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CME Globex Notices: September 1, 2014
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- To
- CME Globex and Market Data Customers
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- From
- Global Account Management
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- #
- 20140901
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- Notice Date
- 04 September 2014
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- Effective Date
- 04 September 2014
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Topics in this issue include:
- Critical System Updates
- New iLink Architecture
- New iLink Failover Process - October 2014
- New CME Globex Market Data Protocol - Starting September 28
- iLink and Drop Copy Enhancements for MDP 3.0 Trade Summary Message - September 28
- TOP Order Allocation Minimum/Maximum Quantity Changes - October 5
- Drop Copy 4.0 Implementation - Q1 2015 New
- New iLink Architecture
- Product Launches
- Natural Gas Weekly Financial Options - This Week
- Eurodollar Bundle Futures and Options - September 21
- Korea Exchange (KRX) USD/KRW FX Futures - Q4 2014
- CME Europe Gas Futures - Q4 2014 New
- CME Europe Cocoa Futures - Q4 2014 New
- Product Changes
- Wheat-Corn Intercommodity Spread Change - This Week
- 30-Day Fed Fund Futures Calendar Spreads Price Banding Changes - September 14
- Gasoil 7F Price Flux Change and Extend Listing Cycle - September 21 New
- Matching Algorithm Harmonization for Equity Products - September 21
- KC HRW Wheat Futures Matching Algorithm - September 21
- Variable Tick Increment Changes for Options on E-mini NASDAQ 100 Index Futures and Options on NASDAQ 100 Index Futures - September 21
- Listing Schedule Expansion for Short-dated New Crop Options - September 21 New
- Match Algorithm Changes for 5-Year, 3-Year and 2-Year Treasury Note Futures Calendar Spreads - October 5
- Korea Exchange (KRX) Listing Cycle Expansion for KOSPI 200 Futures - Q4 2014
- Changes to Bursa Malaysia Derivative Berhad (BMD) 5-year Malaysian Government Securities (FMG5) - Q4 2014
- Events and Announcements
Critical System Updates
New iLink Architecture
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.
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.
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.
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.
New CME Globex Market Data Protocol
Beginning on September 28, 2014 (trade date Monday, September 29), 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.
The new Market Data Platform implementation will occur according to the following schedule:
MDP 3.0 Release Schedule Date Channels Sunday, September 28 342 CBOT Globex Equity Index Futures 313 CME Globex Interest Rate Options Sunday, October 12 310 CME Globex Equity Futures 314 CME Globex FX Futures 315 CME Globex FX Options 317 CME Globex Commodity Options 318 CME Globex Equity Futures - excludes E-mini S&P 500 320 CME Globex FX Futures II 321 CME Globex FX Options II 360 COMEX Globex Futures 384 NYMEX Globex Metals, Softs, & Alternative Market Futures Sunday, November 2 311 CME Globex Equity Options 312 CME Globex Interest Rate Futures 316 CME Globex Commodity Futures 319 CME Globex Equity Options - excludes E-mini S&P 500 340 CBOT Globex Commodity Futures 341 CBOT Globex Commodity Options 343 CBOT Globex Equity Index Options 344 CBOT Globex Interest Rate Futures 345 CBOT Globex Interest Rate Options 346 CBOT Globex Commodity Futures II 361 COMEX Globex Options 380 NYMEX Globex Emissions Futures 381 NYMEX Globex Emissions Options 382 NYMEX Globex Crude & Crude Refined Futures 383 NYMEX Globex Crude & Crude Refined Options 385 NYMEX Globex Metals, Softs, & Alternative Market Options 386 NYMEX Globex Nat Gas & other Non-Crude Energy Futures 387 NYMEX Globex Nat Gas & other Non-Crude Energy Options 410 CME Europe Globex Futures 430 BMD Globex Futures 431 BMD Globex Options 440 DME Globex Futures 441 DME Globex Options 450 KRX Globex Futures 460 MGEX Globex Futures 461 MGEX Globex Options 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 MDP 3.0 AutoCert+ certification suite is now available for customer testing in New Release.
- 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.
- A new version of the Schema file, Version 5, is currently available for the New Release Environment.
- The only change will be an adjustment of the encoding of the second group dimension, NoOrderIDEntries (tag 37705), of the Market Data Incremental Refresh Message (tag 35-MsgType=X), so that this repeating group entry begins on an 8-byte boundary.
- Please verify the necessary SBE updates with Real Logic Ltd.
- A Mock Trading Session will be held on Saturday, September 27. Details 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.
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.
iLink and Drop Copy Enhancements for MDP 3.0 Trade Summary Message
Starting Sunday, September 28 (trade date Monday, September 29), and following the production launch of MDP 3.0 channels, 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-OrderID 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-OrderID values for orders where tag 1091=N. Tag 37-OrderID values will be published on market data for trades only.
Drop Copy will also support the new tag 1091-PreTradeAnonymity at launch.
The new iLink tag 1091-PreTradeAnonymity 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-PreTradeAnonymity 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-PreTradeAnonymity 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-OrderID 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-PreTradeAnonymity. All customers are required to certify for and migrate to the new MDP 3.0.
Tag 1091-PreTradeAnonymity is currently available for customer testing in New Release.
TOP Order Allocation Minimum/Maximum Quantity Changes
Effective Sunday, October 5 (trade date Monday, October 6), pending regulatory approval, the TOP order allocation maximum quantity will be changed for the following Interest Rate products.
This change is designed to harmonize TOP behavior across the CME Group Interest Rate futures. This match algorithm enhancement is currently available in the New Release Environment for customer testing.
TOP Order Allocation Quantity Changes Instrument FIX/FAST and iLink: tag 1151-Security Group
MDP 3.0: tag 6937-AssetStrategy Type TOP Order Allocation Minimum Current TOP Order Allocation Minimum Future TOP Order Allocation Maximum Current TOP Order Allocation Maximum Future 30-Day Fed Funds Futures ZQ Outrights
Spreads (SP, BF, CF, FS)25 1 250 30000 2-Year U.S. Treasury Note Futures ZT Outrights
Butterfly Spreads ( BF)1 1 1500 19999 ZT Standard Calendar Spread (SP) 1 1 1500 29999 3-Year U.S. Treasury Note Futures Z3N Outrights
Butterfly Spreads ( BF)1 1 1500 19999 Z3N Standard Calendar Spread (SP) 1 1 1500 29999 5-Year U.S. Treasury Note Futures ZF Standard Calendar Spread (SP) 1 1 2500 29999 ZF DSF-Treasury Spread (DI) 1 1 2500 29999 10-Year U.S. Treasury Note Futures ZN Reduced Tick Calendar Spread (RT) 1 1 2500 29999 ZN DSF-Treasury Spread (DI) 1 1 2500 29999 U.S. Treasury Bond Futures ZB Reduced Tick Calendar Spread (RT) 1 1 2500 29999 Ultra T-Bond Futures UB Reduced Tick Calendar Spread (RT) 1 1 2500 29999 UB DSF-Treasury Spread (DI) 1 1 2500 29999 This change is designed to harmonize TOP behavior across the CME Group Interest Rate futures. This match algorithm enhancement is currently available in the New Release Environment for customer testing.
More information about TOP functionality is available in the Client Systems Wiki.
New - Drop Copy 4.0 Implementation
In Q1 2015, CME Group will introduce a new Drop Copy implementation to provide further consistency across iLink and Drop Copy. The new Drop Copy 4.0 implementation will have both functional and messaging changes as compared to the existing Drop Copy service.
The new Drop Copy 4.0 implementations will include:
- Harmonized customer experience between iLink and Drop Copy
- New message format with encapsulated message type.
- New supported FIX tags on Drop Copy messages – inbound and outbound
- Harmonized resend behavior (elimination of Application Resend functionality to align with iLink)
- Harmonized customer experience between iLink and Drop Copy
- Sequencing by market segment (see: New iLink Architecture client impact assessment)
- Robust fault tolerance
The client impact assessment, functional specifications, and message specifications provide detailed functionality and messaging information.
The existing implementation of Drop Copy will be phased out on a date to be published in the CME Globex Notices. All customers leveraging the Drop Copy service must be certified by that date.
With the new implementation, the Drop Copy service will have a new session model where customers will have access to two types of target sessions:
- Drop Copy Convenience Gateway (CGW) target session - consumers manage sequence streams from Convenience Gateway iLink source sessions across all market segments.
- Drop Copy Market Segment Gateway target session – consumers manage sequence streams from Market Segment Gateway iLink source sessions per unique market segment; with the possibility of having the same sequence numbers from multiple market segments.
To migrate to the new Drop Copy service, customers will be offered the ability to compare the new and the existing Drop Copy service implementations. Customers will be able to choose one Drop Copy Convenience Gateway (CGW) target session per Drop Copy group to compare it in parallel to a new Drop Copy group CGW target session. Customers need to coordinate migration efforts with their account manager to complete the full Drop Copy migration to the new Drop Copy Group(s). Customers can request Drop Copy CGW and/or Drop Copy MSGW target sessions.
Certification and New Release Drop Copy sessions will be re-issued by your to Global Account Manager upon customer request.
A new Drop Copy certification suite will be available in AutoCert+. Customer systems leveraging the Drop Copy service must complete this mandatory certification.
Certification environments for customer testing will be available in Q4 2014.
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.
Product Launches
Natural Gas Weekly Financial Options
Effective this Sunday, September 7 (trade date Monday, September 8), the following Natural Gas Weekly Financial Options will be listed for trading on CME Globex.
Natural Gas Weekly Financial Options Product
FIX/FAST and iLink: tag 1151-Security Group
MDP 3.0: tag 6937-AssetFIX/FAST and iLink: tag 55-Symbol
MDP 3.0 tag 1151 - Security Group
(Outrights)FIX/FAST and iLink: tag 55-Symbol
MDP 3.0 tag 1151 - Security Group
(UDS)Natural Gas Weekly 1 Financial Option LN1 GZ 1T Natural Gas Weekly 2 Financial Option LN2 GZ 1T Natural Gas Weekly 3 Financial Option LN3 GZ 1T Natural Gas Weekly 4 Financial Option LN4 GZ 1T Natural Gas Weekly 5 Financial Option LN5 GZ 1T These options are currently available for customer testing in New Release.
These contracts are listed with, and subject to, the rules and regulations of NYMEX.
Eurodollar Bundle Futures and Options
Effective Sunday, September 21 (trade date Monday, September 22), the following Eurodollar Bundle futures and options will be listed for trading on CME Globex, open outcry and for submission for clearing through CME ClearPort.
Eurodollar Bundle Futures and Options Product
FIX/FAST and iLink: tag 1151-Security
Group MDP 3.0: tag 6937-AssetFIX/FAST and iLink: tag 55-Symbol
MDP 3.0 tag 1151 - Security Group
(Outrights)FIX/FAST and iLink: tag 55-Symbol
MDP 3.0 tag 1151 - Security Group
(UDS)2-Year Eurodollar Bundle Futures BU2 GE -- 2-Year Eurodollar Bundle Options BU2 U1 U$ 3-Year Eurodollar Bundle Futures BU3 GE -- 3-Year Eurodollar Bundle Options BU3 U1 U$ 5-Year Eurodollar Bundle Futures BU5 GE -- 5-Year Eurodollar Bundle Options BU5 U1 U$ The Eurodollar Bundle futures and options will be available in the New Release for customer testing on Monday, September 8.
Please view the New Product Summary.
These contracts are listed with, and subject to, the rules and regulations of CME.
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.
Korea Exchange (KRX) USD/KRW FX Futures
Product FIX/FAST and iLink: tag 1151-Security
Group MDP 3.0: tag 6937-AssetFIX/FAST and iLink: tag 55-Symbol
MDP 3.0 tag 1151 - Security GroupUSD/KRW FX futures KUF KR These futures are currently available for customer testing in New Release.
These contracts are listed with, and subject to, the rules and regulations of Korea Exchange.
New - CME Europe Gas Futures
In Q4 2014, CME Europe will list the following energy futures for trading on CME Globex and clearing submission via CME ClearPort.
CME Europe Gas Futures Product FIX/FAST and iLink: tag 1151-Security Group
MDP 3.0: tag 6937-AssetFIX/FAST and iLink: tag 55-Symbol
MDP 3.0 tag 1151 - Security GroupUK Natural Gas (ICIS Heren) Calendar Future (Variable Quantity) UKE JQ Dutch Natural Gas (ICIS Heren) Calendar Future(Variable Quantity) DUE JQ German Gaspool Natural Gas (ICIS Heren) Calendar Future (Variable Quantity) GRE JQ German NCG Natural Gas (ICIS Heren) Calendar Future (Variable Quantity) GNE JQ Austrian Natural Gas (ICIS Heren) Calendar Future (Variable Quantity) ASE JQ German NCG Natural Gas (ICIS Heren) vs. Dutch Natural Gas (ICIS Heren) Spread Calendar Future(Variable Quantity) GME JQ German Gaspool Natural Gas (ICIS Heren) vs. Dutch Natural Gas (ICIS Heren) Spread Calendar Future (Variable Quantity) GGE JQ UK Natural Gas (ICIS Heren) vs. Dutch Natural Gas (ICIS Heren) (Euro per MWh) Spread Future(Variable Quantity) NVT JQ Dutch Natural Gas Daily Future (Variable Quantity) TDE JQ Dutch Natural Gas Calendar Month Future (Variable Quantity) TME JQ UK Natural Gas Daily Future NDE JQ UK Natural Gas Calendar Month Future (Variable Quantity) NME JQ Detailed information regarding these contracts is available in the Client System Wiki.
These products will be available in New Release for customer testing on Monday, September 8.
New - CME Europe Cocoa Futures
In Q4 2014, pending regulatory product approval, CME Europe will list the following Cocoa futures for trading on CME Globex and for clearing submission via CME ClearPort.
CME Europe Cocoa Futures Product FIX/FAST and iLink: tag 1151-Security Group
MDP 3.0: tag 6937-AssetFIX/FAST and iLink: tag 55-Symbol
MDP 3.0 tag 1151 - Security GroupCocoa Future CCP JX Cocoa NY (ICE) Future CCC JX These futures will available for customer testing in New Release on Monday, September 8.
Product Changes
Wheat-Corn Intercommodity Spread Change
Effective this Sunday, September 7 (trade date Monday, September 8) the Wheat-Corn intercommodity spread on CME Globex will be modified to Wheat futures minus Corn futures (tag 1151-Security group=ZW-ZC, tag 55-Symbol=ZW). Currently, Wheat-Corn intercommodity spread is listed as Corn futures minus Wheat futures (tag 1151-Security group=ZC-ZW, tag 55-Symbol=ZW).
Wheat-Corn Intercommodity Spread Change Product
Current Tag-1151-SecurityGroup Current Tag-55-Symbol New Tag-1151-SecurityGroup New Tag-55-Symbol Wheat-Corn Intercommodity Spread ZC-ZW ZW ZW-ZC ZW With this change, the Wheat-Corn intercommodity spread on CME Globex will be consistent with the Wheat-Corn spread construction on open outcry and consistent with the orientation of the CBOT Wheat-Corn intercommodity spread option.
The Wheat-Corn intercommodity spread reflects one Wheat futures contract of a specified maturity, and one opposing Corn futures contract of a maturity month. The Wheat-Corn intercommodity spread will be calculated as the Wheat futures price in centsper bushels – the Corn futures price in centsper bushels.
To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for the impacted spread after their close on Friday, September 5. After 16:00 CT on Friday, September 5, all remaining GTC and GTD orders for these spreads will be cancelled by the CME Group Global Command Center (GCC).
30-Day Fed Fund Futures Calendar Spreads Price Banding Changes
Effective Sunday, September 14 (trade date Monday, September 15), the price band for 30-Day Fed Fund futures calendar spreads will be reduce from 10.00 to 5.00.
Price bands for every CME Globex product is defined in the CME Globex Product Reference in the Client Systems Wiki.
This change will be available in New Release for customer testing on Monday, September 8.
New - Gasoil 7F Price Flux Change and Extend Listing Cycle
Effective Sunday, September 21 (trade date Monday, September 22), the listing cycle for European Gasoil (100mt) Bullet Futures will be expanded on CME Globex.
In addition, there will be a change to minimum tick increment Tag 969-MinPriceIncrement pending regulatory review periods.
Gasoil 7F Price Flux Change and Extend Listing Cycle Product FIX/FAST and iLink: tag 1151-Security Group
MDP 3.0: tag 6937-AssetFIX/FAST and iLink: tag 55-Symbol
MDP 3.0 tag 1151 - Security GroupCurrent Tick tag 969-MinPriceIncrement New Tick tag 969-MinPriceIncrement Current Listing Rule New Listing Rule European Gasoil (100mt) Bullet Futures GLI CM 25 5 Current year + the next 3 years Current year + the next 6 years Matching Algorithm Harmonization for Equity Products
Effective Sunday, September 21 (trade date Monday, September 22), pending regulatory approval, the CME Globex match algorithm for the following equity products will be modified "F" FIFO to be consistent with other CBOT and CME equity products.
Matching Algorithm Harmonization for Equity Products Product
FIX/FAST and iLink: tag 1151-Security
Group MDP 3.0: tag 6937-AssetFIX/FAST and iLink: tag 55-Symbol
MDP 3.0 tag 1151 - Security GroupCurrent Match Algorithm New Match Algorithm CBOT Dow Jones Industrial Average Index Futures ($10 Multiplier) Calendars Spreads ZD ZD O F CBOT E-mini Dow Jones Industrial Average Index Futures ($5 Multiplier) Calendars Spreads YM YM O F CBOT Dow Jones Industrial Average Index Futures ($25 Multiplier) Calendars Spreads DD DD O F CBOT US Real Estate Index Futures RX RX T F CME Master Limited Partnership Futures MLP MP K F CME Quarterly and Serial Options on Yen Denominated Nikkei Stock Average Futures Quarterly: NKW
Serial: NKYQuarterly: N3
Serial: N4K F These changes are currently available in New Release for customer testing.
KC HRW Wheat Futures Matching Algorithm
Effective Sunday, September 21 (trade date Monday, September 22), pending regulatory approval, the CME Globex match algorithm for KC HRW Wheat futures and spreads will be modified to "K" (40/60 FIFO Pro-Rata). Currently, the match algorithm is "O" 100 percent Pro-Rata.
KC HRW Wheat Futures Matching Algorithm Product FIX/FAST and iLink: tag 1151-Security Group
MDP 3.0: tag 6937-AssetFIX/FAST and iLink: tag 55-Symbol
MDP 3.0 tag 1151 - Security GroupKC HRW Wheat futures and spreads KE KE With this change, the CME Globex match algorithm for KC HRW Wheat futures and spreads will be consistent with other CBOT grain & oilseed products.
This change will be available in New Release for customer testing on Monday, September 8.
Variable Tick Increment Changes for Options on E-mini NASDAQ 100 Index Futures and Options on NASDAQ 100 Index Futures
Effective Sunday, September 21 (trade date Monday, September 22), variable tick for options on E-mini NASDAQ 100 Index futures and options on NASDAQ 100 Index futures to 5.00 points from 3.00 points. With this change, the Variable Tick Table (VTT) will change from 10 to 04.
Variable Tick Increment Changes for Options on E-mini NASDAQ 100 Index Futures and Options on NASDAQ 100 Index Futures Options FIX/FAST and iLink: tag 1151-Security Group
MDP 3.0: tag 6937-AssetFIX/FAST and iLink: tag 55-Symbol
MDP 3.0 tag 1151 - Security GroupE-mini NASDAQ 100 Options NQ QZ E-mini NASDAQ 100 End-of-Month Options QNE NW E-mini NASDAQ 100 Weekly Options (1-4) QN1-4 NW NASDAQ 100 Options ND XH NASDAQ 100 Weekly Options (1-4) DN1-4 XH NASDAQ 100 End-of-Month Options DNE XH The Variable Tick Table (VTT) values and corresponding minimum tick increments per price are defined in the instrument’s Security Definition message (tag 35-MsgType=d) in the repeating group tag 871-InstAttribType=23, tag 872-InstAttribValue=variable tick table value, as described in the Client Systems Wiki.
This change will be available for customer testing in New Release on Monday, September 8.
New - Listing Schedule Expansion for Short-dated New Crop Options
Effective Sunday, September 21 (trade date Monday, September 22), the listing cycle for the following Short-dated New Crop options will be expanded from one crop year to two crop years:
Product Listing Schedule Expansion for Short-dated New Crop Options Options FIX/FAST and iLink: tag 1151-Security Group
MDP 3.0: tag 6937-AssetFIX/FAST and iLink: tag 55-Symbol
MDP 3.0 tag 1151 - Security GroupCurrent Listing Schedule New ListingSchedule Short-Dated New Crop Corn Options
OCD
OC
List March, May, July, and September maturities for one year.
List January, February, March, April, May, June July, August, and September maturities for two years.
Short-Dated New Crop Soybean Options
OSD
SQ
List March, May, July, and September maturities for one year.
List January, February, March, April, May, June July, August, and September maturities for two years.
Short-Dated New Crop Wheat Options
OWD
OW
List December, March, and May maturities for one year.
List December, March, and May maturities for two years.
KC HRW Wheat Short-Dated New Crop Options
KWE
OK
List December, March, and May maturities for one year.
List December, March, and May maturities for two years.
Additional information on this change is available online.
This change will be available in New Release for customer testing on Monday, September 8.
Match Algorithm Changes for 5-Year, 3-Year and 2-Year Treasury Note Futures Calendar Spreads
Effective Sunday, October 5 (trade date Monday, October 6), pending regulatory approval the CME Globex match algorithm for the 5-Year, 3-Year and 2-Year Treasury Note futures calendar spreads will be modified to a 20% FIFO/80% Pro-Rata split. Currently, the match algorithm is 100% Pro-Rata.
Match Algorithm Changes for 5-Year, 3-Year and 2-Year Treasury Note Futures Calendar Spreads Product
FIX/FAST and iLink: tag 1151-Security Group
MDP 3.0: tag 6937-AssetFIX/FAST and iLink: tag 55-Symbol
MDP 3.0 tag 1151 - Security Grouptag 762-SecuritySubType 2-Year U.S. Treasury Note Futures ZT ZB SP 3-Year U.S. Treasury Note Futures Z3N ZB SP 5-Year U.S. Treasury Note Futures ZF ZB SP FIX tag 1142-MatchAlgorithm will remain "K" for these products.
This change is currently available in the New Release Environment for customer testing.
These contracts are listed with, and subject to, the rules and regulations of CBOT.
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.
Korea Exchange (KRX) Listing Cycle Expansion for KOSPI 200 Futures Product FIX/FAST and iLink: tag 1151-Security Group
MDP 3.0: tag 6937-AssetFIX/FAST and iLink: tag 55-Symbol
MDP 3.0 tag 1151 - Security GroupKOSPI 200 futures K2F K2 The new expiration months are currently available for customer testing in New Release.
These contracts are listed with, and subject to, the rules and regulations of the Korea Exchange.
Changes to Bursa Malaysia Derivative Berhad (BMD) 5-year Malaysian Government Securities (FMG5)
Pending regulatory approval, Bursa Malaysia Derivatives Berhad (BMD) will make the following changes to 5-year Malaysian Government Securities futures on CME Globex, in Q4 2014.
Changes to Bursa Malaysia Derivative Berhad (BMD) 5-year Malaysian Government Securities (FMG5) Product FIX/FAST and iLink: tag 1151-Security Group
MDP 3.0: tag 6937-AssetCurrent FIX/FAST and iLink: tag 55-Symbol
MDP 3.0 tag 1151 - Security GroupNew FIX/FAST and iLink: tag 55-Symbol
MDP 3.0 tag 1151 - Security GroupCurrent Trading Hours New Trading Hours 5-year Malaysian Government Securities futures FMG5 BI B5 First trading session: Malaysian Standard Time: 9:00 a.m. - 12:30 p.m.(Central Time (CT) 8:00 p.m. to 11:30 p.m.)
Second trading session: Malaysian Standard Time: 2:30 p.m. - 5:00 p.m.((CT) 1:30 a.m. to 4:00 a.m.)
First trading session: Malaysian Standard Time: 9:00 a.m. - 12:30 p.m.((CT) 8:00 p.m. to 11:30 p.m.)
Second trading session: Malaysian Standard Time: 2:30 p.m. - 6:00 p.m. ((CT) Time 1:30 a.m. to 5:00 a.m.)
With these changes, the final settlement time will be modified from 12 p.m. (CT) to 7 a.m. (CT).
Additional information on these changes is available online.
These futures will be available for customer testing in New Release on Monday, September 8.
Events and Announcements
New - Feedback Requested on System Information
CME Group would like to hear about your experience using our client systems development and user resources. Please complete a short survey for the following:
Your valuable input will help identify areas for future enhancement or improvement.
Complete the User Feedback Survey.
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