• CME Globex Notices: November 3, 2014

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Account Management
      • #
      • 20141103
      • Notice Date
      • 03 November 2014
      • Effective Date
      • 06 November 2014

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      Topics in this issue include:

       

       

      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.

       

       

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      Postponed: New iLink Failover Process

      The release of the new iLink Failover Process scheduled in October 2014, has been postponed. A new launch date will be published in the CME Globex Notices when available.

      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 Q4 2014.

      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

      † Denotes update to the article

      † MDP 3.0 channels 382 and 440, originally scheduled for this Sunday, November 9, has been rescheduled to Sunday, December 7 (trade date Monday, December 8).

      This Sunday, November 9 (trade date Monday, November 10), CME Group will implement the fourth group of Market Data Platform (MDP) 3.0 Channels. The remaining schedule is as follows:

       

      Launch Schedule
      Launch Date MDP 3.0 Channel Description
      Sunday, November 9 (trade date Monday, November 10) 316 CME Globex Commodity Futures
      340 CBOT Globex Commodity Futures
      346 CBOT Globex Commodity Futures II
      386 NYMEX Globex Nat Gas & other Non-Crude Energy Futures
      410 CME Europe Globex Futures
      460 MGEX Globex Futures
      † Sunday, December 7(trade date Monday, December 8) 312 CME Globex Interest Rate Futures
      344 CBOT Globex Interest Rate Futures
      380 NYMEX Globex Emissions Futures
      † 382 NYMEX Globex Crude & Crude Refined Futures
      430 BMD Globex Futures
      431 BMD Globex Options
      † 440 DME Globex Futures
      450 KRX Globex Futures

       

      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+.

      Please note: Performance testing to date has shown increases in bandwidth in the 30 - 50 percent range during peak periods. Testing has also indicated a 20 percent increase in packets per second during peak periods.

       

      †Migration Milestones

      During the six month parallel window, the following guidelines will be leveraged in case of market data failures. These are guidelines only and CME Group will review each event individually to determine the best response.

      • Until Friday, December 12, markets will be halted for FIX/FAST issues only.
      • As of Sunday, December 14, markets may be halted for either FIX/FAST or MDP 3.0 issues.
      • In the final state, markets will be halted for MDP 3.0 issues only.

      The final state will be announced via the CME Globex Notices.

       

      TAS Pre-Open Validation

      Order entry will be permitted in TAS (Trade at Settlement) markets as soon as the Pre-Open state message is published, regardless of whether it is received first via the FIX/FAST or MDP 3.0 feeds. The CME Group Market Regulation rules for TAS Transactions can be found here.

       

      †Mock Trading Session

      A Mock Trading Session will be held this Saturday, November 8, and Saturday, December 6, for:

      • the channels that are being launched Sunday, November 9, and Sunday, December 7
      • the previously launched channels
      • MDP 3.0 channels scheduled to launch November 9 and December 7 will also be available for accessibility and firewall testing.
        • FIX/FAST market data for these channels will not be available,
        • At the end of the Mock Trading Session, all data on these channels will be stopped, including heartbeats.

      Customers must certify and register online to participate. For more information about the Mock Trading Session please view the Mock Trading Guide.

       

      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

      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.

      Following the production launch of each MDP 3.0 channel, 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)

      Please note that tag 1091-PreTradeAnonymity will only have an effect after the production launch of each MDP 3.0 channel.

       

      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-OrderID value will not appear in the Trade Summary message.
      If tag is sent with “N”, tag 37-OrderID will appear in the Trade Summary message.

       

      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.

       

       

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      Update - Negative Price Eligibility for User-Defined Spreads

      † Denotes update to the article

      Effective this † Sunday, November 9 (for trade date Monday, November 3) CME Globex will add the Negative Price Eligibility flag in the Security Definition (tag 35-MsgType=d) message for eligible User Defined Spreads (UDS).

      This launch will be phased in as follows:

       

      Launch Schedule
      Production Launch Date Market Segment Tag 1300 MarketSegmentID
      Sunday, November 9 CME FX options 52
      NYMEX and COMEX options 56
      TBD All remaining markets *

       

      Currently, CME Globex accepts orders and mass quotes with negative prices for Buy-Sell options strategies, with the exception of Option Strategies tag 762-SecuritySubType=VT, BO, CO, IB, IC, or BX, but the Negative Price Eligibility flag in the Security Definition message is not populated.

      With this change, the following tags and values will be used to identify this eligibility via the Security Definition messages for UDS. There are no changes to the current functionality.

       

      Negative Price Eligibility for User Defined Spreads
      Market Data Feed Tags and Values
      FIX/FAST Tag 871-InstAttribType=24
      Tag 872-InstAttribValue=11
      MDP 3.0 Tag 872-InstAttribValue, Bit 10

       

      These new values are currently available for customer testing in New Release.

       

       

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      Update - Self-Match Prevention Enhancements

      † Denotes update to the article

      † Effective Sunday, December 21 (trade date Monday, December 22), pending regulatory review periods, CME Group will launch enhancements to the CME Globex Self-Match Prevention (SMP).

      † This launch will be phased in as follows:

       

      Self-Match Prevention Enhancements
      Tag 1300-MarketSegementID Market Segment Production launch
      76 NYMEX and COMEX Metals and Alternative Market futures December 21, 2014
      * All remaining markets January 11, 2014

       

      With these enhancements, iLink customers will be able to dictate whether the resting or aggressing order is cancelled in the event of a self-match. In addition, for FIFO-only markets, orders will only be cancelled if they would have matched. Currently, when Self-Match Prevention is triggered, CME Globex cancels all resting orders with the same SMP ID and Executing Firm ID at all executable price levels.

      This launch introduces new iLink tags and values. Detailed information, including messaging impacts and launch schedules, is available in the Client Impact Assessment. The new SMP enhancements are currently available for customer testing in New Release. Customer certification is not required, but CME Group strongly recommends all system providers test these changes thoroughly 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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      New - UDS: Covereds Enhancements for Natural Gas Derivatives

      Effective Sunday, January 11 (trade date Monday, January 12), User-Defined Spreads: Covereds functionality will be enhanced to better support Natural Gas trading on CME Globex.

      With this enhancement, futures allocations for Natural Gas options covered by Henry Hub Penultimate futures (NPG) will account for the contract size differences, as detailed in the table below.

       

      UDS: Covereds Enhancements for Natural Gas Derivatives
      Product FIX/FAST and iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 Contract Size Multiplier for UDS: Covereds Futures Allocation
      Henry Hub Penultimate Futures NPG 2,500 mmBtu --
      Natural Gas Options (American) ON 10,000 mmBtu 4
      Natural Gas Weekly Options (American) ON1-ON5 10,000 mmBtu 4
      Natural Gas Options (European) LNE 10,000 mmBtu 4
      Natural Gas Financial Weekly Options LN1-LN5 10,000 mmBtu 4
      Natural Gas (Henry Hub) Daily Options KDB 10,000 mmBtu 4
      Natural Gas Short-Term Options U01-U31 10,000 mmBtu 4
      Natural Gas (Henry Hub) Last-day Financial Options AE7 10,000 mmBtu 4

       

      Please Note: There are no messaging changes for this launch.

      As an example:

      • Customer creates a UDS: Covered with a Natural Gas option (European) LNE leg covered by a Henry Hub Penultimate future NPG leg and a customer-submitted delta value of 0.40
      • The futures allocation quantity would be 1.60
        • Futures allocation quantity = customer-submitted delta value * (option contract size/future contract size)
        • Futures allocation quantity = 0.40(10,000/2,500 mmBtu)
      • A UDS: Covered trade of 100 LNE options would be allocated 160 NPG covering futures
        • Today, this trade would be allocated 40 covering futures

      More information on UDS: Covereds functionality and trading is available online.

      The UDS: Covereds enhancement will be available for testing in New Release Monday, November 24.

       

       

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      New - Automated iLink Port Closure

      Effective Sunday, January 11, CME Globex is introducing an Automated iLink Port Closure solution to protect CME Group markets and systems from potentially detrimental behavior. This solution is an enhancement to the CME Globex Port Closure Policy introduced in January 2012.

      With this enhancement, CME Globex will automatically logout and close both the primary and backup ports for any iLink session that exceeds 5 invalid Logon (tag 35=A) messages in 60 seconds. Logon messages may be invalid due to:

      • Incorrect sequence number
      • Invalid password
      • Invalid heartbeat interval
      • Malformed message
      • Required tag missing or sent with invalid value
      • Invalid SenderCompID (iLink tag 49)

      Automated iLink Port Closure can also be triggered by customers sending messages other than a Logon when the session has not been successfully logged in.

      When triggered, CME Globex will send a Logout message (tag 35=5) with tag 58-Text="(1000) CME Administered Port Closure Due to Invalid Number of Login Attempts Being Exceeded". Sessions with active-active fault tolerance will receive the Logout message on both the primary and backup instances. Sessions without fault tolerance will only receive the Logout on the primary instance, but both the primary and backup ports will be closed.

      Primary and secondary clearing firm members must contact the Global Command Center directly to have a port re-opened. The GCC can be reached at 800.438.8616 in the USA, 44.800.898.013 in Europe, and 65.6532.5010 in Asia.

      Automated iLink Port Closure will be available for customer testing in New Release on Monday, November 10. To facilitate customer testing, the parameters in New Release will be 10 invalid Logon (tag 35=A) messages in 60 seconds.

       

       

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      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)
      • 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 facilitate migration to the new Drop Copy service, CME Group will support a parallel feed. Traffic from Convenience Gateway source sessions will be available via their current Drop Copy IPs and ports and via the new Drop Copy 4.0 IPs and ports. Certification is required for production access to Drop Copy 4.0. Please coordinate your migration with the CME Group Account Manager.

      Upon completion of the Drop Copy 4.0 certification, 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.

       

       

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      Product Launches

      Crude Oil MidCurve Options

      Effective Sunday, November 23 (for trade date Monday, November 24), the following Crude Oil MidCurve options will be listed on CME Globex.

       

      Crude Oil MidCurve Options
      Product FIX/FAST and iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 FIX/FAST and iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      (UDS)      		 FIX/FAST and iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      (Outrights)
      Crude Oil 1 Year MidCurve options LM1 1N LN
      Crude Oil 2 Year MidCurve options LM2 1N LN
      Crude Oil 3 Year MidCurve options LM3 1N LN
      Crude Oil 4 Year MidCurve options LM4 1N LN
      Crude Oil 5 Year MidCurve options LM5 1N LN

       

      These products will be available for customer testing in New Release on Monday, November 10.

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

       

       

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      Natural Gas Pipe Options

      Effective Sunday, November 23 (for trade date Monday, November 24), the following Natural Gas Pipe options will be listed for trading on CME Globex and Open Outcry, and for clearing submission via CME ClearPort.

       

      Natural Gas Pipe Options
      Product FIX/FAST and iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 FIX/FAST and iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Columbia Gas TCO Natural Gas (Platts IFERC) Pipe options CFP EF
      Dominion, South Point Natural Gas (Platts IFERC) Pipe options DPP EF
      Texas Eastern Zone M-3 Natural Gas (Platts IFERC) Pipe options TEP EF

       

      These products will be available for customer testing in New Release on Monday, November 10.

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

       

       

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      US Dollar/Chilean Peso Future

      Effective Sunday, November 23 (for trade date Monday, November 24), a new standard-sized US Dollar/Chilean Peso cash-settled future will be listed for trading on CME Globex, and for clearing submission via CME ClearPort.

       

      US Dollar/Chilean Peso Future
      Product FIX/FAST and iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 FIX/FAST and iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      US Dollar/Chilean Peso futures CHL 6H

       

      These products will be available for customer testing in New Release on Monday, November 10.

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

       

       

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      Canadian Crude WCC BALMO Futures

      Effective Sunday, November 23 (for trade date Monday, November 24), Canadian Crude WCC BALMO Futures will be listed for trading on CME Globex.

       

      Canadian Crude WCC Balmo Futures
      Product FIX/FAST and iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 FIX/FAST and iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Canadian Heavy Crude Oil (Net Energy) BALMO futures CHB RF

       

      These futures will be available for customer testing in New Release on Monday, November 10.

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

       

       

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      Korea Exchange (KRX) USD/KRW FX Futures

      Effective Sunday, December 7 (for trade date Monday, December 8), Korea Exchange (KRX) will list USD/KRW FX futures (tag1151-SecurityGroup=KUF, tag 55-Symbol=KR) for trading on CME Globex.

       

      Korea Exchange (KRX) USD/KRW FX Futures
      Product FIX/FAST and iLink: tag 1151-Security
      Group MDP 3.0: tag 6937-Asset      		 FIX/FAST and iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      USD/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.

       

       

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      Update - CBOT Treasury Invoice Swaps

      † Denotes update to the article

      Effective Sunday, December 14 (for trade date Monday, December 15), pending regulatory review, CBOT Treasury Invoice Swaps spreads will be listed for trading on CME Globex. CBOT Treasury Invoice Swaps are a type of standardized, forward starting Libor-reference interest rate swap which will be traded solely as inter-commodity spreads consisting of a long (short) specific, related Treasury futures contract and a long (short) Treasury Invoice Swap contract (IRS).

      † Please Note: Any party entering an order for or executing a transaction involving a Treasury invoice swap contract shall be required to be either a CME IRS Clearing Member or an IRS Participant registered with CME. Accounts must be permissioned to trade the CBOT Treasury Invoice Swap spreads on CME Globex by their Clearing Firm Administrator via CME Account Manager. More information on permissioning accounts for these products is available online.

       

      CBOT Treasury Invoice Swaps
      Product FIX/FAST and iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 FIX/FAST and iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 Delivery (First or Last)
      2 Year Treasury Invoice Swap, Candidate 1-3 per F/L (Non tradable) 06 T1A Last to deliver
      T2A
      T3A
      T4A First to deliver
      T5A
      T6A
      2 Year Treasury Invoice Swap Spread, Candidate 1-3 per F/L ZT TVA Last to deliver
      TVB
      TVC
      TVD First to deliver
      TVE
      TVF
      5 Year Treasury Invoice Swap, Candidate 1-3 per F/L (Non tradable) 06 F1A Last to deliver
      F2A
      F3A
      F4A First to deliver
      F5A
      F6A
      5 Year Treasury Invoice Swap Spread, Candidate 1-3 per F/L ZF FYA Last to deliver
      FYB
      FYC
      FYD First to deliver
      FYE
      FYF
      10 Year Treasury Invoice Swap, Candidate 1-3 per F/L (Non tradable) 06 N1A Last to deliver
      N2A
      N3A
      N4A First to deliver
      N5A
      N6A
      10 Year Treasury Invoice Swap Spread, Candidate 1-3 per F/L ZN TYA Last to deliver
      TYB
      TYC
      TYD First to deliver
      TAY
      TAB
      Treasury Bond Invoice Swap, Candidate 1-3 per F/L (Non tradable) 06 B1A Last to deliver
      B2B
      B3C
      B4D First to deliver
      B5E
      B6F
      Treasury Bond Invoice Invoice Swap Spread, Candidate 1-3 per F/L ZB UTA Last to deliver
      UTB
      UTC
      UTD First to deliver
      UTE
      UET
      Treasury Ultra Bond Invoice Swap, Candidate 1-3 per F/L (Non tradable) 06 U1A Last to deliver
      U2A
      U3A
      U4A First to deliver
      U5A
      U6A
      Treasury Ultra Bond Invoice Invoice Swap Spread, Candidate 1-3 per F/L ZU UBA Last to deliver
      UBB
      UBC
      UBI First to deliver
      UBP
      UBF

       

      † Technical information on supporting CBOT Treasury Invoice Swaps and the inter-commodity spread on CME Globex is available in the Client Impact Assessment.

      These products will be available in New Release for customer testing on Monday, November 10.

      These contracts are listed on, and subject to, the rules and regulations of CBOT.

       

       

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      Natural Gas Intercommodity Spreads

      Effective Sunday, December 21 (for trade date Monday, December 22), the following natural gas inter-commodity spreads will be listed for trading on CME Globex.

       

      Natural Gas Intercommodity Spreads
      Intercommodity Spreads FIX/FAST and iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 FIX/FAST and iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Natural Gas (Henry Hub) Penultimate Financial Futures VS. Natural Gas (Henry Hub) Last-day Financial Futures HP-HH NG
      Natural Gas (Henry Hub) Penultimate Financial Futures VS.  Henry Hub Natural Gas Futures HP-NG NG
      Henry Hub Penultimate NP Futures VS. Henry Hub Natural Gas Last Day Financial Futures  (Per Month) NPG-NNE NG

       

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

       

       

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      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-Asset      		 FIX/FAST and iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      UK 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 are currently available in New Release for customer testing.

      These contracts are listed on, and subject to, the rules of UK RIE CME Europe Ltd.

       

       

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      New - CME Europe Euro and US Dollar Denominated Deliverable Swap Futures

      Pending regulatory product approval CME Europe will list the following Euro and US Dollar Denominated Deliverable swap futures for trading on CME Globex and clearing submission via CME ClearPort for CME Clearing Europe (CMECE), in Q1 2015.

       

      CME Europe Euro and US Dollar Denominated Deliverable Swap Futures
      Product FIX/FAST and iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 FIX/FAST and iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      2-Year Deliverable Euro Interest Rate Swap Futures EU2 DS
      5-Year Deliverable Euro Interest Rate Swap Futures EU5 DS
      10-Year Deliverable Euro Interest Rate Swap Futures E10 DS
      2-Year Deliverable US Dollar Interest Rate Swap Futures DS2 DS
      5-Year Deliverable US Dollar Interest Rate Swap Futures DS5 DS
      10-Year Deliverable US Dollar Interest Rate Swap Futures D10 DS
      30-Year Deliverable US Dollar Interest Rate Swap Futures D30 DS

       

      These products will be available in New Release for customer testing on Monday, November 10.

      These contracts are listed on, and subject to, the rules of UK RIE CME Europe Ltd.

       

       

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      CME Europe Cocoa Futures

      In Q1 2015, 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-Asset      		 FIX/FAST and iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Cocoa Future CCP JX
      Cocoa NY (ICE) Future CCC JX

       

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

       

       

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      Product Changes

      S&P Indices Fee Designation Changes

      Effective Sunday, November 30 (trade date Monday, December 1), the following S&P Indices fee designation will be modified from Fee-Waived (XW) to Fee-Liable (XF).

       

      S&P Indices Fee Designation Changes
      Current Name New Name Current Index Code New Index Code Current Fee Indicator New Fee Indicator
      RBS US Large Cap Trendpilot Index S&P 500 Trend Allocator APLCUT TPLCUT XW XF
      RBS US Large Cap Alternator Index (USD) S&P 500 Relative Strength Selector ALTLCUT ALTLCUT XW XF

       

       

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      Updated FIX Tags for Natural Gas Options

      Effective this Sunday, November 2 (trade date Monday, November 3), the values in FIX tag 1147-UnitofMeasureQty and tag 996-UnitofMeasure will be updated for the following options listed on CME Globex. There are no changes to the actual contract size or unit of measure; this change applies to the tag values in the Security Definition message to make the values consistent with those of the underlying futures.

       

      Updated FIX Tags for Natural Gas Options
      Product FIX/FAST and iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 FIX/FAST and iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current tag 1147-UnitOfMeasureQty New tag 1147-UnitOfMeasureQty Current tag 996-UnitOfMeasure New tag 996-UnitOfMeasure
      Natural Gas Options (American) ON ON 0 10000 CTRCT MMBTU
      Natural Gas Weekly Options (American) ON1-ON5 ON 0 10000 CTRCT MMBTU
      Natural Gas Options (European) LNE GZ 0 10000 CTRCT MMBTU
      Natural Gas Financial Weekly Options LN1-LN5 5GZ 0 10000 CTRCT MMBTU
      Natural Gas (Henry Hub) Daily Options KDB GN 0 10000 MMBTU MMBTU
      Natural Gas Short-Term Options U01-U31 TN 1 10000 CTRCT MMBTU
      Natural Gas (Henry Hub) Last-day Financial Options AE7 EF 0 10000 CTRCT MMBTU

       

      There are no changes to the actual contract size or unit of measure; this change applies to the tag values in the Security Definition message to make the values consistent with those of the underlying futures.

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

       

       

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      Listing Cycle Expansion for Aluminum Futures

      Effective this Sunday, November 9 (trade date Monday, November 10), the listing cycle for Aluminum MW U.S. Transaction Premium Platts (25MT) futures will be expanded on CME Globex.

       

      Listing Cycle Expansion for Aluminum Futures
      Product FIX/FAST and iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 FIX/FAST and iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Listing Rule New Listing Rule
      Aluminum MW U.S. Transaction Premium Platts (25MT) Futures AUP ST Consecutive monthly maturities are listed for 12 months Monthly maturities shall be listed for the current year plus next calendar year

       

      These contracts are now available for customer testing in New Release.

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

       

       

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      Minimum Price Increment Changes for CME Eurodollar Bundle Futures

      Effective this Sunday, November 9 (trade date Monday, November 10), the minimum price increment will be modified for Eurodollar Bundle futures and options from 0.005 points to 0.0025 points on CME Globex, open outcry and for submission for clearing through CME ClearPort. This change will harmonize the minimum price increment with the traditional Eurodollar bundles. With this change, tag 969-MinPriceIncrement will be modified as follows:

       

      Minimum Price Increment Changes for CME Eurodollar Bundle Futures
      Product FIX/FAST and iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 FIX/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)      		 Current tag 969-MinPriceIncrement New tag 969-MinPriceIncrement
      2-Year Eurodollar Bundle Futures BU2 GE -- 0.5 0.25
      2-Year Eurodollar Bundle Options BU2 U1 U$ 0.5 0.25
      3-Year Eurodollar Bundle Futures BU3 GE -- 0.5 0.25
      3-Year Eurodollar Bundle Options BU3 U1 U$ 0.5 0.25
      5-Year Eurodollar Bundle Futures BU5 GE -- 0.5 0.25
      5-Year Eurodollar Bundle Options BU5 U1 U$ 0.5 0.25

       

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

       

       

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      FIX tag Changes for CBOT Interest Rate Futures

      Effective this Sunday, November 9 (for trade date Monday, November 10), the values in the following FIX tags will be changed for CBOT interest rate futures and spreads:

      • tag 55-Symbol for FIX/FAST, and
      • tag 1151-SecurityGroup for MDP 3.0

       

      FIX tag Changes for CBOT Interest Rate Futures
      Futures

      Product Code

      FIX/FAST and iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset

      Current State

      Current FIX/FAST and iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group

      New State

      New FIX/FAST and iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      2-Year U.S. Treasury Note Futures and Spreads ZT ZB ZT
      2-Year Deliverable Interest Rate Swap Futures and Spreads T1U ZB ZT
      2-Year Euro-Denominated Deliverable Interest Rate Swap Futures and Spreads T1E ZB ZT
      3-Year U.S. Treasury Note Futures and Spreads Z3N ZB Z3
      5-Year U.S. Treasury Note Futures and Spreads ZF ZB ZF
      5-Year U.S. Treasury Note Futures vs 5-Year Deliverable Interest Rate Swap Futures ZF ZB ZF
      5-Year Deliverable Interest Rate Swap Futures and Spreads F1U ZB ZF
      5-Year Euro-Denominated Deliverable Interest Rate Swap Futures and Spreads F1E ZB ZF
      10-Year U.S. Treasury Note Futures and Spreads ZN ZB ZN
      10-Year U.S. Treasury Note Futures vs 10-Year Deliverable Interest Rate Swap Futures Intercommodity Spread ZN ZB ZN
      10-Year Deliverable Interest Rate Swap Futures and Spreads N1U ZB ZN
      10-Year Euro-Denominated Deliverable Interest Rate Swap Futures and Spreads N1E ZB ZN
      U.S. Treasury Bond Futures and Spreads ZB ZB ZB
      Ultra T-Bond Futures and Spreads UB ZB ZU
      Ultra T-Bond Futures vs 30-Year Deliverable Interest Rate Swap Futures Intercommodity Spread UB ZB ZU
      30-Year Deliverable Interest Rate Swap Futures and Spreads B1U ZB ZU
      Intercommodity Treasury and Swap Spreads BOB ZB IV
      FOB ZB IV
      FOL ZB IV
      FYT ZB IV
      NBY ZB IV
      NOB ZB IV
      NOL ZB IV
      TOB ZB IV
      TOF ZB IV
      TOU ZB IV
      TUB ZB IV
      TUF ZB IV
      TUL ZB IV
      TUN ZB IV
      TUT ZB IV
      TYT ZB IV

       

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

       

       

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      Listing Cycle Change for Legacy Power Futures

      After the close of business on Friday, November 21, the listing cycle will be modified for several Legacy Power futures. These products are currently listed on CME Globex, Open Outcry and for clearing submission via CME ClearPort.

      These products are subject to the rules and regulations of NYMEX.

       

       

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      New - Strike Price Increment Change for Daily Natural Gas Option

      Effective Sunday, November 23 (trade date Monday, November 24), the strike price listing rules will be modified for Daily Natural Gas options to list strike prices ATM ± 20 in $0.025 intervals. Currently, the strike listing rule is ATM ± 20 in $0.001 intervals.

       

      Strike Price Increment Change for Daily Natural Gas Option
      Product FIX/FAST and iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 FIX/FAST and iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Daily Natural Gas Option KDB GN

       

      The exiting dynamic strike generation rule will remain in in $0.001 intervals

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

       

       

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      Changes to Bursa Malaysia Derivative Berhad (BMD) 5-year Malaysian Government Securities (FMG5)

      Effective Sunday, November 30 (trade date Monday, December 1), having received approval from the Securities Commission (SC), Bursa Malaysia Derivatives (BMD) will make the following changes to 5-year Malaysian Government Securities futures on CME Globex.

       

      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-Asset      		 FIX/FAST and iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 New FIX/FAST and iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Trading Hours New Trading Hours
      5-year Malaysian Government Securities futures FMG5 BI B5

      First trading session:

      9:00 a.m. - 12:30 p.m. Malaysian Standard Time (MST)
      8:00 p.m. - 11:30 p.m. Central Time (CT)

      Second trading session:

      2:30 p.m. - 5:00 p.m. (MST)
      1:30 a.m. - 4:00 a.m. (CT)

      First trading session:

      9:00 a.m. - 12:30 p.m. Malaysian Standard Time (MST)
      8:00 p.m. - 11:30 p.m. Central Time (CT)

      Second trading session:

      2:30 p.m. - 6:00 p.m. (MST)
      1:30 a.m. - 5:00 a.m. (CT)

       

      With these changes, the final settlement time will be modified from 10 p.m. Central Time (CT) to 5 a.m. (CT).

      Additional information on these changes is available online.

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

       

       

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

      Effective Sunday, December 7 (for trade date Monday, December 8), 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.

       

      Korea Exchange (KRX) Listing Cycle Expansion for KOSPI 200 Futures
      Product FIX/FAST and iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 FIX/FAST and iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      KOSPI 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.

       

       

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      Minimum Tick Increment Changes to Henry Hub Gas Futures

      Effective Sunday, December 21 (trade date Monday, December 22), pending regulatory review periods, the minimum tick increment for the following Henry Hub futures will be change from .0001 to .001. With this change, tag 9787-DisplayFactor will be modified as follows:

       

      Minimum Tick Increment Changes to Henry Hub Gas Futures
      Product FIX/FAST and iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 FIX/FAST and iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current tag 9787-DisplayFactor New tag 9787-DisplayFactor
      Henry Hub Natural Penultimate Financial Futures NPG NG 0.0001 0.001
      Natural Gas (Henry Hub) Penultimate Financial Futures HP NG 0.0001 0.001

       

      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, December 19. After 16:00 CT on Friday, December 19, 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 in New Release for customer testing.

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

       

       

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      S&P Dow Jones Indices Calculation Frequency Increase

      Effective Thursday, January 1, 2015, S&P Dow Jones Indices will increase the calculation frequency for several indices on MDP channels 150 and 151.

      The frequency rate is sent in the Security Definition (tag 35=d) message where:

      • tag 871-InstAttribType = 122
      • tag 872-InstAttribValue = Publishing Frequency (in seconds)

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

       

       

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      Events and Announcements

      Messaging Efficiency Program Changes for CBOT Interest Rate Futures

      Effective Sunday, November 9 (for trade date Monday, November 10), as a result of the values change in the FIX tags for CBOT interest rate futures and spreads, CBOT 2-Year, 5-Year, 10-Year and 30-Year Treasury futures message to volume ratios will be calculated separately. Please refer to the CME Group Globex Messaging Efficiency Program Benchmarks for the applicable ratios.

      In order to ensure that this change has been accurately processed by the CME Group Messaging Accounting System (MAS), CME Group will re-run all applicable potential surcharges for executing firms at the end of November 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.

       

       

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      CME Globex GCC Outbound Contact Mandatory Registration

      Earlier this year, CME Group requested executing firms supply the CME Global Command Center (GCC) with Outbound Contacts in an effort to more efficiently resolve error trade and related technical issues. Beginning Monday, November 3, CME Group will no longer process iLink session requests for any executing firm that has not supplied the GCC with its Outbound Contact information.

      GCC Outbound Contacts are defined as follows:

       

      CME Globex GCC Outbound Contact Description
      Role Description
      GCC Outbound Error Trade Contact Person, phone number or email address (individual or vanity) which the GCC uses to contact/notify an executing firm regarding an error trade.
      GCC Outbound iLink Session Technical Contact Person, phone number, email address (individual or vanity) which the GCC uses to contact/notify an executing firm regarding technical issues such as improper sequence numbering or a runaway automated trading system (ATS).

       

      To register your firm’s Outbound Contact information with the GCC, please contact your Global Account Manager in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754, in Asia at +65 6593 5505.

      Additional information on outbound contact is available online.

       

       

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      New - GCC Inbound Contacts

      Effective Monday, November 17, the CME Global Command Center (GCC) will begin to support GCC Inbound Contacts based on the FirmSoft permissions authorized through the FirmSoft Admin tool for their SMART Click user ID. The GCC will continue to support existing GCC Inbound Contacts based on a previously submitted CME Globex Schedule 3&4 until Tuesday, March 31, 2015. After this date, only users with a SMART Click ID and permissioned FirmSoft rights will be considered GCC Inbound Contacts with the necessary permission(s) to status and/or cancel orders.

      As a reminder, a SMART Click ID is a unique user ID that allows access to CME Group applications. The SMART Click ID is retained by the user even when the user changes firms (clearing or trading). All users should only have 1 SMART Click ID. Additional SMART Click information is available online.

      Please note that as a result of this new model, Clearing Firm Administrators will no longer be required to submit a CME Globex Schedule 3&4 to register GCC Inbound Contacts. Instead, the Administrators will use the FirmSoft tool to enable permissions for GCC Inbound Contacts as necessary.

      In instances where a GCC Inbound Contact’s SMART Click ID is permissioned in FirmSoft, but the GCC Inbound Contact also has legacy permissions which were established by a CME Globex Schedule 3&4, the GCC will first refer to the SMART Click permissions in FirmSoft. GCC Inbound callers may have to ask the GCC to look at their old permissions established via a CME Globex Schedule 3&4 if they are not fully set up in FirmSoft.

      FirmSoft provides more granularity than the existing CME Globex Schedule 3&4, and includes Firm, Session ID, Account and Tag50 permissions. To help support this transition, the CME Globex Schedule 3&4 will no longer be utilized when adding new GCC Inbound contacts but still should be utilized when adding new primary or secondary Clearing Firm Administrators as well as new EOS Trader users.

      Reports are available in the Firm Administrator Dashboard for both GCC Inbound registered contacts and FirmSoft user permissions. Firm Administrators are strongly encouraged to review existing SMART Click contact information and FirmSoft permissions on a periodic basis to ensure accuracy.

      CME Direct, GALAX-C and EOS Trader users will continue to be supported as they are today.

      If you have any questions about the new GCC Inbound Contact process, please contact your Global Account Manager in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505.

       

       

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      New - CME Globex Port Closure Fee Change

      Effective Thursday, January 1, 2015, the CME Globex Port Closure fee will increase from $500 to $1,000.

      Additional information on the CME Globex Port Closure Policy is available online.

      If you have any questions, please contact the CME Global Command Center at in U.S. at 800-438-8616, in Europe at 0800 898 013 or in Asia at 65-6532-5010.

       

       

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      New - Automated iLink Port Closure

      Effective Sunday, January 11, CME Globex is introducing an Automated iLink Port Closure solution to protect CME Group markets and systems from potentially detrimental behavior. This solution is an enhancement to the CME Globex Port Closure Policy introduced in January 2012.

      With this enhancement, CME Globex will automatically logout and close both the primary and backup ports for any iLink session that exceeds 5 invalid Logon (tag 35=A) messages in 60 seconds. Logon messages may be invalid due to:

      • Incorrect sequence number
      • Invalid password
      • Invalid heartbeat interval
      • Malformed message
      • Required tag missing or sent with invalid value
      • Invalid SenderCompID (iLink tag 49)

      Automated iLink Port Closure can also be triggered by customers sending messages other than a Logon when the session has not been successfully logged in.

      When triggered, CME Globex will send a Logout message (tag 35=5) with tag 58-Text="(1000) CME Administered Port Closure Due to Invalid Number of Login Attempts Being Exceeded". Sessions with active-active fault tolerance will receive the Logout message on both the primary and backup instances. Sessions without fault tolerance will only receive the Logout on the primary instance, but both the primary and backup ports will be closed.

      Primary and secondary clearing firm members must contact the Global Command Center directly to have a port re-opened. The GCC can be reached at 800.438.8616 in the USA, 44.800.898.013 in Europe, and 65.6532.5010 in Asia.

      Automated iLink Port Closure will be available for customer testing in New Release on Monday, November 10. To facilitate customer testing, the parameters in New Release will be 10 invalid Logon (tag 35=A) messages in 60 seconds.

       

       

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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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