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.
Interest Rate Intercommodity Spreads
|10-Year Treasury Note Futures vs. 10-Yr USD Deliverable Interest Rate Swap Futures
|5-Year Treasury Note Futures vs. 5-Year USD Deliverable Interest Rate Swap Futures
|Ultra Treasury Bond Futures vs. 30-Year USD Deliverable Interest Rate Swap Futures New
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.
Block Trade market data is fee-liable. For additional details, please contact the Information Products Management at 312 634 8395.