CME Globex Notice: July 07, 2014

Topics in this issue include:

• Critical System Updates
  • Internal Network Upgrade - This Week
  • Change to Velocity Logic Parameters - August 10 ^New
  • Market Depth Change to 10-Deep for FX Futures on MDP Channel 60 - August 24
  • New iLink Architecture in 2014 ^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 - September 2014
• Product Launches
  • Gold Weekly, Silver Weekly and Copper Weekly Options Available on CME ClearPort - August 10
  • Crude Oil Weekly and Natural Gas Weekly Options Available on CME ClearPort - August 10
• Product Changes
  • Mexican Peso/U.S. Dollar Futures and Options Minimum Tick Changes - This Week
  • Russian Ruble/U.S. Dollar Futures and Options Minimum Tick Changes - This Week
  • Quote Request - Cross Functionality for Select Options - This Week
  • Temporary Listing Schedule Change for Crude Oil Weekly Options and Natural Gas Weekly Options
  • Temporary Listing Schedule Change for Gold Weekly Options, Silver Weekly Options and Copper Weekly Options
  • Contract Quantity Changes to Daily Energy Futures - August 3 ^New
• Events and Announcements
  • Messaging Efficiency Program Revised Monthly Volume Ration Calculation - August 1 ^New

Critical System Updates

Internal Network Upgrade

Effective this Sunday, July 13 (trade date Monday, July 14), CME Group will perform an internal network upgrade to increase capacity. This network upgrade is designed to support growth in CME Globex trading.

In internal testing, this change improved median iLink latency by up to 10 percent.

There are no customer functional impacts with this release.

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New - 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

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

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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Update - 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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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 this mandatory certification.

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.
• MDP 3.0 certification suite availability in AutoCert+ has been rescheduled from Monday, July 14 to Monday, July 28.

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

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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 is currently available for customer testing in New Release.

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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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)

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

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.

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

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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.

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

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Product Changes

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

Effective this 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 futures, options and spreads after their close tomorrow, 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 are currently available for customer testing in New Release.

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

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

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

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Quote Request - Cross Functionality for Select Options

Effective this 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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New - Temporary Listing Schedule Change for Crude Oil Weekly Options and Natural Gas Weekly Options

The listing schedules for the Crude Oil Weekly options and Natural Gas Weekly options will be temporarily modified as follows:

In August 2014, these products will revert to conventional listing schedules.

*In all instances, the temporary amended listing schedule provides that these contracts are listed on Tuesday for trade date Wednesday instead of the conventional listing schedule of Sunday for trade date Monday.

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New - Temporary Listing Schedule Change for Gold Weekly Options, Silver Weekly Options and Copper Weekly Options

The listing schedules for the Gold Weekly options, Silver Weekly options and Copper Weekly options will be temporarily modified as follows:

In August 2014, these products will revert to conventional listing schedules.

*In all instances, the temporary amended listing schedule provides that these contracts are listed on Tuesday for trade date Wednesday instead of the conventional listing schedule of Sunday for trade date Monday.

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New - Contract Quantity Changes to Daily Energy Futures

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

These changes will be available in New Release for customer testing on Monday, July 21.

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Events and Announcements

New - Messaging Efficiency Program Revised Monthly Volume Ratio Calculation

Effective 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