• CME Globex Notices: January 18, 2010

      • To
      • CME Globex Customers
      • From
      • CME Globabl Account Management
      • #
      • 20100110
      • Notice Date
      • 18 January 2010
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launch
      Product Changes
      Events and Announcements
      Critical System Updates

      FIX/FAST 2.0 Launch 
      Effective Sunday, April 25, 2010, CME Globex will launch FIX/FAST 2.0 in production, on a subset of Market Data Platform channels. As of Sunday, May 9, CME Globex market data will be disseminated exclusively in FIX/FAST 2.0 format. This launch introduces a number of customer-requested enhancements to support trading and market data strategies.

      The FIX/FAST 2.0 format is not backward-compatible to the current FIX/FAST format. Even if a customer does not want to take advantage of these enhancements, all systems must be certified for FIX/FAST 2.0 prior to launch. To ensure uninterrupted access to CME Globex market data, all current customer systems are required to develop to FIX/FAST 2.0 and complete mandatory certification via AutoCert+.

      The new AutoCert+ test suite for FIX/FAST 2.0 contains four tests focused on:

      • Multiple book depth per channel
      • Product statistics reset process
      • Mid-week User-Defined Spread (UDS) deletions
      • Recovery process

      CME Group strongly recommends all systems test thoroughly in New Release prior to attempting AutoCert+ certification.

      FIX/FAST 2.0 will be available for customer testing in the New Release environment Monday, February 1.

      The new FIX/Fast 2.0 templates for production will be available from the  CME Group FTP site on April 10, 2010.

      Information on this release, including launch and mock trading dates, can be found online in the  FIX/FAST 2.0 Client Impact Assessment.

      New Functionality

      CME Equity Futures Enhancements
      Effective Sunday, January 31, 2010, CME Group will implement a number of internal improvements to the CME Equity futures and future spreads markets. These changes are expected to reduce iLink order entry round trip times approximately 20%.

      There will be no changes to functionality or messaging format with these performance improvements. Good 'Till Cancelled and Good 'Till Date (GTC/GTD) orders will not be impacted.

      Please contact your  CME Globex Account Manager with any questions or concerns at 312.634.8700.

      NEW Rounded Theoretical Settlement Prices via FIX/FAST
      Effective Sunday, February 7, a new value for FIX tag 286-OpenCloseSettlFlag will be added, and the current value 5 will be redefined. This new value will differentiate rounded versus non-rounded prices when sent in the theoretical settlement data block:

      • tag 286=5 will indicate a rounded theoretical price
      • tag 286=6 will indicate a non-rounded theoretical price

      More information on the theoretical settlement data block in FIX/FAST-format market data is available  online.

      These changes will be available for customer testing in New Release this Monday, January 25.

      CBOT and CME Commodity and Weather, KCBT and MGEX Futures Enhancements

      Effective first quarter 2010, a number of enhancements will be introduced for CME and CBOT Commodity and Weather, Kansas City Board of Trade (KCBT) and Minneapolis Grain Exchange (MGEX) futures and future spreads on CME Globex.

      CBOT and CME Commodity and Weather, KCBT and MGEX Futures Enhancements

      Product Complex New Release Launch Production Launch
      CME Commodity and Weather Futures Available Now Sunday, March 7
      CBOT Commodity Futures
      KCBT Futures
      MGEX Futures
      Available Now Sunday, March 28

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

      CME Group recommends all system providers supporting Commodity futures test these changes thoroughly in New Release.

      Product Launches

      Argus Sour Crude Index Financial Futures
      Effective this Sunday, January 24 (trade date Monday, January 25), Argus Sour Crude Index Financial futures and future spreads will be listed for trading on the CME Globex electronic trading platform. Calendar and intercommodity spreads will also be available.

      ASCI Financial Futures

      Futures Product Tag 1151-SecurityGroup Tag 55-Symbol Tag 762-SecuritySubType
      ASCI Financial futures A0X CL  
      ASCI Financial calendar spread SP
      ASCI Financial vs. Light Sweet Crude Oil (WTI) IS

      These futures and spreads are currently available for customer testing in New Release.

      Prague Weather Futures and Strips
      Effective this Sunday, January 24, the following weather futures and strips for Prague will be listed for trading on CME Globex.

      HDD Prague Weather Futures and Strips

      Product tag 55-Symbol tag 1151-SecurityGroup
      Monthly Oct Nov Dec Jan Feb Mar
      HDD Prague HW D7 D7V D7X D7Z D7F D7G D7H

      CAT Prague Weather Futures and Strips

      Product tag 55-Symbol tag 1151-SecurityGroup
      Monthly Apr May Jun Jul Aug Sep
      CAT Prague HW B7 B7J B7K B7M B7N B7Q B7U

      These futures and options are currently available in the New Release environment for customer testing.

      NEW March vs. July Soybean Calendar Spread Option (CSO)
      Effective Sunday, January 31 (trade date Monday, February 1), options on the March vs. July Soybean futures calendar spread (CSO) will be listed for trading on the CME Globex platform. These options will have tag 55-Symbol=Q1 and tag 1151-SecurityGroup=SZH.

      The March vs. July Soybean CSO will be available for customer testing in New Release this Monday, January 25.

      Product Changes

      FIX tag 55-Symbol Consolidation for FX Options
      Effective this Sunday, January 24, the Symbol (FIX tag 55) for FX options will be consolidated:

      FX Options tag 55-Symbol Consolidation

      Product tag 1151-SecurityGroup tag 55-Symbol NEW tag 55-Symbol
      EUR/GBP European-style Weekly options XB# 1P XB
      CAD/USD options 6C OV XD
      CAD/USD European-style Weekly Options XD# 1D
      RMB/USD Weekly Options RB# 1R 0R
      RMB/EUR Options RME 2R
      RMB/EUR Weekly Options RE# 3R
      RMB/JPY Options RMY 4R
      RMB/JPY Weekly Options RN# 5R
      EUR/CHF Options RF RZ X8
      EUR/GBP Options RP OP
      PLN/EUR Options EPL RC
      ILS/USD Weekly Options IS# I1 I0
      JPY/USD Options 6J OJ XJ
      JPY/USD European-style Weekly Options #O 1O
      KRW/USD Weekly Options KR# 1K 0K
      CHF/USD Options 6S OF XS
      CHF/USD European-style Weekly Options XS# 0G

      To facilitate this consolidation, all existing FX options User-Defined Spreads (UDS) will be eliminated at end of day Friday, January 22. Customers must cancel all resting GTC/GTD orders on FX options UDS by close of business on January 22. Customers may replace eliminated UDS per the normal process beginning Sunday, January 24.

      These instruments with consolidated tag 55 values are currently available in New Release for customer testing.

      Update Futures Calendar Spreads for NYMEX TAS Futures
      The launch of calendar spreads for the following NYMEX TAS futures, previously scheduled for this Sunday, January 24, has been postponed to Sunday, February 7 (trade date Monday, February 8).

      • Heating Oil TAS (tag 1151-SecurityGroup=HOT)
      • RBOB TAS (RBT)
      • Crude Oil TAS (CLT)
      • Natural Gas TAS (NGT)

      These calendar spreads will use the value EC in tag 762-SecuritySubType.

      These new futures spreads are currently available in New Release for customer testing.

      NEW Green Exchange Venture Options in New Release

      Following submission of an application and formal designation as a designated contract market, the Green Exchange Venture is proposing to launch as an independent exchange during 2010. The new exchange will be called the Green Exchange. Green Exchange products will trade via CME Globex and privately-negotiated transactions may be submitted for clearing through CME ClearPort.

      To provide market data distribution consistency, the three new options products available for testing in the CME Globex New Release environment will be moved from their current Market Data Platform channel 36, Non-Crude Energy Options, to channel 37, Alternative Markets Options. Channel 37 will have market data for both NYMEX and Green Exchange options products.

      Green Exchange Venture Options in New Release

      Options Tag 1151-SecurityGroup Tag 55-Symbol Tag 207-SecurityExchange
      Carbon RGGI Emissions RGX GY GREE
      SO2 Emissions RSX
      SO2 Emissions 25-Allowance S2X

      These products will be moved to channel 37 in New Release for customer testing this Monday, January 25.

      Events & Announcements

      iLink Session ID Auto-Deletion Process

      Monday, November 23, CME Group implemented a new iLink session ID auto-delete process.

      Idle iLink session IDs needlessly consume resources and make load balancing and resource allocation planning more difficult. CME Group is committed to managing session IDs to ensure the best performance on CME Globex for our customers. The iLink session ID auto-delete process helps ensure these resources are managed proactively and consistently across the marketplace.

      Details on the process are available  online. The first e-mail notifications were distributed to Class A clearing firms on Monday, November 23. Idle session IDs that have not been granted an exemption will be deleted at end of day tomorrow, Friday, January 22, 2010.