CME Globex Notices: April 5, 2010

 CBOT, KCBT and MGEX Grain Futures Market States
Effective Monday, April 19, the afternoon post-close pre-open period will be extended on CME Globex for CBOT, KCBT and MGEX grain futures. This change will allow customers to enter, modify and cancel Good till Cancel (GTC) and Good till Date (GTD) orders, beginning 30 seconds after the end of their respective trading sessions.

This will not affect the end of trading times, as described below:

CBOT and KCBT grain futures and options

• Trading ends at 1:15 p.m. Central time (CT)
  • FIX/FAST Security Status message (tag 35-MsgType=f) with tag 326-SecurityTradingStatus=2
  • All resting session/day orders will be eliminated
• Post-close pre-open begins at 1:15.30 CT
  • Security Status message (tag 35=f) with tag 326=21
  • GTC and GTD orders may be entered, modified and cancelled 1:15.30 - 4:00 p.m. CT
• The markets will become unavailable at 4:00 p.m. CT
  • Security Status message (tag 35=f) with tag 326=18

CBOT Mini-sized grain futures

• Trading ends at 1:45 p.m. Central time (CT)
  • FIX/FAST Security Status message (tag 35-MsgType=f) with tag 326-SecurityTradingStatus=2
  • All resting session/day orders will be eliminated
• Post-close pre-open begins at 1:45.30 CT
  • Security Status message (tag 35=f) with tag 326=21
  • GTC and GTD orders may be entered, modified and cancelled 1:45.30 - 4:00 p.m. CT
• The markets will become unavailable at 4:00 p.m. CT
  • Security Status message (tag 35=f) with tag 326=18

MGEX grain futures and options

• Trading ends at 1:30 p.m. CT
  • FIX/FAST Security Status message (tag 35-MsgType=f) with tag 326-SecurityTradingStatus=2
  • All resting session/day orders will be eliminated
• Post-close pre-open begins at 1:30.30 CT
  • Security Status message (tag 35=f) with tag 326=21
  • GTC and GTD orders may be entered, modified and cancelled 1:30.30 - 4:00 p.m. CT
• The markets will become unavailable at 4:00 p.m. CT
  • Security Status message (tag 35=f) with tag 326=18

MGEX index futures and options

• Trading ends at 1:45 p.m. CT
  • FIX/FAST Security Status message (tag 35-MsgType=f) with tag 326-SecurityTradingStatus=2
  • All resting session/day orders will be eliminated
• Post-close pre-open begins at 1:45.30 CT
  • Security Status message (tag 35=f) with tag 326=21
  • GTC and GTD orders may be entered, modified and cancelled 1:30.30 - 4:00 p.m. CT
• The markets will become unavailable at 4:00 p.m. CT
  • Security Status message (tag 35=f) with tag 326=18

The market state for every instrument on CME Globex is communicated in tag 326-SecurityTradingStatus in the FIX/FAST Security Status message (tag 35-MsgType=f).

Customers may now test this market state transition in New Release starting Monday, April 12, by contacting Customer Support for Electronic Trading (  CSET) at 312.930.2322.

FIX/FAST Market Data Platform Channel Changes
Effective this June, a few Market Data Platform channels will be split to better manage messaging rates and performance.

The impacted channels and schedules are listed below.

Channel 7 - CME Equity Futures

• The current channel 7 will broadcast only CME E-mini S&P 500 futures (tag 55-Symbol=ES)
• New channel 15 will broadcast all CME Equity futures except CME E-mini S&P 500 futures
• Production split on Sunday, June 6
• New Release split on Monday, April 19

Channel 8 - CME Equity Options

• The current channel 8 will broadcast only CME E-mini S&P options (tag 55-Symbol=EZ, EW)
• New channel 16 will broadcast all CME Equity options except CME E-mini S&P 500 options
• Production split on Sunday, June 6
• New Release split on Monday, April 19

Channel 32 - NYMEX Metals, Softs and Alternative Markets and COMEX Futures

• The current channel 32 will broadcast only NYMEX Metals, Softs and Alternative Markets futures
• New channel 33 will broadcast all COMEX futures
• Production split on Sunday, June 20
• New Release split on Monday, April 19

Channel 37 - NYMEX Metals, Softs and Alternative Markets and COMEX Options

• The current channel 37 will broadcast only NYMEX Metals, Softs and Alternative Markets options
• New channel 38 will broadcast all COMEX options
• Production split on Sunday, June 20
• New Release split on Monday, April 19

Current channel configuration information is available on the ftp.cmegroup.com site as outlined in the  Core Functionality module of the FIX/FAST Software Development Kit.

FIX/FAST 2.0 Launch 
Effective Sunday, May 9, 2010, CME Globex will launch FIX/FAST 2.0 in production, on a subset of new Market Data Platform channels. As of Sunday, June 6, 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, 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 FIX/FAST 2.0 AutoCert+ test suite is now available, and contains four tests focused on:

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

FIX/FAST 2.0 is currently available for customer testing in the New Release environment.

BM&F Bovespa Products and FIX/FAST 2.0
Effective Sunday, June 6, BM&F Bovespa products on CME Globex will support the FIX/FAST 2.0 preamble only. The preamble will be available for testing on BM&F products in the New Release environment Monday, April 19.

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

iLink Production IP Address Migration
As previously announced, to accommodate continued growth, CME Group is expanding its infrastructure and moving to a new state-of-the-art data center.

The migration will take place in two phases as described below.

iLink Production IP Address Migration
In the first phase, new Primary and Secondary iLink addresses will be distributed to the Class A Clearing firms. There will be no change to the ports and passwords for each session, or the Disaster Recovery addresses. CME Group has distributed the new primary and secondary iLink IP addresses to all Class A Clearing firms. They are also available via the Firm Administrator Dashboard. Clearing firms are responsible for communicating the new IPs to their customer firms to prepare for this migration.

In addition, all new Session IDs will include both the current session information as well as the address for the new data center.

CME Globex Network Migration to New Data Center
Once all Production iLink IP addresses have been migrated, this second phase will begin and the CME Globex network will be moved to the new data center. More information will be provided as it becomes available.

A  client impact overview is now available and provides further information on this migration.

If you have any questions regarding this migration, please contact your  Global Account Manager at 312.634.8700 in the U.S.; +44 (0) 20 7796 7100 in Europe; or +852.3101.7696 in Asia.

CME Globex Performance Enhancements for E-mini S&P 500 and FX Futures
Effective this Sunday, April 11, 2010, CME Group is implementing an upgrade to E-mini S&P 500 and FX futures markets on the CME Globex electronic trading platform that are expected to result in improved order routing message response times. In internal testing environments, this upgrade has reduced iLink response times by up to 10%. This upgrade is designed to enhance our liquid, efficient and competitive marketplace for participants worldwide.

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.

CME Globex Performance Enhancements for Interest Rate, NYMEX Energy and NYMEX and COMEX Metal Futures
In May 2010, CME Group is implementing an upgrade to Interest Rate, NYMEX and COMEX futures markets on the CME Globex electronic trading platform that will result in significantly reduced message response times. Already among the fastest in the industry, this upgrade is expected to reduce iLink and FIX/FAST response times by an average of 15% for Interest Rate futures and future spreads, and an average of 20% for NYMEX and COMEX futures and future spreads.

Please note: as a result of the reduced message response times, bandwidth utilization in these futures markets is expected to ultimately increase by as much as 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.

This upgrade is designed to enhance our liquid, efficient and competitive marketplace for participants worldwide. It is scheduled for a phased launch as follows:

Scheduled for Sunday, May 2

• All listed futures and future spreads for:
  • Legacy CME Interest Rates
  • Legacy CBOT Interest Rates

Scheduled for Sunday, May 9

• All listed futures and future spreads for:
  • NYMEX Energy
  • NYMEX Metals
  • NYMEX Softs
  • COMEX Metals

TAS Futures for Energy and Metal Products
Effective this Sunday, April 11 (trade date Monday, April 12), new Trades At Settlement (TAS) futures on the following Energy and Metals products will be listed for trading on the CME Globex platform.

These new TAS products are currently available for customer testing in New Release.

Distillers' Dried Grain Futures and Calendar Spreads
Effective Sunday, April 25 (trade date Monday, April 26), Distillers' Dried Grain futures and calendar spreads (tag 1151-SecurityGroup=DDG) will be listed for trading on the CME Globex platform.

Distillers’ Dried Grains (DDGs) are the dried residue remaining after the starch fraction of corn is fermented with selected yeasts and enzymes to produce ethanol. After fermentation, the alcohol is removed by distillation and the remaining residues are either dried or remain wet. Although DDGs are used primarily as a feed additive for cattle and dairy cows, they are also being incorporated into other livestock feed rations. More information on DDGs is available  online.

These futures and calendar spreads will be available for customer testing in New Release Monday, April 12.

 International Skimmed Milk Powder Futures and Options
Effective Sunday, May 9 (trade date Monday, May 10), International Skimmed Milk Powder futures and options will launch on the CME Globex platform. It is the first exchange-listed dairy contract with physical delivery points located across the globe. They complete the set of hedging tools needed by producers and wholesalers for profit margin management.

Skimmed milk in powder form has become a popular source of protein because it does not require refrigeration, making it easier to transport and store than fluid milk or dairy products containing fat. Delivery points for the electronically traded product include Auckland (New Zealand), Los Angeles, CA (US), Melbourne (Australia), Newark, NJ (US), Rotterdam (Netherlands) and Seattle, WA (US). The international dry milk market size is estimated at $6.7 billion U.S. dollars.

These futures and options will be available for customer testing in Certification and New Release Monday, April 26.

 CME$INDEX Delisting
On Thursday, April 1, 2010, Chicago Mercantile Exchange provided certified notice to the Commodity Futures Trading Commission that effective as of the notice, both the CME$INDEX futures and options on futures contracts have been delisted from trading on both the open outcry trading floor and CME Globex. The CME$INDEX futures last traded in the second quarter of 2008. There was no open interest in either the CME$INDEX futures or options.

 Gulf Coast Gasoline and ULSD TAS Delistings
Effective end of day tomorrow, Friday, April 9, the Gulf Coast Gasoline TAS (tag 1151-SecurityGroup=LRT) and Gulf Coast Ultra Low Sulfur Diesel (ULSD) TAS (tag 1151=LUT) will be delisted.

Additional Calendar Spreads for NYMEX TAS Futures
Effective this Sunday, April 11 (trade date Monday, April 12), additional calendar spreads will be listed on CME Globex for the following TAS products:

• Light Sweet Crude Oil (WTI) (tag 1151-SecurityGroup=CLT)
• Heating Oil (HOT)
• Henry Hub Natural Gas (NGT)
• Reformulated Gasoline Blendstock for Oxygen Blending (RBOB) (RBT)

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.

Snowfall Futures Display Factor Changes
Effective this Sunday, April 11, changes to tag 9787 values will be implemented for the following Monthly Snowfall futures. Currently, tag 9787=1 for all the listed products; with this change, tag 9787=0.01.

• Minneapolis (tag 1151-SecurityGroup=BV, BVX, BVZ, BVF, BVG, BVH)
• Detroit (EK, EKX, EKZ, EKF, EKG, EKH)
• New York LaGuardia (FG, FGX, FGZ, FGF, FGG, FGH)
• Chicago O'Hare (SW, SWX, SWZ, SWF, SWG, SWH)
• Boston (SB, SBX, SBZ, SBF, SBG, SBH)
• New York Central Park (SX, SXX, SXZ, SXF, SXG, SXH)

These changes to the recommended display prices are currently available in New Release for customer testing.

Expanded Trading Hours for Nikkei 225 (Dollar) Futures
Effective this Sunday, April 11, 2010, the electronic trading hours for the Nikkei 225 (Dollar) futures will be expanded to give market participants worldwide nearly 24-hour access to the benchmark contracts listed at CME Group and traded on the CME Globex platform.

With this expansion, market participants will be able to trade the futures contracts while the Japanese equity market is open. Currently, the futures contracts traded at CME are available only while the Japanese equity market is closed.

Under the expanded hours, trading on CME Globex will begin Sundays at 17:00 through 15:15 CT the following day, with trading Monday–Friday from 15:30 through 15:15 the next day (closing at 15:15 Friday, with a daily maintenance shutdown between 16:30-17:00).

The expanded trading hours were added as part of the licensing agreement extension between CME and Nikkei Inc. Open outcry trading hours, as well as trading hours for dollar-denominated Nikkei 225 options on futures and yen-denominated futures, will remain unchanged.

 Request for Cross Changes
Effective Sunday, April 18, 2010, pre-execution communications in eligible options products will no longer require that a Request for Quote (RFQ) be entered into CME Globex prior to engaging in the pre-execution communication; the entry of an RFQ prior to the entry of the associated Request for Cross (RFC) order is still required.

Additionally, the matching algorithm currently applicable to RFC transactions in CME and CBOT equity options will be extended to RFC transactions in all eligible options. No changes are being made to the requirements concerning allowable pre-execution communications in futures products.

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

Additional information on the revised requirements for options transactions executed pursuant to pre-execution communications is available in the  Market Regulation Advisory Notice.

Cross order eligibility is defined where repeating group tag 871-InstAttribType=24, tag 872-InstAttribValue=2, in the Security Definition (tag 35-MsgType=d) message. For more information please review the Cross Order section of the Options module of the  iLink SDK.

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.

Implied Functionality for Live Cattle-Lean Hog Intercommodity Futures Spreads
Effective Sunday, April 18, implied functionality will be enabled for the Live Cattle and Lean Hog futures and future spreads, including the intercommodity future spread.

Implied functionality integrate bids and offers in both spreads and their outright contracts to provide the most liquid possible markets with the best possible prices.

Implied functionality is indicated in the FIX/FAST Security Definition message (tag 35-MsgType=d), in tag 1144-ImpliedMarketIndicator, where 3 indicates Implied In and Out.

Implied functionality for the Live Cattle and Lean Hog futures and future spreads is available now for customer testing in New Release.

 iLink Session ID Auto-Deletion Process
Effective Monday, April 5, CME Group implemented the quarterly 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. An e-mail notification was distributed to Class A clearing firms on Monday, April 5. Idle session IDs that have not been granted an exemption will be deleted at end of day Friday, May 7, 2010.