• CME Globex Notices: June 15, 2009

      • To
      • CME Globex Customers
      • From
      • CME Globex Account Management
      • #
      • 20090615
      • Notice Date
      • 15 June 2009
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Changes
      Critical System Updates

      Update Changes to Source IPs for the Market Data Platform
      As a reminder, CME Group requires that customers configure servers to connect to the Market Data Platform ports and multicast addresses for each desired channel. CME Group does not recommend restricting data flow via the source IPs, as these may change without notice.

      Saturday, June 27, CME Group will be changing multicast source IPs. If a firewall or network device is configured with the source IP information, please correct your configuration to use the entire range of eligible addresses. Port and multicast addresses for each Market Data Platform channel is available in the config.xml file on  ftp://ftp.cmegroup.com/, as outlined in the  Core Functionality module of the FIX/FAST SDK.

      If you have any questions or concerns, please contact your  CME Globex Account Manager. If you experience any connectivity issues, please contact the CME Globex Control Center directly at 312.456.2391.

      Update 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 are now available in Certification, on a new Market Data Platform Channel:

      Feed Multicast Port Source IP
      A 15026
      B 15026

      NEW iLink Infrastructure Changes and Performance Enhancements
      CME Group is implementing an iLink infrastructure upgrade to the CME Globex electronic trading platform that will result in reduced message response times. Already among the fastest in the industry, this upgrade is expected to ultimately reduce average round trip times by 10%. As a result, bandwidth utilization is expected to increase by as much as 10%. This upgrade is designed to enhance our liquid, efficient and competitive marketplace for participants worldwide.

      To reduce market risk, the upgrades will be phased in over 3 weekends, July 10 through July 24.

      Please contact your  CME Globex Account Manager with any questions; or the CME Globex Control Center at 312.456.2391.

      Update 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 July 12:

      • CMEG will delist the all options EDS for the following products:
        • Eurodollar Mid-Curve
        • Euroyen
        • E-mini S&P SmallCap 600
        • Hardwood Pulp

      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:


      New Functionality

      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.

      Product Changes

      NEW Listing Changes for miNY Gold and Silver Futures
      Effective this Sunday, June 21, the following miNY Gold and Silver contract months will be delisted. There is no open interest in any of these contract months.

      COMEX miNY Gold futures
      February, April, June, August, October, December 2010
      February, April, June, December 2011
      June, December 2012
      June, December 2013
      COMEX miNY Silver futures
      January, March, July, December 2011
      July, December 2012
      July, December 2013

      FIX tag 55-Symbol Changes for Options on Commodity Futures Calendar Spreads
      Effective Sunday, June 21, the Symbols (FIX tag 55) for options on Commodity futures calendar spreads (CSO) will be changed as follows:

      New tag 55 for Commodity CSOs

      Product Tag 1151-SecurityGroup Tag 55 for Outrights Tag 55 for Strategies
      Corn CSO CZC, CZ6 Y1 Y2
      Wheat CSO CZW, WC6 W1 Z2
      Soybean CSO CZS, SZ5 Q1 Q2
      Soybean Oil CSO CZL, OC6 X1 X2
      Soybean Meal CSO CZM, MC6 M1 M2

      These instruments with the new tag 55s are currently available in New Release for customer testing.

      Energy TAS Pricing Changes
      Effective this 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.

      Soybean Complex Futures Symbol Consolidation

      Product tag 1151-SecurityGroup Current
      tag 55-Symbol
      tag 55-Symbol
      Soybean futures & spreads ZS ZS ZS
      Soybean Meal futures & spreads ZM ZM ZS
      Soybean Oil futures & spreads ZL ZL ZS

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

      Commodity Trading Hours Extended
      Effective Wednesday, July 1, the electronic trading hours (ETH) for CBOT grains, oilseeds and ethanol contracts, as well as the Minneapolis Grain Exchange (MGEX) and Kansas City Board of Trade (KCBT) commodity products listed on CME Globex, will be expanded from 6 a.m. Central time to 7:15 a.m. CT.


      With this change, these futures, options and spreads will be available for electronic trading on CME Globex from 6 p.m. to 7:15 a.m. Sunday through Friday. There is no change to the regular trading hours (RTH), 9:30 a.m. to 1:15 p.m. weekdays.


      FIX tag 55-Symbol Consolidation for Weather Futures and Spreads
      Effective Sunday, July 12, the Symbols (FIX tag 55) for the Weather complex futures will be consolidated as follows:

      Weather Futures tag 55-Symbol Consolidation

      Product Current tag 55 New tag 55
      Canadian Heating Degree Days (HDD) A2 HW
      European & Asian HDD D0, D3
      US HDD H0, H5
      European & Asian Cumulative Average Temperature (CAT) G0, G3
      US Cooling Degree Days (CDD) K0, K5, KW
      Canadian CDD P2

      These instruments with the new tag 55 will be available in New Release for customer testing Monday, June 29.