CME Globex Notices: February 11, 2013

 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.

• February 17, 2013
  • COMEX and NYMEX Metals Futures
  • Natural Gas Futures
• February 24, 2013
  • CME FX Futures
• March 3, 2013
  • CBOT Grain Futures
  • CBOT Equity Futures

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 future FIX/FAST enhancements, the CME Group will publish new FIX/FAST templates in the Production environment on Sunday, March 3.

The new templates are currently available in the New Release environment 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 are currently available in New Release environment for customer testing.

 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:

• 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.

Please Note: Due to customer feedback, CME Group will not disseminate Spread Leg information in the Security Definition message for BM&FBOVESPA at this time.

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

Certification for these changes is not 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.

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 and MGEX 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 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.

Denatured Fuel Ethanol Forward Month Futures
Effective Sunday, February 24 (trade date Monday, February 25), Denatured Fuel Ethanol Forward Month futures (tag 1151-SecurityGroup=FZE, tag 55-Symbol=EH) will be listed for trading on CME Globex.

The Denatured Fuel Ethanol Forward Month futures will be available for customer testing New Release on Monday, February 11.

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

Platinum and Palladium Options
Effective Sunday, February 24 (trade date Monday, February 25), options on Platinum and Palladium futures will be listed for trading on CME Globex.

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

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

 Implied Inter-Exchange MGEX-KCBT Futures Spread
Effective Sunday, March 10 (trade date Monday, March 11), the implied inter-exchange MGEX-KCBT Wheat futures spread (tag1151-SecurityGroup=MWE, tag 55-Symbol=MK, tag 207-SecurityExchange=MGKB) will be listed on CME Globex.

The inter-exchange spread will use the value IS in tag 762-SecuritySubType.

As with all listed inter-exchange spreads, market data for the spread instrument is only sent on the inter-exchange spread channel (801). Market data for the legs are only sent on the respective outright market data platform channels. Further details are available in the   Client Systems Wiki.

This inter-exchange spread will be available for customer testing in New Release on Monday, February 25.

 5-Year Eurodollar Mid-Curve Options
Effective Sunday, March 10 (trade date Monday, March 11), the 5-Year Eurodollar Mid-Curve options (tag 1151-Security Group=GE5, tag 55-Symbol=E5) will be listed for trading on CME Globex.

Eurodollar Mid-Curve options provide a wide variety of hedging and trading opportunities on the mid-range of the yield curve. Because they are short-dated, they offer a low premium, high time decay option alternative for trading this part of the curve. These new 5-Year Mid-Curve options will be listed with four quarterly and two serial expirations.

These options are available for New Release for customer testing on Monday, February 25.

 Singapore Fuel Oil 380 cst (Platts) vs. European 3.5% Fuel Oil Barges FOB Rdam (Platts) Futures
Effective Sunday, March 10 (trade date Monday, March 11), the following Singapore Fuel Oil 380 cst (Platts) vs. European 3.5% Fuel Oil Barges FOB Rdam (Platts) futures will be listed for trading on CME Globex.

These futures will be available for customer testing in New Release on Monday, February 25.

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

 Delayed Listing for Live Cattle Futures and Options
The listing of the August 2014 Live Cattle futures and options (tag 1151-Security Group=LE) maturity, normally scheduled for listing on Friday, March 1, will be temporarily delayed pending consideration of changes in contract specifications.

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

 Standard & E-micro Sized Onshore USD/RMB Futures Minimum Tick Increment Changes
Effective Sunday, March 3 (trade date Monday, March 4), changes to minimum tick increment Tag 969-MinPriceIncrement will be implemented for Standard & E-micro Sized onshore USD/RMB futures. These changes are subject to certification with the Commodity Futures Trading Commission.

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

These changes will be available for customer testing in New Release on Monday, February 18.

CME Globex Equity Index Circuit Breaker and Daily Price Limit Changes for Futures and Options
Effective Sunday, April 8, 2013 (trade date Monday, April 9), 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.

 CME Globex Messaging Efficiency Program Volume Ratios Calculations
Due to the President’s day holiday, CME Globex Messaging Efficiency Program Volume Ratios for all Product Groups included in the Program will not be calculated for trade date, Monday, February 18.

Revised iLink Session ID Auto-Deletion Process
On Monday, February 4, CME Group implemented 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 was distributed to Class A clearing firms this 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.