CME Globex Notices: September 2, 2013

Market Data Enhancements for CME Globex
CME Group will introduce a number of market data enhancements. These enhancements include:

• Market Status of Halted Instruments
• Market Data Improvements
• New FIX Tags and Statistic Reset Changes

Market Status of Halted Instruments
Effective Sunday, September 8 (trade date Monday, September 9), CME Group will be enhancing the FIX/FAST market data messaging for the following 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 is available  online.

 Market Data Improvements
Based on customer feedback, the  market data enhancements release schedule has been updated to provide additional time.

CME Group is implementing architecture improvements that will impact market data bandwidth on implied futures channels. This release is expected to reduce overall latency, particularly in implied channels. In internal testing, these enhancements yielded up to a 60% increase in bandwidth utilization during peak periods on implied channels resulting in an overall increase of up to 15% across the Market Data Platform.

There will be no changes to FIX/FAST messaging or functionality. As a result of this launch, iLink order entry and Market Data Platform message timings will be better aligned. CME Globex does not guarantee the relative performance of iLink order entry and Market Data Platform messaging.

The launch will be phased in over four weeks across the Market Data Platform. The next launch will be as follows:

The complete implied channel launch schedule is available  online.

New FIX Tags and Statistic Reset Changes
Effective this Sunday, September 8 (trade date Monday, September 9), introduce the following new FIX tags and changes to Trading Statistic Reset:

• New FIX tags
  • 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.
  • tag 1300-MarketSegmentID will be sent on the Security Definition message (tag 35-MsgType=d)
    • Identifies the market segment.
    • Populated for all CME Globex instruments.
  • 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

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

These enhancements 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 these new enhancements are implemented. New template ids '140 through 147' will be used for these enhancements.

 iLink Performance Improvements
Effective this Sunday, September 8, CME Globex will begin launching iLink performance improvements for markets listed on the following Market Data Platform channels:

• 31 – NYMEX Globex Nat Gas & other Non-Crude Energy
• 115 – CBOT Globex Interest Rate Futures

   

These improvements will reduce latencies in execution reports for fills and partial fills during large match events.

iLink Risk Management Enhancement
Effective this 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) this 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 is currently available for customer testing in New Release.

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 this 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 is currently available in New Release environment for customer testing.

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 27, for the new outbound message. 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 functional specification is now available  online. The functional specification 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.

Test versions of MDP 3.0 template and PCAP (Packet Capture) test files will be available  online starting Monday, August 12. The PCAP files will contain sample MDP 3.0 packets of various types in binary format.

Please Note: These files are for customer testing only and are subject to change without customer notice.

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
Pending regulatory approval, CME Europe markets will be available via CME Globex for iLink order routing and market data on a launch date to be determined. The launch date will be published in the CME Globex notice.

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 29 and Sunday, October 6 (trade date Monday, September 30 and October 7), 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 29
  • NYMEX metals, softs and alternative markets
  • COMEX futures
• October 6
  • 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.

Stop Logic and Velocity Logic Enhancements
Effective Sunday, September 29 (trade date Monday, September 30), the Stop Logic and Velocity Logic functionalities on CME Globex will be enhanced to provide greater market protections.

With this change, an event triggered by a designated lead month will cause the entire futures group to pre-open (FIX/FAST message tag 35-MsgType=f, tag 326-SecurityTradingStatus=21), in addition to pausing the underlying options. This enhancement is only being deployed to markets deemed applicable. The initial production launch will include the following markets: CME and CBOT Equities, CME FX and COMEX Metals.

Currently, when a Stop Logic or Velocity Logic event occurs, the triggering instrument is placed in a Reserve state (FIX/FAST message tag 35-MsgType=f, 326-SecurityTradingStatus=2) and the product group remains open for trading. If the triggering futures instrument is a lead month, the underlying options will continue to be placed in a Paused state until the futures instrument re-opens.

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

CME Globex products with this enhanced functionality will be defined in the CME Globex Product Reference in the  Client Systems Wiki prior to the production launch.

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.

Low Sulphur Gasoil Crack Spread (1,000 bbl) Financial Futures
Effective this Sunday, September 8 (trade date Monday, September 9), Low Sulphur Gasoil Crack Spread (1,000 bbl) Financial futures (tag1151-SecurityGroup=LSC, tag 55-Symbol=IA) will be listed for trading on CME Globex.

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.

 Bursa Malaysia Derivative Berhad (BMD) Gold Futures
The launch of Bursa Malaysia Derivative Berhad (BMD) Gold futures scheduled for this Sunday, September 8, has been postponed. The new production launch date will be announced via the CME Globex notices.

Pending regulatory approval, Bursa Malaysia Derivative Berhad (BMD) will list Gold futures (tag1151-SecurityGroup=FGLD, tag 55-Symbol=BG) for trading on CME Globex. These BMD Gold futures will support implied functionality.

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

Energy Futures Strip Spreads
Effective this Sunday, September 8 (trade date September 9), the following futures strips on Natural Gas (Henry Hub) Physical (tag1151-SecurityGroup=NG, tag 55-Symbol=NG) and Natural Gas (Henry Hub) Last-day Financial (tag1151-SecurityGroup=HH, tag 55-Symbol=NG) will be listed for trading on CME Globex.

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

Detailed description of these spread types is available   online.

U.S. Dollar/South African Rand (USD/ZAR) Futures
Effective Sunday, September 22 (trade date Monday, September 23),   U.S. Dollar/South African Rand (USD/ZAR) futures (tag 1151-SecurityGroup=ZAR, tag 55-Symbol=6Z) will be listed for trading on CME Globex, pending certification with the Commodity Futures Trading Commission.

The USD/ZAR futures is a physically deliverable contract with a notional contract size of 100,000 U.S. dollars.

These futures will be available in New Release for customer testing on Monday, September 9.

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

S&P MLP Index Futures
Effective Sunday, September 22 (trade date Monday, September 23), S&P MLP Index futures (tag1151-SecurityGroup=MLP, tag 55-Symbol=MP) will be listed for trading on CME Globex.

The S&P MLP Index futures contract tracks an S&P index of Master Limited Partnerships that are publicly traded on a securities exchange. MLPs combine the tradability of common stocks with the tax treatment of partnerships.

These futures will be available for customer testing in New Release on Monday, September 9.

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

 TETCO STX Natural Gas (Platts IFERC) Fixed Price Futures
Effective Sunday, September 22 (trade date Monday, September 23), TETCO STX Natural Gas (Platts IFERC) Fixed Price futures (tag1151-SecurityGroup=ZTS, tag 55-Symbol=GU) will be listed for trading on CME Globex.

These futures will be available for customer testing in New Release on Monday, September 9.

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

 Natural Gas (Platts IFERC) Fixed Price Futures
Effective Sunday, September 22 (trade date Monday, September 23), the following Natural Gas (Platts IFERC) Fixed Price futures will be listed for trading on CME Globex.

These futures will be available for customer testing in New Release on Monday, September 9.

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

 Natural Gas Transco Fixed Futures
Effective Sunday, September 22 (trade date Monday, September 23), the following Natural Gas Transco Fixed futures will be listed for trading on CME Globex.

These futures will be available for customer testing in New Release on Monday, September 9.

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

Maximum Order Quantity Changes for Interest Rate Options
Effective this Sunday, September 8 (trade date Monday, September 9), the maximum order quantity for the CME and CBOT Interest Rate options will be reduced from 99,999 to 24,999 contracts.

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

Customers are strongly encouraged to utilize tag 1140-MaxTradeVol, in the Security Definition (tag 35=d) message to obtain the most recent information on thresholds and support accurate quantity limits for all products.

The reduced maximum order quantity is currently available in New Release for customer testing.

New Fixing Prices for Nikkei 225 Futures
Effective this Sunday, September 8 (trade date Monday, September 9), CME Group will begin disseminating Fixing Prices via FIX/FAST for the Nikkei 225 futures.

The Nikkei 225 fixing price will be published Monday through Friday, at 1:00 a.m. Central Time (CT).

Fixing Price data blocks are sent in the FIX/FAST Market Data Incremental Refresh (tag 35-MsgType=X):

• Tag 279- MDUpdateAction will be set to 0 = New
• Tag 269-MDEntryType will be set to W = Fixing Price
• Tag 5790-FixingBracket will display the time that the Fixing Price was calculated

The new Fixing Price Data Block is currently available for customer testing in New Release.

 Display Factor Change for TAS Futures
Effective Sunday, September 29 (trade date Monday, September 30), changes tag 9787-DisplayFactor will be implemented for the following TAS futures:

These changes will be available in New Release for customer testing on Monday, September 16.

CME Globex Credit Controls Enhancement
Effective Sunday, September 15, to further harden our best-in-class CME Globex pre-trade risk controls, under the following scenarios a Globex Execution Firm will be blocked from order entry until permissioned by the clearing firm risk administrator:

• Newly created Globex Execution Firms
• Existing Globex Execution Firms that are migrating to a new clearing firm
• New exchanges added to existing Globex Execution Firms via clearing mapping changes (only the limit for the newly added exchange will be blocked)

In these scenarios, the default Exposure Limit in CME Globex Credit Controls (GC2) will be set to “0” to block the Globex Execution Firm or exchange and prevent order entry until limits are input by the clearing firm risk administrator. Today, a new Globex Execution Firm or exchange relationship defaults to “blank” or unlimited Exposure Limit.

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.