CME Globex Notice: June 23, 2014

Topics in this issue include:

• Critical System Updates
  • New iLink Architecture in 2014
  • streamlined FIX/FAST - Dow Jones-UBS Commodity Indices - This Week ^Update
  • New CME Globex Market Data Protocol - September 2014 ^Update
    • MDP 3.0 Trade Summary Message Update
    • MDP 3.0 Decoder
  • iLink and Drop Copy Enhancements for MDP 3.0 Trade Summary Message - Q3 2014 ^Update
• Product Launches
  • Dubai Mercantile Exchange (DME) Oman Crude Oil Trade at Marker (TAM) Futures - This Week
  • Crude Oil Weekly and Natural Gas Weekly Options Available On CME ClearPort - July 13 ^New
  • Gold Weekly, Silver Weekly and Copper Weekly Options Available On CME ClearPort - July 13 ^New
• Product Changes
  • Delisting of Sovereign Yield Spread Futures - This Week ^New
  • Product Name Change from Dow Jones-UBS Commodity Index to Bloomberg Commodity Index - This Week
  • Mexican Peso/U.S. Dollar Futures and Options Minimum Tick Changes - July 13
  • Russian Ruble/U.S. Dollar Futures and Options Minimum Tick Changes - July 13
  • Quote Request - Cross Functionality for Select Options - July 13
• Events and Announcements
  • Messaging Efficiency Program Q3 2014 Benchmarks - This Week ^New
  • Independence Day Holiday Schedule - July 4 ^New

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 2^nd half of 2014.

Additional details will be published in the CME Globex Notices.

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Update - streamlined FIX/FAST - Dow Jones-UBS Commodity Indices

Effective this 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 or M) for the affected instruments on MDP channel 151. After 18:00 EST on Monday, June 30, customers will receive new Market Data Security Definition (tag 35=d) messages for these instruments on MDP Channel 152. On July 1, customers will receive Market Data Incremental Messages.

The New Release and Production market data channel are currently available in the config.xml file on the CME Group FTP site.

Information regarding the new Bloomberg streamlined Market Data Feed is available in Client System Wiki.

The new Indices symbols and names are available online.

These instruments are currently available on the new MDP Channel 152 in the New Release environment.

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Update - New CME Globex Market Data Protocol

Beginning in September 2014, CME Group will introduce 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 new MDP 3.0 Channels will run in parallel with the current FIX/FAST Channels for six months after completion of the rollout of all MDP 3.0 channels.

A detailed MDP 3.0 Implementation Schedule will be available in future Globex Notices. The final version of the MDP 3.0 protocol will be in New Release in June 30, 2014.

A new MDP 3.0 certification suite will be available in AutoCert+ on July 14, 2014. Customer systems receiving market data via CME Globex must complete this mandatory certification.

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.

In addition, there will be a new schema file available via the CME Group FTP site for customer download. The new schema file includes the following changes.

• Market Data Incremental Refresh Trade Summary Message has been aligned to word boundaries.
• Removal of templates that are no longer used and are no longer backward compatible.
• 3 New Template IDs:

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.

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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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Update - 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)
• 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.

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Product Launches

Dubai Mercantile Exchange (DME) Oman Crude Oil Trade at Marker (TAM) Futures

Effective this Monday, June 30 (trade date Tuesday, July 1), Dubai Mercantile Exchange (DME) will introduce Oman Crude Oil Trade at Marker (TAM) futures on CME Globex. TAM futures are traded at a differential to a not-yet-known marker price.

The marker corresponds to the market price in the Singapore cash market at the close at 4:30 p.m. Singapore Standard Time (STT). The TAM marker prices will be disseminated under the symbol OQ1 via the Market Data Platform DME ITC channel.

Oman Crude Oil TAM will use “0” to represent the marker price and is limited to ± 25 ticks.

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

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New - Crude Oil Weekly and Natural Gas Weekly Options Available On CME ClearPort

Effective Sunday, July 13 (trade date Monday, July 14), Crude Oil Weekly and Natural Gas Weekly options will be available for submission for clearing through CME ClearPort. These option contracts are currently listed for trading on the COMEX trading floor and CME Globex.

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

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New - Gold Weekly, Silver Weekly and Copper Weekly Options Available On CME ClearPort

Effective Sunday, July 13 (trade date Monday, July 14), Gold Weekly, Silver Weekly and Copper Weekly options will be available for submission for clearing through CME ClearPort. These option contracts are currently listed for trading on the COMEX trading floor and CME Globex.

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

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Product Changes

New - Delisting of Sovereign Yield Spread Futures

On Monday, June 23, the following Sovereign Yield spread futures were delisted. The Security Definition (tag 35-MsgType=d) will continue to be available on CME Globex through Friday, June 27.

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Product Name Change from Dow Jones-UBS Commodity Index to Bloomberg Commodity Index

Effective this Tuesday, July 1 (trade date Tuesday, July 1), the name of the following products in the table below will change from Dow-Jones-UBS Commodity Index to Bloomberg Commodity Index.

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Mexican Peso/U.S. Dollar Futures and Options Minimum Tick Changes

Effective Sunday, July 13 (trade date Monday, July 14), the minimum tick increment tag 969-MinPriceIncrement will be modified for Mexican Peso/U.S. Dollar futures and options.

To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for the impacted future spreads after their close on Friday, July 11. After 16:00 CT on Friday, July 11, all remaining GTC and GTD orders for these future spreads will be cancelled by the CME Group Global Command Center (GCC).

With this change, the ITC fractional indicator for the Mexican Peso Weekly options will be modified from 6 to 7.

These changes will be available for customer testing in New Release on Monday, June 30.

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Russian Ruble/U.S. Dollar Futures and Options Minimum Tick Changes

Effective Sunday, July 13 (trade date Monday, July 14), the minimum tick increment tag 969-MinPriceIncrement will be modified for Russian Ruble futures and options.

These changes will be available for customer testing in New Release on Monday, June 30.

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Quote Request - Cross Functionality for Select Options

Effective Sunday, July 13 (trade date Monday, July 14), CME Globex will accept Quote Request-Cross (tag 35-MsgType=R, tag 54-Side=8) messages on select options.

Quote Request messages are required before submitting cross orders (New Order Cross (tag 35=s) as outlined in Rule 539.

Quote Request – Cross functionality is identified in the Security Definition (Tag 35-MsgType=d) messages in tag 872=14. This flag will be updated on for select options.

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

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Events & Announcements

New - Messaging Efficiency Program Q3 2014 Benchmarks

The Q3 2014 CME Globex Messaging Efficiency Program Product Group Benchmarks will be online beginning July 1. No changes were made to any of the Q3 2014 Product Group Benchmarks vs. Q2 2014 Product Group Benchmarks.

The Product Group Benchmark Ratios are published quarterly, unless business circumstances for a particular product or product group require changes to be implemented more frequently.

The CME Globex Messaging Efficiency Program creates fair business guidelines by which customers are billed a surcharge for overly high message rates.

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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