• CME Globex Notices: December 02, 2013

      • To
      • CME Globex Customers
      • From
      • Global Account Management
      • #
      • 20131202
      • Notice Date
      • 02 December 2013
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      Critical System Updates

      CME Globex Performance Enhancements
      Starting this Sunday, December 8 (trade date Monday, December 9), performance enhancements will be launched on the following CME Globex markets. With this launch, internal testing indicates:

      • iLink latency will improve up to 30%.
      • Per event, iLink fill notices (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2) will be published before or at the same time as the last market data trade message
      • For each individual trade, iLink fill notices will be published before or at the same time as the associated market data trade messages

      These enhancements are part of our ongoing efforts to provide best-in-class technology and service on CME Globex.

      December 8, 2013

      • CME Equity futures excluding E-mini S&P; tag 1300-MarketSegmentID=68

      December 15, 2013

      • NYMEX Non-Crude Energy futures; tag 1300=78
      • NYMEX and COMEX Metals and Alternative Market futures; tag 1300=76

      Update KCBT Product Migration to CBOT
      The proposed migration of listed contracts from the Kansas City Board of Trade (KCBT) Designated Contract Market (DCM) to the Chicago Board of Trade (CBOT) DCM, originally scheduled for this Sunday, December 8, 2013 (trade date Monday, December 9), has been rescheduled to Sunday, December 15, 2013 (trade date Monday, December 16), pending ongoing regulatory review.

      As of Thursday, December 5, 2013, KCBT and CBOT had not received CFTC permission to effect the migration as scheduled. While we know that the CFTC is diligently reviewing our request, we have decided to delay the migration for a one-week period to better ensure an orderly transition.

      These products will use the same Symbol (tag 55) and SecurityGroup (tag 1151) as they do today. With this change, the value in tag 207-SecurityExchange and Market Data Platform channels will be updated as follows:

      KCBT Product Migration to CBOT
      Product tag 1151-SecurityGroup tag 55-Symbol Current tag 207-SecurityExchange New tag 207-SecurityExchange Current MDP Channel New MDP Channel
      KC Hard Red Winter (HRW) Wheat Futures KE KE XKBT XCBT 120 111
      KC Hard Red Winter (HRW) Wheat Options OKE OK XKBT XCBT 121 112
      KC Hard Red Winter (HRW) Wheat Short-Dated New Crop Options KWE OK XKBT XCBT 121 112
      KC Hard Red Winter (HRW) Weekly Options OE1-OE5 OK XKBT XCBT 121 112
      MGEX-KCBT Wheat Spread Options MKW M6 XKBT XCBT 121 112
      MGEX-KCBT Wheat Spread Synthetic Futures WMK 08 XKBT XCBT 120 111
      KCBT Wheat vs. CBOT Wheat Inter-commodity Spread KE KB KBCB XCBT 120 111
      MGEX Wheat vs. KCBT Wheat Inter-Exchange Spread MWE MK MGKB MGCB 118 118

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

      Please Note: For the December 15 launch, customers will not have to cancel their Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for KCBT futures and options. After 16:30 CT on Friday, December 13, all remaining GTC and GTD orders for these products will be moved to their respective new channels and retain their priority in the book. Customers are responsible for verifying their working orders and making modifications as needed during the pre-open on Sunday, December 15.

      iLink Enhancement for BM&FBOVESPA and Mexder North to South Order Routing
      Effective Sunday, December 15(trade date Monday, December 16), iLink BM&FBOVESPA and Mexder North to South order routing will support FIX tag 373-SessionRejectReason on the SessionLevelReject (tag 35-MsgType=3) messages. This tag will allow BM&FBOVESPA and Mexder North to South Order Routing customers to identify the reject reason.

      tag 373-SessionRejectReason Value
      Tag FIX Name Req Valid Values Format Description
      373 SessionRejectReason Y 100 Int (3) Indicated reject reason for Partner Exchange network unavailable:
      • For BVMF orders, 100 = BVMF network unavailable
      • For Mexder orders, 100 = Mexder network unavailable

      Please Note: tag 373-SessionRejectReason will only be sent on the Session Level Reject message when customers submit BM&FBOVESPA and Mexder orders and the network is unavailable.

      Tag 373 SessionRejectReason will be available in New Release for customer testing on Tuesday, December 3.

      New Public Source IPs for Certification and New Release Environment
      At customers’ requests to increase network flexibility, the Certification and New Release Environments will move from private to public source IPs for iLink, Drop Copy and FIX/FAST market data channels at the close of business on Friday, January 24, 2014. 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.

      iLink

      • Customers will receive the new public IPs for iLink via an AutoCert+ generated email prior to Friday, January 24, 2014.

      Drop Copy

      • All testing Drop Copy ID in the Certification and New Release Environments will be deleted on Friday, January 24, 2014. Please contact  Global Account Management to obtain new Drop Copy IDs to access Drop Copy testing environments.

      FIX/FAST Market Data Channels

      • Port, multicast addresses, and source IPs for FIX/FAST market data channels are available in the config.xml file on the CME Group  FTP site. A new config.xml will be available for customer download in Certification and New Release starting Monday, December 16, 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 production 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.

      New 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 Incremental Refresh (tag 35-MsgType=X) and Security Definition (tag 35-MsgType=d) messages 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.

      Update MDP 3.0 New Release Availability
      Starting on Monday, November 11, MDP 3.0 will be implemented in New Release environment in  four phases. For each phase, specific MDP 3.0 channels and functionality will be available in the environment. The implementation will be cumulative therefore once a channel or type of functionality is available; it will remain in the environment.

      With this release, CME Group will use new public multicast source IPs for the MDP 3.0 channels in the New Release environment. Customers must configure their firewall or network device to include the entire range of eligible addresses.

      If you have any questions, please contact  Certification Support for Electronic Trading (CSET) in the U.S. +1 312 930 2322 or in Asia at +65 6593 5593 for assistance.
      New Functionality

      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 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 10 major currency pairs the SD spread type will not tick in a reduced increment from the outright contract.
        • All other currency pairs will have reduced calendar spreads
      • 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.
      Product Launches

      NEW Canadian Light Sweet Oil (Net Energy) Index Futures
      Effective Sunday, December 15 (trade date Monday, December 16), Canadian Light Sweet Oil (Net Energy) Index Futures (tag 1151-SecurityGroup=CIL, tag 55-Symbol=RF) will be listed for trading on CME Globex.

      The Canadian Light Sweet Oil (Net Energy) Index futures will be available for customer testing in New Release on Monday, December 9.

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

      GBP/USD Options Strike Price Increment Change
      Effective this Sunday, December 8 (trade date Monday, December 9), the strike price increment for GBP/USD options (tag 1151-SecurityGroup=6B; tag 55-Symbol=XB) will be reduce from 100 points to 50 points on CME Globex.

      With these changes, the listing rules will be expanded from ± 24 ATM to ± 48 ATM for all trading maturities.

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

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

      Brent Futures & Option Last Trade Change
      Effective this Sunday, December 8 (for trade date Monday December 9), the last trading day will be modified for  Brent crude oil futures and options starting with the March 2016 maturity on CME Globex. With this change, the settlement price calculations will be also be modified starting with the March 2016 maturity.

      Detailed information on these changes is available  online.

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

      NEW Energy Listing Cycle Expansion
      Effective this Tuesday, December 10 (trade date Wednesday, December 11), the listing cycle for 47 energy futures will be expanded on CME Globex. Detailed information on the new listing rules is available  online.

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

      NEW Energy Future Strips Listing Cycle Expansion
      Effective Sunday, December 15 (trade date Monday, December 16), the cycle for the following energy futures strips will be expanded as follows:

      Energy Future Strips Listing Cycle Expansion
      Product tag 1151 Security Group tag 55-Symbol Current Listing Cycle New Listing Cycle
      Natural Gas Henry Hub Future Strips NG NG 6 yearly strips 9 yearly strips
      Henry Hub Natural Gas Last Day Financial Futures Strips NN HX/td> 2 yearly strips and 12 quarterly strips 9 yearly strips and 24 quarterly strips
      Henry Hub Natural Gas Last Day Physically-Delivered Futures Strips MG HX/td> 1 yearly strip and 1 seasonal strip 9 yearly, 1 balance of year, 24 quarterly, 8 seasonal, 1 balance of season

      These changes will be available in New Release for customer testing on Monday, December 9.

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

      FIX tag 55-Symbol Changes for Synthetic Futures
      Effective Sunday, January 11, 2014, the values for FIX tag 55-Symbol for FIX/FAST for Synthetic futures will be changed. The complete list synthetic futures are available  online.

      With this change, tag 1151-Security Group for MDP 3.0 will also change and will be available upon launch of MDP 3.0

      These changes will be available in New Release for customer testing for FIX/FAST and MDP 3.0 on Monday, December 9.

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
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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