• CME Globex Notices: June 24, 2013

      • To
      • CME Globex Customers
      • From
      • Global Account Management
      • #
      • 20130624
      • Notice Date
      • 24 June 2013
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      Events and Announcements
      Critical System Updates

      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.

      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 will optimize the allocation process for match events in implied markets.

      In internal testing, these enhancements resulted in reduced iLink round trip time (RTT) variability for large match events 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.

      Source IP Changes for MexDer on the Market Data Platform
      Effective Sunday, August 11 (trade date Monday, August 12), CME Group will be changing the multicast source IPs for the MexDer Mercado Mexicano de Derivados (MexDer) market data channels. If a firewall or network device is configured with the source IP information, please correct your configuration to use the entire range of eligible addresses. Port, multicast addresses, and source IPs for MexDer Market Data Platform are available in the config.xml file on the  FTP site.

      These changes will be available in New Release on Monday, July 15.

      As a reminder, CME Group does not recommend restricting data flow via the source IPs, as these may change without notice.

      If you have any questions or concerns, 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. If you experience any connectivity issues,   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.

      Inter-Exchange Spread Channel Decommission
      Effective Sunday, August 25 (trade date Monday, August 26), the inter-exchange spreads market data channel (channel 801) will be decommissioned. The spreads’ market data instruments will be disseminated on the channel of the first leg. The market data for the legs will continue to be sent on the respective outright channels.

      Inter-Exchange Spreads
      Spread tag1151-SecurityGroup tag 55-Symbol tag 207-SecurityExchange First Leg MDP Channel
      NYMEX Brent 25-Day (Platts) vs. DME Oman Crude NBZ BD NYUM 30
      NYMEX Brent 25-Day (Platts) vs. DME Oman Crude Oil Financial NBZ BD NYUM 30
      NYMEX Brent Last Day Oil vs. DME Crude Oil BZ BD NYUM 30
      NYMEX Brent Last Day vs. DME Oman Crude Oil Financial BZ BD NYUM 30
      NYMEX Sweet Crude Oil vs. DME Oman Crude Oil CL WD NYUM 30
      NYMEX Light Sweet Crude Oil vs. DME Crude Oil CL WD NYUM 30
      MGEX Wheat vs. CBOT Wheat MWE MB MGCB 118
      MGEX Wheat vs. KCBT Wheat MWE MK MGKB 118
      KCBT Wheat vs. CBOT Wheat KE KB KBCB 120

      The market data for the legs will continue to be sent on the respective outright market data platform channels.

      These changes are will be available in New Release for customer testing on Monday, July 15, 2013.

      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.

      Market Data Enhancements for CME Globex – Trade ID and Reset Statistics
      Starting on Sunday, August 25 (trade date Monday, August 26), CME Group will introduce the following market data enhancements. .

      • August 25
        • NYMEX Metals, Softs, and Alternative Markets
        • COMEX futures
      • September 8
        • All other markets listed on CME Globex

      These enhancements include:

      • New FIX tag 1003-TradeID will be sent on Market Data Incremental Refresh Messages (tag 35-MsgType=X) for Trades (tag 269-MDEntryType=2)
        • Represents a unique Trade Entry ID per Instrument and Trading Date.
        • Matches the trade number from  tag 17-ExecID in the Execution Report – Fill Notice for iLink Order Entry Messages. The characters following the ‘TN’ in the ExecID are called the Trade Number and will match the new tag 1003-TradeID.
      • Changes to Trading Statistic Reset
        • Security Status (tag 35-MsgType=f) Message will be sent with the following tags prior to or during the Pre-Open Session.
          • Tag 326-SecurityTradingStatus=Any Valid Value
          • Tag 1174-SecurityTradingEvent=4

      More information on Trading Statistic Reset is available in the  Client System Wiki

      These changes will be available for customer testing in New Release on Monday, July 1.

      Please Note: The template files that were implemented on March 3, 2013 must be utilized when the tag 1003-TradeID is implemented. New template ids '141 through 147' will be used for the Incremental Refresh Trade messages which include the tag 1003-TradeID.

      Update Drop Copy certification
      Due to the upcoming  Mass Order Cancel functionality, all Drop Copy customers must complete a new Drop Copy certification by Friday, September 7, for the new outbound message. The new certification suites will be available in Autocert+ beginning Monday, July 1.

      iLink Risk Management Enhancement
      Effective Sunday, September 8 (trade date Monday, September 9), to enhance pre-trade risk management functionality, CME Globex will capitalize the following iLink and Drop Copy FIX tags values:

      • Tag 1-Account
      • Tag 79-AllocAccount
      • Tag 9771-MMAccount
      • Tag 56-TargetSubID

      Making these values case insensitive further hardens the CME Globex cancel and block risk management functionality. This change will also bring the front-end messaging into alignment with the back-office feeds and simplify the reconciliation process. Client systems are not required to send capitalized values to CME Globex, but capitalized values will always be returned.

      FIX Tag Values Capitalization
      Component Current Submitted/Return Value Behavior New Return Value Behavior
      Outbound iLink and Drop Copy aBcde ABCDE

      To facilitate this change, resting Good Till (GT) orders will be modified after 16:00 Central Time (CT) on Friday, September 6. CME Globex will capitalize the above FIX tags values on all resting orders without impacting order book priority.

      The iLink tag values capitalization will be available for customer testing in New Release on Monday, July 15.

      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.

      Risk Management Interface API Cancel Enhancements
      Effective Sunday, September 8 (trade date Monday, September 9), CME Group will implement account value capitalization on the Risk Management Interface (RMI) API cancel functionality. With this change, all RMI API messages from CME Globex to client systems will reflect a capitalized value regardless of the inbound value. Client systems are not required to submit capitalized account values to RMI API.

      With this launch, the account validation will always use capitalized values and thus match the values on the CME Globex orders. More details on the iLink change are available  here. Currently, the account validation for RMI API cancel instructions is case-sensitive.

      More information on RMI API is available in the  Client System Wiki.

      This RMI API change will be available in New Release environment for customer testing on Monday, July 15, 2013.

      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

      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.

      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

      Weekly KCBT Wheat Options
      Effective this 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 are currently available for customer testing in New Release.

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

      MGEX-KCBT Wheat Inter-Commodity Spread Options
      Effective this 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 futures are currently available in New Release for customer testing.

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

      KCBT-CBOT Wheat Inter-Commodity Spread Options
      Effective this 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 futures are currently available in New Release for customer testing.

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

      Low Sulphur Gasoil Futures & Options
      Effective this 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.

      Energy Strips
      Effective this Sunday, June 30 (trade date Monday, July 1), quartely strips will be listed for trading on CME Globex for the following:

      Energy Strips
      Futures tag 1151-SecurityGroup tag 55-Symbol tag 762-SecuritySubType
      Chicago Ethanol (Platts) Futures CU EL FS
      Gulf Coast ULSD (Platts) Up-Down Futures LT PT

      The new strips are currently available for customer testing in New Release.

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

      NEW DJ-UBS Roll Select Commodity Index Futures Calendar Spreads
      Effective Sunday, July 14 (trade date Monday, July 15), calendar spreads for DJ-UBS Roll Select Commodity Index futures (tag1151-SecurityGroup=DRS, tag 55-Symbol=RS) will be listed for trading on the CME Globex platform.

      The calendar spreads will use the value SP in tag 762-SecuritySubType.

      These new futures spreads will be available for customer testing in New Release on Monday, July 1.
      Product Changes

      EUR/GBP Options VTT Removal
      Effective this Sunday, June 30 (trade date Monday, July 1), the Variable Tick Table (VTT) for EUR/GBP options (tag 1151-SecurityGroup=RP, tag 55-Symbol=X8) will be removed. Currently, the Variable Tick Table (VTT) values and corresponding minimum tick increments per price are defined in the instrument’s Security Definition message (tag 35-MsgType=d) in the repeating group tag 871-InstAttribType=23, tag 872-InstAttribValue=02.

      This change is currently available for customer testing in New Release.

      Options on Mexican Peso/U.S. Dollar (MXN/USD) Futures Minimum Tick Increment Change
      Effective this Sunday, June 30 (trade date Monday, July 1), the minimum tick increment tag 969-MinPriceIncrement will be modified for options on Mexican Peso/U.S. Dollar (MXN/USD) futures as follows:

      Options on Mexican Peso/U.S. Dollar (MXN/USD) Futures Minimum Tick Increment Change
      Product tag 1151-SecurityGroup tag 55-Symbol Current Tick tag 969-MinPriceIncrement New Tick tag 969-MinPriceIncrement
      MXN/USD Options 6M MO 25 12.5

      This is currently available in New Release for customer testing.

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

      Strike Listings Change for KCBT Wheat Options
      Effective this Sunday, June 30 (trade date Monday, July 1), strike listing rules for KCBT Wheat options (tag 1151-SecruityGroup=OKE, tag 55-Symbol=OK) for trading on CME Globex. These listing rules will be modified as follows:

      • Strikes prices will be listed in intervals of $0.10 for ± 50 percent ATM strike price
      • Additional strike prices with $0.05 intervals will be listed for ± 25 percent ATM strike price at the commencement of trading serial month options and for standard option months the business day they become the third listed month

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

      NEW Messaging Efficiency Program Q3 2013 Benchmarks
      The Q3 2013 CME Globex Messaging Efficiency Program Product Group Benchmarks are now available  online.

      The Product Group Benchmark Ratios are published quarterly, unless business circumstances for a particular product or product group require changes to be implemented more frequently.

      The CME Globex Messaging Efficiency Program creates fair business guidelines by which customers are billed a surcharge for overly high message rates. Under the CME Globex Messaging Efficiency Program, each executing must not exceed product-specific benchmarks. CME Group calculates Product Group Benchmarks based on a per-product Volume Ratio.

      Please contact your  Global Account Manager in the U.S. at 312 634 8700, in Europe at 44 203 379 3754, or in Asia at 65 6593 5505 with any questions.

      NEW CME Globex Messaging Efficiency Program Volume Ratios Calculations
      Due to the Fourth of July Holiday, CME Globex Messaging Efficiency Program Volume Ratios for all Product Groups included in the Program will not be calculated for trade dates Wednesday, July 3 through Friday, July 5.

      NEW New Mass Quote Protections Static Time Interval for Equity Options
      Effective Sunday, July 28 (trade date Monday July 29), to address customers’ evolving risk management needs, CME Group is launching a Mass Quote Protections pilot program for Equity options on CME Globex.

      The pilot program is slated to run for six months on the Equity options markets and may be extended to other asset classes based on results.

      The static time interval will be reduced in these markets from 15 seconds to one second.

      Details of the functionality are available  online.

      This change will be available for customer testing in New Release on Monday, July 15.

      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.

       

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Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

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