CME Globex Notices: May 10, 2010

FIX/FAST 2.0 Launch 
 

Effective 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. A subset of Market Data Platform channels are currently available in production for parallel testing.

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+.

FIX/FAST 2.0 is currently available for customer testing in the New Release environment. Information on this release can be found online in the  FIX/FAST 2.0 Client Impact Assessment.

Production Parallel Testing
Five production parallel channels are available for customer testing purposes only. CME Group strongly recommends customers using the production parallel channels continue to rely on the current, FIX/FAST 1.6-format channels for their trading activity.

A new configuration file for the Production environment, named config20.xml, is now available. This file contains five channels utilizing the FIX/FAST 2.0 format. These channels have new IP addresses and ports. The balance of channels in this file are in the FIX/FAST 1.6 format with the current multicast IPs and ports.

Mock Trading Sessions
A third mock trading session will be held Saturday, June 5. All current production channels will broadcast FIX/FAST 2.0 format. More information will be available in upcoming CME Globex and Quote Vendor Notices.

Please contact  Global Account Management with any questions about the mock sessions.

FIX/FAST Market Data Platform Channel Changes
Effective June 20, a few Market Data Platform channels will be split to better manage messaging rates and performance.

The impacted channels 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

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

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

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

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.

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

 CME Globex Performance Enhancements for Interest Rate Futures
Effective this Sunday, May 16, CME Group is implementing an upgrade to Interest Rate 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, in internal testing environments this upgrade has reduced iLink and FIX/FAST response times by an average of 15% for Interest Rate 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.

 CME Globex Performance Enhancements for Select CBOT Commodity Futures
Effective Sunday, May 23, 2010, CME Group is implementing an upgrade to select CBOT Commodity 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.

These performance improvements will be applied to the following products.

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 Crude Palm Oil Futures
Effective Sunday, May 23 (trade date Monday, May 24), CME Crude Palm Oil futures and calendar spreads will be listed for trading on the CME Globex platform.

With this launch CME Group customers will be able to trade the world's most-consumed edible oil in a cash-settled, dollar-denominated contract, with the safety and liquidity of CME Group. This expansion of the edible oil product suite also creates opportunities for cross-trading with soybean oil based on the historically strong correlation between these products. Together, crude palm oil and soybean oil account for about 61 percent of all the edible oil in the world.

Crude Palm Oil futures will have tag 1151-SecurityGroup=CPO and tag 55-Symbol=UC. It is listed on CME (tag 207=XCME) and market data will be distributed on the CME Commodity Futures Market Data Platform channel (13).

The new dollar-denominated Crude Palm Oil futures are currently available for customer testing in the New Release environment.

 International Skimmed Milk Powder Futures and Options
Effective Sunday, May 23 (trade date Monday, May 24), 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 are currently available for customer testing in Certification and New Release.

Ultra Treasury Bond Options
Effective Sunday, June 6 (trade date Monday, June 7), options on Ultra Treasury Bond (Ultra T-Bond) futures will be listed for trading on the CME Globex platform.

The Ultra T-Bond futures contract is the fastest growing interest rate futures product ever introduced by the CME Group exchanges. Adding options to this robust futures market will provide even more opportunities for market participants seeking longer-dated, off-balance sheet exposure in Treasury markets.

Ultra T-Bond options will have tag 1151-SecurityGroup=OUB and tag 55-Symbol=UB. It is listed on CBOT (tag 207=XCBT) and market data will be distributed on the CBOT Interest Rate Options Market Data Platform channel (116).

The new Ultra T-Bond options will be available for customer testing in the New Release environment Monday, May 24.

 New Variable Quantity Energy Futures
Effective Sunday, June 6 (trade date Monday, June 7), six new variable quantity energy futures, calendar spreads and futures strips will be listed for trading on CME Globex.

These new variable quantity products are defined as follows:

• NePool Internal Hub 5 MW Day Ahead Peak
  • tag 55-Symbol=PX
  • tag 1151-SecurityGroup=U6N
  • tag 871-InstAttribType=24
    • tag 872-InstAttribValue=18 (Variable Quantity Eligibility)
  • tag 1439-FlowScheduleType=3 (NERC Eastern Peak)
  • tag 1231-MinLotSize=5
  • tag 996-UnitofMeasure=MWH
  • tag 5849-OriginalContractSize=80
  • tag 1435-ContractMultiplierUnit=2 (multiplied by hour)
  
   
• Cin Hub 5 MW Real Time Peak
  • tag 55-Symbol=PX
  • tag 1151-SecurityGroup=H3N
  • tag 871-InstAttribType=24
    • tag 872-InstAttribValue=18 (Variable Quantity Eligibility)
  • tag 1439-FlowScheduleType=3 (NERC Eastern Peak)
  • tag 1231-MinLotSize=5
  • tag 996-UnitofMeasure=MWH
  • tag 5849-OriginalContractSize=80
  • tag 1435-ContractMultiplierUnit=2 (multiplied by hour)
  
   
• NYISO Zone A 5 MW Day Ahead Peak
  • tag 55-Symbol=PX
  • tag 1151-SecurityGroup=K3X
  • tag 871-InstAttribType=24
    • tag 872-InstAttribValue=18 (Variable Quantity Eligibility)
  • tag 1439-FlowScheduleType=3 (NERC Eastern Peak)
  • tag 1231-MinLotSize=5
  • tag 996-UnitofMeasure=MWH
  • tag 5849-OriginalContractSize=80
  • tag 1435-ContractMultiplierUnit=2 (multiplied by hour)
  
   
• NYISO Zone G 5 MW Day Ahead Peak
  • tag 55-Symbol=PX
  • tag 1151-SecurityGroup=T3N
  • tag 871-InstAttribType=24
    • tag 872-InstAttribValue=18 (Variable Quantity Eligibility)
  • tag 1439-FlowScheduleType=3 (NERC Eastern Peak)
  • tag 1231-MinLotSize=5
  • tag 996-UnitofMeasure=MWH
  • tag 5849-OriginalContractSize=80
  • tag 1435-ContractMultiplierUnit=2 (multiplied by hour)
  
   
• PJM NI Hub 5 MW Real Time Peak
  • tag 55-Symbol=PX
  • tag 1151-SecurityGroup=B3
  • tag 871-InstAttribType=24
    • tag 872-InstAttribValue=18 (Variable Quantity Eligibility)
  • tag 1439-FlowScheduleType=3 (NERC Eastern Peak)
  • tag 1231-MinLotSize=5
  • tag 996-UnitofMeasure=MWH
  • tag 5849-OriginalContractSize=80
  • tag 1435-ContractMultiplierUnit=2 (multiplied by hour)
  
   
• PJM AD Hub 5 MW Real Time Peak
  • tag 55-Symbol=PX
  • tag 1151-SecurityGroup=Z9
  • tag 871-InstAttribType=24
    • tag 872-InstAttribValue=18 (Variable Quantity Eligibility)
  • tag 1439-FlowScheduleType=3 (NERC Eastern Peak)
  • tag 1231-MinLotSize=5
  • tag 996-UnitofMeasure=MWH
  • tag 5849-OriginalContractSize=80
  • tag 1435-ContractMultiplierUnit=2 (multiplied by hour)

These products will be available for customer testing in New Release Monday, May 24.

Minimum Tick Increment Change for Euroyen TIBOR
Effective this Sunday, May 16 (trade date Monday, May 17), the front four quarterly Euroyen TIBOR futures and all related spreads, and the corresponding serial and quarterly Euroyen TIBOR options, (tag 1151-SecurityGroup=EJ will begin trading in 0.25 basis point increments. All other maturities will continue to have a 0.50 basis point increment.

Futures and future spreads will be implied only within the front four quarterly expirations. Futures spreads between the front four quarterly contracts and deferred expiration months; e.g., June 2010 (Q1) vs June 2011 (Q5), will be eligible to trade in .25 basis point increments, but will not be implied.

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

3-Year U.S. Treasury Note Calendar Spreads Implied Functionality
Effective this Sunday, May 16, implied functionality will be turned off for all 3-Year U.S. Treasury Note futures calendar spreads (tag 1151-SecurityGroup=Z3N).

Implied functionality is indicated for every instrument on CME Globex in the FIX/FAST Security Definition message (tag 35-MsgType=d), in tag 1144-ImpliedMarketIndicator.

 Maximum Order Quantity Changes for NYMEX and COMEX Products
Effective Sunday, June 6, (trade date Monday, June 7), to facilitate trading on CME Globex, the maximum order quantity for all NYMEX and COMEX futures, options and spreads will be changed to 9999. Currently, the maximum order quantity is 999.

The maximum order quantity for every instrument listed on CME Globex is identified in tag 1140-MaxTradeVol, in the Security Definition (tag 35-MsgType=d) message.

The increased maximum order quantity will be available for customer testing in New Release on Monday, May 24.