CME Globex Notices: April 28, 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.

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.

 iLink Tag 44-Price and Market Data Tag 270-MDEntryPx Format Change
Effective this 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 digits to 17 digits. 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:

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.

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.

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.

A new config.xml will be available for customer download in production starting Sunday, May 18.

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

 Changes to MexDer Risk Management Gateway
Effective Monday, June 2, to support upcoming enhancements, the MexDer, Mercado Mexicano de Derivados Risk Management Gateway (RMG) will reduce the number of risk filters from ten to three for North- to- South order routing customers. The Risk Management Gateway (RMG) is a tool that provides pre-trade risk management which allows clearing firm Risk Administrators to set credit limits. The following risk filters will continue to be available via RMG:

• Quantity
• Quantity per Class and Side
• Daily Quantity

With this change, there will be no changes to iLink messaging or values to the available risk filters.

This change will be available for customer testing in New Release on Monday, May 19.

Further details on upcoming enhancements to RMG risk filters will be published in the CME Globex Notices.

Please contact  MexDer for more information on the RMG.

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.

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.

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 available in the  client impact assessment.

With these changes, new templates will be required for New Release. The new templates will be available on Monday, May 5.

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

Mass Order Cancel Functionality
Effective this May 4 (trade date 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 is currently available in Certification for customer testing.

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 is currently available in Certification for customer testing.

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 is available for customer testing in Certification and will be available in New Release on Monday, May 5.

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

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.

Aluminum Futures
Effective this Monday, May 5 (trade date Tuesday, May 6), 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 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.

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

New Fixing Price for Aluminum Futures
Effective trade date Tuesday, May 6, CME Group will begin disseminating Fixing Prices via FIX/FAST for Aluminum futures.

The Aluminum Futures fixing price will be published Monday through Friday, at 13:00 GMT. Fixing Price is a volume-weighted average price the mid-point of the bid/ask quotes of the Aluminum Futures contract from CME Globex as well as actual trade prices for a one minute time span from 12:59 GMT to 13:00 GMT (6:59 a.m. to 7:00 a.m. Central Daylight Saving Time (CDST).

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

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

The fixing price is available for customer testing in New Release.

Weekly Options and EOM Options on E-mini and $10 Dow Jones Industrial Average Futures
Effective this 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.

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 are currently available for customer testing in New Release.

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

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.

Variable Price Limits for Grain and Oilseed Futures and Options
Effective today Thursday, May 1,  variable price limits will be introduced 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 are currently available for customer testing.

Energy Future Strips Listing Cycle Expansion
Effective this Sunday, May 4 (trade date Monday, May 5), the cycle for the following energy futures strips will be expanded as follows:

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.

 Listing Cycle Changes for Brent Crude Oil Last Day Options
Effective Sunday, May 11 (trade date Monday, May 12), the listing rules for Brent Crude Oil Last Day options (tag 1151-Security Group=OSX; tag 55-Symbol=PR) will be expanded on CME Globex as follows:

• List 36 consecutive maturities. Currently, only 18 consecutive maturities are listed on CME Globex
• List strike prices ±100 ATM in $0.50 intervals, ±20 ATM in $2.50 intervals, and ±10 ATM in $5.00 intervals for all listed maturities

With this change, approximately 16,331 new instruments will be listed for Brent Crude Oil Last Day options on CME Globex.

These changes do not have an impact market data performance.

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

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. Currently, the fixing prices are published in integer format, with no decimal.

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.

iLink Session ID Auto-Deletion Process
Effective this 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 this 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.