming ITC 2.1 market data decommission, the following information will be added to the FIX/FAST Market Data Incremental Refresh (tag 35-MsgType=X):

• Theoretical Settlement Data Block
• Open Interest Data Block
• Cleared Volume Data Block
• Fixing Price Data Block

This launch will result in a new template for Incremental Refresh messages. Please note: CME Group recommends customer systems pull the templates from the  CME Group ftp site every week, prior to Sunday start.

More information on these changes to the Incremental Refresh messages, and the elimination of ITC 2.1, is available  online.

The new template and enhanced Incremental Refresh messages will be available in New Release this Monday, June 8.

 Elimination of Exchange-Defined Options Strategies on CME Globex
To allow more time for trader education and systems’ readiness, CME Group has postponed the planned delisting of all options EDS until November 1, 2009.

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.

On November 1:

• 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

 CBOT Equity Futures Enhancements
Effective Sunday, August 30, 2009 (trade date Monday, August 31), a number of enhancements will be introduced for CBOT Equity futures and future spreads on CME Globex. The messaging and functionality impacts are documented  online.

This launch will also result in reduced message response times. Already among the fastest in the industry, this upgrade is expected to reduce response times by an average of 20-40%.

Please note: all CBOT Equity Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders will be deleted from CME Globex prior to the open on August 30.

We recommend all system providers supporting CBOT Equity futures test these changes thoroughly in New Release starting Monday, June 29.

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 are currently available for customer testing in New Release.

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.

 CME Globex Disaster Recovery Connectivity Testing
Next Saturday, June 13, is the monthly CME Globex DR Connectivity test. The testing is designed to ensure that customers can establish a connection to the DR environment in case of an emergency.

Customers are required to register in advance to participate  online. Disaster Recovery IPs and ports have been distributed by your CME Globex Account Manager.

Complete information on the CME Group business continuity program and the CME Globex DR Connectivity testing, including testing session dates, is available  online. CME Group encourages all directly connected customers review the  DR Client Overview.