CME Globex Notices: September 23, 2013

Drop Copy Certification
Due to the upcoming  Mass Order Cancel functionality, all Drop Copy customers must complete a new Drop Copy certification by Friday, November 8, for the new outbound message. The new certification suites are now available in Autocert+.

Source IP Changes for BM&FBOVESPA and Mexder on the Market Data Platform
Effective Sunday, November 10 (trade date Monday, November 11), CME Group will be changing the multicast source IPs for the Brazilian Mercantile and Futures Exchange (BM&FBOVESPA) and 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 BM&FBOVESPA Market Data Platform are available in the config.xml file on the  FTP site. A new config.xml will be available for customer download in production starting Sunday, October 20.

These changes will be available in New Release on Monday, September 30.

As a reminder, CME Group requires that customers configure servers to connect to the Market Data Platform ports and multicast addresses for each desired channel. 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.

New User Defined Spread Combination Expiration Rules
Effective Sunday, November 10 and 17 (trade date Monday, November 11 and 18), the expiration rules for User Defined Spreads (UDS) combinations on CME Globex will be changed to better meet customers’ trading needs.

With this change, CME Globex will assign the expiration date and time as either the earliest leg expiration or the end of the current trading week, whichever occurs first. If there is a working Good ‘Till Cancel (GTC) order on the Combo after the close on Friday, the expiration will be extended an additional week. This extension will repeat as many times as necessary until the earliest leg expires. Tag 866-EventDate contains this expiration date and time in the Market Data Platform FIX/FAST Security Definition (tag 35-MsgType=d) message.

Currently, an options strategy remains an active contract on CME Globex for two weeks or until the leg with the shortest maturity expires, unless there is any activity during the week of expiration.

Please note: This change will not impact the expiration rules for the Covered, which continues to expire at the end of the trading date in which it has been created.

This launch will be phased in as follow:

This change will be available for customer testing in New Release on Monday, October 7.

Detailed information including functionality and messaging for UDS Combos Expiration and Extension are available in the   Client Systems Wiki.

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 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 dates will be announced in future CME Globex and Market Data Notices.

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+. 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.

Further information on the deployment plan and timing for New Release will be published in future CME Globex and Market Data Notices.

Test versions of MDP 3.0 template and PCAP (Packet Capture) test files are currently available  online . 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
Effective this 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 authorized 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.

Stop Logic and Velocity Logic Enhancements
Effective this 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.

 Kill Switch
Effective Sunday, October 20, 2013, CME Group will introduce Kill Switch functionality to Risk Management Tools. In addition to kill and order cancel functionality that already exists at the exchange and firm level, Kill Switch is a GUI that is designed to allow firms a one step shutdown of all their CME Globex activity at the SenderComp ID level.

When the Kill Switch functionality is activated by the permissioned firm, all order entry is blocked and all working orders are cancelled for either a selected subset or all, of firm’s SenderComp IDs.

All subsequent Blocked Execution Firm order entries will be rejected with a  Session Level Reject (tag 35-MsgType=3) message and the accompanying text explanation.

All subsequent Blocked Execution Firm order entries will be rejected with a  Session Level Reject (tag 35-MsgType=3) message and the accompanying text explanation.

Access to the Kill Switch functionality will be available to all current GC2 Risk Admins. Clearing Firms will have the ability to grant access to the functionality to their Executing Firms.

The Kill Switch functionality will be in New Release for customer testing Monday, September 30, 2013.

 DSF Access Manager
Effective Sunday, October 20, 2013, CME Group will introduce DSF Access Manager, a new Risk Management Tool for mitigating delivery risk in the Deliverable Swap Futures (DSF) products. Beginning with the December 2013 contract, all new order entry will be prevented in the front-month DSF contract during the 7 calendar days preceding last trading day. In order to trade the front-month DSF contract during this period, customer accounts must be permissioned by their clearing firms through the DSF Access Manager.

If an unauthorized account submits an order inside the expiration window, CME Globex will send a  Session Level Reject (tag 35-MsgType=3) message and the accompanying text explanation (tag 58-Text = this account is prevented from trading this physically delivered contract 7 days before the last trading day).

The DSF Access Manager will appear as a new tab on the Risk Management Tools page and be available to all current GC2 Risk Admins.

All GTC/GTD orders entered into the system prior to the last 7 calendar days will not be impacted; they will continue to remain active orders.

The new functionality will be available for customer testing in New Release beginning Monday, September, 30.

 Request for Cross by Trading Session
Effective Sunday, November 10 (trade date Monday, November 11), pending all relevant regulatory review periods, CME Globex will allow the Request for Cross (RFC) by Trading Session on the following Market Data Platform channels:

Please note: This change will not affect Ethanol option’s cross eligibility.

With this change in the Grain and Oilseed options markets, clients may only submit a  New Order Cross (tag 35-MsgType=s, tag 549-CrossType=3) during Non-Pit Trading Hours, Sunday - Friday, 19:00 Central Time (CT) to 07:45 CT. Customers can use tag 871-InstAttrbType=24 and tag 872-InstAttrbValue=2 in the Security Definition (tag 35-MsgType=d) message to identify products that are eligible for cross orders.

If a cross is submitted during Pit Trading Hours, CME Globex will send an  Execution Report Reject (tag 35-MsgType=8, tag 39-OrdStatus=8) message with the reject code (tag 103-OrdRejectReason = 7610) and the accompanying text explanation (tag 58-Text = RFC not allowed during RTH).

This change will be available for customer testing in New Release on Monday, October 14.

Detailed information including functionality and messaging for Cross is available in the  Client Systems Wiki.

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.

Mass Order Cancel Functionality on CME Globex
The Mass Order Cancel Functionality previously scheduled for Sunday, September 29 and Sunday, October 6, has been postponed to Sunday, November 10 and Sunday, November 17.

Effective Sunday, November 10 and 17 (trade date Monday, November 11 and 18), 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:

• November 10
  • NYMEX metals, softs and alternative markets
  • COMEX futures
• November 17
  • 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 is currently available.

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.

Western Power Futures
Effective this Sunday, September 29 (trade date Monday, September 30), the following Western Power futures will be listed for trading on CME Globex.

These futures will be available for customer testing in New Release on Monday, September 23.

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

 RBOB Options
Effective Sunday, October 20 (trade date Monday, October 21) RBOB Gasoline vs. Euro-bob Oxy NWE Barges (Argus) Average Price options futures will be listed for trading on CME Globex.

The new product is an Asian style option on the spread between NY Harbor gasoline and North West European gasoline.

These options will be available for customer testing in New Release on Monday, September 30.

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

 European Diesel Differentials vs New York Harbor ULSD Futures
Effective Sunday, October 20 (trade date Monday, October 21), the following European Diesel Differentials vs. New York Harbor ULSD futures will be listed for trading on CME Globex.

These futures will be available for customer testing in New Release on Monday, September 30.

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

 Low Sulphur Gasoil Futures
Effective Sunday, October 20 (trade date Monday, October 21), the following Low Sulphur Gasoil futures will be listed for trading on CME Globex.

These futures will be available for customer testing in New Release on Monday, September 30.

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

Bursa Malaysia Derivative Berhad (BMD) Gold Futures
Effective Sunday, October 6 (trade date Monday, October 7), having received approval from the Securities Commission (SC), 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.

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 are currently available in New Release for customer testing.

 Display Factor Changes for Henry Hub Futures
Effective Sunday, October 20 (trade date Monday, October 21), changes tag 9787-DisplayFactor will be implemented for the following Henry Hub futures and future spreads.

These changes will be available in New Release for customer testing on Monday, September 30.

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