CME Globex Notices: September 28, 2009

New Market Data Channel for OneChicago Single Stock Futures
Effective this 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 only available 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 FIX/FAST messaging in New Release is available on the new channel now for customer testing.

New FIX/FAST Enhancements
Effective Sunday, October 18, 2009, a number of enhancements will be launched for the FIX/FAST format 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. The new template will be available in the production folder of the  CME Group ftp site effective this Sunday, October 4. Per the normal process, the current template will remain available as it is today.

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

These changes are now available for customer testing in New Release.

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 are currently available for customer testing in New Release.

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

iLink tag 48-SecurityID Change
Effective Sunday, November 8, 2009, FIX tag 48-SecurityID in iLink messages will be changed to match the current format and data type 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.

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 Security Definition (tag 35-MsgType=d) message for this launch. The new template will be available in the production folder of the  CME Group ftp site effective this Sunday, October 4. Per the normal process, the current template will remain available as it is today.

The messaging and functionality impacts are documented online in the  Client Impact Assessment. This launch is currently available in New Release for customer testing.

Equity Futures Enhancements
Effective this 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 by the CME Globex Control Center (GCC) after 3:20 p.m. CT, Friday, October 2. Customers may re-enter GTC and GTD orders during a special extended pre-open, 3:00 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 this 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.

 Gold Options Listing Changes
Effective Sunday, October 11, 2009 (trade date Monday, October 12), the following changes to the listing rules for COMEX Gold options will occur:

The strike price interval will be set to $5.00 (CME Globex strike price increment=5) increments for all trading months on all venues regardless of the level of the underlying futures prices. Currently, the strike price interval is dependent on futures price levels as follows: $5.00 (5) if futures prices are under $500; $10.00 (10) if futures prices are between $500 and $1,000; and $25.00 (25) for futures prices above $1,000.

In addition, the strike price listing will be expanded from ATM ± six to ATM ± 20 strike prices.

 Weekly Weather Listing Changes
Effective Sunday, October 18, 2009, (trade date Monday, October 19), all weekly weather futures will be expanded to list four (4) weekly maturities at all times. Currently, only two (2) maturities are listed at any one time for these products.

The additional maturities will be available for customer testing in New Release Monday, October 12.

 Variable Tick Table Change for FX Futures
Effective Sunday, November 1 (trade date Monday, November 2), the following FX futures will change to a fixed tick increment of 1.

• E-mini EuroFX (tag 1151-SecurityGroup=E7)
• E-mini Japanese yen (J7)
• CME$INDEX (USD)
• Australian dollar (6A)
• Canadian dollar (6C)
• Euro FX (6E)
• Japanese yen (6J)
• New Zealand dollar (6N)
• Swiss franc (6S)

Currently, these futures use the Variable Tick Tables (VTT) 5 and 7. Both VTT 5 and 7 have a fixed tick size of 1, as outlined in the  FIX/FAST Message Specifications module of the FIX/FAST SDK.

These changes will be available in the New Release environment for customer testing Monday, October 19.

 Display Factor Change for FX Futures
Effective Sunday, November 1 (trade date Monday, November 2), the following changes to Display Factor values will be made:

These changes will be available in New Release for customer testing Monday, October 19.

Drop Copy Charges Begin Today
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 today, 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.

Complete iLink Certification via AutoCert+
The session core tests for iLink certification of session management and sequencing are now available on the AutoCert+ iLink test suite. Now customers can complete their iLink certification via AutoCert+. Certification via the legacy tool, AutoCert, is no longer required.

As a result, CME Group will retire AutoCert effective tomorrow, Friday, October 2, 2009.

Please note: currently certified applications are not required to re-certify under AutoCert+. Status for all applications that successfully certified via AutoCert will be migrated to the AutoCert+.

AutoCert+ is now the sole automated test tool for all certification testing including:

• iLink
  • Session Core tests
    • Session Management
    • Sequencing
  • Business Core tests
    • Limit Orders
    • Market Orders
    • Stop Orders
    • Stop-Limit Orders
    • Market-Limit Orders
    • Cancel/Replace Requests
    • Quote Request
• FIX/FAST
• User-Defined Spreads
• Drop Copy
• Volatility-Quoted Options
• BM&F BOVESPA

Please contact  CSET or your  CME Globex Account Manager.