CME Globex Notices: September 27, 2010

CME Globex Network Migration to New Data Center
As previously announced, to accommodate continued growth, CME Group has expanded its infrastructure and moved its CME Globex platform to a new state-of-the-art facility identified as data center 3. Phase 1 of the data center migration was completed as of August 8, 2010, where customers connected to the Globex data center using their new Production iLink IP addresses. As part of the Phase 2 of the data center migration in October, CME Group will migrate existing CME DIRECTLink, CME LNet, and Jackson Direct customer circuits from their current locations to the new data center.

A  client impact overview is also available.

Mock Trading Session
The first post- migration mock trading session, to ensure customers can access all CME Group applications, will be offered this Saturday, October 2, 8:30 a.m.- 10:00 a.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.

 Volume Controls for iLink Order Messaging
Latencies in CME Globex markets can be caused by customers sending messages at sustained, high frequencies. To protect all market participants from the negative effects of this extraordinary and excessive messaging, CME Group is modifying existing automated controls at the iLink session level to monitor for excessive new order (tag 35-MsgType=D) and order cancel/replace (tag 35=G) messaging. If an iLink session exceeds the designated message per second (MPS) threshold over a rolling three second window, subsequent order messaging will be rejected until the average MPS rate falls below the threshold. Effective Sunday, November 7, this threshold will be reduced to 500 MPS from the current 750 MPS. In addition, on Sundays 3:00 p.m. – 5:00 p.m. Central time (CT); and on Mondays – Thursdays, 4:30 p.m. – 5:00 p.m. CT, the order messaging threshold will be set at 100 MPS.

Implementing this volume control for new order and order cancel/replace messaging is designed to:

• Support valid trading activity; and,
• Prevent a malfunctioning trading system from impacting the markets

Please note the volume control for order cancel (tag 35=F) messaging will remain at the current 1,000 MPS threshold during trading hours, but will be set to 100 MPS on Sundays 3:00 p.m. – 5:00 p.m. CT, and Mondays – Thursdays 4:30 p.m. – 5:00 p.m. CT.

The volume controls for new order and order cancel/replace messages will be available for customer testing in New Release on Monday, October 18.

The CME Globex Market Performance Protection Policy is available  online.

For more information, please contact the   CME Globex Control Center at 312.456.2391.

 FIX/FAST Market Data Platform Channel Changes
Effective Sunday, November 21, the FX futures and options Market Data Platform channels will be split to better manage messaging rates and performance.

Channel 11 - CME FX Futures
 

• The current channel 11 will continue to broadcast CME FX futures with the exceptions noted below.
• New channel 60 will broadcast the following FX futures:
  • Tag 55-Symbol=6C
  • Tag 55=6E
  • Tag 55=6L
  • Tag 55=6M
  • Tag 55=6N
  • Tag 55=6R
  • Tag 55=CZ
  • Tag 55=KC
  • Tag 55=XR

Channel 12 - CME FX Options
 

• The current channel 12 will continue to broadcast CME FX options with the exceptions noted below.
• New channel 61 will broadcast the following FX options:
  • Tag 55-Symbol=0L
  • Tag 55=0M
  • Tag 55=0X
  • Tag 55=0Z
  • Tag 55=2C
  • Tag 55=2E
  • Tag 55=2N
  • Tag 55=3J
  • Tag 55=3N
  • Tag 55=FR
  • Tag 55=MO
  • Tag 55=OR
  • Tag 55=UO
  • Tag 55=X8
  • Tag 55=XD
  • Tag 55=XT

The change will not impact the volatility-quoted FX options on channel 6.

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 will be available in New Release for customer testing Monday, October 18.

 New Mandatory iLink Tags
Effective Sunday, June 5, 2011, new mandatory FIX tags will be introduced on inbound and outbound iLink messages to enhance customer support and assist in market oversight.

The new tags will be used to indentify:

• Front-end system
• Automated trading indicator flag
• Country of origin

All customer order routing systems must support and accurately populate these new tags, and complete the mandatory certification via AutoCert+ by June 5. The test suite will be available in AutoCert+, Monday, October 4, 2010.

The new tags will be available for testing in New Release, Monday, October 4, 2010.

There are no impacts to FIX/FAST market data with this launch.

A client impact assessment is available   online

COMEX, NYMEX, and DME Futures Enhancements
Effective fourth quarter 2010, a number of enhancements will be introduced for COMEX, NYMEX, and Dubai Mercantile Exchange (DME) futures and futures spreads on CME Globex.

The messaging and functionality impacts are documented online in the   Client Impact Assessment.

CME Group recommends all system providers supporting NYMEX, COMEX or DME futures test these changes thoroughly in New Release.

E-Micro Gold Futures
Effective this Sunday, October 3 (trade date Monday, October 4), E-Micro Gold Futures will be listed for trading on CME Globex.

The E-micro gold contract is one-tenth the size of the benchmark   100-oz full-size gold futures contract and carries a smaller initial margin requirement. It also has lower trading fees than the standard gold contract, but offers the same full investor safeguards of trading in CME Group's regulated environment.

E-Micro Gold Futures will be listed with tag 1151-SecurityGroup=MGC and tag 55-Symbol=QO.

The new E-Micro Gold Futures is available in New Release for customer testing.

 EUA and CER Futures Calendar and Intercommodity Spreads
Effective Sunday, October 17 (trade date Monday, October 18), calendar and intercommodity spreads for the following NYMEX futures will be listed for trading on the CME Globex platform.

• In Delivery Month European Union Allowance (tag 1151-SecurityGroup=EAF)
• In Delivery Month Certified Emissions Reduction(tag 1151-SecurityGroup=CRE)

The calendar spreads will use the value SP in tag 762-SecuritySubType. The intercommodity spreads will use the value IS in tag 762-SecuritySubType.

These new futures spreads will be available in New Release for customer testing this Monday, October 4.

 Cheese vs. Class III Milk Intercommodity Futures Spread
 

Effective Sunday, October 17 (trade date Monday, October 18), a new intercommodity spread for the Cheese vs. Class III Milk futures will be available for trading on the CME Globex platform.

The Cheese vs. Class III Milk intercommodity spread will be listed with tag 1151-SecurityGroup=CSC, tag 55-Symbol=DY and tag 762-SecuritySubType=IS.

This new intercommodity spread will be available for customer testing in New Release this Monday, October 4, 2010.

 Options on Weekly NASDAQ-100 and Weekly E-Mini NASDAQ-100 Futures
Effective Sunday, October 17 (trade date Monday, October 18), European-style weekly options on the NASDAQ-100 and E-mini NASDAQ-100 futures will be listed on CME Globex.

These NASDAQ-100 weekly options will expand the number of available expirations and provide our customers with more trading opportunities and increased flexibility for more efficient position management.

Benefits include expanded trading choices, certainty of exercise, and the precision and flexibility of additional listings.

A weekly expiration will be available for every Friday of the contract month except for the third Friday, the expiration day of existing American-style quarterly and serial options. In months that have five Fridays (October 2010, for example), a Week 5 weekly expiration will be listed for trading.

These new options will be available for customer testing in New Release this Monday, October 4, 2010

 Crude Oil Volatility Index (VIX^®) Futures and Gold Volatility Index (VIX^®) Futures
Effective Sunday, October 17 (trade date Monday, October 18), Crude Oil Volatility Index (VIX^®) Futures and Gold Volatility Index (VIX^®) Futures will be listed for trading on CME Globex platform.

These two futures contracts are based on volatility indexes that combine NYMEX’s and COMEX’s options market data on CME Globex for the crude oil and gold with the Chicago Board Options Exchange (CBOE) Volatility Index^® (VIX^®)  methodology. The Crude Oil Index will be a 30-day forward looking index value on option implied volatility while the Gold will be a 60-day forward looking index value on option implied volatility. These contracts will be listed on NYMEX (Crude Oil VIX) and COMEX (Gold VIX), and subject to, the rules and regulations of NYMEX, COMEX and Chicago Mercantile Exchange Inc.

These new futures will be available for customer testing in New Release this Monday, October 4, 2010.

 On-The-Run U.S. Treasury Futures
Effective Sunday, October 24 (trade date, Monday, October 25), On-the-Run (OTR) U.S. Treasury futures and intercommodity spreads will be listed for trading on CME Globex platform.

The OTR Treasury futures listing cycle will correspond to the U.S. Treasury auction cycle for 2-year, 5-year, and 10-year Treasury notes. Details on the OTR Treasury futures listing cycle are available  online.

The OTR Treasury spreads will use a new external name naming convention. The external naming convention will contain the actual ratio and both maturities for the underlying contracts.

• Convention: OTR Treasury spread, Ratio, Maturity
• New External Name: OTB 02-01 X0-Z0
• Defined Ratio: 2:1
• Month/Year Code: X0 and Z0

View the Tentative Auction Schedule of U.S. Treasury Securities   online.

The new On-The-Run (OTR) Treasury Futures will be available for customer testing in New Release Monday, October 4, 2010.

 Daily European Union Allowance (EUA) Futures
Effective Sunday October 31 (trade date November 1), the Daily European Union Allowance (EUA) Futures will be listed for trading on CME Globex. When launched, the Daily EUA Futures contract will be one of the emissions products (or “Green products”) available for trading via CME Globex and listed on NYMEX.

In addition, the Daily EUA Futures contract will be the first CME Globex daily expiration futures contract, and as such represents new functionality within CME Globex. For the Daily EUA Futures contract, the listing schedule will include two (2) daily contracts available for trading at any one time: the current trade date and the following trade date (the contract date). On the last trade date, trading will halt at 11:00 a.m. Central Time (CT) (5: 00 p.m. (UK) local time) and the Exchange for Related Position (EFRP) transaction session will end at 12:00 p.m. (CT) (6:00 PM (UK) local time).

Please note: During the week of October 31 through November 7 due to the end of British Summer Time (BST), trading will halt at 12:00 p.m. (CT) and the EFRP transaction session will end at 1:00 p.m. (CT).

The FIX/FAST Security Definition message (tag 35-MsgType=d) is being modified to support this new functionality. The following FIX tags will be leveraged for the Daily EUA Futures contract, as follows:

For daily expiration futures contracts:

• Tag 200-MaturityMonthYear will include the maturity date, in the YYYYMMDD format; the maximum tag length will remain 8 bytes.
• Tag 872-InstAttribValue = 19 identifies this as daily expiration futures contract.

To support extended testing time for this new daily expiration futures product type and the associated messaging tags, the Security Definition messages will be available in New Release, Certification and Production environments for CME Globex as of Monday, October 4. The Daily EUA Futures contract will be actionable in both the New Release and Certification test environments, but will be non-actionable in the CME Globex Production environment.

We advise customers to test this new product under current production code in the Certification test environment, and under the NYMEX-enhanced functionality in New Release test environment.

New Release Environment Harmonization
To provide a robust customer testing environment as close to production as possible, CME Group is harmonizing the New Release environment Monday, September 27. This synchronization will result in listed instruments in New Release better matching those listed in production; for instance, strike prices will match. The following impacts will occur:

• All FIX/FAST Security Definition messages, except NYMEX futures, will be available for customer testing per normal process Monday, September 27.
• All NYMEX futures will be available for customer testing on Monday evening, September 27.
• All Green Exchange options currently defined as Green Exchange (tag 207-SecurityExchange=GREE) products will become unavailable for customer testing from this Monday, September 27 to Friday, October 1. These options will become available for customer testing on Monday, October 4.
• All GTC and GTD orders will be removed.
• All User-Defined Spreads (UDS) will be eliminated
• The ISIN Codes for all currently listed products will be impacted.
  • CME Group recommends all customers purge and re-load their instrument databases from the Security Definition (tag 35-MsgType=d) market data messages every week.
  • There is no impact for customers who purge and re-load weekly, or who do not rely on the ISIN Code for instrument identification.
  • Please contact your front-end system provider for more information.

If you experience any testing issues in New Release, please contact Certification Support for Electronic Trading (CSET) at 312.930.2322 for assistance.

2-Year Treasury Note Options Strike Changes
Effective this Sunday, October 3 (trade date Monday, October 4), the strike listing rules for the 2-Year U.S. Treasury Note options (tag 1151-Security Group=OZT) will be expanded for all listed maturities.

With this change, all maturities of the 2-Year U.S. Treasury Note options will list at-the-money (ATM) ± 15 strikes. Currently, ATM ±10 strikes are listed for all maturities.

These changes in options listings are currenlty available in New Release for customer testing .

CME Co-Location Services Details and Application Process
Application Period: October 1 – 27, 2010
CME Co-Location Services – comprised of hosting, connectivity and support services – will launch early 2012 at our new state-of-the-art data center. The CME Group Data Center, designed to be environmentally friendly and energy efficient, will provide the following services:

• Power and Space
• Lowest Latency and Equidistant Access for All Customers
• Exceptional Support and Responsiveness

If you are interested in having the lowest possible latency connection to the CME Globex platform, contact your   Global Account Manager today.

 Learn more about CME Co-Location Services, visit   www.cmegroup.com/colo

 View   CME Co-Location Services Brochure (PDF)

 To request additional information and to apply, please contact your  Global Account Manager at +1.312.634.8700 in the United States; +44.20.7796.7100 in Europe; and +65.6593.5574 in Asia.

iLink Session ID Auto-Deletion Process
Effective Monday, October 4, 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 will be distributed to Class A clearing firms on Monday, October 4. Idle session IDs that have not been granted an exemption will be deleted at end of day November 5, 2010.

 CME Group Technology Conference
Wednesday, November 10, 2010
8:30 a.m. to 5:00 p.m.
CME Group at 20 South Wacker Drive, Chicago

CME Group's Technology Conference is a one-day event that hosts engaging speakers and expert practitioners with knowledge of relevant technologies and trends related to the financial industry. Presentations will be aligned with each of the following topics:

• Next Generation VM Languages
• Cloud Computing
• Development Processes and Methodologies

This complimentary conference welcomes developers, technology managers and testers who are interested in learning about how and where to apply these new technologies.

We have limited capacity, so registration is on a first-come, first-served basis.

Click   here to register.