CME Globex Notices: March 11, 2013

Velocity Logic
Effective this Sunday, March 17 (trade date Monday, March 18), 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. The Velocity Logic values in Production and New Release 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.

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.

 Market Data Enhancements for BM&FBOVESPA via CME Globex
 

Effective Sunday, March 24, 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 23. An  overview of the mock trading session is now available. 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+.

The Client Impact Assessment is now available  online.

Interest Rate Intercommodity Spreads
Effective Sunday, May 5 (trade date Monday, May 6), a new Interest Rate Intercommodity Spread type (tag 762-SecuritySubType=DI) will be introduced on CME Globex. With this launch, the 762-SecuritySubType value for the following intercommodity spreads will be modified from IS to DI and implied functionality will be enabled.

In addition, a new futures intercommodity implied spread will be listed for trading on CME Globex.

Detailed description of Inter-Commodity Implied spread type is available  online.

The new spread type and new intercommodity spread will be available in New Release for customer testing on Monday, March 18.

Streamlined FIX/FAST for Block Trades
Starting on Sunday, May 12, 2013, CME Group will begin disseminating Block Trade market data via streamlined FIX/FAST. A Block Trade is a privately negotiated futures or option on futures transaction that is executed apart from the public auction market and that is permitted in designated contracts subject to specified conditions.

Streamlined FIX/FAST is an optimized version of the FIX/FAST market data format for non-actionable price data. Streamlined FIX/FAST has a dedicated message specification distinct from the CME Globex FIX/FAST format and new templates.

Block Trade market data will be available in New Release for customer testing on Monday, March 24. An optional AutoCert+ Test Suite will available at the beginning of April. The availability of the new AutoCert+ Test Suite will be announced via the CME Globex and Market Data Notices.

Detailed information for streamlined FIX/FAST market data for Block Trades is available  online.

Butterfly Spreads for Brent Crude Oil Last-Day Financial Futures
Effective this Sunday, March 17 (trade date Monday, March 18), butterfly spreads will be listed on CME Globex for the Brent Crude Oil Last-Day Financial futures (tag 1151-SecurityGroup=BZ).

Six one-month butterfly spreads will be available upon launch.

Butterfly spreads consist of three instruments within the same product and with equally distributed maturity months (e.g., F2-G2-H2). Further details are available in the  Electronic Trading Concepts. Butterfly spreads are identified with BF in tag 762-SecuritySubType in the Security Definition (tag 35-MsgType=d) message. Brent Crude Oil butterfly spreads will not support implied functionality.

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

The Brent Crude Oil Last-Day Financial butterfly spreads are currently available in New Release for customer testing.

Energy Futures and Options
Effective Sunday, March 24 (trade date Monday, March 25), 393 energy futures and options will be listed for trading on CME Globex pending regulatory review periods. A complete list of product names and codes are available   online.

Settlement prices will be published for the synthetic futures to support customer options pricing models.

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

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

 Variance Futures
Effective this Monday, March 18, the following Variance futures will available in the New Release environment for customer testing. The production launch date will be announced via the CME Globex and Market Data Notices.

Variance futures are based on the realized volatility of an underlying asset squared. Unlike most futures, the direction of these price changes in the underlying asset is irrelevant to the value of the Variance futures. These futures derive their value from the magnitude of the changes in price of the underlying assets, irrespective of their direction. Upon launch, these underlying assets include 4 currencies, 3 energy, and 2 metals products.

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

Delisting of 30-Year Treasury Bond Futures vs. 30-Year USD Deliverable Interest Rate Swap Futures Intercommodity Spread
Effective this Sunday, March 17, (trade date Monday, March 18), the 30-Year Treasury Bond Futures vs. 30-Year USD Deliverable Interest Rate Swap intercommodity spread (tag-1151 SecurityGroup=ZB, 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 March 11.

Listing Cycle Expansion for Brent Last Day Financial TAS Futures
Effective this Sunday, March 17 (trade date Monday, March 18), the listing cycle for Brent Last Day Financial TAS futures (tag 1151-SecurityGroup=BZT, tag 55-Symbol=WT), will be expanded to list the second and third maturity. Currently, only the spot maturity is listed.

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

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

FIX tag 55-Symbol Changes for FX European –Style Options
Effective Sunday, March 24, the FIX tag 55-Symbol values for the following FX European-style options will be changed as follows:

Market Data Platform channels will not be impacted.

To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for the impacted options and option spreads after their close on Friday, March 22. After 16:00 CT on Friday, March 22, all remaining GTC and GTD orders for these products will be cancelled by the CME Group Global Command Center (GCC).

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

 S&P GSCI Excess Return Index Futures Minimum Tick Increment and Display Factor Changes
Effective Sunday, April 7 (trade date Monday, April 8), changes to minimum tick increment tag 969-MinPriceIncrement and tag 9787-DisplayFactor will be implemented for S&P GSCI Excess Return Index futures, pending relevant regulatory review periods.

These changes will be available in New Release for customer testing on Monday, March 25.

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

CME Globex Equity Index Circuit Breaker and Daily Price Limit Changes for Futures and Options
Effective Sunday, April 7, 2013 (trade date Monday, April 8), 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 in New Release for customer testing.

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 Trading Hours on CBOT Commodity and KCBT Wheat Futures and Options
Effective Sunday, April 7 (trade date Monday, April 8), all CBOT commodity futures and option and KCBT Wheat futures and options electronic trading hours will be modified on CME Globex. The new trading hours will be:

• Sunday to Thursday 19:00 to 07:45 Central Time (CT)
• Monday to Friday, Pause 07:45 to 08:30 CT
• Monday to Friday 08:30 to 13:15 CT

Mini-Sized Corn, Mini-Sized Soybeans and Mini-Sized Wheat will continue to trade on CME Globex until 13:45 CT.

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

The FIX/FAST preliminary settlement messages for these products will be disseminated beginning at 13:30 CT, after the CME Globex market close. Currently, the FIX/FAST messages for these products are disseminated around 14:15 CT. ITC settlement messages will continue to be sent as soon as settlement prices are available.

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