CME Globex Notices: August 31, 2009

New Market Data Channel for OneChicago Single Stock Futures
Effective Sunday, October 4, FIX/FAST market data for all OneChicago Single Stock Futures (SSF) listed on CME Globex will be available on a new Market Data Platform channel, channel ID 17.

This change only affects the FIX/FAST market data messages currently available on CME Globex (i.e., Security Definition, Security Status and settlement prices). All other market data information (i.e., prices) is available only directly from OneChicago.

Port and multicast addresses for the new Market Data Platform channel will be available in the config.xml file on  ftp.cmegroup.com, as outlined in the  Core Functionality module of the FIX/FAST SDK.

SSF market data in New Release is available on the new channel now for customer testing.

iLink tag 48-SecurityID Change
Effective Sunday, October 11, 2009, FIX tag 48-SecurityID in iLink messages will be changed to match the current format of tag 48-SecurityID in the FIX/FAST market data messages.

This harmonization of tag 48-SecurityID will provide customers a key for linking FIX/FAST and iLink messaging for a particular instrument.

With this launch, CME Globex will always send the new format for tag 48 in iLink, even if customer systems submit the old format. For instance, if the customer submits a new order with tag 48=CME009606070, CME Globex will respond with tag 48=960607

The tag 48 harmonization is currently available for customer testing in New Release.

New FIX/FAST Enhancements
Effective Sunday, October 18, 2009, a number of enhancements will be launched for the FIX/FAST market data on CME Globex.

The following new tags will be published in the Security Definition (tag 35-MsgType=d) message:

• TradingReferenceDate (tag 5796)
• OpenInterestQty (5792)
• ClearedVolume (5791)

The following new information will be published in the Market Data Snapshot Full Refresh (tag 35=W) messages:

• New valid values for tag 269-MDEntryType
• Fixing price
• Opening price

There will be a new FIX/FAST template for the Security Definition (tag 35=d) message with this launch.

Detailed information on this launch is available  online in the client impact assesment.

These changes will be available for customer testing in New Release Monday, September 14.

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.

November 1

Horizontals (HO) UDS will be harmonized so all product complexes have the same construction:

• Buy deferred front leg with strike 1
• Sell near back leg with strike 1

This will be a change for Equity, Commodity, NYMEX and COMEX options markets, and the pricing will be reversed from the current convention in these markets. With this change, all existing horizontal UDS in the Equity, Commodity, NYMEX and COMEX options markets will be removed.

Diagonal (DG) UDS will be added as a recognized UDS spread type in all CME Globex options markets:

• Buy deferred front leg with strike 1
• Sell near back leg with strike 2

The horizontal harmonization and the new diagonal recognized UDS spread type will be available for customer testing in New Release Monday, September 14.

CMEG will add the following recognized UDS spread types:

• Jelly Roll
• Iron Butterfly
• Guts
• 3-way
• Straddle vs. Call
• 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

These new recognized spread types are 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

Energy Inter-Exchange Spreads on CME Globex
Effective Sunday, November 15, 2009, four NYMEX-DME implied inter-exchange spreads will be listed for trading on CME Globex.

Inter-exchange spreads are implied futures spreads in which the two legs originate from different exchanges. They consist of buying the front leg (exchange A) and selling the back leg (exchange B), with both legs having the same maturity. For inter-exchange spreads, tag 762-SecuritySubType will be set to IS. Inter-exchange spreads are implied IN and OUT, from the individual legs IN to the inter-exchange spread or conversely from the inter-exchange spread OUT to the respective future outrights. These will be the first inter-exchange spreads listed on CME Globex.

This launch will impact all customers receiving FIX/FAST market data, even if you do not plan on supporting the new spreads. There will be a new FIX/FAST template for the Market Data Incremental Refresh (tag 35-MsgType=X) message for this launch.

The messaging and functionality impacts are documented online in the  Client Impact Assessment. This launch will be available in New Release for customer testing on Monday, September 14.

Equity Futures Enhancements
Effective Sunday, October 4, 2009, a number of enhancements will be introduced for CME 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 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%.

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

Please note: CME Group is requesting customers cancel all GTC and GTD orders in the CME Equity futures markets after the close, 3:15 p.m. Central time (CT), Friday, October 2. Any remaining GTC and GTD orders in the CME Equity futures markets will be cancelled after 3:20 p.m. CT, Sunday, October 4. Customers may re-enter GTC and GTD orders during the pre-open, 4:15 to 5:00 p.m. CT, Sunday, October 4.

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

 iLink Enhancements for FIX tags 151-LeavesQty and 14-CumQty
Effective Sunday, October 4, 2009, the FIX tags 151-LeavesQty and 14-CumQty will be modified only for Execution Report-Acknowledgements on Cancel/Replace Requests with In Flight Mitigation (IFM) enabled. These changes will only apply to Equity and FX futures, and to all options markets.

Currently, when a customer submits a Cancel/Replace Request with IFM on an order that is partially filled, tags 151 and 14 in the Execution Report-Acknowledgement are not populated correctly.

With this change, when a customer submits a Cancel/Replace Request with IFM on an order that is partially filled, the Execution Report-Acknowledgement will correctly include:

• The remaining working quantity of the Cancel/Replace order size (minus the partially filled quantity) in tag 151
• The cumulative quantity traded in tag 14

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

Request for Cross Eligibility for NYMEX and COMEX Options
Effective Sunday, September 13, 2009 (trade date Monday, September 14), all NYMEX and COMEX options listed on CME Globex will be eligible for Cross order submission using the Request for Cross (RFC) functionality.

RFC requires the submission of the New Order Cross (FIX tag 35-MsgType=s) message for a Cross trade.

In addition to the technical requirements, the regulatory requirements and process will be implemented. More information is available in the  Regulatory Advisory.

Cross order eligibility is defined in positions 789, RFC Eligible Flag. For more information please review the Cross Order section of the  Options module of the iLink SDK.

These products with RFC eligibility are currently available for customer testing in New Release. Customer applications are required to certify for the New Order Cross message before submitting cross orders in production. Please contact your trading application provider for more information.

30-Day Federal Funds Options Strike Price Changes
Effective Sunday, September 20 (trade date Monday, September 21), at customers' requests, the strike price format for 30-Day Federal Funds options on futures will be changed in FIX/FAST market data messages.

• Example current format: 99750.0
• Example new format: 9975.00

This change will have no impact on ITC format market data messages or the format of tag 107-SecurityDesc.

The strike price can be found in the Security Definition message (tag 35-MsgType=d), tag 202-StrikePrice.

30-Day Federal Funds options with the new strike price format are now available for customer testing in New Release.

Gold Options Listing Changes
Effective Sunday, September 20 (trade date Monday, September 21), the listing rules for Gold options on futures (tag 1151-SecurityGroup=OG) will be modified to allow additional strike prices in the first six months.

With this change, the nearby six months maturities will list ATM ± 20. Currently, all maturities list ATM ± 6. The rest of the maturities will continue to list ATM ± 6.

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

 CME Globex Disaster Recovery Test
CME Group is committed to the protection of its members, employees and stakeholders and has a long history of successfully managing risk. In keeping with those traditions, CME Group has a comprehensive business continuity program in place.

Twice a year CME Group offers Simulated CME Globex DR testing and the next such test is scheduled for Saturday, September 19.

The Simulated CME Globex DR testing is designed to ensure that customers can successfully failover to the DR environment, send orders and fallback to the production environment in case of an emergency. Customers are required to register  online and in advance to participate. Disaster Recovery IPs and ports have been distributed by your CME Globex Account Manager.

Complete information on the CME Group business continuity program, including upcoming test dates, is available  online. CME Group encourages all directly connected customers to review the  DR Client Impact Assessment.

For more detailed information on the Simulated CME Globex DR testing, please contact your  CME Globex Account Manager.

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.