CME Globex Notices: April 7, 2014

New iLink Architecture in 2014
In 2014, CME Group will launch a new iLink architecture with design and network enhancements. The new architecture is designed to:

• Extend First In, First Out (FIFO) message handling from the trading engine to the order entry gateway
• Reduce variability
• Harden risk management for order entry bursts

Details on the new iLink Architecture roadmap can be found  online. For an overview of the new iLink architecture, please review the  iLink Architecture webinar.

This release will be phased in as follows:

• 2nd Half of 2014
  • Market Segment Gateways for all markets

Further details on each of these phases will be published in the CME Globex Notices.

New CME Globex Market Data Protocol
In Q3 2014, 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.

The final version of the MDP 3.0 protocol will be in New Release in Q2 2014.

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,  functional specifications, and  message specifications provide detailed functionality and messaging information.

MDP 3.0 channels and functionality are currently available in New Release.

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.

Real Logic Ltd. and Informatica have collaborated to create open source tools that provide extensive support for Simple Binary Encoding (SBE), the messaging standard developed through The Financial Information Exchange (FIX) Trading Community. The SBE decoders will create an environment that can be used directly by customers or treated as a reference implementation that can be extended into custom solutions tailored to individual customer’s needs. The information and tool are open to the public under an Apache Public License and available  here.

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.

Drop Copy Certification
Due to the upcoming  mass order cancel functionality, all Drop Copy customers must complete a new Drop Copy certification by Friday, April 25, for the new outbound message. The new certification suites is currently available in Autocert+.

 CME Europe on CME Globex
CME Group has received approval from United Kingdom's Financial Conduct Authority (FCA) to launch a new London-based derivatives Recognised Investment Exchange (RIE), CME Europe Limited.

Effective Sunday, April 27 (trade date Monday, April 28), CME Europe markets will be available via CME Globex for iLink order routing and market data.

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.

• New products in Biofuel and FX futures (FX subject to final regulatory approval of certain operational clearing conditions)
  • New futures calendar spread type for FX futures
  • Contrasting minimum tick increment (Tag 969-MinPriceIncrement)for Biofuel futures between CME Globex (0.25) and CME ClearPort (0.001).
  • Minimum daily settlement tick increment of 0.001 for Biofuel futures.
  • Book depth of 5 for Biofuel and FX futures starting Monday, April 14. Currently, the book depths are designated as 5-deep for FX futures and 10-deep for Biofuel futures in New Release.
• New tag value to identify the exchange
• 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.

An  overview of the customer mock trading session to be held on Saturday, April 26 is now available.

Please contact your  Global Account Manager for further information.

Mass Order Cancel Functionality
Effective Sunday, April 27 and May 4 (trade date Monday, April 28 and May 5), 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 working orders. FIX/FAST tag 1300-MarketSegmentID in the market data Security Definition (tag 35-MsgType=d) message identifies products within a Market Segment.

This launch will be phased in as follows:

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 and Certification.

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 for further information.

 New Strip User-Defined Spread for Energy Options
Effective Sunday, June 1 (trade date Monday, June 2), a new option strip User-Defined Spread type (tag 762-SecuritySubType=SA) will be introduced on CME Globex for NYMEX energy markets.

The SA option strip spread is constructed of all calls (Call Strip) or all puts (Put Strip). The Call Strip consists of buying calls within the same instrument and strike price for up to 26 expiration months, resulting in a total of between two and 26 calls purchased. The Put Strip consists of buying puts within the same instrument and strike price for up to 26 expiration months, resulting in a total of between two and 26 puts purchased. The Strip requires all legs to be equally distributed maturities (e.g., M8-U8-Z8 or M8-N8-Q8).

An SA spread trade price is the average of the outright leg prices. The trade reports for both the spread and the outright legs will reflect the averaged price.

Only one strip UDS type will be supported per options market. With this launch, the current option strip UDS (tag 762-SecuritySubType=SR) will be retired in the NYMEX energy options markets. The SR type will continue to be supported in all other options markets on CME Globex.

A detailed description of Option Strip spread types is available online.

The new spread type will be available in Certification for customer testing on Monday, April 28.

 Eurodollar Futures Displayed Quantity Order Ratio
Effective Sunday, June 1 (trade date Monday, June 2), CME Globex will enforce the current Displayed Quantity order ratio for Eurodollar futures markets.

The 60:1 ratio threshold for Displayed Quantity or MaxShow order types was introduced on Sunday, October 27, 2013. Under the ratio, a 600-lot order utilizing the Displayed Quantity must disclose a minimum quantity of ten to the marketplace.

A New Order that fails to meet the ratio threshold will be rejected with an execution level reject message (tag 35-MsgType=8), with tag 103-OrdRejectReason=2190 and tag 58-Text= Message rejected due to MaxShow ratio violation. 'MaxShow ratio of [total quantity]:[displayed quantity] does not meet the ratio requirement of 60:1'.

An Order Cancel-Replace Request that fails to meet the ratio threshold will be rejected with an order cancel reject message (tag 35-MsgType=9), with tag 102-CxlRejectReason=2190 and tag 58-Text= Message rejected due to MaxShow ratio violation. 'MaxShow ratio of [total quantity]:[displayed quantity] does not meet the ratio requirement of 60:1'.

This new functionality will be available in Certification for customer testing Monday, April 28.

Euro-Denominated Deliverable Interest Rate Swap Futures
Effective this Sunday, April 13, (trade date Monday, April 14), the following Euro-Denominated Deliverable Interest Rate Swap futures will be listing for trading on CME Globex.

This product has the same economic exposure as an interest rate swap with the margin and liquidity benefits of a futures contract, and at expiration all open positions will deliver into a CME Cleared Euro Interest Rate Swap. Other key benefits include automatic risk offsets with our liquid Treasury and Eurodollar futures and options, and reduced clearing fees as futures are not typically subject to additional costs charged by OTC clearing members.

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

Pending all relevant CFTC regulatory review periods, these contacts shall be listed with, and subject to, the rules and regulations of CBOT.

Options on Yen Denominated Nikkei Stock Average Futures
Effective this Sunday, April 13 (trade date Monday, April 14), options on Yen Denominated Nikkei Stock Average futures will be listed for trading on CME Globex.

These options contracts will be available in American-style and European-style options. The American-style options will be offered in two months in the March Quarterly Cycle, and the European-style options will be offered in two serial months. For European-style options, CME will reference OSE's Nikkei 225 (Yen) Futures contract prices to make in-the-money and exercise determinations at option expiry.

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

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

Metal Weekly Options
Effective this Sunday, April 13 (trade date Monday, April 14), the following Gold, Silver and Copper Weekly options will be listed for trading on CME Globex.

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

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

Crude Oil and Natural Gas Weekly Options
Effective this Sunday, April 13 (trade date Monday, April 14), the following Crude Oil and Natural Gas Weekly options will be listed for trading on CME Globex.

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

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

•  2-year U.S. Treasury Notes Future vs. 5-year U.S. Treasury Notes Future Implied Inter-commodity Ratio Spreads
  Effective Sunday, April 27 (trade date April 28), 2-year U.S. Treasury Notes Future vs. 5-year U.S. Treasury Notes Future Implied Inter-commodity Ratio Spread (tag 1151-SecurityGroup=TFY; tag 55-Symbol=ZB) will be listed for trading on CME Globex.
• TFY Spread Ratio = 3.1
• Defined ratio = 6

Please note: This spread is listed in addition to the existing -year U.S. Treasury Notes Future vs. 5-year U.S. Treasury Notes Future Implied Inter-commodity Ratio Spread (tag 1151-SecurityGroup=TUF; tag 55-Symbol=ZB)

This spread will be available for customer testing in New Release on Monday, April 14.

Platts Mini Dubai and Mini BALMO Futures
Effective Sunday, April 27 (trade date Monday, April 28), the following Mini Dubai Crude Oil futures 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.

Japan C&F Naphtha Dubain (Platts) Crack Spread Futures
Effective Sunday, April 27 (trade date Monday, April 28), the Japan C&F Naphtha Dubai (Platts) Crack Spread futures (tag 1151-Security Group=JNC, tag 55-Symbol=PT) will be listed for trading on CME Globex.

A futures contract referencing the spread between the month-average price for Platts "C&F Japan" Naphtha, minus the month-average price for Platts Crude Oil Marketwire for Dubai, for each business day over the contract month.

These futures will be for customer testing in available New Release on Monday, April 14.

Weekly options and EOM options on E-mini and $10 Dow Jones Industrial Average Futures
Effective Sunday, May 4 (trade date Monday, May 5), Weekly options and end of month (EOM) options on E-mini and $10 Multiplier Dow Jones Industrial Average futures will be listed for trading on CME Globex.

The weekly and EOM options on E-mini and $10 Multiplier Dow Jones Industrial Average futures will be European-style options. There will be two concurrent weekly option contracts and two concurrent EOM option contracts listed.

These options will be available for customer testing in New Release on Monday, April 28.

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

Aluminum Futures
Effective Sunday, May 4 (trade date Monday, May 5), the following  Aluminum futures (tag1151-SecurityGroup=ALI, tag 55-Symbol=ST) will be listed for trading on CME Globex.

These new Aluminum futures contracts will offer global aluminum market participants a new tool for managing their exposure to volatile North American prices, while giving them access to physical aluminum at a number of CME Group-approved warehouses across the U.S.

These futures will be available for customer testing in New Release on Monday, April 28.

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

Bursa Malaysia Derivative Berhad (BMD) USD RBD Palm Olein Futures
Pending regulatory approval, Bursa Malaysia Derivative Berhad (BMD) will list USD RBD Palm Olein futures (tag1151-SecurityGroup=FPOL, tag 55-Symbol=BL) for trading on CME Globex in Q2 2014. The production launch date will be announced in the CME Globex Notices as soon as it is available.

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

 1-Month and 3-Month Euro/U.S. Dollar (EUR/USD) Realized Volatility Futures Delisting
Effective this Sunday, April 13 (trade date Monday, April 14), the 1-Month and 3-Month EUR/USD Realized Volatility futures will be delisted. There is currently no open interest in these products.

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

Maximum Order Quantity Changes
Effective this Sunday, April 13 (trade date Monday, April 14), the maximum order quantity will be modified for the following products.

• Cash-settled Butter futures, options and strips (tag 1151-SecurityGroup=CB) to 100 from 1,000
• Cash-settled Butter futures calendar spreads (tag 1151-SecurityGroup=CB) to 200 from 2,500
• Cash- settled Cheese futures and strips (tag 1151-SecurityGroup=CSC) to 100 from 50
• Cash- settled Cheese calendar spreads and intercommodity spreads (tag 1151-SecurityGroup=CSC) to 200 from 100
• Cash-settled Cheese options (tag 1151-SecurityGroup=CSC) to 100 from 50
• Class III Milk futures, options and strips (tag 1151-SecurityGroup=DC) to 250 from 1,000
• Class III Milk futures calendar spreads and intercommodity spreads (tag 1151-SecurityGroup=DC) to 500 from 2,500
• Class IV Milk futures, options and strips (tag 1151-SecurityGroup=GDK) to 250 from 1,000
• Class IV Milk futures calendar spreads (tag 1151-SecurityGroup=GDK) to 500 from 2,500
• Dry Whey futures, options, and strips (tag 1151-SecurityGroup=DY) to 100 from 1,000
• Dry Whey calendar spread (tag 1151-SecurityGroup=DY) to 200 from 2,500
• Non-fat Dry Milk futures, options and strips (tag 1151-SecurityGroup=GNF) to 100 from 1,000
• Non-fat Dry Milk calendar spreads and intercommodity spreads (tag 1151-SecurityGroup=GNF) to 200 from 2,500
• Random Length Lumber futures (tag 1151-SecurityGroup=LBS) to 100 from 1,000
• Random Length Lumber calendar spreads (tag 1151-SecurityGroup=LBS) to 200 from 2,500
• Random Length Lumber options (tag 1151-SecurityGroup=LBS) to 100 from 50
• Live Cattle futures, options including CSO and weeklies (tag 1151-SecurityGroup=LE, LE#, L0*) to 500 from 1,000
• Live Cattle calendar spreads and butterflies (tag 1151-SecurityGroup=LE) to 1,000 from 2,500
• Feeder Cattle futures and options (tag 1151-SecurityGroup=GF) to 500 from 1,000
• Feeder Cattle calendar spreads and butterflies (tag 1151-SecurityGroup=GF) to 1,000 from 2,500
• Lean Hog futures, options including CSO (tag 1151-SecurityGroup= HE, B0*) to 500 from 1,000
• Lean Hog calendar spreads and butterflies (tag 1151-SecurityGroup= HE) to 1,000 from 2,500

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 changes are currently available in New Release for customer testing.

Minimum Price Increment Change for European Gasoil (100mt) Bullet Futures
Effective this Sunday, April 13, (trade date Monday, April 14), minimum price increment for European Gasoil (100mt) Bullet Futures will be modified from $0.05 to $0.25 on CME Globex.

With this change, the listing cycle will be expanded from current year plus the next year to current year the next 3 years.

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

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

Listing Cycle Expansion Coal (API 8) cfr South China (Argus/McCloskey) Futures
Effective this Sunday, April 13, (trade date Monday, April 14), the listing cycle for Coal (API 8) cfr South China (Argus/McCloskey) futures (tag 1151-SecurityGroup=SSI; tag 55-Symbol=JR) will be expanded on CME Globex.

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

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

FIX tag 1147-UnitofMeasureQty Change CME Seasonal Event Hurricane Futures
Effective this Sunday, April 13 (trade date Monday, April 14), the values in FIX tag 1147 UnitOfMeasureQty will be modified for the weather futures on CME Globex. The contract multiplier is changing from 1,000 to 100,000 index points. The value per tick is changing from $100 to $10,000 per tick. The minimum tick remains the same at 0.1 index points.

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

Variable Price Limit Grain and Oilseed Futures and Options
Effective Thursday, May 1, pending regulatory approval  variable price limits will be introduced on for grain and oilseed futures. Products impacted include Corn, Soybeans, Chicago Soft Red Winter (SRW) Wheat, KC Hard Red Winter (HRW) Wheat, Mini-sized Corn, Mini-sized Soybeans, Mini-sized Wheat, Soybean Oil, Soybean Meal, Oats, and Rough Rice.

Currently, the daily price limits are fixed on all CBOT grain and oilseed futures and options. With this change, variable price limit mechanism resets price limits in each of the CBOT grain and oilseed futures contract every six months. The new variable price limit mechanism will allow higher limits when prices are high and lower limits when prices are low.

Customers are strongly encouraged to utilize the FIX/FAST Security Status (tag 35-MsgType=f) messages to obtain the daily price limits (tag 332-HighPx; tag 333-LowPx) to avoid the rejection of orders that breach price limit thresholds.

Customers may also obtain the daily price limits from the Security Definition (tag 35-MsgType=d, tag 1149-HighLimitPrice and 1150-LowLimitPrice) messages on the instrument replay feed.

The variable price limits will be available for customer testing in New Release on Monday, April 21.

Legacy SFTP Site Decommission
Effective close of business Friday, April 25, customers will no longer be able to access the FTP site using the fixuserprod ID to CME WAN facing 167.204.41.33 IP address. Customers may continue to access the ftp site via secure FTP or the public FTP  ftp://ftp.cmegroup.com/fix/Production/.

If you have any questions, please contact the CME Global Command Center in the U.S. at +1 800 438 8616, in Europe at +44 800 898 013 or in Asia at +65 6532 5010 and ask for GSS.

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