• CME Globex Notices: May 26, 2014

      • To
      • CME Globex and Market Data Notice Customers
      • From
      • Global Account Management
      • #
      • 20140526
      • Notice Date
      • 29 May 2014

    • 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.

      Market Segment Gateways will be available for all markets in the 2nd half of 2014.

      Additional details will be published in the CME Globex Notices.

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      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.

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      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, an Execution Report - Reject (tag 35-MsgType=8, tag 39-OrdStatus=8) message will be generated in the event that an order fails a risk check. Currently, an Acknowledgement Message (tag 35-MsgType=8, tag 39-OrdStatus=0), then a Reject (tag 35-MsgType=8, tag 39-OrdStatus=8) message will be generated in the event that an order fails a risk check.

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

      Additional 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.

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      Update - Market Data Platform Channel Changes

      Effective Sunday, June 22, (trade date Monday, June 23), 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 20. Customers will be able to re-enter orders on Sunday, June 22, for trade date Monday, June 23.

      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 is currently available for customer download in production.

      The new channel and channel information are currently available in New Release for customer testing.

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      Update - FIX/FAST Instrument Definition Feed MPS Rate Changes

      Effective Sunday, June 22 (trade date Monday, June 23), 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.

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      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.

       

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      streamlined FIX/FAST - Dow Jones-UBS Commodity Indices

      Effective Tuesday, July 1, Dow Jones-UBS Commodity Indices will move to a new streamlined FIX/FAST MDP channel 152. With this change, the Dow Jones-UBS Commodity Indices (DJ-UBS) will be renamed to Bloomberg Indexes and will be fee waived.

      To support this change, a new sub-channel identifier 5 will be introduced to streamlined FIX/FAST.

      By the end of the day on Monday, June 30, customers will receive Market Data Security Definition (tag 35=d) deletion messages (tag 980=d) for the affected instruments on MDP channel 151. On Tuesday, July 1, customers will receive new Market Data Security Definition (tag 35=d) messages for these instruments on MDP Channel 152.

      The New Release and Production market data channel will be in the config.xml file on the CME Group FTP site on Monday, June 9.

      Detailed information streamlined FIX/FAST is available online.

      These instruments will be available on the new MDP Channel 152 in the New Release environment on Monday, June 9.

       

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      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 Order identifier on both market data and order entry messages

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      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.

       

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      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.

       

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      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)

       

      tag 1091-PreTradeAnonymity
      Tag FIX Name Req Valid Values Format Description
      1091 PreTradeAnonymity N Y
      N      		 Boolean (1) Defines whether the tag 37-OrderID will be included in the Trade Summary message in MDP 3.0.
      If tag is not sent or sent with “Y”, tag 37 value will not appear in the Trade Summary message.
      If tag is sent with “N”, tag 37 will appear in the Trade Summary message.

       

      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.

       

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      New Functionality

      Update - 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'.

      Please note: the Displayed Quantity ratio validation is enforced before any other calculations occur, including In-Flight Mitigation functionality.

      This new functionality is currently available in Certification for customer testing.

       

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      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.

       

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      Product Launches

      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) is currently available for customer testing in New Release.

       

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      Bursa Malaysia Derivative (BMD) USD RBD Palm Olein Futures

      Effective Sunday, June 15 (trade date Monday, June 16), having received approval from the Securities Commission (SC), Bursa Malaysia Derivatives (BMD) will list USD RBD Palm Olein futures (tag1151-SecurityGroup=FPOL, tag 55-Symbol=BL) for trading on CME Globex. The BMD USD RBD Palm Olein futures will support implied functionality.

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

       

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      New - Soybean Crush Options

      Effective Sunday, June 22 (for trade date Monday, June 23), Soybean Crush options will be available for trading on CME Globex.

      Soybean Crush Options

      Options

      tag 1151-Security Group

      tag 55-Symbol (Outrights)

      tag 55-Symbol (UDS)

      Soybean Crush Options

      BCE

      OM

      OX

      In addition, a new synthetic future will be launched for the Soybean Crush. Settlement prices will be published for the new synthetic future to support customers' options pricing model. The Soybean Crush Options will identify BCE as the underlying contract in tag 309-UnderlyingSecurityID of the Security Definition (tag 35-MsgType=d) message.

      The Soybean Crush options will be available for customer testing in New Release on Monday, June 9.

       

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      Product Changes

      Listing Cycle Changes for Energy Options

      Effective this Sunday, June 1 (trade date Monday, June 2), the listing rules for the following energy options 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.

       

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      Maximum Order Quantity Changes

      Effective this 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 is currently available for customer testing in New Release.

       

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      U.S. Midwest Domestic Hot-Rolled Coil Steel Index Future Strips Change

      Effective this Sunday, June 1 (trade date Monday, June 2), the tag 762-SecuritySubType value for U.S. Midwest Domestic Hot-Rolled Coil Steel Index (tag 1151-SecurityGroup=HRC, tag 55-Symbol=ST) future strips will be modified from FS to SA.

      This change is currently available for customer testing.

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

       

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      New - Listing Cycle Changes for Energy Options

      Effective Sunday, June 8 (for trade date Monday, June 9), the listing rules for the following energy options will be expanded on CME Globex as follows:

      Listing Cycle Changes for Energy Options

      Options

      tag 1151-Security Group

      tag 55-Symbol

      Current Listing Schedule

      New Listing Schedule

      Current Strike Listing Rule

      New Strike Listing Rule

      Henry Hub Natural Gas European Financial Option

      LNE

      GZ

      24 Months

      36 Months

      One hundred strike prices in increments of $0.01 per MMBtu above and below the at-the-money strike price, for a total of at least 201 strike prices. Strike price boundaries are adjusted according to price movements of underlying futures contract.

      One hundred strike prices in increments of $0.05 per MMBtu above and below the at-the-money strike price, and an additional 40 strike prices in $0.25 per MMBtu above and below the highest and lowest five increment strikes. Strike price boundaries are adjusted according to price movements of underlying futures contract.

      Light Sweet Crude Oil Option

      LO

      LO

      Nine years forward using the following listing schedule: consecutive months are listed for the current year and the next five years; in addition, the June and December contract months are listed beyond the sixth year. Additional months will be added on an annual basis after the December contract expires, so that an additional June and December contract would be added nine years forward, and the consecutive months in the sixth calendar year will be filled in

      36 Consecutive Months, plus all June and December contracts through nine years

      Twenty strike prices in increments of $0.50 per barrel above and below the at-the-money strike price, and the next 10 strike prices in increments of $2.50 above the highest and below the lowest existing strike prices for a total of at least 61 strike prices. The at-the-money strike price is nearest to the previous day's close of the underlying futures contract. Strike price boundaries are adjusted according to the futures price movements.

      One hundred strike prices in increments of $0.50 per bbls above and below the at-the-money strike price; and additional twenty strike prices in increments of $2.50 per bbls above and below the highest and lowest fifty increment; and additional 10 strike prices in increments of $5.00 per bbls above and below the highest and lowest 250 increment. Strike price boundaries are adjusted according to futures price movements.

      With this change, approximately 14,777, 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.

       

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      Alberta Power Pool Futures

      Effective Sunday, June 15 (trade date Monday, June 16), minimum tick increment tag 969-MinPriceIncrement will be modified for the following power futures:

      Alberta Power Pool Futures

      Futures

      tag 1151-Security Group

      tag 55-Symbol

      Current 96-
      MinPriceIncrement

      New 969-MinPriceIncrement

      Alberta Power Pool Calendar Day 1 MW Futures

      OAD

      PA

      5

      1

      Alberta Power Pool Calendar Month 1 MW Futures

      AQK

      ZZ

      5

      1

      Alberta Power Pool Extended Off-Peak Calendar-Day Futures

      PFP

      PA

      5

      1

      Alberta Power Pool Extended Off-Peak Calendar-Month Futures

      FEF

      PA

      5

      1

      Alberta Power Pool Extended Peak Calendar-Day Futures

      XPP

      PA

      5

      1

      Alberta Power Pool Extended Peak Calendar-Month Futures

      PEX

      PA

      5

      1

      Alberta Power Pool Off-Peak Calendar-Day Futures

      LAF

      PA

      5

      1

      Alberta Power Pool Off-Peak Calendar-Month Futures

      PHF

      PA

      5

      1

      Alberta Power Pool Peak Calendar-Day
      Futures

      LAP

      PA

      5

      1

      Alberta Power Pool Peak Calendar-Month Futures

      APA

      PA

      5

      1

      This is an operational change only.

      This change is currently available for testing in the New Release environment.

       

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      Events & Announcements

      iLink Session ID Auto-Deletion Process

      On Monday, May 5, CME Group executed the 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. Before the deletion tomorrow, 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.

       

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