CME Globex Notices: February 1, 2010

FIX/FAST 2.0 Launch 
Please note that the Client Impact Assessment has been updated with a changed deployment approach. CME Group recommends all customers review the  updated version.

In addition, based on customer feedback, the launch schedule for FIX/FAST 2.0-format market data has been revised as follows to allow additional testing time:

• Saturday, April 24 Saturday, April 10 – New templates deployed in Production
• Saturdays, May 1 and 8 Saturday, April 17 and 24 – Mock sessions with the five channels that will be in production parallel
• Sunday, May 9 Sunday, April 25 – Production launch of five new parallel market data channels in FIX/FAST 2.0.
  • New multicast IPs and ports are required to access the new channels
  • The existing FIX/FAST 1.6 channels will not be affected
• Sunday, June 6 Sunday, May 9 – FIX/FAST 1.6 market data will no longer be broadcast. All FIX/FAST market data will be available exclusively in version 2.0

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, 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 is currently available for customer testing in the New Release environment.

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

 Enhanced Mass Quote Governor
To allow more customer testing time, the launch of the additional enhancements to the Mass Quote Governor functionality has been rescheduled to Sunday, February 21, from Sunday, February 7.

Detailed information on these enhancements is available in the  Enhanced Mass Quote Governor Overview.

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

 Rounded Theoretical Settlement Prices via FIX/FAST
The addition of a new value for FIX tag 286-OpenCloseSettlFlag, previously scheduled for February 7, has been postponed. Updated information will be published in the CME Globex Notices as it becomes available.

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.

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.

 March vs. July Soybean Calendar Spread Option (CSO)
Effective this Sunday, February 7 (trade date Monday, February 8), 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 is currently available for customer testing in New Release.

Futures Calendar Spreads for NYMEX TAS Futures
Effective this Sunday, February 7 (trade date Monday, February 8), calendar spreads for the following NYMEX TAS futures will be listed for trading on the CME Globex platform.

• 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.

 Gold Options Strike Listing Changes
Effective this Sunday, February 7 (trade date Monday, February 8), the strike listing rules for Gold options on futures (tag 1151-SecurityGroup=OG) will be expanded for all listed maturities.

With this change, all maturities will list at the money (ATM) ± 40 at $5.00 intervals; 10 at $10.00 intervals above the highest and below the lowest $5.00 strike prices; and 8 at $25.00 intervals above the highest and below the lowest $10.00 strikes. This will result in a listing range of at least $1,000.00 daily.

 DJIA and E-mini Dow Options Strike Changes
Effective Sunday, February 21 (trade date Monday, February 22), the strike listing rules for DJIA (tag 1151-SecurityGroup=ZD) and E-mini Dow (tag 1151=YM) options on futures will be modified for all maturities as follows:

With this change, all maturities of the DJIA options will list at the money (ATM) ± 50% of DJIA at 500-point intervals; 20% at 100-point intervals; and, for the nearest expiring option in the quarterly cycle, 10% at 50-point intervals. All maturities of the E-mini Dow options will list ATM ± 50% at 500-point intervals; 20% at 100-point intervals; and, for the nearest expiring option in the quarterly cycle, 10% at 50-point intervals.

These changes in options listings will be available for customer testing in New Release Monday, February 8.