CME Globex Notices: January 7, 2013

Configuration File Maintenance
Effective this 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.

 New Release Accounts for MexDer via CME Globex
Starting on Monday, January 21, 2013, existing order routing sessions in the New Release environment will be required to use new account values for MexDer's North-to-South order routing solution. All customer order routing systems must use the new account values provided by their  Global Account Manager when routing orders in the New Release environment.

If you have any questions, 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.

Legacy FTP Site Removal
Effective Friday, January 25, 2013, the legacy   ftp://ftp.cme.com domain name will no longer be available starting at 5:00 p.m. Central Time (CT). All customers should access the public CME Group ftp site using  ftp.cmegroup.com. Please update your scripts and bookmarks accordingly.

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=F)
• Order Cancel/Replace Request (tag 35-MsgType=G)
• 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.

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.

 Velocity Logic
Effective late Q1 2013, CME Group will introduce Velocity Logic functionality to its current suite of Market Integrity Controls designed to deter extreme market moves. Velocity Logic is advanced functionality designed to detect market movement of a predefined number of ticks either up or down within a predefined time and reserve the instrument(s) when applicable.

With this launch, the following changes will take effect:

• Velocity Logic will be triggered when the market moves up or down by a predefined tick value within a predefined timeframe. Predefined values will be published in forthcoming CME Globex notices.
• An accepted aggressing order with a price that triggers Velocity Logic functionality will cause the associated instrument(s) to enter a reserved state, and if applicable, the associated options to enter a pause state.
• An aggressing order with a price that triggers Velocity Logic functionality and is not accepted will be rejected via an Execution Report-Reject message (tag 35-MsgType=8, tag 39-OrdStatus=8), and tag 58-Text=Order price submitted/derived violates Velocity Logic Threshold. In this case, the market will remain open.

More information on Velocity Logic is available  online.

These changes will be available in New Release for customer testing this Monday, January 14.

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.

Emission Options
Effective this 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 Indian 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 Indian 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 thr 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.

Energy Futures and Options Display Factor Changes
Effective this 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 are currently available for customer testing in New Release.

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

 Delisting of 2 -Year Treasury Note vs.2-Year Deliverable Interest Rate Swap Intercommodity Spread
Effective Sunday, January 20, 2013 (trade date Monday, January 21), the 2-Year Treasury Note vs. 2-Year Deliverable Interest Rate Swap intercommodity spread (tag-1151 SecurityGroup=ZT, tag 55-Symbol=ZB) will be delisted from CME Globex.

The delisting of this intercommodity spread will be available for customer testing in New Release on Monday, January 14.

 Expansion of Heating Oil 1 Month CSO
Effective Sunday, January 27 (trade date Monday, January 28), the listing cycle for the Heating Oil 1 Month Calendar Spread Options (CSO) (tag 1151-SecurityGroup=FAY, tag 55-Symbol=XZ)will be expanded to list the first 35 consecutive one-month spreads. Currently, the first 3 consecutive one-month spreads are listed at any given time.

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

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

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.

New Release and Certification Environment Maintenance
This Friday, January 11, 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:

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.

Please note: During the mock trading session, S&P market data will not be available to out of region customers. Customers who connect in region (Chicago metropolitan area) will receive S&P market data over their A feed only.

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.

 Revised iLink Session ID Auto-Deletion Process
Effective Monday, February 4,, CME Group will implement a revised quarterly iLink session ID auto-delete process. The new process will require that all sessions must meet a minimum messaging threshold of 100 messages over 3-months to exempt themselves from this process. Previously, the messaging relative to the threshold was measured 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 a new order (tag 35-MsgType=D), order cancel/replace request (tag 35=G), order cancel request (tag 35=F), and mass quote (tag 35=i).

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.

An e-mail notification will be distributed to Class A clearing firms on Monday, February 4. Class A clearing firms will have 4 weeks to review their idle session IDs. All idle session IDs will be deleted at the end of the day on Friday, March 8. Details on the process are available  online.

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.