• CME Globex Notices: June 22, 2009

      • To
      • CME Globex Customers
      • From
      • CME Globex Account Management
      • #
      • 200906222
      • Notice Date
      • 22 June 2009
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      Events and Announcements


      Critical System Updates

      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.

      This 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
      The FIX/FAST changes scheduled for this weekend have been postponed to allow additional customer testing time. No customer changes are required this weekend.

      Effective this Sunday, June 28, 2009, a new template for the Market Data Incremental Refresh (tag 35-MsgType=X) will be published on the CME Group ftp site.

      The new data blocks will be available in production only on two new Market Data Platform channels. These new channels will parallel channels 7, CME Equity futures, and 11, CME FX futures. The configuration information for these two new channels are:

      ID Feed Multicast Port Source IP
      Mirror 7 A 10301
      B 10301
      Snapshot 7 A 11301
      B 11301
      Mirror 11 A 10311
      B 10311
      Snapshot 11 A 11311
      B 11311

      The information for these new channels will not be available in the config.xml file.

      The new data blocks in the X message are designed to facilitate the upcoming ITC 2.1 market data decommission by publishing the following information in FIX/FAST format:

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

      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.

      Customers can also test these new data blocks and template for the enhanced Incremental Refresh messages in Certification, on a new Market Data Platform Channel:

      Feed Multicast Port Source IP
      A 15026
      B 15026

      This channel in certification publishes only the new data blocks; normal FIX/FAST market data is not available. Customers must access the new channels in production to receive the full complement of FIX/FAST market data, including the new data blocks.

      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.

      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

      NEW Equity Futures Enhancements
      In the second half of 2009, a number of enhancements will be introduced for CME and CBOT Equity futures and future spreads on CME Globex.

      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 20 - 40% for CBOT Equity futures, and 40-50% for CME Equity futures.

      Please note: as a result of the reduced message response times, bandwidth utilization in these futures markets may ultimately increase by as much as 20%.


      Futures Product Complex New Release Launch Mock Trading Session Production Launch
      CBOT Equity Futures Monday, June 29 Saturday, August 22 Sunday, August 30
      CME Equity Futures Monday, August 3 Saturday, September 26 Sunday, October 4

      The messaging and functionality impacts are documented online in the   Client Impact Assessment.

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

      We recommend all system providers supporting CBOT Equity futures test these changes thoroughly in New Release.

      Product Launches

      NEW Options on 5-, 7-, 10- and 30-Year Interest Rate Swap Futures
      Effective Sunday, July 12, 2009 (trade date Monday, July 13), options on the 5-, 7-, 10- and 30-Year Interest Rate Swaps will be launched on the CME Globex platform.

      Options on swap futures will be a valuable addition to the risk management toolbox, providing market participants an effective vehicle for hedging medium and long term interest rate exposure and backed by the proven strength of CME Clearing. Options on 5-, 7-, 10- and 30-Year Swap futures will replicate the European-style convention of over the counter (OTC) swap options, with exercise taking place only at expiration, providing market participants with a familiar tool that has the added benefits of central counterparty clearing. More information is available  online.

      Options on Interest Rate Swap Futures

      Options tag 1151-SecurityGroup Outrights
      tag 55-Symbol
      tag 55-Symbol
      5-Year Interest Rate Swaps OSA Y5 AT
      7-Year Interest Rate Swaps O7I
      10-Year Interest Rate Swaps OSR
      30-Year Interest Rate Swaps OI3

      These options will be available in New Release for customer testing Monday, June 29.

      NEW European Union Allowance and Certified Emission Reduction Futures
      Effective Sunday, July 12, 2009 (trade date Monday, July 13), European Union Allowance and Certified Emission Reduction futures will be listed for trading on the CME Globex platform.

      In the European Union, large emitters of carbon dioxide are required to monitor their CO2 emissions and report them to their government. They receive a predetermined number of allowances that corresponds to their level of emissions. If they have more allowances than they need for compliance, they can sell those in a secondary market like the one this EUA product offers or bank them for future compliance purposes. CERs are emission reduction credits issued by the Clean Development Mechanism Executive Board that was established with the Kyoto Protocol. Taking positions in these CER contracts can lead to the delivery of the underlying credits, which can be used by emitting companies to comply in part with their emission caps.

      It is intended that these products will be listed for trading as part of the  Green Exchange venture once that venture has sought and achieved appropriate regulatory status. The Green Exchange venture will be working with U.S. and European regulators and intends to seek recognition in the U.S. as a designated contract market and approval from the FSA in the U.K. CME Group is one of the founding members of Green Exchange Holdings LLC.

      Emissions Futures

      Future tag 1151-SecurityGroup tag 55-Symbol
      European Union Allowance EAF VO
      Certified Emission Reduction CRE

      These futures will be available for customer testing in New Release Tuesday, July 7.

      Product Changes

      FIX tag 55-Symbol Consolidation for Soybean Complex Futures
      Effective this 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.

      NEW FIX tag 55-Symbol Consolidation for SPCTR Futures
      Effective Sunday, July 26, the Symbol (FIX tag 55) for the Financial and Technology SPCTR futures and future spreads will be consolidated:

      SPCTR Complex Futures Symbol Consolidation

      Product tag 1151-SecurityGroup Current
      tag 55-Symbol
      tag 55-Symbol
      Financial SPCTR futures & spreads FIN FS FS
      Technology SPCTR futures & spreads TEC TS FS

      These instruments with the new tag 55 will be available in New Release for customer testing Monday, July 13.