CME Globex Notices: July 15, 2013

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.

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 dates 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:

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 25 (trade date Monday, August 26), 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 28.

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 in the U.S. at +1 312 634 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.

Configuration File Standardization
Effective Sunday, August 25, CME Group will standardize the Channel ID Labels within the config.xml from the  CME Group FTP site. A new config.xml will be available for customer download in production starting Sunday, August 25.

Please Note: CME Group recommends customer systems download the config.xml from the CME Group ftp site every week, prior to Sunday startup.

The new config.xml is currently available in New Release for customer testing.

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.

A new config.xml will be available for customer download in production starting Sunday, August 25. The new config.xml includes the removal of MDP channel 801 and modifications to Channel ID Labels.

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

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

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

The new FIX/FAST tag 1300-MarketSegmentID is currently available for customer testing in New Release.

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 are currently available for customer testing in New Release.

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.

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 57-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.

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 +1 312 634 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 functional specification is now available  online. The functional specification is provides the complete MDP 3.0 functionality details, whereas the client impact assessment outlines the differences in functionality between FIX/FAST and MDP 3.0.

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 in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

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 approval. 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  futures calendar spread type
  • Pending regulatory approval, this spread will be implied. For the initial launch in New Release it will be non-implied to facilitate testing.
• 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 are now available.

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 is currently available for customer testing in New Release.

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 in the U.S. at +1 312 634 8700, in Europe at +44 20 3379 3754 or in Asia at +65 6593 5505 for additional information.

Freight Route TC14 (Baltic) Futures
Effective Sunday, July 28 (trade date Monday, July 29), Freight Route TC14 (Baltic) futures (tag1151-SecurityGroup=FRC, tag 55-Symbol=FT) will be listed for trading on CME Globex.

Freight Route TC14 (Baltic) futures is a financially settled contract for seaborne tanker freight rates. The TC14 price assessment measures the cost of freight for clean products vessels of 38,000 tonnes for voyages from the US Gulf to North West Europe, and is published by the Baltic Exchange.

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

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

Freight Futures & Options
Effective Sunday, July 28 (trade date Monday, July 29), the   15 freight futures and options will be listed for trading on CME Globex.

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

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

Bursa Malaysia Derivative Berhad (BMD) Gold Futures
Pending regulatory approval, Bursa Malaysia Derivative Berhad (BMD) will list Gold futures (tag1151-SecurityGroup=FGLD, tag 55-Symbol=BG) for trading on CME Globex in Q3 2013. The production launch date will be announced in the CME Globex Notices as soon as it is available.

These futures will be available for customer testing in New Release on Monday, July 22.

 European 3.5% Fuel Oil Barges Fob Rdam (Platts) Mini Weekly Spread Futures
Effective Sunday, August 11 (trade date Monday, August 12), European 3.5% Fuel Oil Barges Fob Rdam (Platts) Mini Weekly Spread futures (tag1151-SecurityGroup=EMW, tag 55-Symbol=ZZ) will be listed for trading on CME Globex.

These futures will be available for customer testing in New Release on Monday, July 29.

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

 Singapore Fuel Oil Weekly Spread Futures
Effective Sunday, August 11 (trade date Monday, August 12), the following Singapore Fuel Oil Weekly Spread futures will be listed for trading on CME Globex.

These futures will be available for customer testing in New Release on Monday, July 29.

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

FIX tag 55-Symbol Change Central Appalachian Coal Futures
Effective Sunday, July 28, the FIX tag 55-Symbol value for Central Appalachian Coal futures will be changed from UX to CO.

This change is currently in New Release for customer testing.

Maximum Order Quantity Changes for MGEX Futures
Effective Sunday, July 28 (trade date Monday, July 29), the maximum order quantity for the following MGEX futures will be increased as follows:

Outright Futures

• From 1,000 to 1,999 contracts for:
  • Hard Red Spring Wheat Futures (tag 1151-SecurityGroup=MWE, tag 55-Symbol=MW)
  • National Corn Index Futures (tag 1151-SecurityGroup=IC, tag 55-Symbol=IC)
  • Hard Red Winter Wheat Index Futures (tag 1151-SecurityGroup=IH, tag 55-Symbol=IH)
  • Hard Red Spring Wheat Index Futures (tag 1151-SecurityGroup=IP, tag 55-Symbol=IP)
  • Soft Red Winter Wheat Index Futures (tag 1151-SecurityGroup=IW, tag 55-Symbol=IW)
  • National Soybean Index Future (tag 1151-SecurityGroup=IS, tag 55-Symbol=IS)

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 is currently available in New Release for customer testing.

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 in the U.S. at +1 312 634 8700, in Europe at +44-20-3379-3754 or in Asia at +65 6593 5505 for additional information.

 Reminder: CME Globex Weekend Testing
As a reminder, CME Group conducts internal testing every weekend which may impact CME Globex. iLink and Drop Copy sessions may be unavailable and market data messages may be disseminated at production rates or higher. All test data is removed prior to the Sunday start-up for the regular market open.

CME Group strongly recommends that customers do not attempt to connect to the CME Globex production environment on Saturdays except for during a scheduled mock trading session or Business Continuity exercise. In the event customers must bring up their systems on Saturday, we strongly encourage customers to verify that all test data from Saturday is removed out of their systems prior to Sunday start-up.

For more information please contact your  Global Account Manager or in the U.S. at 312-634-8700, in Europe at 44-20-3379-3754 or in Asia at +65 6593 5505.