• CME Globex Notices: May 14, 2012

      • To
      • CME Globex Customers
      • From
      • Global Account Management
      • #
      • 20120514
      • Notice Date
      • 14 May 2012
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      Events and Announcements
      Critical System Updates

      Update  FIX/FAST Operators Release
      Based on customer feedback, the removal of the operators from CME FX futures channels 11 and 60 in the production environment, previously scheduled for Sunday, June 3, has been postponed to Sunday, July 1. On Sunday, June 3, 2012, these operators will be removed from the streamlined FIX/FAST Eris Exchange channel 190 in the production environment. The new template and updated messages will be available in New Release this Monday, May 21, and the new template will be available in Production this Sunday, May 20.

      The life cycle of the FIX/FAST protocol, including streamlined FIX/FAST, is rapidly approaching its end as an industry standard in the United States. The OPRA connected exchanges are eliminating FIX/FAST entirely by the end of this year. Given the increased availability of bandwidth as well as high speed connections such as co-location, compression has become less critical. In the short term, we are removing certain field operators (copy, default, delta and increment) from our data feed. In the longer term, CME Group continues to evaluate a next generation market data protocol.

      These operators will be removed from all production FIX/FAST and streamlined FIX/FAST channels on the Market Data Platform by Sunday, November 4, 2012. Detailed schedules for every channel will be published in the CME Globex and Market Data Notices.

      New templates will be required for the impacted channels. The new templates are currently available in New Release and Production. CME Group recommends customer systems pull the templates from the CME Group ftp site every week, prior to Sunday startup. More information on template management is available in the  Client Systems Wiki.

      These changes are currently available on all FIX/FAST channels in the New Release environment.

      As a result of this launch, bandwidth utilization over the Market Data Platform will ultimately increase. CME Group is contacting customers who may have over-subscription risk.

      Changes to Source IPs for the Market Data Platform B Feed for Non-GLink Connections
      Effective Sunday, June 17, 2012, CME Group will be changing multicast source IPs for the B feed only for non-  GLink connections. If a firewall or network device is configured with the source IP information, please correct your configuration to use the entire range of eligible addresses. Port, multicast addresses, and source IPs for each Market Data Platform channel are available in the config.xml file on the  FTP site as outlined in the Core Functionality of the  FIX/FAST SDK.

      Market data will be broadcast on all CME Group FIX/FAST channels in the production environment for customer testing on Saturday, June 16. Market data will be broadcast from the new B feed source IPs.

      • 8:30 - 9:00 a.m. CT: Connectivity testing
      • 9:00 - 10:00 a.m. CT: FIX/FAST market data replay

      As a reminder, CME Group requires that customers configure servers to connect to the Market Data Platform ports and multicast addresses for each desired channel. CME Group does not recommend restricting data flow via the source IPs, as these may change without notice.

      If you have any questions or concerns, please contact your  Global Account Manager. If you experience any connectivity issues, please contact the CME Global Command Center directly at 312.456.2391.

      CME Globex Performance Release
      CME Group is implementing iLink and FIX/FAST infrastructure upgrades to the CME Globex electronic trading platform that will result in reduced message response times and faster market data messaging. This release is expected to significantly reduce iLink round trip times and improve FIX/FAST performance. As a result, bandwidth utilization is expected to increase by 10-20%.

      This release also features iLink messaging changes. Detailed information on this launch, including impacts and launch schedules, is available in the  Client Impact Assessment.

      The FIX/FAST launch will be phased in over 5 weekends, August 26 through October 7, during which the source IPs for each channel will change. The iLink launch will feature an Early Adopter period, October 7 through October 12, and a production launch Sunday, October 14. All iLink sessions must migrate to new IPs and ports in order to access the new high performance production environment.

      Customers who wish to participate during the Early Adopter phase must select the sessions that will be migrated and inform their  Global Account Manager no later than Wednesday, October 3. Please note: To minimize the risk of business interruptions, CME Group strongly recommends that customers participating during the early adopter phase direct no more than 20% of their sessions to the new IPs and ports.

      Customer certification is not required, but CME Group strongly recommends all system providers test these changes thoroughly in New Release. Good 'Till Cancelled and Good 'Till Date (GTC/GTD) orders will not be impacted.

      Please contact your  Global Account Manager with any questions or concerns at 312 634 8700, in Europe at 44 203 379 3754, or in Asia at 65 6593 5574 for additional information.
      New Functionality

      iLink Enhancement for Order Handling Flag
      Effective Sunday, June 3, 2012 (trade date Monday, June 4), in response to Clearing Firm requests and in conjunction with a Futures Industry Association (FIA) initiative, iLink order routing will launch support for FIX tag 1031-CustOrderHandlingInst. This tag will allow trading and clearing firms to identify the source of any order.

      The value submitted on a new order in tag 1031-CustOrderHandlingInst will be passed through to the CME Clearing House at trade, and populated on all FIXML trade confirmation and allocation messages. It will also be supported by the CME Clearing House Give-up Payment System (GPS).

      When tag 1031-CustOrderHandlingInst is submitted on the New Order (tag 35-MsgType=D), it will be returned on all associated Execution Reports (tag 35=8).

      tag 1031-CustOrderHandlingInst
      Tag FIX Name Req Valid Values Format Description
      1031 CustOrderHandlingInst N A = Phone simple
      B = Phone complex
      C = FCM-provided screen
      D = Other-provided screen
      E = Client-provided platform controlled by FCM
      F = Client-provided platform direct to exchange
      G = FCM API or FIX
      H = Algo Engine
      J = Price at Execution (price added at Initial order entry, trading, middle office or time of give-up)
      W = Desk – Electronic
      X = Desk – Pit
      Y = Client – Electronic
      Z = Client – Pit
             		 String (1) Defines source of original order

      Tag 1031 is currently available in New Release for customer testing.

      Please contact the CME Clearing House at 312.207.2525 with any questions.

      iLink Enhancement for Cancel Type Indicator
      Effective Sunday, July 1, 2012 (trade date Monday, July 2), iLink order routing will support a new FIX tag 378-ExecRestatementReason on the Execution Reports for order eliminations (tag 35-MsgType=8, tag 39-OrdStatus=4) messages. This tag will indicate the source of the elimination request.

      tag 378-ExecRestatementReason
      Tag FIX Name Req Valid Values Format Description
      378 ExecRestatementReason N 8=Exchange (GCC)
      100=Cancel on Disconnect
      104=Cancel from CME Globex Credit Controls (GC2) violation
      105=Cancel from FirmSoft
      106=Cancel from Risk Management API (RMI)      		 Int (3) Used to identify originator of the order elimination.
       
      This tag will not be sent on eliminations triggered by an iLink Cancel Request.

      Tag 378-ExecRestatementReason will be available in New Release for customer testing on Monday, May 21.
      Product Launches

      Implied Inter-Exchange MGEX-CBOT Futures Spread
      Effective this Sunday, May 20 (trade date Monday, May 21), the following implied inter-exchange MGEX-CBOT Wheat futures spread (tag1151-SecurityGroup=MWE, tag 55-Symbol=MB, tag 207-SecurityExchange=MGCB) will be listed on CME Globex.

      The inter-exchange spread will use the value IS in tag 762-SecuritySubType.

      The spread instrument is only sent on the inter-exchange spread channel (801). The legs are only sent on their respective market data platform channels. Further details are available in the   Product Specific Functionality.

      This inter-exchange spread is currently available in New Release for customer testing.

      Nasdaq End-of-Month Options
      Effective this Sunday, May 20 (trade date Monday, May 21), the following Nasdaq End-of-Month (EOM) options will be listed for trading on CME Globex.

      Nasdaq End-of-Month Options
      Options tag 1151-SecurityGroup tag 55-Symbol (Outrights) tag 55-Symbol (UDS)
      Nasdaq 100 End-of-Month Options DNE XH 2Q
      E-mini Nasdaq 100 End-of-Month Options QNE NW 2V

      Please Note: The Nasdaq 100 End-of-Month options (tag 1151-SecurityGroup=QNE) will be available for trading from Sunday 5:00 p.m. – 8:15 a.m. Central Time (CT), Monday – Thursday 3:30 p.m.-8:15 a.m. (CT) only.

      With this launch, the week 5 of the Nasdaq 100 Weekly options (tag 1151-SecurityGroup=DN5) and E-mini Nasdaq 100 Weekly (tag 1151-SecurityGroup=QN5) options will no longer be listed for trading.

      The Nasdaq End-of-Month options are currently available in New Release for customer testing.

      These contacts are listed with, and subject to, the rules and regulations of CME.

      Bursa Malaysia Derivative Options on CME Globex
      Effective this Sunday, May 20 (trade date Monday May 21), options on FTSE Bursa Malaysia Kuala Lumpur Composite Index (KLCI) futures (tag 1151-SecurityGroup=OKLI) will be listed on CME Globex. With this contract, the spot month, the next month and the following two calendar quarterly months will be listed. Market data will be distributed on channel 23 of the Market Data Platform.

      Options on FTSE Bursa Malaysia Kuala Lumpur Composite Index (KLCI) Futures
      Product tag 1151-SecurityGroup tag 55-Symbol(Outrights) tag 55-Symbol(UDS)
      KLCI Options OKLI BO BU

      The new option is currently available in New Release for customer testing.

      NEW Short-Dated New Crop Options
      Effective Sunday, June 3 (trade date Monday, June 4), Short-Dated options on New Crop Corn and New Crop Soybean futures will be listed for trading on CME Globex.

      Short-Dated New Crop Options are options on December Corn and November Soybeans with earlier expiry dates than the standard options on those contracts. For each futures contract, three earlier expiring options will be listed. May, July, and September contract months will be listed for Short-Dated New Crop Options on CBOT Corn and Soybeans futures.

      Short-Dated New Crop Options
      Options tag 1151-SecurityGroup tag 55-Symbol(Outrights) tag 55-Symbol(UDS)
      Short-Dated Options on New Crop Corn Futures OCD OC CY
      Short-Dated Options on New Crop Soybean Futures OSD SQ PZ

      These options will be available in New Release for customer testing on Monday, May 21.

      These contacts are listed with, and subject to, the rules and regulations of CBOT.

      Black Sea Wheat Futures
      Effective Tuesday, June 5 (trade date Wednesday, June 6), Black Sea Wheat futures (tag 1151-SecurityGroup=BSW, tag 55-Symbol=BW) will be listed for trading on CME Globex.

      Please Note: The Security Definition (tag 35-MsgType=d) will be made available on Sunday, June 2.

      Black Sea Wheat futures will provide risk management and bring price discovery to the growing Black Sea region. This contract will have physical delivery at designated ports in Russia, Ukraine, and Romania.

      The Black Sea Wheat futures are currently available in New Release for customer testing.

      This contact is listed with, and subject to, the rules and regulations of CBOT.
      Product Changes

      NEW Expansion of European-style Weekly S&P 500 and E-mini S&P 500 Options
      Effective Sunday, June 3 (trade date Monday, June 4), the listing cycle for the European-style weekly options on the S&P 500 and the E-mini S&P 500 will be expanded to list 3 consecutive weekly options.

      Currently, only two consecutive weekly options contracts are list at any given time.

      European-style Weekly S&P 500 & E-mini S&P 500 Options
      Options tag 1151-SecurityGroup tag 55-Symbol
      S&P 500 Week 1 EV1 OS
      S&P 500 Week 2 EV2
      S&P 500 Week 4 EV4
      E-mini S&P 500 Week 1 EW1 EW
      E-mini S&P 500 Week 2 EW2
      E-mini S&P 500 Week 4 EW4

      These contracts are listed with, and subject to, the rules and regulations of CME.

      These changes will be available in New Release for customer testing on Monday, May 21.
       
      Events & Announcements

      Client Systems Wiki Now Available
      The CME Group new   Client Systems Wiki, a user-friendly and comprehensive information repository for client system development to CME Globex is now available. The Client Systems Wiki presents technical information for order entry, market data, risk management tools, and electronic trading business concepts.

      The following customer documentation will be available via the Client Systems Wiki.

      The existing PDF-formats customer documentation will be retired and no longer available as of Friday, June 1, 2012.

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