• CME Globex Notices: July 5, 2010

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      • CME Globex Notices
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      • Global Account Management
      • #
      • 20100705
      • Notice Date
      • 05 July 2010
      • Effective Date
      • 05 July 2010
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      Events and Announcements

      Critical System Updates

      CME Globex Data Center 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 available  online.

       client impact overview is also available.

      First Mock Trading Session
      The first mock trading session, to ensure customers can connect to, receive market data and trade from the new CME Globex data center, will be offered Saturday, July 17, 8:00 a.m. – 2:30 p.m. Central time. An  overview of the mock trading session is now available. Customers must  register online to participate.

      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.

      New Functionality

      NEW CME Globex Performance Enhancements for Interest Rate Futures
      Effective this Sunday, July 11, 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, this upgrade is expected to reduce 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.

      Bursa Malaysia Derivatives Products on CME Globex
      Effective Sunday, September 19, 2010 (Chicago time)/Monday, September 20 (Malaysia time), pending Malaysian Securities Commission approval, Bursa Malaysia Derivatives™ products will be available for trading on the CME Globex platform.

      New and existing CME Group customers who would like to trade BMD products must establish all appropriate agreements and accounts with a Bursa Malaysia Clearing Firm to be authorized to trade BMD products. Contact your  Global Account Manager at CME Group for more information.

      FIX/FAST-format market data will be enhanced to support BMD products on CME Globex as outlined in the  Bursa Malaysia Derivatives Client Impact Assessment. There are no impacts to iLink order routing for this launch.

      BMD products are currently available in New Release for customer testing.

      Product Launches

      E-mini and E-micro S&P CNX Nifty (Nifty 50) Futures
      Effective Sunday, July 18, E-mini and E-micro S&P CNX Nifty (Nifty 50) futures will be listed for trading on CME Globex.

      CME Group has partnered with The National Stock Exchange of India (NSE) and Standard & Poor's to offer trading institutions two smart new ways to take part in the dynamic opportunities of the Indian stock market.

      The E-mini S&P CNX Nifty futures will be listed with tag 1151-SecurityGroup=EMF and tag 55-Symbol=FN. The E-micro S&P CNX Nifty futures will be listed with tag 1151=MNF and tag 55=FN.

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

      NEW Dow Jones CME FX$INDEX Futures
      Effective Sunday, July 25 (trade date Monday, July 26), Dow Jones CME FX$Index futures will be listed for trading on CME Globex.

      The contract is based on a new, inversely quoted, currency-weighted index and is designed for efficient hedging against a basket of the most frequently traded CME FX futures: the Euro FX, Japanese yen, British pound, Swiss franc, Canadian dollar and Australian dollar contracts, all traded against the U.S. dollar. The basket is weighted to reflect world trade but also refined to allow more precise hedging. More information is available  online.

      The Dow Jones CME FX$Index futures will be listed with tag 1151-SecurityGroup=FXD and tag 55-Symbol=DX.

      This new FX future is currently available for customer testing in New Release.

      NEW Options on Corn-Wheat Intercommodity Spread
      Effective Sunday, July 25 (trade date Monday, July 26), options on the Corn-Wheat futures intercommodity spread will be listed for trading on CME Globex.

      Corn-Wheat intercommodity spread options will provide market participants with a new alternative for trading the relationship between corn and wheat, which are closely linked by market fundamentals such as available planting acreage, demand for feed and the impact of weather.

      These options will be listed with tag 1151-SecurityGroup=ZCW and tag 55-Symbol=Q3.

      These options on the Corn-Wheat futures intercommodity spread will be available in New Release for customer testing Monday, July 12.

      Product Changes

      FIX tag 1147-UnitofMeasureQty and tag 996-UnitofMeasure
      Starting this Sunday, July 11, 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.

      FIX tag 1147 and 996 for Futures

      Products New Release Launch Production Launch
      All CBOT Futures Monday, June 7 Sunday, July 11
      All CME Futures except Weather Monday, June 7 Sunday, July 11
      All KCBT Futures Monday, June 7 Sunday, July 11
      All MGEX Futures Monday, June 7 Sunday, July 11
      All COMEX Futures Monday, June 21 Sunday, July 11
      All NYMEX Futures Monday, June 21 Sunday, July 11
      All CME Weather Futures Monday, July 12 Sunday, July 18

      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

      Update 3-Deep Options Market Data
      Effective this Sunday, July 11, in response to customer requests, the market data book depth for the NYMEX Crude Energy (channel 35) and COMEX Metals (38) options channels will change to three deep. Currently, these markets only support top-of-book market depth in FIX/FAST.

      On Sunday, August 22, the market data book depth for the remaining top-of-book only options channels, CME Interest Rates (10), CME Commodity (14), Non-Crude Energy (36), NYMEX Alternative Markets (37), CBOT Commodity (112), MGEX (119) and KCBT (121), will change to three deep.

      This change will result in a move to the incremental book management style from the current overlay style, as reflected in tag 279-MDUpdateAction in the Market Data Incremental Refresh message (tag 35=X). Valid values for this tag will now include 0 (New), 1 (Change) and 2 (Delete).

      The book depth for every instrument on CME Globex is detailed in tag 264-MarketDepth in the Security Definition (tag 35-MsgType=d). CME Group strongly recommends customer applications utilize tag 264 to identify the supported instrument book depth level dynamically. CME Group also recommends all customer applications should be designed to leverage all possible values for tag 279-MDUpdateAction in the Market Data Incremental Refresh message (tag 35=X) for all markets and channels, to minimize the impact of future book depth changes.

      The FIX/FAST Software Development Kit, including details on book management in the Core Functionality module, is available  online. Please contact Certification Support for Electronic Trading ( CSET) at 312.930.2322 for development assistance.

      All options channels in New Release are currently three-deep for customer testing.

      NEW FX Options VTT Eligibility
      Effective Sunday, July 25, the following CME FX options on futures will change to the variable minimum tick increment of 02. Currently, these instruments use a fixed tick increment.

      • EUR/CHF (tag 1151-SecurityGroup=RF)
      • EUR/JPY (tag 1151=RY)
      • EUR/GBP (tag 1151=RP)

      The Variable Tick Table (VTT) values and corresponding minimum tick increments per price are defined in the instrument’s Security Definition message (tag 35-MsgType=d) in the repeating group tag 871-InstAttribType=23, tag 872-InstAttribValue=variable tick table value, as described in the  FIX/FAST Message Specifications module of the FIX/FAST SDK.

      These options will be available with the VTT enabled in New Release for customer testing Monday, July 12.

      Implied Functionality for CBOT Corn Futures 
      As previously announced, effective August 29, 2010, implied functionality will be disabled for CBOT corn futures and spreads (tag 1151-SecurityGroup=ZC).

      Implied functionality is being disabled in the CBOT Corn futures from August 29, 2010, through December 31, 2010, to determine if more robust markets in highly liquid contracts can be improved without the implied spreads. We will monitor the market during this period for signs of market quality degradation and, if observed, we will reinstate the implied functionality. Based on the assessment over this period, a decision on the use of the implied spreading functionality for corn futures going forward will be made. More information on this change is available  online.

      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.