CME Globex Notices: October 18, 2010

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 are currently available for customer testing in New Release.

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 are available in New Release for customer testing.

Expanded Security Definition Messages for User-Defined Spreads
At customers’ requests, the following tags will be added to the Security Definition messages (tag 35-MsgType=d) for user-defined spreads. These tags are currently published on the Security Definition messages for outright instruments and exchange-defined spreads.

New tags for UDS Security Definition Messages

• Tag 461-CFICode
• Tag 731-SettlPriceType
• Tag 827-ExpirationCycle
• Tag 1148-LowLimitPrice
• Tag 1149-HighLimitPrice
• Tag 1180-ApplID
• Tag 1234-NoLotTypeRules
• Tag 1093-LotType
• Tag 1231-MinLotSize

In addition, tag 600-LegSymbol, in the repeating group tag 555-NoLegs, will now identify the Symbol (tag 55) for each leg. Currently, tag 600 always contains [N/A].

The expanded Security Definition messages will be launched according to the following schedule:

• Sunday, October 31
  • CME Interest Rate Options
• Sunday, November 7
  • CBOT Interest Rate Options
  • CME FX Options
• Sunday, November 20
  • CME and CBOT Agriculture Options
  • CME and CBOT Equity Options
  • NYMEX, COMEX and DME Options
• Sunday, December 12
  • Bursa Malaysia Derivatives Options

There will be no template changes for this launch.

The expanded Security Definition messages are currently available for customer testing in the New Release environment.

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 new tags are available in New Release for customer testing.

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

A client impact assessment is available   online

FIX/FAST Maintenance Release
Effective Sunday, November 7, the FIX/FAST maintenance release will launch on CME Globex.

This launch will impact the Security Definition (tag 35-MsgType=d,) and Security Status (tag 35=f) messages. Details on the enhancements are available in the   Client Impact Assessment.

Certification is not required and there are no new templates. Customers and system providers are encouraged to test the enhancements thoroughly in New Release starting this Monday, October 25.

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.

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 are available in New Release for customer testing.

 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. This new product will be delisted from trading on the NYMEX Exchange and listed for trading on the Green Exchange Sunday, January 23, 2011 (trade date Monday, January 24).

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 are available in New Release, Certification and Production environments for CME Globex. 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.

This new products will be migrated to Green Exchange products in New Release for customer testing Monday, November 8, 2010. This product will use the same SecurityGroup (tag 1151) and Symbol (tag55) as they do today; however the value in tag 207-SecurityExchange will be updated from XNYM to GREE.

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.

 Monthly and Seasonal Strip Rainfall Index Futures
Effective Sunday, October 31 (trade date Monday, November 1), the following new monthly and Seasonal Strip Rainfall Index Futures will be listed on the CME Globex platform.

Rainfall Index Futures & Strips are geared to the amount of rainfall recorded in a given month in a designated location. They provide a way to:

• Protect revenues and manage risks related to rainfall
• Accept the risks related to rainfall in exchange for possible profit

These instruments will be available for New Release testing on Monday, October 25, 2010.

 Brent Look-Alike Crude Oil Options
Effective Sunday, November 14 (trade date Monday, November 15), the Brent Look-Alike Crude Oil Option contract (tag 1151-SecurityGroup=BE) will be listed for trading on CME Globex. This product is already available on the NYMEX trading floor and CME ClearPort.

The Brent Look-Alike Crude Oil option contract will be available in New Release for customer testing Monday, November 1, 2010.

 Green Exchange Product Migration
Effective Sunday, January 23, 2011 (trade date Monday, January 24), the existing Green products will be de-listed from trading on the NYMEX Exchange and listed for trading on the Green Exchange (the “Transition”).

As previously announced, Green Exchange products will be available for trading via CME Globex and privately-negotiated transactions may be submitted for clearing through CME ClearPort. Upon the Transition, an additional number of NYMEX emissions products currently listed on the CME Globex platform will be migrated to the Green Exchange.

Currently, select Green Exchange products are available for customer testing in New Release. Effective Monday, November 1, 2010, the following NYMEX products will be migrated to Green Exchange products in New Release for customer testing. These products will use the same SecurityGroup (tag 1151) as they do today; however the value in tag 207-SecurityExchange will be updated from XNYM to GREE. In addition, the value in tag 55-Symbol will be changed for the Green Exchange products.

The new products and Security Definition messages will be available for customers testing on their current channel 32 in New Release environment on Monday, November 1, 2010. Effective Monday, November 8, 2010, these products will be available on the new Green Exchange MDP channel 18 for customer testing in New Release.

These products will be available for trading via CME Globex Sunday, January 23 (trade date Monday, January 24).

Cash-Settled Cheese Futures Strips
Effective Sunday, October 31 (trade date Monday, November 1), 3-, 6-, and 9-month strips on cash-settled cheese futures will be listed for trading on CME Globex.

These strips will use tag 55-Symbol=DY, tag 1151-SecurityGroup=CSC and tag 762-SecuritySubType=FS.

The new strips are currently available for customer testing in New Release.

Display Quantity Orders for CME Interest Rate Options
 

Effective Sunday, October 31 (trade date Monday, November 1), at CME Globex customers’ requests, Display Quantity orders (also known as Iceberg and Max Show orders) will no longer be supported for CME Interest Rate options. Any New Order (tag 35-MsgType=D) or Order Cancel/Replace Request (tag 35=G) messages with tag 210-MaxShow populated will be rejected via an Execution Report-Reject message (tag 35-MsgType=8, tag 39-OrdStatus=8), with tag 103-OrdRejectReason=1013 and tag 58-Text=Invalid order qualifier 'Order's group: symbol is ineligible for Display Quantity Order.

This change is currently available for customer testing in New Release.

 CME Co-Location Services Details and Application Process
Reminder: Application Period: Now Open through October 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.

Please note the Application Period will close on Wednesday, October 27, 2010 at 5:00 p.m. Central Time.

 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.

CME Co-Location Briefing Center Now Open
 

For your convenience, the CME Co-Location Briefing Center is now open and located at 141 West Jackson in Chicago, IL.

The Briefing Center includes displays of:

• Cabinets and Cages
• Cabling Options
• Power Strips

Conference room facilities are also available.

To access the Briefing Center, an appointment is needed. Please contact your  Global Account Manager for further information and to schedule an appointment today.

iLink Session ID Auto-Deletion Process
On 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.

 Pre-Open Schedule Change
Effective Monday, November 15 , the Monday through Thursday afternoon pre-open for CME, CBOT, KCBT and MGEX products on CME Globex will begin 5 minutes earlier, at 4:45 p.m. Central time. With this change, the afternoon pre-open times will match the current schedule for NYMEX, COMEX and DME products. The trading schedules for all products will remain as currently scheduled.

During the pre-open market state, customers may begin entering, modifying and canceling orders for the next trading day. The pre-open market state is identified in the FIX/FAST Security Status (tag 35-MsgType=f) message in tag 326-SecurityTradingStatus=21.

The new pre-open schedule will be available for customer testing in New Release Monday, November 1.

Messaging Policy Q4 Benchmarks
The Q4 2010  Messaging Policy benchmarks are now available online.

The benchmarks are published quarterly and are based on the per-product Volume Ratios, including the prior quarter's roll trading.

The CME Globex Messaging Policy creates fair business guidelines by which customers are billed a surcharge for overly high message rates. Under the CME Globex Messaging Policy, each clearing member firm (active or inactive clearing member firms which maintain relationships with CME Clearing) must not exceed product-specific benchmarks, tailored to the valid trading strategies of each market. CME Group calculates benchmarks based on a per-product Volume Ratio.