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CME Globex Notices: July 20, 2009
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- To
- CME Globex Customers
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- From
- CME Globex Account Management
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- #
- 20090720
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- Notice Date
- 20 July 2009
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Topics in this issue include: 
Critical System Updates New Functionality - Equity Futures Enhancements - August 30
Product Launches - Sulfur Dioxide Futures - This Week
- New Options on Commodity Futures Calendar Spreads - This Week
- Implied Intercommodity Soybean Crush Future Spread - August 2
- Weekly S&P 500 Options - August 23
Product Changes Events and Announcements Critical System Updates 
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 from July 12 through August 9.
Please contact your
CME Globex Account Manager with any questions; or the CME Globex Control Center at 312.456.2391.
New FIX/FAST Template and ITC 2.1 Decommission
To allow more time for customer testing, the FIX/FAST enhancements to facilitate the elimination of CME Globex ITC2.1 market data were postponed. These enhancements are now scheduled to launch on all production Market Data Platform channels this Sunday, July 26, 2009. Information on current testing opportunities and required customer actions are detailed below.CME Group has published a new FIX/FAST template in production for the X message, with the new tags for:
- Theoretical Settlement Data Block
- Open Interest Data Block
- Cleared Volume Data Block
- Fixing Price Data Block
These tags are not currently published in production on any of the existing channels. However, CME Group recommends customer systems pull the templates from the
CME Group ftp site every week, prior to Sunday start.The template.xml file on the CME Group ftp site includes the new template for the X message, template ID 77. Customers who download the templates every week, as recommended by CME Group, will be able to test the new data blocks on the new Market Data Platform channels.
All existing channels will continue to use their current templates until the enhancements launch on July 26.
Testing FIX/FAST market data with New Data Blocks
Market data messages with the new tags are published in production on two new Market Data Platform channels. These parallel channels 7, CME Equity futures, and 11, CME FX futures. To test with these new channels, customers must download the new template for the X message.The configuration information for these two parallel channels is:
ID Feed Multicast Port Source IP Mirror 7 A 224.0.26.59 10301 65.164.7.45
65.164.7.46B 224.0.27.58 10301 209.133.24.54
209.133.24.55Snapshot 7 A 224.0.26.66 11301 65.164.7.34
65.164.7.35B 224.0.27.59 11301 209.133.24.15
209.133.24.16Mirror 11 A 224.0.26.71 10311 65.164.7.45
65.164.7.46B 224.0.27.71 10311 209.133.24.54
209.133.24.55Snapshot 11 A 224.0.26.72 11311 65.164.7.40
65.164.7.41B 224.0.27.72 11311 209.133.24.49
209.133.24.50The information for these new channels is not available in the config.xml file.
Testing New Data Blocks Only
Customers can test these new data blocks and the template for the enhanced Incremental Refresh messages in Certification, on a new Market Data Platform Channel. 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.
Feed Multicast Port Source IP A 224.0.25.86 15026 10.132.19.65 B 224.0.25.211 15026 10.132.19.72 More information on these changes to the Incremental Refresh messages, and the elimination of ITC 2.1, is available
online.
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 – detailed UDS development information
- iLink order entry UDS specifications (Section 6, p. 40)
- FIX/FAST market data UDS impact – development information for options market data
- A list of all CMEG recognized spread types in Electronic Trading Concepts
New Functionality 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%.
Title
Futures Product Complex New Release Launch Mock Trading Session Production Launch CBOT Equity Futures Available now 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 Equity futures test these changes thoroughly in New Release.
Product Changes FIX tag 55-Symbol Consolidation for SPCTR Futures
Effective this 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-SymbolNew
tag 55-SymbolFinancial SPCTR futures & spreads FIN FS FS Technology SPCTR futures & spreads TEC TS FS These instruments with the new tag 55 are currently available in New Release for customer testing.
Implied Functionality Changes for Energy Futures
Effective Sunday, August 2, 2009, implied functionality for all energy futures contracts in the CL group (tag 55-Symbol=CL) will be available for the first 12 months only. Currently, implied functionality for these products is supported for the first 24 months.The following products are listed in the CL group:
- Brent Crude Oil Last Day (tag 1151-SecurityGroup=BZ)
- Crude Oil (CL)
- Heating Oil (HO)
- Gulf Coast Gasoline (LR)
- Gulf Coast ULS Diesel (LU)
- NY Harbor ULS Diesel (LH)
- NYMEX Ethanol (QEN)
- RBOB (RB)
- Russian Export Blend Crude Oil (REBCO) (RE)
Each implied instrument listed on CME Globex is identified in the Security Definition (tag 35-MsgType=d) message in tag 1144-ImpliedMarketIndicator=3.
This change is currently available for customer testing in New Release.
Minimum Tick Increase for 30-Year U.S. Treasury Bond Futures
Effective Sunday, August 30, the minimum trading tick for 30-Year U.S. Treasury Bond futures will be increased from the current 1/2 of 1/32nd to a full 1/32nd.This change only affects the outright futures. There is no change to the minimum trading tick for the futures spreads.
Increasing the tick size is designed to broaden participation from active traders who provide much-needed liquidity to this important sector of the Treasury market. For more information about the tick size change, please visit
www.cmegroup.com/ir.These futures with the new tick increment are currently available for customer testing in New Release.
Events & Announcements Drop Copy Charges Begin October 1
When CME Group introduced Drop Copy functionality in April 2008, we stated we would begin charging for it in the second half of 2009. Consistent with that plan, effective Thursday, October 1, 2009, CME Group will begin charging for the Drop Copy groups used to logically combine the drop copy data feed for related iLink source sessions.The first Drop Copy group per legal entity with an executed CME Customer Connection Agreement will be free. Each additional Drop Copy group will cost $500.00 per month. Since Drop Copy customers dictate the number of Drop Copy groups they require, each firm can manage its own costs for the service. There is no limit to the number of iLink source session IDs that a firm can combine in a single Drop Copy group.
This pricing structure is designed to partially subsidize the costs of this important risk management service, while ensuring all clearing firms can utilize Drop Copy for risk management best practices.
For more information, including an FAQ and client overview, please visit
www.cmegroup.com/dropcopy.
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