• CME Globex Notice: July 28, 2014

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Account Management
      • #
      • 20140728
      • Notice Date
      • 28 July 2014

    • Topics in this issue include:

      Critical System Updates

      New - Access to CME Group Public FTP Site

      Due to recent changes made to ftp.cmegroup.com, customers will no longer be able to access ftp.cmegroup.com utilizing legacy public IP addresses, starting this Friday, August 1. In addition, customers will no longer have access to the FTP site using the fixuserprod User ID. Customers may continue to use the Anonymous FTP access.

      CME Group recommends that customers use ftp.cmegroup.com to connect to the ftp site as this method is always guaranteed to result in a successful connection. Connection to any of the individual IP addresses associated with ftp.cmegroup.com is not guaranteed.

      Please note: The new IP addresses will only be given out on a case-by-case basis.

      This update to the public FTP doesn't impact the CME Group secure SFTP site that firms utilize to upload or download clearing data.

      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 - Change to Velocity Logic Parameters

      Starting Sunday, August 10 (trade Monday, August 11), CME Group will reduce the parameters to trigger Velocity Logic (VL) by 50 percent during non-US trading hours. For standard trading days, CME Group will revert back to standard VL levels by 06:00 a.m. Central Time (CT). On U.S. holidays, Velocity Logic parameters will remain at the reduced levels for the entire trading day. This change will be implemented as follows:

      August 10

      • Metals

      August 17

      • All other markets listed on CME Globex

      The change to Velocity Logic parameters will not affect the products listed on CME Europe.

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

      The Velocity Logic parameters for every CME Globex product are defined in the CME Globex Product Reference in the Client Systems Wiki.

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      Market Depth Change to 10-Deep for FX Futures on MDP Channel 60

      Effective Sunday, August 24 (trade date Monday, August 25), 10-deep market data will be launched for FX futures on CME Globex (Market Data Platform channel 60). This launch will impact all client systems because all systems must process all 10 book levels, even if you choose to display 5-deep order books.

      10-deep futures order book for FX futures on MDP Channel 60 are currently available for customer testing in New Release.

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      New iLink Architecture in 2014

      In Q1 2014, CME Group launched the first Phase of new iLink Architecture, Market Segment Gateway (MSGW) for TAS markets only. In Q1 2015, CME Group will launch Phase 2 of this initiative, which will implement Market Segment Gateways throughout the rest of the iLink infrastructure, to provide:

      • FIFO ordered message handling per market segment.
      • Elimination of variability associated with multiple sessions across multiple gateways.

      All customers are encouraged to review the new iLink Architecture Client Impact Assessment.

      The Phase 2 launch will allow customers to access the Market Segment Gateways directly which will involve a new session ID model, messaging and functionality changes. Customers may choose to access CME Globex markets through the MSGWs or the current Convenience Gateways (CGWs), which will continue to be supported and will route through the MSGWs.

      Phase 2 will be launched over several weekends. Prior to each launch weekend, CME Group will conduct a mock trading session. MSGWs will be available in New Release for customer testing in Q4 2014. A new MSGW certification suite will be available in AutoCert+ in Q4 2014. Customer systems who want to connect directly to the MSGW must complete this mandatory certification. Additional information on the MSGW launch schedules and mock trading sessions will be published in the CME Globex Notices.

      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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      New iLink Failover Process

      Beginning in October 2014, CME Group will introduce a new iLink failover process to improve customers’ ability to recover from a CME Globex component failure.

      When a CME Globex component fails over from the primary to backup instance, customer iLink messages will be rejected with Session Level Reject (tag 35=3) messages including tag 58=Technical Error – Market Segment: <MarketSegmentID> is not available at this time. After the backup instance is up, order entry will be allowed again.

      Currently messages sent during failover are not guaranteed to be acknowledged by CME Globex. This new iLink Failover Process change will affect all iLink sessions.

      Detailed information including this failover behavior change is now available online.

      The new iLink failover process will be available for customer testing in New Release in September.

      Further details on the launch schedule will be published in future CME Globex Notices.

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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.

      Customer systems receiving market data via CME Globex must complete mandatory certification via AutoCert+.

      Important MDP 3.0 Updates:

      • The final version of the MDP 3.0 protocol with Trade Summary Message is currently available for customer testing in New Release.
      • The release of the MDP 3.0 certification suite for AutoCert+ scheduled for Monday, July 28, has been postponed. Further information will be published in future Globex notices.
      • The config.xml file for the Production Environment is now available on the CME Group ftp site. The file contains the Source and Multicast IP addresses for the Production Market Data Channels. It will not contain the Product or Group Codes until the channels start receiving messages on their scheduled production date.
      • The Schema file for the New Release Environment will be refreshed to Version “4,” and all outdated Templates no longer in use will be eliminated from the file on Monday, August 4. Previous Schema file versions will be available in the Archive folder.

      A detailed MDP 3.0 Implementation Schedule will be available in future Globex 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
      • Opt-In functionality for Order 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.

      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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      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.

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      iLink and Drop Copy Enhancements for MDP 3.0 Trade Summary Message

      Effective September 2014, 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)

      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 is currently available for customer testing in New Release.

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      Product Launches

      Crude Oil Weekly and Natural Gas Weekly Options Available on CME ClearPort

      Effective Sunday, August 10 (trade date Monday, August 11), 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.

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

      Product Name

      CME ClearPort Code

      Crude Oil Weekly Options

      LO1-LO5

      Natural Gas Weekly Options

      ON1-ON5

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

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      Gold Weekly, Silver Weekly and Copper Weekly Options Available on CME ClearPort

      Effective Sunday, August 10 (trade date Monday, August 11), 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.

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

      Product Name

      CME ClearPort Code

      Gold Weekly Options

      OG1-OG5

      Silver Weekly Options

      SO1-SO5

      Copper Weekly Options

      H1E-H5E

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

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      New - Brent Crude Oil Weekly Options

      Effective Sunday, August 17 (trade date Monday, August 18), the following Brent Crude Oil Weekly Options will be listed for trading on CME Globex.

      Brent Crude Oil Weekly Options

      Product

      		 tag 1151-SecurityGroup tag 55-Symbol
      (Outrights)      		 tag 55-Symbol
      (UDS)
      Brent Crude Oil Weekly 1 Option BW1 OT 1Z
      Brent Crude Oil Weekly 2 Option BW2 OT 1Z
      Brent Crude Oil Weekly 3 Option BW3 OT 1Z
      Brent Crude Oil Weekly 4 Option BW4 OT 1Z
      Brent Crude Oil Weekly 5 Option BW5 OT 1Z

      These options will be available for customer testing in New Release on Monday, August 4.

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

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      New - Korea Exchange (KRX) USD/KRW FX Futures

      Effective Q4 2014, Korea Exchange (KRX) will list USD/KRW FX futures (tag1151-SecurityGroup=KUF, tag 55-Symbol=KR) for trading on CME Globex, pending regulatory approval.

      These futures will be available for customer testing in New Release on Monday, August 11.

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

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      Product Changes

      New - Delisting of CME Interest Rate Futures and Options

      On Monday, July 28 the following products were delisted from CME Globex, open outcry and for submission for clearing through CME ClearPort:

      Delisting of CME Interest Rate Futures and Options

      Product

      tag 1151-Security Group

      tag 55-Symbol

      T-Bill Futures

      GTB

      TB

      3-Month Overnight Index Swap (OIS) Futures

      OSS

      GE

      3-Month Overnight Index Swap (OIS) Options

      OSS

      F4

      Eurozone HICP Futures

      HC

      HC

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      New - Delisting of Energy Future

      On Monday, July 28 the following future was delisted from CME Globex:

      De-listing of Energy Future

      Future

      tag 1151-Security Group

      tag 55-Symbol

      NY Harbor ULSD vs. Low Sulphur Gasoil (1,000mt) Future

      SLS

      PT

      There is currently no open interest in this product.

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      Update - Contract Quantity Changes to Daily Energy Futures

      Effective this Sunday, August 3 (trade date Monday, August 4), the values in FIX tag 1147-UnitOfMeasureQty will be modified for the following energy futures:

      Contract Quantity Changes to Daily Energy Futures

      Futures

      tag 1151-Security Group

      tag 55-Symbol

      Current tag 1147-UnitofMeasureQty

      New tag 1147-UnitofMeasureQty

      Daily European 3.5% Fuel oil Barges FOB Rdam (Platts) Futures

      FOR

      CP

      1000

      100

      Daily Gasoline Euro-bob Oxy NWE Barges (Argus) Futures

      GBR

      CP

      1000

      100

      Daily European 1% Fuel Oil Cargoes FOB NWE (Platts) Futures

      FCN

      CP

      1000

      100

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

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      Update - Minimum Tick Changes for Henry Hub Natural Gas European Financial Options

      Effective this Sunday, August 3 (trade date Monday, August 4), the minimum tick increment tag 969-MinPriceIncrement will be modified for Henry Hub Natural Gas European Financial options on CME Globex.

      Henry Hub Futures and Options

      Product

      tag 1151-Security Group

      tag 55-Symbol

      Current tag 969-MinPriceIncrement Min Tick

      Current tag 969-MinPriceIncrement Example

      New tag 969-MinPriceIncrement Min Tick

      New tag 969-MinPriceIncrement Example
      Henry Hub Natural Gas European Financial Option LNE GZ 1 01390 10 01400
      01391 01390
      01392 01380
      01393 01370

      To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for the impacted options after their close on Friday, August 1. After 16:00 CT on Friday, August 1, all remaining GTC and GTD orders for these options will be cancelled by the CME Group Global Command Center (GCC).

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

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

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      Update - New Marker Prices for Silver Futures

      Effective Sunday, August 10 (trade date Monday, August 11), CME Group will begin disseminating Marker Prices via FIX/FAST for COMEX Silver futures:

      New Marker Prices for Silver Futures

      Futures

      Market Data Platform Channel

      tag 1151-Security Group

      tag 55-Symbol

      Silver

      33

      SI

      SI

      The COMEX Silver marker prices will be published Monday through Friday, at 6:02 a.m. Central Time (CT). Marker 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 Marker Price was calculated

      The new Marker Price will be available in New Release for customer testing on Monday, July 28.

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      New - Changes to Non-Reviewable Range for Interest Rates

      Effective Sunday, August 10 (trade date Monday, August 11), the Non-Reviewable Ranges will be modified for the following Interest Rates products.

      Changes to Non-Reviewable Range for Interest Rates
      Product tag 1151-Security Group tag 55-Symbol Current Non-reviewable Range Future Non-reviewable Range
      2-Year U.S. Treasury Note Futures outrights ZT ZB 15/32 of 1 point 04/32 of 1 point
      5-Year U.S. Treasury Note Futures outrights ZF ZB 15/32 of 1 point 08/32 of 1 point
      10-Year U.S. Treasury Note Futures outrights ZN ZB 30/32 of 1 point 20/32 of 1 point
      Eurodollars (Years 7-10) GE GE 2.5 basis points 5.0 basis points

      The non-reviewable range for every CME Globex product is defined in the CME Globex Product Reference in the Client Systems Wiki and table 588.H of the rulebook.

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      New - Korea Exchange (KRX) Listing Cycle Expansion for KOSPI 200 Futures

      Effective Q4 2014, Korea Exchange (KRX) will list three additional expiration months whose expiration is longer than one year for KOSPI 200 futures (tag1151-SecurityGroup=K2F, tag 55-Symbol=K2) for trading on CME Globex, pending regulatory approval.

      The new expiration months will be available for customer testing in New Release on Monday, August 11.

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

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      Events and Announcements

      Messaging Efficiency Program Revised Monthly Volume Ratio Calculation

      Effective this Friday, August 1, the calculation method to determine the Messaging Efficiency Program (MEP) Monthly Volume Ratio will be revised as a result of customer feedback.

      With this revision, the following will be utilized to determine an executing firm’s monthly MEP Volume Ratio:

      • CME Group will count messaging and volume on all days in which the MEP is in effect during a calendar month and an executing firm has recorded raw messaging in a particular product group. Previously, CME Group only counted messaging and volume on days in which raw messaging was greater than 20,000 in a particular product group.
      • Average raw messaging in each product group for the calendar month will determine the tier level calculation and assignment.
      • ∑ of monthly messaging score / ∑ of monthly volume

      The calculation of this exception is as follows:

      Monthly Volume Ratio = ((# of order modifications *1) + (# of order cancellations *3) + (# FAK or FOK order types *3)) for a calendar month / Volume for a calendar month

      *Only counting days when the MEP is enforced and an executing firm has submitted raw messaging in a particular product group.

      More information about the Messaging Efficiency Program (MEP) is available online.

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

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