CME Globex Notices: July 21, 2014

Topics in this issue include:

• Critical System Updates
  • Change to Velocity Logic Parameters - August 10
  • Market Depth Change to 10-Deep for FX Futures on MDP Channel 60 - August 24
  • New iLink Architecture in 2014
    • New iLink Failover Process - October 2014 ^Update
  • New CME Globex Market Data Protocol - September 2014 ^Update
    • MDP 3.0 Decoder
  • iLink and Drop Copy Enhancements for MDP 3.0 Trade Summary Message - September 2014
• Product Launches
  • Crude Oil Weekly and Natural Gas Weekly Options Available on CME ClearPort - August 10
  • Gold Weekly, Silver Weekly and Copper Weekly Options Available on CME ClearPort - August 10
• Product Changes
  • Contract Quantity Changes to Daily Energy Futures - August 3
  • Display Factor Changes for Henry Hub Futures - August 3
  • New Marker Prices for Silver Futures - August 10 ^New
• Events and Announcements
  • Messaging Efficiency Program Revised Monthly Volume Ration Calculation - August 1

Critical System Updates

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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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 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.
• MDP 3.0 certification suite in AutoCert+ will be available on Monday, July 28.
• The config.xml file for the Production Environment will be available on the CME Group ftp site on Sunday, July 27. The file will contain 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.

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)

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.

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.

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

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Product Changes

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 are currently available for customer testing in New Release.

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Display Factor Changes for Henry Hub Futures

Effective Sunday, August 3 (trade date Monday, August 4), changes tag 9787-DisplayFactor will be implemented for the following the Henry Hub futures listed on CME Globex:

With this change, the Minimum Tick on CME Globex will be changed from $0.0001 to $0.001.

Existing Good 'till Cancel (GTC) and Good 'till Date (GTD) orders should be resubmitted to avoid display issues in the Electronic Price Reporting System.

These changes will be available in New Release for customer testing on Monday, July 28.

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

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New - 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:

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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Events and Announcements

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.