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CME Globex Notice: May 12, 2014
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- To
- CME Globex and Market Data Customers
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- From
- Global Account Management
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- #
- 20140512
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- Notice Date
- 15 May 2014
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Topics in this issue include:
- Critical System Updates
- New iLink Architecture in 2014
- iLink Price Format Changes - Starting May 4
- Changes to MexDer Risk Management Gateway - June 2
- Market Data Platform Channel Changes - June 15
- FIX/FAST Instrument Definition Feed MPS Rate Changes - June 15 New
- Preliminary FIX/FAST Settlement Prices - June 22 New
- New CME Globex Market Data Protocol - Q3 2014 Update
- iLink and Drop Copy Enhancements for MDP 3.0 Trade Summary Message - Q3 2014 New
- New Functionality
- Product Launches
- Product Changes
- Events and Announcements
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.
iLink Price Format Change
Starting Sunday, May 4 (trade date Monday, May 5), an iLink price format change will be launched into production over several weekends. With this change, the length of all iLink price tag will be increased from 15 to 17 digits. iLink messages with the following price tags value 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 digit.
- tag 44-Price
- tag 132-BidPx
- tag 133-OffferPx
- tag 99-StopPx
If the price tag value exceeds the new price format, the session level reject message (tag 35-MsgType=3) will contain tag 58-Text=Business Reject: Required Field Missing
price is too large: < tag value >'. Additional information on iLink Message Specifications 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.
Market Data Platform Channel Changes Market Segment ID (tag 1300) FF Channel Number MDP 3.0 Channel Number Channel Label FF and iLink tag 55-Symbol/MDP 3.0 tag 1151-SecurityGroup Group Description 70 111 340 CBOT Globex Commodity Futures BW Black Sea Wheat futures KB KC Hard Red Winter (HRW) Wheat futures vs. Wheat futures KE KC Hard Red Winter (HRW) Wheat futures MH Mini-sized KC Hard Red Winter (HRW)Wheat futures XC Mini-sized Corn futures XW Mini-sized Wheat futures ZC Corn futures ZW Wheat futures 05 Synthetics 72 117 346 CBOT Globex Commodity Futures II AW Dow Jones UBS Commodity Index futures EH CBOT Denatured Fuel Ethanol futures & Forward Month futures RS* Dow Jones-UBS Roll Select Commodity Index futures XK Mini-sized Soybean futures ZO Oat futures ZR Rough Rice futures ZS Soybean futures 03 Synthetics Please Note: The RS Group Channel Change will be accompanied by a tag 1300-MarketSegmentID change on the Market Data Security Definition. The Market Segment ID for the RS Group will change from 70 to 72. If there are any GT orders for this group, they will be cancelled by the CME Global Command Center (GCC) on Friday, June 13. Customers will be able to re-enter orders on Monday, June 15.
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 products are available online.
A new config.xml will be available for customer download in production starting Sunday, May 18.
The new channel and channel information are currently available in New Release for customer testing.
New - FIX/FAST Instrument Definition Feed MPS Rate Changes
Effective Sunday, June 15 (trade date Monday, June 16), the Instrument Definition Feed message per second (MPS) rate for FIX/FAST Market Data channels will be modified. CME Group is modifying the MPS rate to balance bandwidth utilization.
As a part of the customer Service Level Agreement (SLA), CME Group will attempt to keep the total time to recover all of the instruments on a specific channel to less than 90 seconds. Additional information on the Instrument Definition feed is available in the Client Systems Wiki.
The current and new MPS rates for the Instrument Definition Feed are available online.
New - Preliminary FIX/FAST Settlement Prices
Effective Sunday, June 22 (for trade date Monday, June 23), preliminary settlement prices will now be available via FIX/FAST once they are calculated by CME Group. The preliminary settlement data blocks will contain Tag 286-OpenCloseSettlFlag=100 or 101 to identify the preliminary settlement price.
Currently, settlement messages are sent via ITC 2.1 floor market data feed as they are generated and FIX/FAST preliminary settlement messages are batched and sent at pre-determined timeframes. With this change, FIX/FAST preliminary settlement messages will also be sent as they are generated. This change has been made to ensure more timely and consistent market data behavior.
Please note settlement messages may be disseminated at any time throughout the trading day.
Final Settlement message processing via FIX/FAST and the format of preliminary settlement messages will not change. Additional information on Settlement Prices is available in the Client Systems Wiki.
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.
Update - 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 June 30, 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
- Opt-In functionality for Trade identifier on both market data and order entry messages
New - MDP 3.0 Trade Summary Message Update
A new FIX field is being introduced in Order Entry iLink messages to provide customers with the flexibility of identifying if they want their Tag 37-Order ID an anonymous, CME Globex-assigned order identifier to be displayed in the Market Data Incremental Trade Summary message (tag 35=X). This provides customers with the option of disclosing their order ID to the marketplace for any order they submit.
The Market Data Incremental Refresh Trade Summary message and Opt-In functionality will be available in New Release for customer testing on Monday, June 30.
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.
New - iLink and Drop Copy Enhancements for MDP 3.0 Trade Summary Message
Effective with the production launch of MDP 3.0, iLink will introduce opt-in functionality for displaying tag 37-OrderID in the MDP 3.0 trade summary message (tag 35-MsgType=X). Tag 37 is the anonymous, CME Globex-assigned order identifier.
Customers may choose to opt-in their orders using the FPL-defined FIX tag 1091-PreTradeAnonymity. The Trade Summary message, which announces the trade to the marketplace, will include tag 37 values for orders where tag 1091=N. Tag 37 values will be published on market data for trades only.
Drop Copy will also support the new tag 1091 at launch.
The new iLink tag 1091 can be submitted on the following messages:
- New Order (tag 35-MsgType=D)
- Order Cancel/Replace Request(tag 35-MsgType=G)
- New Order Cross (tag 35-MsgType=s)
- Mass Quote (tag 35-MsgType=i)
Tag 1091 will be returned on the following iLink messages only when a valid value is sent on the originating message:
- Execution Report: Order Creation or Modify (tag 35-MsgType=8, OrdStatus=0 or 5)
- Execution Report: Order Cancel(tag 35-MsgType=8, OrdStatus=4)
- Execution Report: Fill Notice (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2)
- only for spreads and outrights
- Execution Report: Order Elimination (tag 35-MsgType=8, tag 39-OrdStatus=4 or C)
- Execution Report: Reject (tag 35-MsgType=8, tag 39-OrdStatus=8)
- Execution Report: Trade Cancel (tag 35-MsgType=8, tag 39-OrdStatus=H)
- only for outrights
- Order Cancel/Replace Reject (tag 35-MsgType=9, tag 434-CancelRejResponseTo=2)
- Quote Acknowledgement (tag 35-MsgType=b)
If the tag 1091 value exceeds the max length of 1 byte, New Orders and Order Cancel/Replace Requests will be rejected with a Session Level Reject (35=3) and Mass Quotes and New Order Cross will be rejected with a Business Level Reject message (35=j) with tag 380-BusinessRejectReason = 0. Any invalid value will be ignored and the tag 37 will not be displayed in the Trade Summary message.
Current iLink message specifications are available online.
Certification is not required for iLink and Drop Copy customers who wish to use the new opt-in tag 1091. All customers are required to certify for and migrate to the new MDP 3.0 market data.
Tag 1091 will be available in New Release for customer testing on Monday, June 30.
New Functionality
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 are currently available for customer testing in Certification and New Release.
Product Launches
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 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 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 CBOT.
New - Henry Hub Natural Gas Last Day Financial Futures in Units per Month
Effective Sunday, June 1 (for trade date Monday, June 2), Henry Hub Natural Gas Last Day Financial futures (tag 1151-SecurityGroup=NNE, tag 55-Symbol=HX) in Units per Month (MMBtu/Month) will be available for trading on CME Globex. Currently, Henry Hub Natural Gas Last Day Financial (tag 1151-SecurityGroup=NN, tag 55-Symbol=HX) is available for trading on CME Globex Units per Day (MMBtu/Day). With this launch, Henry Hub Natural Gas Last Day Financial futures will be available for trading CME Globex in Units per Month (MMBtu/Month) and in Units per Day (MMBtu/Day).
The Henry Hub Natural Gas Last Day Financial futures in Units per Month (MMBtu/Month) will be available for customer testing in New Release on Monday, May 19.
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.
Product Changes
Listing Cycle Changes for Brent Crude Oil Last Day Options
Effective this Sunday, May 18 (trade date Monday, May 19), 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 this 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 is currently available for customer testing in New Release.
New - Listing Cycle Changes for Energy Options
Effective Sunday, June 1 (trade date Monday, June 2), the listing rules for the following energy will be expanded on CME Globex as follows:
Listing Cycle Changes for Energy Options
Options
tag 1151-Security Group
tag 55-Symbol
New Listing Cycle
RBOB Gasoline Physical Options
OB
OB
List strike prices ±100 ATM in 0.01 intervals, ±20 ATM in 0.05 for the nearest 23 maturities
WTI-Brent Crude Oil Spread Options
ABV
OF
List strike prices ±50 ATM in 0.05 intervals for the nearest 36 maturities
Light Sweet Crude Oil (WTI) Financial 1 Month Spread Options
B7A
PR
List strike prices ±20 ATM in 0.05 intervals, ±10 ATM in 0.25, ±4 ATM in 0.50
With this change, approximately 15,048, new instruments will be listed 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.
Maximum Order Quantity Changes
Effective Sunday, June 1 (trade date Monday, June 2), the maximum order quantity will be modified for the following products.
- E-mini Euro FX futures calendar spreads (tag 1151-SecurityGroup=E7) to 250 from 9,999
- E-mini Japanese Yen futures calendar spreads (tag 1151-SecurityGroup=J7) to 250 from 9,999
- U.S. Dollar Denominated Crude Palm Oil futures outrights and calendar spreads (tag 1151-SecurityGroup=CPO) to 50 from 9,999
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 will be available in New Release for customer testing Monday, May 19.
Events & Announcements
New - Streamlined FIX/FAST - Extension of Eris SwapBook Trading Hours
Effective Monday, May 19, Eris SwapBook Standards trading hours will be extended by 30 minutes to 5:00 p.m. Eastern Standard Time (EST), subject to all relevant regulatory review periods. With this change, Eris SwapBook Standards trading hours will be 8:20 am – 5:00 p.m. EST.
For additional information on this change, please refer to the Eris Exchange website.
iLink Session ID Auto-Deletion Process
On Monday, May 5, CME Group executed 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 was 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.
- Critical System Updates
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