• CME Globex Notices: June 10, 2013

      • To
      • CME Globex Customers
      • From
      • Global Account Management
      • #
      • 20130610
      • Notice Date
      • 10 June 2013
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      Critical System Updates

      Update Market Data Enhancements for CME Globex
      Starting Sunday, July 21 (trade date Monday, July 22) CME Group will be enhancing the FIX/FAST market data messaging for all markets to accurately reflect market status of halted contracts.

      During Sunday start-up and in the event of a book reset, in addition to the product group status message, the FIX/FAST Security Status message will be sent for individual products in a halted state with the following values: tag 35-MsgType=f, tag 326-SecurityTradingStatus=2 (tags 327-HaltReason and 1174-SecurityTradingEvent are not sent).

       

      Scenarios for a halted instrument include the following:

      • Prelisted contracts prior to activation date
      • Defective contract that has been deactivated
      • Market event that requires deactivation, e.g. Partner Exchange request

      A detailed schedule of New Release and Production availability is available  online.


      NEW Implied Allocation Enhancements
      Starting Sunday, August 11 (trade date Monday, August 12), CME Group will implement enhancements to allocation of trade quantity in implied markets as follows:

      Implied Allocation Enhancements

      Products New Release Production
      CME Interest Rate Futures
      CBOT Interest Rate Futures
      June 23, 2013 August 11, 2013
      CBOT Commodity Futures
      CME Commodity Futures
      MGEX and KCBT Futures
      June 30, 2013 August 18, 2013

      These enhancements provide consistent allocation results for implied and actual orders in implied markets.

      In internal testing, these enhancements resulted in reduced iLink round trip time (RTT) variability in Pro-Rata and K-Algo markets.

      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 Market Data Enhancement for Market Segment ID
      Effective Sunday, August 25 and September 8 (trade dates Monday, August 26 and September 9), CME Globex will support a new FIX/FAST tag 1300-MarketSegmentID on the security definition (tag 35-MsgType=d) message. This new tag will identify products within a Market Segment.

      This launch will be phased in on the following schedule:

      • August 25
        • NYMEX metals, softs and alternative markets
        • COMEX futures
      • September 8
        • All other markets listed on CME Globex

      tag 1300-MarketSegmentID

      tag FIX Name Valid Values Format Description
      1300 MarketSegmentID   Int Identifies the market segment.
      Populated for all CME Globex instruments.

      The new FIX/FAST tag 1300-MarketSegmentID will be available for testing in New Release on Monday, July 1.

      The template files that were implemented on March 3, 2013 must be utilized when these new enhancements are implemented. New template id ‘140’ will be used for the Security Definition message which includes the Market Segment ID.


      NEW Drop Copy certification
       

      Certification via AutoCert+ is mandatory for iLink customers who wish to use  Mass Order Cancel functionality. Due to the new outbound message on Drop Copy feeds, all Drop Copy customers must complete a new Drop Copy certification by Friday, September 7. The new certification suites will be available in Autocert+ beginning Monday, July 1.


      New CME Globex Market Data Protocol
      CME Group is introducing Market Data Platform (MDP) 3.0, a low latency and direct data access solution designed to improve customers’ ability to process and act on real-time price information. The protocol will launch on new production parallel channels beginning in Q4 2013.

      MDP 3.0 includes:

      • Simple Binary Encoding (SBE); replaces the current FAST compression model
      • FIX 5.0 (SP2) Market by Price messaging formats
      • Event-driven market price and trade information
      • Enhanced market state dissemination
      • Increased timestamp granularity
      • Trade identifier on both market data and order entry messages

      The  client impact assessment provides detailed functionality and messaging information.

      A new MDP 3.0 certification suite will be available in AutoCert+ in Q3 2013. Customer systems receiving market data via CME Globex must complete this mandatory certification.

      MDP 3.0 will be available in New Release for customer testing in Q3 2013. Further information on the deployment plan and timing for all customer-facing environments will be published in upcoming CME Globex and Market Data Notices.

      Please contact your  Global Account Manager with any questions or concerns at 312-634-8700, in Europe at 44-20-3379-3754 or in Asia at +65 6593 5505 for additional information.

      New Functionality

      Self-Match Prevention
      Effective June 2013, CME Globex will launch Self-Match Prevention functionality.

      This new opt-in service will prevent orders with the same Self-Match Prevention Identifier (SMP ID) and Executing Firm ID from trading against each other.

      This launch introduces new iLink tags and values. Detailed information, including messaging impacts and launch schedules, is available in the  Client Impact Assessment.

      Customers are required to register to obtain their SMP ID(s) via the  Firm Administrator Dashboard interface starting June 3, 2013.

      Customer certification is not required, but CME Group strongly recommends all system providers test these changes thoroughly in New Release.

       Frequently Asked Questions (FAQ) guide is now available.

      Please contact your  Global Account Manager with any questions or concerns at 312-634-8700, in Europe at 44-20-3379-3754 or in Asia at +65 6593 5505 for additional information.


      Update CME Europe on CME Globex
      Effective Sunday, September 8 (trade date Monday, September 9), CME Europe markets will be available via CME Globex for iLink order routing and market data, pending regulatory recognition. Only non-US customers are eligible to trade on CME Europe. Eligible customers who would like to trade CME Europe products must establish all appropriate agreements and accounts to be authorised to trade CME Europe products and clear through CME Clearing Europe.

      The launch includes the following impacts:

      • New tag value to identify the exchange
      • New products in FX Futures
      • New market data channels to disseminate market data
      • New streamlined Fix/Fast market data to publish block information

      The  client impact assessment provides detailed functionality and messaging for customer systems interested in supporting CME Europe products via CME Globex.

      Onboarding information is available  online.

      Please note: The schedules mentioned within the CME Europe Globex Onboarding Reference Guide will be available in the near future.

      A new CME Europe mandatory certification suite is currently available in AutoCert+. Customer systems that plan to support CME Europe via CME Globex must complete this certification.

      The implementation is currently available in New Release for customer testing.

      Please contact your  Global Account Manager for further information.


      NEW Mass Order Cancel Functionality on CME Globex
      Effective Sunday, September 8 and 15 (trade date Monday, September 9 and 16), CME Group will launch Mass Order Cancel functionality to provide an efficient way to cancel all working orders in a particular market segment via a single request.

      A new message type, Order Mass Action Request (tag 35-MsgType=CA), will be offered to cancel all working orders for a particular instrument, instrument group or market segment. To identify products within a Market Segment, a new  FIX/FAST tag 1300-MarketSegmentID will be added to the market data Security Definition (tag 35-MsgType=d) message in production. Templates for FIX/FAST messages will not be impacted.

      This launch will be phased in on the following schedule:

      • September 8
        • NYMEX metals, softs and alternative markets
        • COMEX futures
      • September 15
        • All other markets listed on CME Globex

      Detailed information including messaging impacts and launch schedules are available in the  Client Impact Assessment.

      The Mass Order Cancel functionality will be available for customer testing in New Release on Monday, July 1.

      Certification via AutoCert+ is mandatory for iLink customers who wish to use Mass Order Cancel functionality. The new certification suite will be available in Autocert+ beginning Monday, July 1.

      Please contact your  Global Account Manager with any questions or concerns at 312-634-8700, in Europe at 44-20-3379-3754 or in Asia at +65 6593 5505 for additional information.

      Product Launches

      Coal (API 5) foc Newcastle Futures
      Effective this Sunday, June 16 (trade date Monday, June 17), Coal (API 5) foc Newcastle futures (tag1151-SecurityGroup=ACM, tag 55-Symbol=CO) will be listed on CME Globex.

      Coal (API 5) foc Newcastle futures contract is a financially settled contract based on an index of prices for thermal coal exported from Australia. The API 5 index measures the price of coal with a standardized energy content of 5,500 kcal/kg, and is a combination of prices published by Argus Media and IHS McCloskey.

      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.


      1000 oz. Silver Futures
      Effective this Sunday, June 16 (trade date Monday, June 17), 1000 oz. Silver futures and calendar spreads (tag1151-SecurityGroup=SIL, tag 55-Symbol=SI) will be listed 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 COMEX.


      DJ-UBS Roll Select Commodity Index Futures
      Effective this Sunday, June 16 (trade date Monday, June 17), DJ-UBS Roll Select Commodity Index futures (tag1151-SecurityGroup=DRS, tag 55-Symbol=RS) will be listed on CME Globex.

      The Dow Jones-UBS Roll Select Commodity Index is a version of the Dow Jones-UBS Commodity Index that aims to mitigate the effects of contango on index performance. For each commodity, the index rolls into the futures contract showing the most backwardation or least contango, selecting from those contracts with nine months or fewer until expiration.

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

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


      ERCOT Daily Load Forecast Futures
      Effective this Sunday, June 16 (trade date Monday, June 17), ERCOT Daily Load Forecast futures and calendar spreads (tag1151-SecurityGroup=EMC, tag 55-Symbol=PA) will be listed 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.


      Update Weekly KCBT Wheat Options
      Effective Sunday, June 30 (trade date Monday, July 1), Weekly KCBT Wheat options will be listed for trading on CME Globex.

      Weekly KCBT Wheat Options

      Options tag 1151-SecurityGroup tag 55-Symbol
      Weekly KCBT Wheat Week 1 OE1 OK
      Weekly KCBT Wheat Week 2 OE2
      Weekly KCBT Wheat Week 3 OE3
      Weekly KCBT Wheat Week 4 OE4
      Weekly KCBT Wheat Week 5 OE5

      These options will be available for customer testing in New Release on Monday, June 17.

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


      MGEX-KCBT Wheat Inter-Commodity Spread Options
      Effective Sunday, June 30 (trade date Monday, July 1), MGEX-KCBT Wheat Inter-Commodity Spread options will be listed for trading on CME Globex.

      MGEX-KCBT Wheat Inter-Commodity Spread Options

      Option tag 1151-SecurityGroup tag 55-Symbol (Outrights) tag 55-Symbol (UDS)
      MGEX-KCBT Wheat Inter-commodity Spread Options MKW M6 M7

      In addition, a new synthetic future will be launched for the options on MGEX-KCBT Wheat Inter-commodity Spread futures.

      The new future will have tag 1151-SecurityGroup=WMK and tag 55-Symbol=08. Settlement prices will be published for the new synthetic future to support customers’ options pricing model.

      The options (tag 1151-SecurityGroup=MKW) will identify WMK as the underlying contract in tag 309-UnderlyingSecurityID of the Security Definition (tag 35-MsgType=d) FIX/FAST message.

      The MGEX-KCBT Wheat inter-commodity spread option and synthetic future will available in New Release for customer testing on Monday, June 17.

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


      KCBT-CBOT Wheat Inter-Commodity Spread Options
      Effective Sunday, June 30 (trade date Monday, July 1), KCBT-CBOT Wheat Inter-Commodity Spread options will be listed for trading on CME Globex.

      KCBT-CBOT Wheat Inter-Commodity Spread Options

      Option tag 1151-SecurityGroup tag 55-Symbol (Outrights) tag 55-Symbol (UDS)
      KCBT-CBOT Wheat Inter-commodity Spread Options KWC KW KX

      In addition, a new synthetic future will be launched for the options on KCBT-CBOT Wheat Inter-commodity Spread futures.

      The new future will have tag 1151-SecurityGroup=CKW and tag 55-Symbol=08. Settlement prices will be published for the new synthetic future to support customers’ options pricing model.

      The options (tag 1151-SecurityGroup=KWC) will identify CKW as the underlying contract in tag 309-UnderlyingSecurityID of the Security Definition (tag 35-MsgType=d) FIX/FAST message.

      The KCBT-CBOT Wheat inter-commodity spread option and synthetic future will available in New Release for customer testing on Monday, June 17.

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


      NEW Low Sulphur Gasoil Futures & Options
      Effective Sunday, June 30 (trade date Monday, July 1), the following Low Sulphur Gasoil futures and options will be listed for trading on CME Globex.

      Low Sulphur Gasoil Futures & Options

      Product tag 1151-SecurityGroup tag 55-Symbol
      Low Sulphur Gasoil (100mt) Calendar Month Futures LSM IA
      Low Sulphur Gasoil (100mt) Penultimate Day Futures LSP IA
      Low Sulphur Gasoil Average Price Options LSO IG, IL(UDS)
      European Diesel 10ppm Barges FOB Rdam (Platts) vs. Low Sulphur Gasoil Futures LSE IA
      ULSD 10ppm Cargoes CIF NWE (Platts) vs. Low Sulphur Gasoil Futures LSU IA
      Singapore Gasoil (Platts) vs. Low Sulphur Gasoil Futures LSS IA
      ULSD 10ppm Cargoes CIF Med (Platts) Futures vs. Low Sulphur Gasoil Futures LSL IA

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

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

      Product Changes

      FIX tag 55-Symbol Changes for Energy Futures
      Effective this Sunday, June 16, the FIX tag 55-Symbol values for the following for energy futures will be changed as follows:

      FIX tag 55-Symbol Changes for Energy Futures

      Product tag 1151-SecurityGroup Current tag 55-Symbol New tag 55-Symbol
      Dated Brent (Platts) BALMO Futures DBB JR PT
      DME Oman Crude Oil Swap Futures DOO JR PT
      Brent (Euro Denominated) Financial Futures IBE JR PT
      Brent (Singapore Marker) Futures IBS JR PT
      Singapore Mogas 97 Unleaded (Platts) BALMO Futures YNO JR PT
      Crude Oil Last Day Financial Futures 26 JR PT
      Argus Sour Crude Index ("ASCI") Trade Month Futures 29 JR PT
      Argus Sour Crude Index ("ASCI") Calendar Month Futures 37 JR PT
      Argus WTI Formula Basis Calendar Month Futures 39 JR PT
      Argus LLS Trade Month Futures AA4 JR PT
      WTI Midland (Argus) Financial Futures AXB JR PT
      WTS (Argus) Trade Month Futures AY JR PT
      Brent 25-Day (Platts) Financial Futures BDC JR PT
      Daily WTI Financial Futures DCL JR PT
      Micro Brent Crude Oil Penultimate Financial Futures MBZ JR PT
      Mars (Argus) Trade Month Futures MO JR PT
      Mars (Argus) Financial Futures MX JR PT
      Argus WTI Trade Month Futures V7 JR PT
      ICE Brent (Singapore Marker) vs. DME Oman Crude Oil Swap Futures BSG JR PT
      Brent CFD (Platts) vs. Brent Third Month (Platts) Weekly Futures CFC JR PT
      Canadian Sweet Synthetic Oil Index (Net Energy) Futures CSN JR PT
      ICE Brent vs. DME Oman Crude Oil Swap Futures DBO JR PT
      DME Oman Crude Oil vs. Dubai (Platts) Swap Futures DPO JR PT
      Singapore Gasoil (Platts) vs. DME Oman Crude Oil Swap Futures DZB JR PT
      Singapore Fuel Oil 180 cst (Platts) 6.35 Brent Crack Spread Futures STR JR PT
      Argus Sour Crude Index ("ASCI") vs. WTI Diff Spread Trade Month Futures 36 JR PT
      Argus Sour Crude Index ("ASCI") vs. WTI Diff Spread Calendar Month Futures 38 JR PT

      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 futures after their close on Friday, June 14. After 16:00 CT on Friday, June 14, 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.


      Maximum Order Quantity Changes for Corn, Soybeans, and Wheat Futures
      Effective Sunday, June 23, (trade date Monday, June 24), the maximum order quantity for the following grain futures and inter-commodity spreads will be increased as follows:

      Outright Futures

      • From 1,000 to 1,999 contracts for:
        • Corn Futures (tag 1151-SecurityGroup=ZC, tag 55-Symbol=ZC)
        • Soybean Futures (tag 1151-SecurityGroup=ZS, tag 55-Symbol=ZS)
        • Wheat Futures (tag 1151-SecurityGroup=ZW, tag 55-Symbol=ZW)

      Inter-commodity Spreads

      • From 1,000 to 2,500 contracts for:
        • Corn vs. Wheat inter-commodity spread
        • Lean Hog vs. Live Cattle inter-commodity spread

      The maximum order quantity for instruments are listed on CME Globex in tag 1140-MaxTradeVol, in the Security Definition (tag 35=d) message.

      The increased maximum order quantity will be available in New Release for customer testing on Monday, June 10.


      NEW Delisting of FX Volatility-quoted Options
      Effective Sunday, June 23, the following FX volatility-quoted options will be delisted:

      Delisting of FX Volatility-quoted Options

      Product tag 1151-SecurityGroup tag 55-Symbol
      AUD/USD European Style Volatility Options VXA 3A
      AUD/USD American Style Volatility Options V6A 3A
      AUD/USD Weekly American Style Volatility Options VA1-VA5 3A
      AUD/USD Weekly European Style Volatility Options VAA-VAE 3A
      GBP/USD American Style Volatility Options V6B B3
      GBP/USD European Style Volatility Options VXB B3
      GBP/USD Weekly American Style Volatility Options VB1-VB5 B3
      GBP/USD Weekly European Style Volatility Options VBA-VBE B3
      CAD/USD American Style Volatility Options V6C 3C
      CAD/USD European Style Volatility Options VXC 3C
      CAD/USD Weekly American Style Volatility Options VC1-VC5 3C
      CAD/USD Weekly European Style Volatility Options VCA-VCE 3C
      EUR/USD American Style Volatility Options V6E 3E
      EUR/USD European Style Volatility Options VXT 3E
      EUR/USD Weekly American Style Volatility Options VE1- VE5 3E
      EUR/USD Weekly European Style Volatility Options VTA-VTE 3E
      JPY/USD American Style Volatility Options V6J 3Y
      JPY/USD European Style Volatility Options VXJ 3Y
      JPY/USD Weekly American Style Volatility Options VJ1-VJ5 3Y
      JPY/USD Weekly European Style Volatility Options VJA-VJE 3Y
      CHF/USD American Style Volatility Options V6S S7
      CHF/USD European Style Volatility Options

      This session has been closed.

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