20130909 - CME Group

CME Globex Notices: September 9, 2013

- To
- CME Globex Customers
- From
- Global Account Management
- #
- 20130909
- Notice Date
- 09 September 2013

Topics in this issue include:

	Critical System Updates Market Data Improvements - This Week ^Update iLink Performance Improvements - This Week ^New Drop Copy Certification - September 27 New CME Globex Market Data Protocol - Q4 2013
	New Functionality CME Europe on CME Globex ^Update Mass Order Cancel Functionality on CME Globex - Starting September 29 Stop Logic and Velocity Logic Enhancements - September 29
	Product Launches Bursa Malaysia Derivative Berhad (BMD) Gold Futures - Postponed U.S. Dollar/South African Rand (USD/ZAR) Futures - September 22 S&P MLP Index Futures - September 22 TETCO STX Natural Gas (Platts IFERC) Fixed Price Futures - September 22 Natural Gas (Platts IFERC) Fixed Price Futures - September 22 Natural Gas Transco Fixed Futures - September 22
	Product Changes Delisting of Dow Jones Electricity Price Index Futures - This Week ^New Display Factor Change for TAS Futures - September 29
	Events and Announcements CME Globex Credit Controls Enhancement - September 15

Critical System Updates

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:

Market Data Improvements
MDP Channel	Channel Name	Production Launch
9	CME Globex Interest Rate Futures	September 15
13	CME Globex Commodity Futures	September 15
111	CBOT Globex Commodity Futures	September 15
118	MGEX Globex Futures	September 15
120	KCBT Globex Futures	September 15

The complete implied channel launch schedule is available online.

iLink Performance Improvements
Effective this Sunday, September 15 and Sunday, September 22, CME Globex will continue launching iLink performance improvements for markets listed on the following Market Data Platform channels:

iLink Performance Improvements
MDP Channel	Channel Name	Production Launch
9	CME Globex Interest Rate Futures	September 15
13	CME Globex Commodity Futures	September 15
111	CBOT Globex Commodity Futures	September 15
118	MGEX Globex Futures	September 15
120	KCBT Globex Futures	September 15
18	NYMEX Globex Emissions Futures	September 22
22	BMD Globex Futures	September 22
28	DME Globex Futures	September 22
30	NYMEX Globex Crude & Crude Refined Futures	September 22

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

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.

New Functionality

CME Europe on CME Globex
Effective Sunday, September 29 (trade date Monday, September 30), 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
- For the Sunday, September 29 launch the calendar spread will be non-implied. The implied functionality will be made available in New Release on Monday, October 7 and in production on Sunday, October 13.
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.

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.

Product Launches

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.