• CME Globex Notices: June 25, 2012

      • To
      • CME Globex Customers
      • From
      • Global Account Management
      • #
      • 20120625
      • Notice Date
      • 25 June 2012
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      Events and Announcements
      Critical System Updates

      Green Exchange Product Migration to NYMEX Now Available in New Release
      As previously announced, CME Group anticipates in the near future migrating all GreenX products to a CME Group exchange, delisting them from the Green Exchange and listing them on the NYMEX exchange. The date of this migration is dependent upon receipt of an order from the CFTC permitting such a migration.

      These products will use the same Symbol (tag 55) and SecurityGroup (tag 1151) as they do today, however the value in tag 207-SecurityExchange will be updated from GREE to XNYM.

      Market data for these products will continue to be available on the current FIX/FAST channels:

      • Channel 18 – NYMEX emissions futures (currently known as Green Exchange futures)
      • Channel 19 - NYMEX emissions options (currently known as Green Exchange options)

      These products are currently available in New Release with the new tag 207 value XNYM for customer testing. The production launch date will be announced in the CME Globex Notices as soon as it is available.

      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 this Sunday, July 1.

      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. A detailed schedule of the remaining channels is now available  online.

      New templates will be required for the impacted channels. Per the normal process, the new templates are currently available on the CME Group ftp site for New Release and Production, along with the current and last generation templates. More information on template management is available in the  Client Systems Wiki.

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

      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.

      †Please note: CME Group is not a member of the Options Pricing Reporting Authority (OPRA).

      Global Account Management will be hosting a  live webinar and interactive discussion on the FIX/FAST Operators Release on Thursday, July 12.

      NEW Reduction in User Defined Spread (UDS) Instrument Maximum Number of Legs
      Effective Sunday, July 15, 2012, the maximum number of outright legs allowed on a User-Defined Spread (UDS) will be reduced to 26. Currently, the maximum number of outright legs is 40.

      Security Definition Requests (tag 35-MsgType=c) with more than 26 outright legs will be rejected with Business Level Reject (tag 35-MsgType=j).

        Recursive UDS functionality will continue to be supported, and can be utilized to build strategies with more than 26 outright legs.

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

      Details on UDS functionality are available  online.

      Update CME Globex Performance Release
      New information is now available in the  Client Impact Assessment on the move to single IP for iLink sessions in the production and disaster recovery environments. Information on the iLink launch date for the Disaster Recovery environment on November 4, 2012, is also available.

      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.

      Global Account Management will be hosting a  live webinar and interactive discussion on the CME Globex Performance Release on Thursday, July 12.

      New Functionality

      Update iLink Enhancement for Cancel Type Indicator
      Effective this 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 cancellations triggered by an iLink Cancel Request.

      Tag 378-ExecRestatementReason is currently for customer testing in New Release.

      iLink Enhancements for MexDer Markets via CME Globex
      Effective Monday, July 23, 2012, the MexDer, Mercado Mexicano de Derivados Risk Management Gateway (RMG) will be available to MexDer’s clearing firms for risk management of North- to- South order routing customers via CME Globex.

      The RMG provides MexDer clearing firms with a backstop risk management tool that allows for the administration of limits on the accumulation of exposure in MexDer markets. Please contact  MexDer for more information on the RMG.

      With this launch, iLink messaging will be impacted. The iLink messaging behavior changes will be available for customer testing in New Release on Monday, July 2.

      The  client impact assessment provides detailed iLink message behavior changes for customer systems supporting MexDer products via Globex.

      A mock trading session will be held on Saturday, July 21. Please contact your  Global Account Manager for further information.

      Product Launches

      Bursa Malaysia Derivative Options on Crude Palm Oil Futures (OCPO)
      Effective Sunday, July 15 (trade date Monday, July 16), pending Malaysian Securities Commission approval, Bursa Malaysia Derivative will list options on Crude Palm Oil futures (tag 1151-SecurityGroup=OCPO) for trading on CME Globex.

      This product introduces a new format for tag 107-SecurityDesc (Example: OCPOJUL120335000C), as detailed below:

      Existing Format

      New Options on Crude Palm Oil Futures (OCPO) Format

      OKLI1205310153000C OCPOJUL120335000C
      • Bytes 1-4 – product code
      • Bytes 5-10 – instrument maturity in YYMMDD
      • Bytes 11-15 – strike price, left padded with 0 as needed
      • Bytes 16-17 – 00 for non-fractional strike price; fractional part in two decimal places for fractional strike price
      • Byte 18 – P for put option; C for call option
      • Bytes 1-4 – product code
      • Bytes 5-9 – instrument maturity in MMMYY
      • Bytes 10-14 – strike price, left padded with 0 as needed
      • Bytes 15-16 – 00 for non-fractional strike price; fractional part in two decimal places for fractional strike price
      • Byte 17 – P for put option; C for call option


      Options on Crude Palm Oil Futures (OCPO)

      Product tag 1151-SecurityGroup tag 55-Symbol (Outrights) tag 55-Symbol (UDS)
      Options on Crude Palm Oil Futures OCPO BP BZ

      The new option product and naming convention is currently available in New Release for customer testing.

      Please note: tag 107-SecurityDesc will remain unchanged for all other Bursa Malaysia Derivative futures and options.

      Product Changes

      Expansion of Listings for Nikkei 225 Dollar Futures
      Effective Sunday, July 15 (trade date Monday, July 16), CME Group will expand the listing of Nikkei 225 Dollar futures (tag-1151 SecurityGroup=NKD, tag 55-Symbol=NK) on CME Globex by adding 2 additional quarterly contract months, for a total of 4 quarterly contracts. Currently, only 2 quarterly contracts are listed.

      The new future quarterly contracts are currently available for customer testing in New Release.

      Events & Announcements

      NEW Messaging Efficiency Program Q3 Benchmarks
      Effective trade date Monday, July 2, 2012, a CME Globex Messaging Efficiency Program Product Group Benchmark will be added for the following product:

      Product Group Benchmark Ratios

      Product tag 55-Symbol Previous Ratio New Ratio
      Copper Futures & Spreads HG N/A 65:1

      The Q3 2012 CME Globex Messaging Efficiency Program Product Group Benchmarks are now available  online.

      The Product Group Benchmark Ratios are published quarterly, unless business circumstances for a particular product or product group require changes to be implemented more frequently.

      The CME Globex Messaging Efficiency Program creates fair business guidelines by which customers are billed a surcharge for overly high message rates. Under the CME Globex Messaging Efficiency Program, 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 Product Group Benchmarks based on a per-product Volume Ratio.

      Please contact your  Global Account Manager with any questions.

      NEW CME Group Live Webinar: CME Globex Technology Update
      Global Account Management at CME Group invites you to a live webinar and interactive discussion on Thursday, July 12. Topics will include:

      • Growth, Accomplishments and Enhancements
      • 2012 CME Globex Performance Release
      • FIX/FAST Operator Release
      • Performance and Bandwidth Projections

      Thursday, July 12
      9:00 a.m. CT

      Online live webinar

      In advance of the event, customers are encouraged to submit any questions they may wish to have answered during the session to their   Global Account Manager.

        Click here to register.