• CME Globex Notice Beta

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Account Management
      • #
      • 20140421v1

    • Topics in this issue include:

      Critical System Updates

      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.

      In 2nd Half of 2014, Market Segment Gateways for will be available for all markets.

      Additional details will be published in the CME Globex Notices.

      Update - iLink Tag 44-Price and Market Data Tag 270-MDEntryPx Format Change

      Effective Sunday, May 4 (trade date Monday, May 5), the length of tag 44-Price on all iLink and tag 270-MDEntryPx on all Market Data Platform messages will be increased from 15 bytes to 17 bytes. With this change, iLink messages with tag 44-Price values greater than 10 characters to the left and 7 characters to the right of the decimal will be rejected. The decimal, and if applicable the negative sign, are not counted as a character.

      If Tag 44-Price exceeds the new price format, the session level reject message (tag 35-MsgType=3) will contain tag 58-Text=Business Reject: Required Field Missing '44 (PRICE) price is too large: < Tag 44 value >'.
      This launch will be phased in as follows:

      iLink Tag 44 - Price Format Change

      Tag1300-MarketSegmentID

      Market Segment

      Production Launch

      52

      CME FX options

      May 4, 2014

      68

      CME Equity futures excluding E-mini S&P

      78

      NYMEX Non-Crude Energy futures

      66

      CBOT Equity futures

      May 18, 2014

      56

      NYMEX and COMEX options

      76

      NYMEX and COMEX Metals and Alternative Market futures

      80

      NYMEX Crude Energy Futures

      74

      Hosted Partner Exchange markets and NYMEX Emissions futures

      60

      CBOT Commodity and Equity options

      June 1, 2014

      70

      CME Commodity futures
      72

      CBOT Commodity futures

      82

      CME Eurodollar futures

      86

      CME Europe futures

      64

      CME E-mini S&P 500 futures

      June 8, 2014

      84

      CBOT Treasury futures CME Commodity futures

      54

      CME Equity options

      62

      CME FX futures

      58

      CBOT Treasury options

      50

      CME Eurodollar options

      More information on CME Globex and Market Data Platform messages is available online.
      This change is currently available for customer testing in Certification for all market segments, except Tag-1300MarketSegmentID=58, 70, 72 and 84. These four market segments will be available in Certification on Monday, April 28.

      Market Data Platform Channel Changes

      Effective Sunday, June 15, (trade date Monday, June 16), CME Group will split Market Data Platform Channel 111 - CBOT Globex Commodity futures into two separate channels to better manage future growth.

      Market Data Platform Channel Changes
      FIX/FAST/MDP 3.0 Channel Number

      Channel Label

      FIX/FAST and iLink: tag 55-Symbol

      111/340

      CBOT Globex Commodity Futures

      BW

      KB

      KE

      XC

      XW

      ZC

      ZW

      05

      117/346

      CBOT Globex Commodity Futures II

      AW

      EH

      RS

      XK

      ZO

      ZR

      ZS

      03

      With this change, the FIX tag 55-Symbol for FIX/FAST for the following synthetic futures will be changed from 05 to 03. A complete list of product is available online.

      FIX/FAST Channel 117 and MDP 3.0 Channel 346 configuration information will be available via future CME Globex Notices.

      The new channel configuration will be available for testing in New Release for both FIX/FAST and MDP 3.0 on Monday May 5, 2014.

      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.

      MDP 3.0 Decoder

      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.

      MDP 3.0 Update

      Effective Monday, May 5, an update to MDP 3.0 will be available in New Release. The update will include the following:

      • Changes to the Event Ordering
      • SBE Header Addition
      • Word Boundaries/Block Alignment

      A detailed summary of the changes is available online. These changes are also reflected in client impact assessment.

      Drop Copy Certification

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

      New Functionality

      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 this 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.

      The launch includes the following impacts:

      • New products in Biofuel and FX futures
        • New futures calendar spread type for FX futures
        • Contrasting minimum tick value (Tag 969-MinPriceIncrement) between CME Globex (0.25) and CME ClearPort (0.001) for Biodiesel futures
        • Book depth (tag 264-MarketDepth) of 5 for Biofuel and FX futures
      • New tag 207-SecurityExchange value to identify the exchange
      • New market data channel to disseminate market data
      • A new streamlined Fix/Fast market data channel to publish block information

      CME Europe Launch Schedule

      Product

      New Release Availability

      Mock Trading Session

      Product Launch

      Biofuel futures

      Available

      Saturday, April 26

      Sunday, April 27

      FX futures

      Available

      Saturday, April 26

      Sunday, April 27

      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 this 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:

      Mass Order Cancel Functionality

      Tag1300-MarketSegmentID

      Market Segment

      Production Launch

      76

      NYMEX metals, softs and alternative markets & COMEX futures

      Sunday, April 27

      All

      All other markets listed on CME Globex

      Sunday, May 4

      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 8 (trade date Monday, June 9), 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.

      User-Defined Spreads for Energy Futures

      Effective Sunday, June 8(trade date Monday, June 9), CME Globex will launch User-Defined Spreads (UDS) for energy futures. UDS allows traders to create the precise spreads they wish to trade in real time. UDS for futures will be supported alongside exchange-defined futures spreads.

      The CL and NG product groups (FIX/FAST tag 55-Symbol or MDP 3.0 tag 1151-SecurityGroup) will not support UDS for futures.

      UDS for futures is an extension of the current UDS for options functionality. It has been designed to reduce customer impact by mimicking existing functionality and messaging. Certification is not required if customer systems have already certified for UDS for options.

      A client impact assessment is available now with detailed messaging and functionality specifications.

      UDS for futures will be available in Certification on Monday, April 28, and New Release on Monday, May 5 for customer testing.

      Product Launches

      Effective this Sunday, April 27 (trade date Monday, April 28), the following Mini Dubai Crude Oil futures will be listed for trading on CME Globex, open outcry and for clearing submission on CME ClearPort.

      Platts Mini Dubai and Mini BALMO Futures

      Futures

      tag 1151-Security Group

      tag 55-Symbol

      Mini Dubai Crude Oil (Platts) Futures

      DBL

      PT

      Mini Dubai Crude Oil (Platts) BALMO Futures

      DBT

      RF

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

      Please view the New Product Summary.

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

      Japan C&F Naphtha Dubain (Platts) Crack Spread Futures

      Effective this 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 open outcry and for clearing submission on CME ClearPort.
      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.

      Please view the New Product Summary.

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

      New - 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 Monday, 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 and open outcry.

      • TFY Spread Ratio = 3.1
      • Defined ratio = 6

      Please note: This spread is listed in addition to the existing 2-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 is currently available for customer testing in New Release.

      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, open outcry and for clearing submission on CME ClearPort.

      These new Aluminum futures contracts will offer global aluminum market participants a 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 are currently available for customer testing in New Release.

      Please view the New Product Summary.

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

      Balanced Strip Spread for Henry Hub Swap and Henry Hub Natural Gas Last Day Physically-Delivered Futures

      Effective Sunday, May 4 (trade date Monday, May 5), Balanced Strip Spread (tag 762-SecuritySubType=SB) will be listed for trading on CME Globex for the following futures:

      Balanced Strip Spreads
      Product tag 1151-SecurityGroup tag 55-Symbol tag 762-SecuritySubType
      Henry Hub Swap futures NN HX SB
      Henry Hub Natural Gas Last Day Physically-Delivered futures MNG NG SB

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

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

      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.

      Uodate - Weekly Options and EOM Options on E-mini and $10 Dow Jones Industrial Average Futures

      Effective Sunday, May 18 (trade date Monday, May 19), 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 and open outcry.

      Weekly options and EOM options on E-mini and $10 Dow Jones Industrial Average Futures

      Options

      tag 1151-Security Group (Outrights)

      tag 55-Symbol (Outrights)

      tag 55-Symbol (UDS)

      Weekly Options on E-mini DJIA futures Week 1

      YM1

      OL

      M5

      Weekly Options on E-mini DJIA futures Week 2

      YM2

      OL

      M5

      Weekly Options on E-mini DJIA futures Week 4

      YM4

      OL

      M5

      End of Month (EOM) Options on E-mini DJIA futures

      EYM

      OL

      M5

      Weekly Options on DJIA ($10) futures Week 1

      ZD1

      DW

      01

      Weekly Options on DJIA ($10) futures Week 2

      ZD2

      DW

      01

      Weekly Options on DJIA ($10) futures Week 4

      ZD4

      DW

      01

      End of Month (EOM) Options on DJIA($10) futures

      EZD

      DW

      01

      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.

      Please view the New Product Summary.

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

      Product Changes

      New - Energy Future Strips Listing Cycle Expansion

      Effective Sunday, May 4 (trade date Monday, May 5), 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 tag 762-SecuritySubType Current Listing Cycle New Listing Cycle
      Natural Gas (Henry Hub) Physical Futures NG NG SB One yearly strip Eight yearly strips
      Natural Gas (Henry Hub) Last-day Financial Futures HH HX SB One yearly strip Four yearly strips

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

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

      New - Price Format Change for Nikkei 225 (Yen) Futures and E-mini Dow Jones Fixing Prices

      Effective Sunday, May 18 (trade date Monday, May 19), CME Group will begin publishing the tag 270-MDEntryPx value in decimal format for the Nikkei 225 (Yen) Futures and E-mini Dow Jones futures fixing prices to support a more granular fixing price. Currently, the fixing prices are published in integer format, with no decimal.

      Energy Future Strips Listing Cycle Expansion
      Futures Market Data Platform Channel tag 1151-SecurityGroup tag 55-Symbol
      Nikkei 225 (Yen) Futures 15 NIY N1
      E-mini Dow Jones Futures 113 YM YM

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

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

      This change will be available in New Release for customer testing on Monday, May 5.

      Variable Price Limit for 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, the 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.

      Events & Announcements

      Legacy SFTP Site Decommission

      Effective close of business this 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.

      iLink Session ID Auto-Deletion Process

      Effective Monday, May 5, CME Group will execute our iLink session ID auto-delete process. All iLink sessions must meet a minimum messaging threshold of 100 messages over three months to exempt themselves from this process. Any iLink session ID with fewer than 100 messages will be flagged for deletion. For the purposes of this policy, a message is defined as a new order (tag 35-MsgType=D), order cancel/replace request (tag 35=G), order cancel request (tag 35=F), and mass quote (tag 35=i).

      Idle iLink session IDs needlessly consume resources and make load balancing and resource allocation planning more difficult. CME Group is committed to managing session IDs to ensure the best performance on CME Globex for our customers. The iLink session ID auto-delete process helps ensure these resources are managed proactively and consistently across the marketplace.

      An e-mail notification will be distributed to clearing firms and execution firms with Firm Admin Dashboard access on Monday, May 5. Clearing firms will have four weeks to review their idle session IDs. One week before the deletion, Friday, May 30, CME Group will change the passwords and shut the ports for idle iLink session IDs All idle session IDs will be deleted at the end of the day on Friday, June 6. Details on the process are available online.

      Please contact your Global Account Manager in U.S. at 312-634-8700, in Europe at 44-203-379-3754, or in Asia at 65-6593-5574 for further information.