CME Globex Notices: May 30, 2011

New Mandatory iLink Tags
The new mandatory FIX tags which will enhance customer support and assist in market oversight are currently accepted in production on inbound iLink messages. Customers may begin populating these tags now; the final deadline is June 5, 2011. The five new tags will be used to identify:

• Front-end system
  • Should reflect the gateway application logging into the iLink session id
• Automated trading indicator flag
  • Does not have to dynamically change on a per-order basis from manual to automated
• Country of origin
  • Should reflect trader’s primary location; does not have to dynamically change based on trader's current location
  • For automated systems, the tag should denote the location of the system operator, not the trading system

To ensure customer readiness CME Group recommends the following action items must be completed prior to the Sunday, June 5, deadline:

• System Providers
  All customer order routing systems must complete the mandatory certification via AutoCert+ and support the population of the new tags; CME recommends this be completed by early April 2011 to allow customers sufficient time to download the software and populate the tags prior to June 5th.
• Trading customers
  • Ensure customer country/state information is gathered in preparation of populating the tags. This should be completed prior to an updated trading system being deployed.
  • Implement any proprietary or third-party software that enables populating the new mandatory tags.
  • Populate the new tags prior to Sunday, June 5.

These tags are available in New Release for customer testing. There are no impacts to FIX/FAST market data with this launch. Please contact your   Global Account Manager with any questions.

Please see the updated   Client Impact Document for a more detailed description of technical and data requirements.

 Network Time Protocol (NTP) Server Decommission
As a part of the expansion of CME Globex to Data Center 3, CME Group deployed new Network Time Servers. Customers who utilize the NTP synchronization service from CME Group are required to update their NTP configurations to the following NTP servers. These changes can be made at anytime. If the NTP configuration is not updated, customers may not be synchronized to CME clock source.

Customers should update their configuration to utilize the following NTP servers.

• 209.133.24.7
• 205.209.218.172
• 205.209.218.173

The following CME Network time Protocol (NTP) servers located at Data Center 1 will be decommissioned effective Friday, June 10, 2011:

• 65.164.7.70
• 65.164.7.71

Details on the Network Time Protocol Sever are available in the   Production Network Connectivity Guide.

S&P Indexes via Streamlined FIX/FAST
On June 13, 2011, CME Group is launching streamlined FIX/FAST, a new version of the FIX/FAST market data format, optimized for non-actionable price data. The initial launch of streamlined FIX/FAST will support S&P Indices market data. Streamlined FIX/FAST has a   dedicated message specification distinct from the CME Globex FIX/FAST format and a new template.

Please note: CME Group recommends customer systems pull the templates from the CME Group ftp site every week, prior to Sunday start.

To ensure S&P customers currently receiving ITC 2.1 market data have sufficient time to develop, certify (if applicable), and deploy the streamlined FIX/FAST solution, ITC 2.1 market data format will continue to be disseminated for approximately 5 months following the streamlined FIX/FAST launch.

Effective Monday, May 9, 2011, new functionality will only be implemented on streamlined FIX/FAST. Index launches will be supported on both ITC 2.1 and the new streamlined FIX/FAST.

Streamlined FIX/FAST is currently available in New Release for customer testing.

Detailed information for S&P Indices via streamlined FIX/FAST is available online in the   Client Impact Assessment.

MexDer Markets via CME Globex
In early Q3 2011, MexDer, Mercado Mexicano de Derivados markets will be available via CME Globex for iLink order routing and FIX/FAST market data. CME Group customers who would like to trade MexDer products must establish all appropriate agreements and accounts to be authorized to trade MexDer products. CME Group customers interested in accessing MexDer products via the CME Globex platform must develop and complete certification for new functionality and messaging specific to MexDer markets.

MexDer market data via CME Globex will utilize a new FIX/FAST template. The new template is currently available in New Release. A new mandatory certification suite is currently in AutoCert+ for customer systems planning to support MexDer via CME Globex.

MexDer markets via CME Globex are currently available New Release for customer testing.

The  client impact assessment provides detailed functionality and messaging for customer systems interested in supporting MexDer products via CME Globex.

Trade At Marker (TAM) Futures
Effective Sunday June 12, 2011, (trade date Monday, June 13), CME Group will introduce Trade At Marker (TAM) futures on CME Globex pending receipt of required regulatory approvals. TAM futures are similar to the existing Trade At Settlement (TAS) products, where customers can trade at a differential to a not-yet-known price. For TAS, the not-yet-known price is the end-of-day settlement price; for TAM, it is a “marker” price.

For any given product, there may be more than one marker available to trade. This launch includes a 4:30 p.m. London GMT time marker to correspond with the London market close and allow market participants to trade relative to the Exchange calculated marker price.

In the same way TAS uses “0” to represent the unknown settlement price and trades ± 10 ticks, TAM uses “0” to represent the price at the time of the marker and trades at ± 10 ticks.

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

The TAM marker prices will be disseminated via the Market Data Platform NYMEX ITC channel.

30-Day Federal Funds Mid-Curve Options
Effective Sunday, June 19 (trade date Monday, June 20), 30-Day Federal Funds Mid-Curve options will be listed for trading on CME Globex. The new Fed Funds Mid-Curve options are short-dated options on deferred Fed Funds futures that will expire on the last trading date of their expiration month, with reference to the daily settlement price of the underlying Fed Funds futures contract.

These options will be available for New Release for customer testing this Monday, June 6.

FIX tag 55-Symbol Changes for Energy Futures and Future Spreads –Postponed
 

The FIX tag 55-Symbol changes, originally scheduled for Sunday, June 5, 2011, have been postponed.

The New Release environment will be updated to match the production tag 55-Symbol values this Monday, June 6, 2011.

FIX tag 55-Symbol Consolidation for S&P 500 and NASDAQ-100 Options
Effective this Sunday, June 5, the Symbol (FIX tag 55) for the following equity options will be consolidated:

Please note: this change will have no impact on the tag 55 values for UDS.

To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for the listed options after their close this Friday, June 3. After 16:00 CT this Friday, June 3, all remaining GTC and GTD orders for these products will be cancelled by the CME Globex Control Center (GCC).

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

 Dynamic Strike Price Listing for Dairy, Livestock and Forest Product Options
In response to customer demand, dynamic strike price listing will be available for Livestock, Dairy and Forest product options on futures beginning June 6, 2011.

Dynamic strike price listing provides customers with the ability to trade in a strike price that has not previously been listed. The dynamically listed strike price must be in a proper strike interval and will be listed the first day on the open outcry platform, before being available the next business day on CME Globex.

Operational Russian Ruble Options Display Factor Changes
Effective Sunday, June 19 (trade date Monday June 20), changes to Tag 9787-DisplayFactor values will be implemented for Russian Ruble options.

This is an operational change only and does not impact the current minimum price increments allowed for the Russian Ruble Options under CME Rule 260A01.C. Price Increments. Russian Ruble options outright trades continue to occur at a minimum tick of US$0.00001 per Russian ruble (= $25) and US$0.000005 per Russian ruble (= $12.50) for cabinet trades. The new Tag 9787-Display Factor specifies 0.000001, as the options price at termination as it must align with the calculation of the expiring futures final settlement price.

These changes will be available for customer testing in New Release this Monday, June 6.

More information on tag 9787-DisplayFactor is available in the   FIX/FAST Message Specifications module of the FIX/FAST SDK.

E-mini MSCI Index Futures Delisting
Effective close of business Friday, June 17, the following E-mini MSCI Index futures will be delisted:

• E-mini MSCI Emerging Markets Index futures (tag 1151-SecurityGroup=EMI)
• E-mini MSCI EAFE Index futures (tag 1151-SecurityGroup=EFE)

Expansion of Listings for COMEX Gold Options
Effective Sunday, June 19 (trade date Monday June 20), CME Group will expand the contract listings for COMEX Gold options (tag1151-SecurityGroup=OG) such that options will be listed on each of the nearest twenty consecutive futures maturities. Currently options are listed on each of the nearest six consecutive future maturities. The June and December maturities are not included in this expansion and will continue to be listed for seventy-two (72) months.

The expanded listings will be available for customer testing in New Release this Monday, June 6.

Expansion of Listings for COMEX Silver Options
Effective Sunday, June 19 (trade date Monday, June 20), CME Group will expand the listing schedule for Silver options (tag 1151-SecruityGroups=SO) for trading on CME Globex as follows:

• Strike prices for the first three maturities will be at an interval of $.05 and an additional ten strike prices will be listed at $.25 increments above and below the highest and lowest five-cent increment, beginning with the strike price evenly divisible by $.25.
• All other trading maturities, strike prices are set at an interval of $.05 if the underlying futures price is less than $25.00 per troy ounce. If the underlying futures price is greater than $25.00 per troy ounce, strike prices are set at an interval of $.10 for the ± 20 ATM.
• An additional 10 strike prices will be listed at $.25 increments above the highest $.10 increment and an additional ten strike prices will be listed at $.25 increments below the lowest $.10 increment, beginning with the first available strike that is evenly divisible by $.25.

The expanded strike price listings will be available for customer testing in New Release this Monday, June 6.

Expansion of COMEX Copper Strike Price Listings
Effective Sunday, June 19 (trade date Monday, June 20), CME Group will expand the listing schedule for Copper options (tag 1151-SecurityGroup=HX) for trading on CME Globex as follows:

• Strike prices for maturities 1 through 3 will be listed at an interval of $.01 and an additional ten strike prices will be listed at $.05 increments ± the highest and lowest one-cent increment, beginning with the strike price evenly divisible by $.05.
• All other trading maturities, strike prices are at an interval of $.05 if the underlying futures price is less than $2.00 per pound. If the underlying futures price is greater than $2.00 per pound, strike prices are at an interval of $.05 for the ± 20 ATM.
• An additional 10 strike prices will be listed at $.25 increments above the highest $.05 increment and an additional ten strike prices will be listed at $.25 increments below the lowest $.05 increment, beginning with the first available strike that is evenly divisible by $.25.

The expanded strike price listings will be available for customer testing in New Release this Monday, June 6.

 Match Algorithm Change for CBOT Grain Futures Calendar Spreads
Effective Sunday, June 26 (trade date Monday, June 27), the CME Globex match algorithm for all CBOT Grain futures calendar spreads will be modified. The products will continue to utilize TOP order with a 40% FIFO/60% Pro-Rata split. However, the ‘leveling’ component of the algorithm, which assigns the residual volume to the largest orders in the book, will be replaced by a FIFO allocation.

Revised iLink Session ID Auto-Deletion Process
Effective Monday, May 9, CME Group will implement a revised quarterly iLink session ID auto-delete process. CME Group will replace the previous login requirement to avoid auto-deletion with a minimum message threshold requirement. This threshold will initially be set at 100 messages over a 6-month period; any iLink session ID with fewer than 100 messages will be flagged for deletion. For the purposes of this policy, a message is defined as an order, modify, cancel or mass quote.

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, May 9. Class A clearing firms will have six weeks to review their idle session IDs. All idle session IDs will be deleted at end of day June 24.