• CME Globex Notices: April 27, 2015

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Account Management
      • #
      • 20150427
      • Notice Date
      • 27 April 2015
      • Effective Date
      • 27 April 2015
    •  

      Topics in this issue include:

       

      Critical System Updates

      CME Globex Performance Enhancements

      Starting this Sunday, May 3, CME Group will implement an enhancement to futures and options markets on the CME Globex platform. In internal testing, these enhancements reduced latency on CME Globex 5% for futures markets and 10% for options on futures.

      There will be no changes to functionality or messaging format with these performance improvements. Good 'Till Cancelled and Good 'Till Date (GTC/GTD) orders will not be impacted.

      CME Globex Performance Enhancements
      Tag1300-MarketSegmentID Market Segment Production launch
      50 CME Eurodollar options May 3
      68 CME Equity futures excluding E-mini S&P
      76 NYMEX and COMEX Metals and Alternative Market futures
      56 NYMEX and COMEX options May 10
      60 CBOT Commodity and Equity options
      62 CME FX futures
      66 CBOT Equity futures
      78 NYMEX Non-Crude Energy futures
      52 CME FX options May 17
      54 CME Equity options
      58 CBOT Treasury options
      64 CME E-mini S&P 500 futures
      70 CME Commodity futures
      72 CBOT Commodity futures
      74 Hosted Partner Exchange markets and NYMEX Emissions futures May 31
      80 NYMEX Crude Energy futures
      82 CME Eurodollar futures
      84 CBOT Treasury futures
      86 CME Europe futures

       

      Back to Top

       

      MDP 3.0 Migration Schedule

      On Sunday, December 7, 2014, CME Group completed the launch of 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.

      Currently, both FIX/FAST and MDP 3.0 are considered to be "Feeds of Record." In case of market data failures, markets may be halted for either FIX/FAST or MDP 3.0 issues. CME Group will review each event individually to determine the best response.

      In September 2015, MDP 3.0 will become the sole "Feed of Record" and markets will be halted for MDP 3.0 issues only. After this date, markets will not be halted for only FIX/FAST issues.

      CME Group recommends all customers certify for and migrate to MDP 3.0 by September 2015 as the legacy FIX FAST feed will be eliminated in October 2015.

      Important Dates
      MDP 3.0 Sole Feed of Record – All Channels September 2015
      All FIX/FAST Channels Decommissioned October 2015

      Please Note: There will be no surcharges assessed to customers due to the extended decommission window.

      The schedule for implementation of the MDP 3.0 format for the Order Routing Partner Exchanges, BM&FBOVESPA and MexDer (Mercado Mexicano de Derivados) is as follows:

      Environment BVMF MexDer
      New Release July 2015 August 2015
      AutoCert+ Test Suite Available August 2015 September 2015
      Production Parallel August 2015 September 2015

      Please Note: AutoCert+ Certification of the MDP 3.0 and Order Routing Partner Exchange (BVMF and MexDer) Test Suites are mandatory prior to receiving Market Data for each Order Routing Partner Exchange.

      TAS Pre-Validation

      Currently, 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. As of the MDP 3.0 Feed of Record date, only the publishing of the MDP 3.0 Pre-Open state message will be valid for the start of the TAS market and TAS orders can be entered. The CME Group Market Regulation rules for TAS Transactions can be found here.

      Customer systems receiving market data via CME Globex must complete mandatory certification via AutoCert+. The functional and message specifications provide detailed information.

      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.

       

      Back to Top

       

      Drop Copy 4.0 Implementation

      In Q3 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.

      The new Drop Copy 4.0 implementation 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)
      • Sequencing by market segment (see: New iLink Architecture client impact assessment)
      • Robust fault tolerance

      An updated version of the client impact assessment is now available. The updates include additional details regarding functionality and messaging in the Drop Copy 4.0 Overview section.

      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 for Drop Copy 4.0 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 your 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.

      Drop Copy 4.0 is available in New Release for customer testing. A new Drop Copy 4.0 certification suite is available in AutoCert+. Customer systems leveraging the Drop Copy service must complete this mandatory certification.

      For more information, a Frequently Asked Questions (FAQ) guide is now available.

      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.

       

      Back to Top

       

      New iLink Architecture

      In Q4 2015, CME Group will launch Phase 2 of the new iLink Architecture, which will implement Market Segment Gateways throughout the iLink infrastructure, to provide:

      • FIFO ordered message handling per market segment, and
      • 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 and introduce 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 is available in New Release for customer testing. A new MSGW certification suite will be available in AutoCert+ in Summer 2015. More specific information about the MSGW certification suite and production launch schedules will be published in the CME Globex Notices. Customer systems who want to connect directly to the MSGW must complete this mandatory certification.

      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.

       

      Back to Top

       

      New iLink Failover Process

      In Q3 2015, 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 currently available for customer testing in New Release.

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

       

      Back to Top

       

      iLink Session ID Policy and Operational Guidelines

      As a result of the upcoming iLink Architecture with Market Segment Gateways, CME Group plans to introduce a new policy for the distribution and management of iLink session IDs.

      The iLink Session ID Policy and Operational Guidelines document has been updated to include additional information pertaining to the iLink session ID Phase 1 and Phase 2 distribution.

      Market participants should refer to the CME Globex Notices as to when the MSGW functionality and iLink session ID distribution and management policy will take effect.

      To ease and ensure a successful migration to the revised iLink Session Policy, clearing and executing firms are encouraged to contact their Global Account Manager with any questions.

       

      Back to Top

       

      Product Launches

      Treasury Bond vs. Ultra Treasury Bond Futures Implied Intercommodity Spread

      Effective Sunday, May 17 (for trade date Monday, May 18), a new Treasury Bond vs. Ultra Treasury Bond futures implied intercommodity spread will be listed on CME Globex with a 1:1 ratio. The current Treasury Bond vs. Ultra Treasury Bond futures implied intercommodity spread with a 6:5 ratio and FIX/FAST and iLink: tag 107-SecurityDesc/MDP 3.0 tag 55-Symbol=BOB 06-05 M5 will continue to be available.

      New Implied Intercommodity Spread for Treasury Bond vs. Ultra Treasury Bond 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
      FIX/FAST and iLink: tag 107-SecurityDesc
      MDP 3.0 tag 55-Symbol
      Treasury Bond vs. Ultra Treasury Bond Futures Implied Intercommodity Spread BUB IV BUB 01-01 M5

      The new implied intercommodity spread will be available in New Release for customer testing on Monday, May 4.

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

       

      Back to Top

       

      Update - CME Europe Fertiliser Futures

      In Q2 2015, pending regulatory product approval, CME Europe will list the following Fertiliser futures for trading on CME Globex and clearing submission via CME ClearPort.

      CME Europe Fertiliser 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
      Urea (Granular) FOB US Gulf Futures FNE FE
      UAN FOB NOLA Futures FUE FE
      DAP FOB NOLA Futures FLE FE
      DAP FOB Tampa Futures FTA FE
      Urea (Granular) FOB Egypt Futures FEY FE
      Urea (Prilled Bulk) FOB Yuzhny Future FKE FE
      Urea (Granular) FOB Middle East Futures FME FE
      Urea (Prilled) FOB China Futures FCE FE

      These products will be available for customer testing in New Release on Monday, May 18.

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

       

      Back to Top

       

      Product Changes

      Listing Cycle Change for Refined Petroleum Products

      Effective this Sunday, May 3 (trade date Monday, May 4), the listing cycle for the following refined petroleum futures will be expanded to the current year and the next two years on CME Globex, open outcry and submission for clearing via CME ClearPort. Currently, the listing cycle is the current year and the next year.

      Listing Cycle Change for Refined Petroleum Products
      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
      Mini ULSD 10ppm Cargoes CIF NWE (Platts) vs. Low Sulphur Gasoil Futures MGN CP
      ULSD 10ppm Cargoes CIF NWE (Platts) vs. Low Sulphur Gasoil Futures ATP RF

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

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

       

      Back to Top

       

      Energy Future Spreads

      Effective this Sunday, May 3 (trade date Monday, May 4), the following energy futures will have calendar spreads, future strips and balance strips listed for trading on CME Globex.

      Energy Future Spreads
      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
      tag 762-SecuritySubType
      WTI Financial Futures CSX PT SP (Calendar)
      FS (Future Strips)
      SB (Balance Strip)
      Brent Financial Futures CY PT SP (Calendar)
      FS (Future Strips)
      SB (Balance Strip)

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

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

       

      Back to Top

       

      New - Changes to Circuit Breaker Monitoring Period for Certain CBOT Interest Rate, CME FX, and NYMEX/COMEX Metals Futures and Options

      Effective Sunday, May 10 (trade date Monday, May 11), the circuit breaker monitoring period will be reduced for certain CBOT Interest Rates, CME FX, and NYMEX/COMEX Metals futures and options, pending regulatory review periods. For additional details, please refer to Special Executive Reports (SERs) for each asset class:

      FIX/FAST

      Customers are strongly encouraged to utilize the FIX/FAST Security Status (tag 35-MsgType=f) messages to obtain the daily price limits (tag 332-HighPx; tag 333-LowPx) and avoid the rejection of orders that breach price limit thresholds.

      Customers may also obtain the daily price limits from the Security Definition (tag 35-MsgType=d, tag 1149-HighLimitPrice and 1148-LowLimitPrice) messages on the instrument replay feed.

      MDP 3.0

      Customers may obtain daily price limits (tag 1149-HighLimitPrice and 1150-LowLimitPrice), from any of the following messages:

      • Market Data Incremental Refresh (tag 35-MsgType=X)
      • Security Definition (tag 35-MsgType=d)
      • Market Data Snapshot Full Refresh (tag 35-MsgType=W) in the Market Recovery Feed

      If you have any questions, please contact the CME Global Command Center in U.S. at +1 800 438 8616, in Europe at +44 800 898 013 or in Asia at +65 6532 5010.

       

      Back to Top

       

      Update - FIX tag Changes for FX Futures and Options

      Denotes update to the article

      Effective Sunday, May 10 (trade date Monday, May 11), the values in the following FIX tags will be changed for FX futures:

      • tag 55-Symbol for FIX/FAST, and
      • tag 1151-SecurityGroup for MDP 3.0
      FIX tag Changes for FX Futures
      Product Product Code
      FIX/FAST and iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      Current State
      FIX/FAST and iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      New State
      FIX/FAST and iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      AUD/CAD futures & calendar spreads ACD 6A F2
      AUD/JPY futures & calendar spreads AJY 6A F3
      AUD/NZD futures & calendar spreads ANE 6A F4
      GBP/JPY futures & calendar spreads PJY 6B F5
      GBP/CHF futures & calendar spreads PSF 6B F6
      CAD/JPY futures & calendar spreads CJY 6C F7
      EUR/TRY futures & calendar spreads TRE 6E FL
      EUR/AUD futures & calendar spreads EAD 6E FK
      EUR/CAD futures & calendar spreads ECD 6E FG
      EUR/NOK futures & calendar spreads ENK 6E FM
      EUR/SEK futures & calendar spreads ESK 6E FS
      EUR/CHF futures & calendar spreads RF 6E FF
      EUR/CHF (American) Cross Rate options RF 6E 8C
      8D (UDS)
      EUR/GBP futures & calendar spreads RP 6E FB
      EUR/GBP (American) Cross Rate options RP 6E 8E
      8F (UDS)
      EUR/JPY futures & calendar spreads RY 6E FJ
      EUR/JPY (American) Cross Rate options RY 6E 8H
      8J (UDS)
      CHF/JPY futures & calendar spreads SJY 6S FY
      CZK/EUR futures & calendar spreads ECK CZ FQ
      CZK/EUR (American) Cross Rate options ECZ CZ 8A
      8B (UDS)
      HUF/USD futures & calendar spreads HUF NU FH
      HUF/USD options HFO NU 8K
      8L (UDS)
      PLN/EUR futures & calendar spreads EPZ PN FP
      PLN/EUR (American) Cross Rate options EPL PN 8M
      8N (UDS)
      RMB/USD futures & calendar spreads RMB RM F8
      USD/RMB Futures CNY RM F8
      Daily E-micro USD/RMB Futures MNY RM F8
      RMB/USD options RMB RM 0R
      0P (UDS)
      RMB/USD Weekly options RB1-RB5 RM 0R
      0P (UDS)
      RMB/EUR futures & calendar spreads RME RM F9
      RMB/EUR (American) Cross Rate options RME RM 8O
      8P (UDS)
      RMB/EUR (American) Cross Rate Weekly options RE1-RE5 RM 8O
      8P (UDS)

      These futures will be available for customer testing in New Release on Monday, April 27.

       

      Back to Top

       

      New - Dairy Futures Strips Change

      To better meet market needs, dairy futures strips on CME Globex will be traded at the average of the leg prices; currently, dairy futures strips are traded at the sum of the leg prices.

      To facilitate this new trading convention, effective Sunday, May 10 (trade date Monday, May 11), the following dairy strips will be delisted from CME Globex:

      Dairy Futures Strips Change
      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
      tag 762-SecuritySubType
      Cash-Settled Butter Futures CB CB FS (Future Strips)
      Non-Fat Dry Milk Futures GNF DC FS (Future Strips)
      Class III Milk Futures DC DC FS (Future Strips)
      Class IV Milk Futures GDK DC FS (Future Strips)
      Cash-Settled Cheese Futures CSC DY FS (Future Strips)
      Dry Whey Futures DY DY FS (Future Strips)

      These strips will be delisted in New Release for customer testing Monday, May 4.

      Effective Sunday, May 17 (trade date Monday, May 18), the following dairy average price strips spreads will be listed for trading on CME Globex for all possible leg combinations up to 18 legs:

      Futures Strip Spreads for Dairy 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
      tag 762-SecuritySubType
      Cash-Settled Butter Futures CB CB SA (Average Price Strip)
      Non-Fat Dry Milk Futures GNF DC SA (Average Price Strip)
      Class III Milk Futures DC DC SA (Average Price Strip)
      Class IV Milk Futures GDK DC SA (Average Price Strip)
      Cash-Settled Cheese Futures CSC DY SA (Average Price Strip)
      Dry Whey Futures DY DY SA (Average Price Strip)

      These changes will be available in New Release for customer testing on Monday, May 11.

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

       

      Back to Top

       

      New - Modified Non-Reviewable Range for 30-Day Federal Fund Futures

      Effective Sunday, May 17 (trade date Monday, May 18), the non-reviewable range for 30-Day Federal Funds futures will be modified for the first 12 maturities. The non-reviewable range for maturities 13-36, will remain at 5.0 basis points.

      Modified Non-Reviewable Range for 30-Day Federal Fund 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
      Non-Reviewable Range
      (Current)
      Non-Reviewable Range
      (New)
      30-Day Fed Funds Futures ZQ ZQ 5.0 basis points 2.5 basis points

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

      These changes will be available for customer testing in New Release on Monday, May 4.

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

       

      Back to Top

       

      New - Monthly-to-Daily Conversion for Power Futures

      Effective Sunday, May 17 (trade date Monday, May 18), the last trade date (LTD) rules for the following monthly electricity futures will be modified. With this change, positions in the monthly contracts will terminate trading prior to the start of the contract month and positions in the monthly contracts will automatically convert into a strip of corresponding daily contracts. Currently, the last day of trading for these monthly cash-settled contracts is the last business day of the contract month.

      Monthly-to-Daily Conversion for Power Futures
      Monthly Futures 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 Last Trade Date Daily Futures 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
      PJM AEP Dayton Hub Day-Ahead LMP Peak Calendar-Month 5 MW  Futures D7L PW Second to last business day of the month preceding the contract month PJM AEP Dayton Hub Day-Ahead Peak Calendar-Day 5 MW Futures PAL PW
      PJM AEP Dayton Hub Day-Ahead Off-Peak Calendar-Month 5 MW Futures R7L PW Second to last business day of the month preceding the contract month PJM AEP Dayton Hub Day-Ahead Off-Peak Calendar-Day 5 MW Futures PEL PW
      MISO Indiana Hub (formerly Cinergy Hub) Day-Ahead Peak Calendar-Month 5 MW Futures H5L PW Second to last business day of the month preceding the contract month MISO Indiana Hub Day-Ahead Peak Calendar-Day 5 MW Futures PDL PW
      MISO Indiana Hub (formerly Cinergy Hub) Day-Ahead Off-Peak Calendar-Month 5 MW Futures K2L PW Second to last business day of the month preceding the contract month MISO Indiana Hub Day-Ahead Off-Peak Calendar-Day 5 MW Futures FAL PW
      MISO Indiana Hub (formerly Cinergy Hub) 5 MW Peak Calendar-Month Real-Time Futures AH3 ZZ Last business day of the month preceding the contract month MISO Indiana Hub Real-Time Peak Calendar-Day 5 MW Futures PTL PW
      MISO Indiana Hub (formerly Cinergy Hub) Real-Time Off-Peak Calendar-Month 5 MW Futures EJL PW Last business day of the month preceding the contract month MISO Indiana Hub Real-Time Off-Peak Calendar-Day 5 MW Futures FTL PW
      Ontario Peak Calendar-Month Futures OMM ZZ Last business day of the month preceding the contract month Ontario Peak Calendar-Day Futures OPO ZZ
      Ontario Off-Peak Calendar-Month Futures OFF ZZ Last business day of the month preceding the contract month Ontario Off-Peak Calendar-Day Futures OOD ZZ

      This change will be available in New Release for customer testing on Monday, May 4.

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

       

      Back to Top

       

      New - Second TAS Month on Copper Futures

      Effective Sunday, May 17 (trade date Monday, May 18), the listing cycle for Copper TAS will expand to list a second active maturity on CME Globex. Currently, there is only one active maturity listed.

      Second TAS Month on Copper 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
      Copper TAS Futures HGT HT

      This change will available in New Release for customer testing on Monday, May 4.

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

       

       

      Back to Top

       

      New - Additional Eurodollar Calendar Spreads

      Effective Sunday, May 17 (trade date Monday, May 18), additional Eurodollar calendar spreads will be listed on CME Globex as follows:

      • 33 seventh-quarter calendar spreads
      • 32 eighth-quarter calendar spreads
      • 31 ninth-quarter calendar spreads
      Additional Eurodollar Calendar Spreads
      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
      tag 762-SecuritySubType
      Eurodollar  Futures GE GE SP (Standard Calendar Spread)

      This change will be available in New Release for customer testing on Monday, May 4.

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

       

       

      Back to Top

       

      New - FIX tag Changes for CME Europe Cocoa Financial Futures

      Effective Sunday, May 31 (trade date Monday, June 1), the values in the following FIX tags will be changed for Cocoa Financial futures:

      • tag 55-Symbol for FIX/FAST, and
      • tag 1151-SecurityGroup for MDP 3.0
      FIX tag Changes for Cocoa Financial 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)
      FIX/FAST and iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      (New)
      Cocoa Financial Futures CCC JX EC

      This change will be available in New Release for customer testing on Monday, May 18.

       

      Back to Top

       

      New - Treasury Ratio Calendar Spreads

      Effective Sunday, May 17 (trade date Monday, May 18 ), to facilitate more precise trading during the roll periods, the following treasury ratio calendar spreads will be listed for trading on CME Globex.

      Treasury Ratio Calendar Spreads
      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
      Tag 762-SecuritySubType Tag 623-LeqRatioQty
      Ultra U.S. Treasury Bond Reduced-Tick Ratio Calendar Spread UBX ZU RT Front Leg:98
      Back Leg: 99
      30-Year Treasury Bond Reduced-Tick Ratio Calendar Spread ZBX ZB RT Front Leg:98
      Back Leg: 99
      10-Year Treasury Note Reduced-Tick Ratio Calendar Spread ZNX ZN RT Front Leg:99
      Back Leg: 98
      5-Year Treasury Note Calendar Spread ZFX ZF SP Front Leg:99
      Back Leg: 98
      2-Year Treasury Note Ratio Calendar Spread ZTX ZT SP Front Leg:98
      Back Leg: 99

      These spreads will not be implied nor SLEDS eligible.

      These ratio spreads will be listed alongside the current 1:1 SP and RT calendar spreads but with a unique product code. Customers must leverage tag 623-LegRatioQty to determine the leg multiplier.

      These ratio calendar spreads will be available in New Release for customer for testing on Monday, May 4.

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

       

      Back to Top

       

      New - Minimum Tick Increment Change to Japanese Yen/U.S. Dollar (JPY/USD) Futures

      Effective Sunday, June 21 (trade date Monday, June 22), and pending all relevant CFTC regulatory review periods, the Chicago Mercantile Exchange Inc. (CME or Exchange) will reduce the minimum tick increment of the Japanese Yen/U.S. Dollar (JPY/USD) futures contract from $0.000001 to $0.0000005. With this change, tag 969-MinPriceIncrement will be modified as follows:

      Minimum Tick Increment Change to Japanese Yen/U.S. Dollar (JPY/USD) 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
      tag 969-MinPriceIncrement
      (Current)
      tag 969-MinPriceIncrement
      (New)
      tag 9787-DisplayFactor
      Japanese Yen/U.S. Dollar (JPY/USD) futures 6J 6J 1 .5 0.000001

      To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for the impacted futures contract after their close on Friday, June 19. After 16:00 CT on Friday, June 19, all remaining GTC and GTD orders for these futures will be cancelled by the CME Global Command Center (GCC).

      These changes will be available in New Release for customer testing on Monday, May 18.

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

       

      Back to Top

       

      Events and Announcements

      iLink Session ID Policy and Operational Guidelines

      As a result of the upcoming iLink Architecture with Market Segment Gateways, CME Group plans to introduce a new policy for the distribution and management of iLink session IDs.

      The iLink Session ID Policy and Operational Guidelines document has been updated to include additional information pertaining to the iLink session ID Phase 1 and Phase 2 distribution.

      Market participants should refer to the CME Globex Notices as to when the MSGW functionality and iLink session ID distribution and management policy will take effect.

      To ease and ensure a successful migration to the revised iLink Session Policy, clearing and executing firms are encouraged to contact their Global Account Manager with any questions.

       

      Back to Top