CME Globex Notices: May 24, 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 and on the parallel Market Data Platform channels in production. Information on this release can be found online in the  FIX/FAST 2.0 Client Impact Assessment.

Launch Announcements
Following the mock trading session on Saturday, June 5, CME Group will communicate any changes to the FIX/FAST 2.0 launch plan to customers via the CME Globex and Market Data Notices and email alerts from the CME Globex Control Center. Please ensure you are subscribed to one or more of these distribution lists and watch your emails on June 5 for FIX/FAST 2.0 updates. Contact your Global Account Manager with any questions.

Mock Trading Session
A final mock trading sessions with FIX/FAST 2.0 in the CME Globex production environment will be offered Saturday, June 5, 9:00 - 10:00 a.m. Central time. An   overview of the mock trading session is now available. Customers must  register online to participate.

The mock session overview has been updated with new information for the June 5 session. CME Group encourages all participants to review the updated overview.

Order Book Resets in New Release
In response to customer requests, the order books on the following channels are reset every Tuesday and Thursday at 9 a.m. Central time.

This allows customers to test their systems for both the current and the new order book reset functionality in New Release prior to the FIX/FAST 2.0 launch on June 6. The Order Book Reset function is one of the tests required for the mandatory FIX/FAST 2.0 certification.

• Order Book Reset on Market Data Platform channels 7 and 8 - Equity futures and options
  • FIX/FAST 2.0 reset method with tag 269 = J
• Order Book Reset on Market Data Platform channel 9 - Interest Rate futures
  • Current FIX/FAST reset method

Both the current and new order book reset methods are detailed in the  FIX/FAST 2.0 Client Impact Assessment.

For questions, please contact CSET at 312.930.2322.

FIX tag 64-SettleDate on Production Parallel Channels
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 available on the ftp.cmegroup.com site. 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.

Please note: the new tag 64-SettleDate will be added to the Market Data Incremental Refresh (tag 35-MsgType=X) settlement messages this weekend for the parallel channels CME Equity futures (307), CME Interest Rate options (310), and CME FX futures (311). Tag 64-SettleDate is also available for testing on all channels in the New Release environment.

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. Information on the new channels will be added to the config.xml file this Sunday, May 23. The channels will be available for customers and broadcasting heartbeats as of Sunday, June 6.

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

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 are currently available for customer testing in the New Release environment.

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 are currently available for customer testing in New Release.

SO2 Emission Allowance Vintage 2009 Futures
Effective Sunday, June 6 (trade date Monday, June 7), SO2 Emission Allowance Vintage 2009 futures will be listed for trading on CME Globex.

The CME Globex codes for the Vintage 2009 futures will be tag 55-Symbol=VO and tag 1151-SecurityGroup=VAF.

The Environmental Protection Agency's (EPA) Clean Air Act Amendments of 1990 set a goal of reducing annual sulfur dioxide emissions. Reductions in SO2 emissions are facilitated through a market-based cap and trade system - the centerpiece of the EPA's Acid Rain Program. The new sulfur dioxide contracts will allow more flexibility in trading attributable to the vintage mechanism of this product. Compliance emitters under the EPA's Program can now have physically delivered previous vintage SO2 certificates for compliance purposes.

The new SO2 Emission Allowance Vintage 2009 futures are currently available for customer testing in New Release.

 Cash-Settled Cheese Futures and Options
Effective Sunday, June 19 (trade date Monday, June 20), Cash-Settled Cheese futures, calendar spreads and options will be listed for trading on the CME Globex platform.

The CME Globex codes for Cash-Settled Chees futures and spreads will be tag 55-Symbol=DY and tag 1151-SecurityGroup=CSC. Options on futures will have tag 55-Symbol=CQ and tag 1151-SecurityGroup=CSC.

Cheese is made from Class III milk. Dry whey is a byproduct of processing the milk into cheese. Manufacturers, processors, food companies and others have used the Class III contract to meet their hedging needs since 1996 and the Dry Whey futures contract launched in 2007. The Cheese futures will complete the dairy crush with which the original commodity as well as its product and byproducts can be hedged.

The Cash-Settled Cheese product will be available for customer testing in New Release Monday, June 5.

 Maximum Order Quantity Changes for NYMEX and COMEX Products
The maximum order quantity changes for all NYMEX and COMEX futures, options and spreads, previously scheduled for Sunday, June 6, have been postponed. More information will be published in the CME Globex Notices as it becomes available.

 FIX tag 1147-UnitofMeasureQty and tag 996-UnitofMeasure
Starting Sunday, June 20, the values in FIX tag 1147-UnitofMeasureQty and tag 996-UnitofMeasure will be updated for the following futures listed on CME Globex. These tags are currently sent in the Security Definition messages; this launch is designed to make the values for futures accurate and consistent.

Please note: CME Group recommends tags 1147 and 996 only be used for futures and variable quantity products. The information in these tags is not supported for options and future spreads.

Tags 1147 and 996 are sent in the SecurityDefinition message (tag 35-MsgType=d) and are used together to determine the contract size for the futures instrument. For example, for a Eurodollar futures contracts, tag 1147-UnitofMeasureQty=1000000 and tag 996-UnitofMeasure=USD indicate a contract size of USD $1,000,000. More information on these tags is available in the  FIX/FAST Message Specifications and, for variable quantity products, in the  Variable Quantity Client Impact Assessment.

With this launch, the following valid values will be added for tag 996-UnitofMeasure:

• ALLOW – Allowance
• CER – Certified Emission Reduction units
• CRT – Climate Reserve Tonnes
• MTONS – Metric Tons

The following values will no longer be valid for tag 996-UnitofMeasure:

• CHIIP – Carville-Hurricane Index Percentage
• CHIP – Carville-Hurricane Index Percentage
• DEM – Deutsche mark
• GRAMS – Grams
• METON – Metric Tons
• MP – Mexican Peso
• TRY – Turkish lira

 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. Detailed information on this migration is now available  online.

A  client impact overview is also available.

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.