CME Globex Notices: January 21, 2013

Legacy FTP Site Removal
Effective this 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.

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

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 is currently available for customer testing in New Release.

 New Market Data Templates
To support upcoming FIXFAST enhancements, the CME Group will publish new FIX/FAST templates in the Production environment on Sunday, March 3.

The new templates will be available in the New Release environment on Sunday, January 27 for customer download.

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

Risk Management Interface (RMI) Application Programming Interface (API) Changes
Effective Sunday, March 10, 2013, changes will be implemented on the Risk Management Interface (RMI) Application Programming Interface (API) for FIX tags tag 372 – RefMsgType and tag 379 – BusinessRejectRefID as follows:

• The value of tag 372 – RefMsgType returned on all RMI business reject messages for block/unblock order entry from RMI API will be changed from UA to DA.
• The format of tag 379 – BusinessRejectRefID returned on all RMI business messages from RMI API will be changed from Int(16) to String(16) to support alphanumeric value of the “ID” field on the message being referenced.

More information on RMI Message Specification is available  online.

New RMI Schema files will be required for the RMI API. The new RMI Schema files for Production environment will be available for download from the CME Group ftp site on Sunday, March 10, 2013. More information on RMI Schema Files is available in the  Client System Wiki.

These RMI API changes and new RMI Schema Files will be available in New Release environment for customer testing on Monday, February 4, 2013.

 Market Data Enhancements for BM&FBOVESPA via CME Globex
Effective Sunday, March 17, 2013, the following market data enhancements will be implemented for the Brazilian Mercantile and Futures Exchange/Sao Paulo Stock Exchange (BM&FBOVESPA).

These enhancements are:

• BM&FBOVESPA Security Definition messages will include spread leg information;
• Incremental statistics messages will identify final and theoretical settlement prices;
• Incremental messages will support trade cancellations; and,
• Security Status messages will support the pre-open and auction states as well as the end of trading day.

The client impact assessment with complete details regarding these enhancements is available  online.

Certification for these changes is required. CME Group strongly recommends that all BM&FBOVESPA North-to-South order routing customers and system providers test the enhancements thoroughly in New Release starting on Tuesday, February 5. Test cases via AutoCert+ will be available for these enhancements beginning Monday, February 18.

BM&FBOVESPA market data via CME Globex will utilize a new FIX/FAST template. The new templates will be available in the New Release environment on Sunday, January 27 and Production environment on Sunday, March 3 for customer download.

A customer mock trading session will be offered on Saturday, March 16. CME Group strongly encourages that all customers participate in the mock trading session to ensure their ability to receive market data. Customers who plan to participate are requested to register with their  Global Account Manager.

 iLink Enhancements for MexDer via CME Globex
Effective Sunday, April 14 (trade date Monday, April 15), 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 are now available in New Release for customer testing and AutoCert+ certification. 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 to its current suite of Market Integrity Controls. Velocity Logic is designed to deter extreme market moves by detecting market movements of a predefined number of points within a predefined time period and reserve the market(s) when triggered. Velocity Logic is only triggered by movement in CME Group, MGEX and DME futures and future spreads markets.

With this launch, the following changes will take effect:

• An aggressing order with a price that triggers Velocity Logic functionality will cause that market to enter a reserved state. If the reserved market is the front month lead future, the underlying options will also be halted.
• An aggressing order that requires particular market scenarios (e.g., Fill and Kill, Minimum Quantity, Fill or Kill) that would trigger Velocity Logic will be rejected via an Execution Report-Reject message (tag 35-MsgType=8, tag 39-OrdStatus=8), with tag 58-Text=Order price submitted/derived violates Velocity Logic Threshold. The market will remain open.

More information on Velocity Logic is available  online.

These changes are currently available in New Release for customer testing. For the purpose customers testing the preliminary Velocity Logic values are:

• predefined point value: two times the greater of either the non-reviewable range or the price banding range
• predefined time value: one second

The non-reviewable range and price banding for every CME Globex product is defined in the  CME Globex Product Reference in the  Client Systems Wiki.

The production values for points and time will be announced prior to the launch in the CME Globex Notices.

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.

Standard-Size and E-micro INR/USD Futures
Effective this 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 the existing INR offering of OTC USD/INR non-deliverable forward contracts.

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

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

Henry Hub Natural Gas Look-Alike Last Day Financial TAS Futures and Calendar Spreads
Effective this Sunday, January 27, 2013 (trade date Monday, January 28), the Henry Hub Natural Gas Look-Alike Last Day Financial TAS futures and calendar spreads (tag 1151-Security Group=HHT, tag 55-Product Symbol=NA) will be listed on CME Globex.

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

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

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.

Expansion of Heating Oil 1 Month CSO
Effective this 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.

 Aluminum MW US Transaction Premium Platts (25MT) Futures MDP Channel Change
Effective Sunday, February 10, the Aluminum MW US Transaction Premium Platts (25MT) futures (tag-1151 SecurityGroup=AUP, tag 55-Symbol=ST) will be migrated to Market Data Platform (MDP) channel 33. Currently, these futures are broadcast via MDP channel 32.

This change will be available for customer testing in New Release on Monday, February 4.

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

CME Group Regional Failover Mock Trading Session
This 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.