CME Globex Notices: December 17, 2012

Configuration File Maintenance
Effective Sunday, January 13, 2013, CME Group will perform maintenance on the FIX/FAST config.xml files at  ftp.cmegroup.com for all CME Globex environments.

The maintenance will include the removal of Source IP addresses that are no longer in use. The new config.xml will be available for customers to download on Sunday, January 13, 2013.

 iLink tag 1028-ManualOrderIndicator Change
Effective Sunday, February 24, 2013 (trade date Monday, February 25), CME Globex will enforce validation on tag 1028-ManualOrderIndicator to comply with  market regulatory requirements. iLink customers must submit the valid value for tag 1028-ManualOrderIndicator on all iLink inbound application messages to CME Group. If the iLink inbound application messages contain an invalid value in tag 1028, the message will be rejected.

This enforcement impacts the following inbound application iLink messages:

• New Order (tag 35-MsgType=D)
• Order Cancel Request (tag 35-MsgType=G)
• Order Cancel/Replace Request (tag 35-MsgType=F)
• Order Status Request (tag 35-MsgType=H)
• Quote Request (tag 35-MsgType=R)
• Security Definition Request (tag 35-MsgType=c)
• New Order Cross (tag 35-MsgType=s)
• Mass Quote (tag 35-MsgType=i)
• Quote Cancel (tag 35-MsgType=Z)

More information on iLink inbound messages is available  online.

This change will be available for customer testing in New Release on Monday, January 7.

 iLink tag 9717-CorrelationClOrID Length Increase
Effective Sunday, February 24, 2013 (trade date Monday, February 25), at customers’ requests, the length of tag 9717-CorrelationClOrID returned on all iLink and Drop Copy outbound application messages from CME Globex will be increased from 5 bytes to 20 bytes. This change will allow customers to better correlate iLink messages associated with a single order chain.

More information on iLink outbound messages is available  online.

This change will be available for customer testing in New Release on Monday, January 7.

 CME Globex Performance Enhancements
CME Group is in the process of upgrading our internal CME Globex hardware. In internal testing this change improved iLink and FIX/FAST performance by as much as 20%. These upgrades are part of our ongoing efforts to provide best-in-class technology and service on CME Globex.

• November 30, 2012
  • CME Equity Futures, excluding E-mini Equities
• December 7, 2012
  • CME Interest Rate Futures
  • NYMEX Crude Energy Futures
• December 14, 2012
  • CME Equity E-mini Futures
• January 4, 2013
  • CBOT Interest Rate Futures
  • CME Equity Options

 iLink Enhancements for MexDer via CME Globex
Effective Sunday, March 3 (trade date Monday, March 4), a number of enhancements will be launched for the Mercado Mexicano de Derivados (MexDer) North-to-South order routing solution.

These enhancements include:

• Introduction of the US Dollar Options
• Execution Report for Order Elimination – End of Session
• Execution Report for Order Cancel with incorrect side.

These changes will be available in New Release for customer testing and AutoCert+ on Monday, January 14. All customer order routing systems must complete the mandatory iLink and Fix/Fast certification via AutoCert+.

A mock trading session will be held Saturday, February 23. The Client Impact Assessment is now available  online.

Emission Options
Effective Sunday, January 13, 2013 (trade date Monday, January 14), the following emission options will be listed for trading on CME Globex.

The options will be available for customer testing in New Release on Monday, January 7, 2013.

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

 Standard-Size and E-micro INR/USD Futures
Effective Sunday, January 27, 2013 (trade date Monday, January 28),  standard-size and E-micro INR/USD futures will be listed for trading on CME Globex.

The standard-sized contract will have a notional amount of five million rupees, while the e-micro contract will be one-fifth of the size of the standard-sized contract, with a notional amount of one million rupees. Both contracts will be cash settled at final expiration to the reciprocal of the spot Indian rupee per U.S. dollar exchange rate as determined and published by the Reserve Bank of India, and will feature daily pays and collects calculated and banked in U.S. dollars. The two contract sizes are designed to offer greater precision for hedging currency risk and enhanced trading flexibility, which includes existing INR offering of OTC USD/INR Non-Deliverable Forward contracts.

These futures will be available for customer testing in New Release on Monday, January 14, 2013.

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, February 24, 2013 (trade date Monday, February 25), 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 are currently available for customer testing in New Release.

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

Match Algorithm Change for 10-Year Treasury Note Futures Calendar Spreads
Effective Sunday, January 6, 2013 (trade date Monday, January 7), the CME Globex match algorithm for the 10-Year Treasury Note futures calendar spreads will be modified to a 20% FIFO/80% Pro-Rata split, pending regulatory review periods. Currently, the match algorithm is 100% Pro-Rata.

The match algorithm effective for every CME Globex product is defined in the  CME Globex Product Reference in the  Client Systems Wiki.

The 10-Year Treasury Note futures calendar spreads with the modified match algorithm is currently available for customer testing in New Release.

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

Implied Calendar Spreads on Energy Futures
Effective Sunday, January 6, 2013 (trade date Monday, January 7), the following implied calendar spreads will be listed on CME Globex for the first six maturities for all combinations:

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

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

 Energy Futures and Options Display Factor Changes
Effective Sunday, January 13, 2013 (trade date Monday, January 14), changes to tag 9787-DisplayFactor will be implemented for the following energy futures and options:

These changes will be available for customer testing in New Release on Monday, January 7, 2013.

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

CME Globex Equity Index Circuit Breaker and Daily Price Limit Changes for Futures and Options
Effective Sunday, February 3, 2013 (trade date Monday, February 4), changes to  circuit breaker methodology and price limits will be introduced on CME Globex for Equity Index futures and options, pending regulatory review periods.

Currently, price limits are established on a quarterly basis based upon the average closing price of the lead month futures contract in December, March, June and September. With this change, the width of the equity index futures price limit band will be calculated daily, based on the underlying cash equity index.

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

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

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

If you have any questions, please contact the  CME Global Command Center in the U.S. at +1 312 456 2391, in Europe at +44 20 7623 4708 or in Asia at +65 6223 1357.

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 +1 312 634 8700, in Europe at +44 203 379 3754, or in Asia at +65 6593 5574.

 Messaging Efficiency Program Q1 Benchmarks
Effective trade date Tuesday, January 2, 2013, the following futures and spreads Product Group Benchmark Ratios will be increased as follows:

Additionally, both Soybean Oil and Soybean Meal futures & spreads will remain in the ZS Product Group, but only Soybean futures and spreads messaging and volume will be calculated when determining volume ratios for Messaging Efficiency Program purposes.

The Q1 2013 CME Globex Messaging Efficiency Program product group Benchmarks are now available  online.

With this change, ratios will apply to Executing Firms for all product groups during regular trading hours from 7:00 a.m. to 3:15 p.m. Central Time (CT).

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 executing firm must not exceed product-specific benchmarks. CME Group calculates product group Benchmarks based on a per-product Volume Ratio.

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 with any questions.

 New Release and Certification Environment Maintenance
Starting on Friday, January 4, 2013, CME Group will be performing maintenance on the New Release and Certification environments. As a result, all resting Good 'Till Cancelled and Good 'Till Date (GTC/GTD) orders will be cancelled and all User-Defined Spreads (UDS) will be eliminated at market close for the following:

New Release Environment – Friday, January 4, 2013
 

• CBOT Commodity, Equity and Interest Rates futures, options and spreads
• CME Commodity, FX and Interest Rates futures and spreads
• COMEX Commodity and Metal futures and spreads
• NYMEX Commodity and Energy futures and spreads
• BMD futures and spreads
• KCBT futures, options and spreads
• KRX futures
• MGEX futures, options and spreads

Certification Environment – Friday, January 11, 2013
 

• CBOT Commodity, Equity and Interest Rates options and spreads
• KCBT options and spreads
• MGEX options and spreads

If you have any questions, please contact  Certification Support for Electronic Trading (CSET) at 312 930 2322 for assistance.

CME Group Regional Failover Mock Trading Session
On Saturday, January 26, 2013, CME Group will conduct a Regional Failover customer mock trading session. The mock trading session is designed to allow customers to test connectivity to the  New York Data Center (NYDC) in the case of a regional event that affects the Chicago metropolitan area. During the regional failover mock, customers who are on the CME Group network and who connect to CME Group from outside the Chicago metropolitan area will automatically be rerouted to the NYDC.

An  overview of the mock trading session is now available. Customers must register  online to participate.

Please contact your  Global Account Manager in U.S. at 312-634-8700, in Europe at 44-203-379-3754, or in Asia at 65-6593-5574 for further information.

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