CME Globex Notices: September 17, 2012

 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.

This release also features iLink messaging changes. Detailed information on this launch, including impacts, launch schedules and fallback procedure, is available in the  Client Impact Assessment. An   overview of the mock trading sessions is now available. Customers must register  online to participate.

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 Thursday, October 4. Mass Quote sessions that wish to participate in the Early Adopter phase must be designated no later than Wednesday, September 19. 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.

For an overview of the Globex Performance Release, please see the  CME Globex Technology Update 2012 webinar or the  presentation is also available.

CME Group Full Technology Freeze
Starting on Monday, September 24 through Saturday, October 13, CME Group will have a full technology freeze. The freeze applies to the following:

• New iLink session requests
• Drop Copy additions
• New Cancel on Disconnect (COD) configurations
• COD configuration changes
• New EOS Trader IDs
• New CME Direct IDs

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

FIX/FAST Operators Release
 

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.

Starting on Sunday, August 12, 2012, the current Production channels without operators will also be available in the Certification environment.

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).

USD-Denominated Ibovespa Futures
Effective Sunday, October 21 (trade date Monday, October 22), the USD-Denominated Ibovespa futures (tag1151-SecurityGroup=IBV, tag 55-Symbol=IB) will be listed for trading on CME Globex.

The USD-Denominated Ibovespa futures are a cross-listing arrangement between CME Group and BM&FBOVESPA (BVMF) involving S&P 500 Index and Bovespa Index (IBOVESPA) futures. This new cross-listing arrangement provides our customers access to Brazil's key benchmark equity index futures product.

CME Group will calculate the price limits daily for the USD-Denominated Ibovespa futures. The daily price limits will be equal to the prior day BVMF Ibovespa futures settlement price ±10% the prior day settlement price at BVMF.

Customers are strongly encouraged to utilize Security Status (tag 35-MsgType=f) to obtain the daily price limits (tag 332-HighPx; tag 333-LowPx) to avoid rejection of orders that breach price limit thresholds.

Customers may also obtain the daily price limits of the Security Definition (tag 35-MsgType=d) from the instrument replay feed (tag 1149-HighLimitPrice; 1150-LowLimitPrice).

Please note the opening time of USD Denominated Ibovespa futures will vary throughout the year due to Daylight Saving Time changes in Brazil and Chicago.

The USD-Denominated Ibovespa futures will be available in New Release for customer testing on Monday, October 1.

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

Standard-Size and E-micro USD/Offshore RMB (CNH) Futures
Effective Sunday, November 18 (trade date Monday, November 19), standard-size and E-micro USD/Offshore RMB (CNH) futures will be listed for trading on CME Globex.

These futures feature physical delivery of Chinese Renminbi in Hong Kong (CNH), priced in interbank terms of Chinese Renminbi per U.S. dollar and associated daily settlement variation banked in Chinese Renminbi offshore in Hong Kong. The new CME USD/CNH futures will help international market participants hedge their U.S. dollar risk exposure to the deliverable Chinese currency.

These futures will be available in New Release for customer testing on Monday, October 22.

This contract is listed with, and subject to, the rules and regulations of CME.

 Natural Gas Futures and Spreads
In Q4 2012, natural gas futures, futures strips and intercommodity spreads will be listed on CME Globex pending regulatory review periods. A complete list product names and codes are available  online.

With this launch, the following new spread types will be introduced.

• Futures Strip Spread (tag 762-SecuritySubType=SA)
• Balanced Strip Spread (tag 762-SecuritySubType=SB)
• Unbalanced Strip Spread (tag 762-SecuritySubType=WS)
• Inter-commodity Strip Spread (tag 762-SecuritySubType=XS)

Detailed descriptions of these spread types are available  online.

Starting on Monday, August 13, 2012, these futures, and intercommodity spreads will be available on the Certification environment through September 10, 2012. A detailed schedule of New Release availability is available  online.

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

Decay Power Futures
In Q4 2012, three decay power futures will be listed for trading on CME Globex pending regulatory review periods.

Prior to the start of the month corresponding to the contract expiration month, decay products behave like an ordinary variable size contract. During their delivery month, the contract value is decremented daily; the decay start date and decrement amount is included in two new tags in the Security Definition message. Thus, the contract size and the cleared quantity for the delivery month will decrease, day by day, as the expiration of the contract approaches. Detailed information regarding these contracts is available in the  Client Impact Assessment.

The two new tags, 5818-DecayQuantity and 5819-DecayStartDate, are available now in the production FIX/FAST templates. No template updates are required.

These futures will be available in New Release for customer testing on Monday, September 17.

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

Power Futures
In Q4 2012, forty-five power futures will be listed for trading on CME Globex pending regulatory review periods. A complete list product names and codes are available  online.

These futures will be available in New Release for customer testing on Monday, September 17.

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

 Maximum Order Quantity Changes for Treasury Futures and Calendar Spreads
Effective Sunday, October 21 (trade date Monday, October 22), the maximum order quantity for Treasury futures and calendar spreads will be changed as follows:

Outright Futures:

• From 30,000 to 19,999 contracts for:
  • 2-Yr. U.S. Treasury Note (tag 1151-SecurityGroup=ZT, tag 55-Symbol=ZB)
  • 5-Yr. U.S. Treasury Note (tag 1151-SecurityGroup=ZF, tag 55-Symbol=ZB)
  • 10-Yr U.S. Treasury Note (tag 1151-SecurityGroup=ZN, tag 55-Symbol=ZB)
  • U.S. Treasury Bond Futures (tag 1151-SecurityGroup=ZB, tag 55-Symbol=ZB)
  • Ultra U.S. T-Bond futures (tag 1151-SecurityGroup=UB, tag 55-Symbol=ZB)

Calendar Spreads:

• From 30,000 to 29,999 contracts for the entire Treasury futures complex.

The maximum order quantity for every instrument listed on CME Globex is identified in tag 1140-MaxTradeVol, in the Security Definition (tag 35=d) message.

Customers are strongly encouraged to utilize tag 1140-MaxTradeVol, in the Security Definition (tag 35=d) message to obtain the maximum trading volume to avoid rejection of orders that breach maximum trading volume thresholds.

The maximum order quantity changes will be available in New Release for customer testing Monday, October 8.

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

Revised CME Globex Messaging Efficiency Program
Pending all relevant regulatory review periods, effective January 2, 2013, CME Group will revise the CME Globex Messaging Efficiency Program (“Program”) to more effectively target messaging that can negatively impact system performance, impair efficient access to the market and create unnecessary infrastructure and processing costs for market participants. Under the revised Program, CME Group will apply the Product Group Benchmarks at the executing firm level rather than at the clearing firm level.

Additionally, the revised Program includes messaging tiers and expanded Product Group Benchmarks as well as a refined appeals process for messaging surcharges.

Starting in October 2012, CME Group will begin distributing executing firm level messaging statistics to allow sufficient time for appropriate adjustments in messaging practices in advance of the revised Program becoming effective. Enforcement of the revised Program will begin trade date January 2, 2013. Please note that CME Group will continue to enforce the existing Program through December 31, 2012.

Under the revised Program, exceeding the established Product Group Benchmarks will result in executing firm surcharges of $1,000 per product group, per day. As a result, CME Group strongly encourages executing firms and their customers to evaluate their messaging practices to ensure compliance with the revised Program.

Detailed information on the CME Globex Messaging Efficiency Program is available  online.

For additional information, please contact your  Global Account Manager in the U.S. at 312 634 8700, in Europe at 44 203 379 3754, or in Asia at 65 6593 5574.