• CME Globex Notices: July 27, 2015

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Account Management
      • #
      • 20150727
      • Notice Date
      • 27 July 2015
      • Effective Date
      • 30 July 2015

    •  

      Topics in this issue include:

       

      Critical System Updates

      MexDer Risk Control Gateway Enhancements

      Effective Monday, August 10, MexDer (Mercado Mexicano de Derivados) will launch enhancements to the Risk Control Gateway (RCG). With these enhancements, additional risk filters will be made available for north-to-south order routing customers. The RCG allows Clearing Firm Risk Administrators to set credit limits for pre-trade risk management.

      The new risk filters are:

      • Credit Limit Controls on SWAPS for all classes Long
      • Credit Limit Controls on SWAPS for all classes Short
      • Position Limit Control Net on SWAPS for Long/Short Margin

      Orders that would exceed the credit and position limits are rejected with an Execution Report - Reject (tag 35-MsgType=8, tag 39-OrdStatus=8) message.

      The additional risk filters are currently available in New Release for customer testing.

      Please contact MexDer for more information on the RCG.

       

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      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.

      Trade Summary Message: Order Detail Level Processing

      Enhanced Trade Summary Order Detail Level Processing specifications are now available here. CME Group strongly encourages client systems to support the dissemination of Trade Summary Order Details. Leveraging the Order Detail information provides a more granular view into trade events, access to fill information (for customers that opt to include their iLink order ID in the MDP 3.0 messages), and supports Time and Sales and charting applications.

      Additional Information

      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.

       

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      BM&F Bovespa Market Data via MDP 3.0

      Effective Sunday, August 9 (trade date Monday, August 10), CME Group is introducing Market Data Platform (MDP) 3.0 for BM&F Bovespa (BVMF). The new protocol will be available on new production parallel channels.

      MDP 3.0 Channel FIX/FAST Channel Channel Label
      510 24 BVMF Futures
      511 25 BVMF Options

      BVMF MDP 3.0 will support:

      • CME Globex Market Data MDP 3.0 format
      • Spread legs repeating group
      • Recovery Mechanism Improvements

      The client impact assessment provides detailed functionality and messaging information.

      BVMF via MDP 3.0 is currently available in New Release for customer testing. Further information on the deployment plan and timing for all customer-facing environments will be published in upcoming CME Globex Notices.

      A new BVMF MDP 3.0 certification suite will be available in AutoCert+ on Sunday, August 9. Customer systems receiving MDP 3.0 market data for BVMF must complete this mandatory certification.

      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 - CME Globex Messaging Controls Enhancements

      Effective Sunday, August 16, the messaging controls will be enhanced to provide further protection to CME Globex customers.

      With this change, the following message types will be counted towards the messaging thresholds.

      • Administrative Messaging Thresholds
        • Unknown message type
        • Malformed Administrative and Application messages
        • Administrative and Application Messages with invalid sequence number
        • Administrative messages that fail session validation
      • Application Messaging Thresholds
        • SecDef Request messages (tag 35-MsgType=c)
        • Application messages that fail business validation

      More information on Messaging Controls and other Market Integrity solutions is available in the Client Systems Wiki.

       

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      Update - Drop Copy 4.0 Implementation

      † Denotes update to the article

      On Sunday, August 23 (trade date Monday, August 24), 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. † A customer mock session will be offered on Saturday, August 22:

      • Register for the Drop Copy 4.0 mock trading session
      • The mock trading session script is now available online

      † Drop Copy 4.0 convenience target sessions for the production environment will be available to certified customers starting Monday, August 17. Customers should contact their account managers to request the new sessions.

      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.

      † Drop Copy 4.0 Failover

      In the event of a Drop Copy 4.0 failover, upon logon to the new primary connection, customer systems will experience a significant increase in sequence numbers (tag 34-MsgSeqNum) on inbound messages from CME Globex to Client System. CME Group recommends that client systems request all missing messages. On Monday, August 3, the new Drop Copy 4.0 failover tests will be available in AutoCert+ for customer certification.

      New Release availability and customer testing windows will be announced in future CME Globex Notices.

      Additional Information

      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.

      The Drop Copy 4.0 source ranges on the CME Globex WAN extranet are now available online.

      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.

       

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      China Financial Futures Exchange Market Data Available via MDP 3.0

      In September 2015, CME Group will begin disseminating China Financial Futures Exchange (CFFEX) market data in MDP 3.0.

      The following CFFEX market data will be available via MDP 3.0:

      • CFFEX Exchange top of book (bid/offer)
      • Trade and Trade Volume
      • Threshold Limits
      • Statistics
        • Open Interest
        • Opening Price
        • High and Low Trade Price
        • Settlement Price
      • Security Definitions

      CFFEX market data will be available in the New Release for customer testing on Monday, August 3.

      Certification via AutoCert+ is required for customers to receive MDP 3.0 market data for the CFFEX. Further information on the AutoCert+ test suite timeline will be published in upcoming CME Globex Notice.

      Detailed information for CFFEX market data via MDP 3.0 is available online.

      The CFFEX is a futures exchange established in Shanghai with the approval of the State Council and the authorization of the China Securities Regulatory Commission (CSRC). CFFEX products include Index futures and Government Bond futures. These products are being made available to authorized and licensed customers of the CFFEX for dissemination through the CME Market Data Platform (MDP); however they are not available for trading on CME Globex.

       

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      AutoCert+ SMART Click Integration

      In September 2015, all AutoCert+ access will migrate to SMART Click. The migration has been designed to minimize customer impacts; users will associate their legacy entitlements to their SMART Click ID and connect via a new URL. Complete information on the migration will be published in upcoming CME Globex Notices.

      SMART Click is a self-managed, centralized user profile service that authenticates access to CME Group applications and services. Benefits of SMART Click include:

      • A single User ID and password to access CME Group services and applications;
      • One User ID to access multiple firms;
      • User-owned IDs, regardless of changes to employers or firm relationships;
      • † Secure access using 2-factor authentication;

      Users now also have the option of using SMART Click to access AutoCert+. Some additional steps are required for these users only:

      If you have questions, please contact Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803, or in Asia at +65 6593 5593.

       

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      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.

       

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      New iLink Failover Process

      Starting Sunday, August 30, CME Group will introduce a new iLink failover process to improve customers’ ability to recover from a CME Globex component failure. This new iLink Failover Process change will affect all iLink sessions.

      When the Market Segment Gateway (MSGW) 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: is not available at this time.

      In addition to the new reject message, a new Technical Pause will be introduced to ensure that all messages sent during the MSGW failover are acknowledged by CME Globex. During the MSGW failover, CME Globex will transition all product groups on that market segment into a Technical Pause and then Technical Pre-Open. The MDP Security Status (tag 35-MsgType=f) message is generated with tag 327-HaltReason=6 (Recovery in process) to notify the market of these states. After the market transitions to pre-open, order entry will be allowed as usual.

      The new iLink failover process is currently available for customer testing in New Release.

      Detailed information including these failover behavior changes and customer New Release testing window are now available online.

       

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      New iLink Architecture Pre-Launch

      Starting Sunday, August 30, CME Group will begin to implement the new Market Segment Gateways (MSGW) into the iLink architecture between the trading engines and the current iLink gateways (CGW). Customers will not be able to connect directly to the MSGWs until the Phase 2 launch in Q4. Customers may see a slight change in performance following each launch. CME Group will release the performance forecasts in future CME Globex notices.

      This MSGW pre-launch will include New iLink Failover Process.

      There will be a customer mock trading session to ensure customers have opportunities to interact with the system and experience the new failover in the CME Globex production environment. A mock trading for MSGW pre-launch will be offered Saturday, August 29. More details and an overview to the Mock Trading Sessions will be published in future Globex Notices.

      This MSGW pre-launch will be phased in as follows:

      MSGW Pre-Launch Schedule
      Tag1300-MarketSegmentID Market Segment Production Launch
      50 CME Eurodollar options August 30
      68 CME Equity futures excluding E-mini S&P August 30
      56 NYMEX and COMEX options September 13
      62 CME FX futures September 13
      64 CME E-mini S&P 500 futures September 13
      76 NYMEX and COMEX Metals and Alternative Market futures September 13
      54 CME Equity options September 20
      60 CBOT Commodity and Equity options September 20
      66 CBOT Equity futures September 20
      78 NYMEX Non-Crude Energy futures September 20
      52 NYMEX and COMEX Metals and Alternative Market futures October 4
      70 CME Commodity futures October 4
      72 CBOT Commodity futures October 4
      84 CBOT Treasury futures October 4
      58 CBOT Treasury options October 11
      74 Hosted Partner Exchange markets and NYMEX Emissions futures October 11
      80 NYMEX Crude Energy futures October 11
      82 CME Eurodollar futures October 11
      86 CME Europe futures October 11

       

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      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 as explained in the iLink Session ID Policy and Operational Guidelines.

      Please refer to the CME Globex Notices for more information about MSGW functionality and when the new policy for iLink session IDs 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.

       

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      New Functionality

      Postponed - User-Defined Instruments on CME Globex

      The launch of User-Defined Instruments (UDI) functionality on CME Globex scheduled for Sunday, August 9, has been postponed. A new launch date will be announced in future CME Globex Notices.

      CME Direct customers will be able to dynamically list outright option strikes. All CME Globex customers will receive market data on the UDI and be able to submit orders via iLink.

      For the initial launch, UDIs will be supported for options in the following markets:

      Market Segment MDP 3.0 Channel FIXFAST Channel Channel Label
      56 361 38 COMEX Globex Options
      56 383 35 NYMEX Globex Crude & Crude Refined Options
      56 385 37 NYMEX Globex Metals, Softs, & Alternative Market Options
      56 387 36 NYMEX Globex Nat Gas & other Non-Crude Energy Options

      These UDIs will be flagged in the FIX/FAST and MDP 3.0 Security Definition messages (tag 35-MsgType=d) with tag 9779-UserDefinedInstrument =Y.

      Please Note: There are no template changes required for FIX/FAST or MDP 3.0.

      Additional information regarding UDI functionality is available online.

      This change is currently available for testing in New Release.

       

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      User-Defined Spreads for Treasury Futures Tail Spreads

      Effective Sunday, August 16 (trade date Monday, August 17), CME Globex will launch Tail Calendar User-Defined Spreads (UDS) for CBOT Treasury futures. UDS allows traders to create the precise calendar spreads with tail percentages they wish to trade in real time. UDS for futures will be supported alongside exchange-defined futures spreads.

      The Treasury Tail UDS has a 1:1 calendar spread as leg 1 and a single future for leg 2. Leg 2 must be one of the 1:1 calendar spread's legs (i.e., if Leg 1 is ZFZ5-ZFH6, then Leg 2 must be either ZFZ5 or ZFH6). The side of the outright leg must match the 1:1 calendar spread; Leg 2 must be on the buy side if it is the same as the front month of the calendar and on the sell side if it's the deferred month. Leg 1's price and quantity will be based on the order entry values and leg 2's quantity will be calculated at the time of the match by multiplying the order quantity times the tail delta and applying the price associated with the contract as supplied by the customer when the strategy is created. The Tail spreads will utilize the Covereds repeating group to define leg 2's quantity at execution, as outlined below, and use the new Strategy Code tag 762=TL in MDP 3.0 messaging. All other messaging and functionality aligns with current CME Globex UDS.

      The TL spreads will expire at the close on the day of creation. Good till Cancel (GTC) and Good till Date (GTD) orders will be rejected.

      • Spread construct: Buy 1 ZFZ5-ZFH6, Buy 0.2 ZFZ5 at price 118.078125
        • Security Definition Request and Security Definition messages
          • 762=COMBO
          • Leg 1
            • 620=ZFZ5-ZFH6
          • Leg 2
            • 620=ZFZ5
            • 566=118.078125
            • 1017=0.2

      Please note: only TL spreads will be allowed in these products. Any Security Definition Requests with legs that do not meet the Tail Spreads definition will be rejected. Eligible products include instruments in the following tag 6937-Asset:

      • ZT
      • Z3
      • ZF
      • ZN
      • ZU
      • ZB

      Customers can also use CME Direct to create and trade these TL spreads at launch.

      The Tail UDS will be available in New Release for customer testing Monday, August 3. Technical certification is not required.

       

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      iLink Enhancement for Mass Order Status Functionality

      Effective Sunday, August 30 (trade date Monday, August 31), Mass Order Status functionality will be enhanced to support retrieving status on all working orders for a particular market segment (tag 1300-MarketSegmentID). Currently, Mass Order Status can be used at the instrument, group or platform level.

      A new value for Tag 585-MassStatusReqType=100 on the Order Mass Status Request (tag 35-MsgType=AF) message can be used to obtain statuses for all working orders on a particular market segment.

      With this launch, tag 1300-MarketSegmentID will also be added to the Order Mass Status Request (tag 35-MsgType=AF) message to specify the market segment for the products customers want to retrieve mass order status. Tag 1300 should be used in combination with tag 585=100.

      Message Changes for Order Mass Status Request (tag 35=AF)
      Tag FIX Name Req Valid Values Format Description
      585 MassStatusReqType Y 1=Instrument
      3=Instrument Group
      100=Market Segment (*New)
      7=All Orders      		 Int (3) Used to specify the scope of the Order Mass Status Request.
      1300 MarketSegmentID C -- Int Required when tag 585=100

      Details on the Mass Order Status functionality can be found online.

      The Mass Order Status functionality is now available for customer testing in New Release.

       

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      Product Launches

      Natural Gas User-Defined Spreads Enhancements

      Effective Sunday, August 16 (trade date Monday, August 17), CME Group is launching an enhancement to User-Defined Spreads (UDS) functionality to support the Henry Hub Natural Gas complex on CME Globex. With this launch, customers will be able to create and trade spreads between American- and European-style options.

      There will be no change to the messaging specifications or templates with this launch.

      To support this new functionality, effective Sunday, August 9, the European-style and Weekly European-style options will be moved to the new LG instrument group (MDP 3.0 tag 6937; iLink tag 1151).

      Natural Gas User-Defined Spreads Enhancements
      Expiration on Style iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Tag 762-SecuritySubType Tag 969-MinPriceIncrementAmount Tag 9787-DisplayFactor Notional Value
      American-style ON ON -- 1 0.001 10,000 MMBtu
      Weekly American-style ON1-ON5 ON -- 1 0.001 10,000 MMBtu
      European-style LNE  LG -- 10 0.0001 10,000 MMBtu
      Weekly European-style LN1-LN5  LG -- 10 0.0001 10,000 MMBtu
      User-Defined Spread First leg of the spread 1T GN
      CV      		 1 0.001 10,000 MMBtu

      The instrument group changes are currently available for testing in New Release.

       

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      Product Changes

      New - Delisting Renewable Identification Number Futures

      On Monday, July 27, the Renewable Identification Number (RIN) 2013 vintage futures were delisted for trading on CME Globex and for clearing submission on CME ClearPort. There is currently no open interest in these products.

      Renewable Identification Number Futures
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      D4 Biodiesel RINS (Argus) 2013 Futures D43 RI (R-eye)
      D5 Advanced Biofuel RINS (Argus) 2013 Futures D53 RI (R-eye)
      D6 Ethanol RINS (Argus) 2013 Futures D63 RI (R-eye)

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

       

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      New - Expanded Listing Cycle for Iron Ore China Futures

      Effective Sunday, August 16 (trade date Monday, August 17), the listing cycle will be expanded for Iron Ore 62% Fe, CFR China (TSI) futures on CME Globex and for clearing submission via CME ClearPort.

      Iron Ore China Futures
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Listing Cycle
      (Current)      		 Listing Cycle
      (New)
      Iron Ore 62% Fe, CFR China (TSI) Futures TIO ST Current year and the next 2 calendar years Current year and the next 3 calendar years

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

       

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      Events and Announcements

      New - Streamlined FIX/FAST – Bloomberg Dissemination of CMCI Indices

      Effective Sunday, August 2, Bloomberg will begin calculation and dissemination of the UBS Bloomberg CMCI (Constant Maturity Commodity Index) products via streamlined FIX/FAST on Channel 152. The UBS Bloomberg CMCI Indices are fee waived and will be sent with Sub-channel identifier=5.

      A list of the new products can be found online.

      The new instruments are currently available in New Release for customer testing.

       

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      CME Globex Test Product Launch

      Effective Sunday, August 9 (trade date Monday, August 10), to support the ability to test connectivity and messaging on CME Globex, a new test product will be listed in the production environment.

      Please note: For this test contract, CME Group is restricting throughput to 1 message per 30 seconds per iLink session.

      The test product will mimic the E-mini S&P MidCap 400 (EMD) futures contract. Only outright futures will be listed. Market data will be disseminated on MDP 3.0 channel 318 and FIX/FAST channel 15.

      CME Globex Test Product
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Test – E-mini S&P MidCap 400 Futures 0MD (zero-M-D) $M

      0MD will offer the following functionality:

      • Order routing only:
        • Trades will not be supported
      • Pre-open only:
        • Sunday
          • Pre-open at 16:00 Central Time (CT) (Instrument Security Status (35=f) with 326=21))
          • Close at 16:59 CT (Instrument Security Status (35=f) with 326=4))
        • Monday – Thursday
          • Pre-open at 16:45 CT (Instrument Security Status (35=f) with 326=21))
          • Close at 16:59 CT (Instrument Security Status (35=f) with 326=4))
      • iLink:
        • Order entry, modifies and cancels
        • Mass Order Status and Mass Cancel
      • Order Types and Qualifiers:
        • Day orders
        • Limit
      • Market Data Statistics:
        • Indicative Opening (Incremental Refresh (35=X) with 269=4))
        • A fixed, reasonable value will be published in the  Daily Settlement (Incremental Refresh (35=X) with 269=6))
          • Preliminary settlements will not be published
      • Messaging Controls will be applicable:
      • GC2:
        • 0MD will have a $1 margin rate
      • Drop Copy

      Please contact your Global Account Manager with any feedback or requests for additional functionality 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.

      0MD and $M value in FIX/FAST and iLink: tag 55-Symbol/MDP 3.0 tag 1151 - Security Group is currently available for customer testing in New Release.

       

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      EOS Trader Decommission

      CME EOS Trader will be retired October 30, 2015. Customers must migrate to another solution to ensure seamless access to electronically traded CME Group futures and options.

      CME Group is committed to providing support and ensuring a smooth transition. Information on certified trading applications is available online, including CME Direct.

      Please note, due to the upcoming decommission, EOS Trader will not be available to new users.

       

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      New - Order Routing and Front-End Audit Trail Requirements

      As previously announced in the Market Regulation Advisory Notice RA1509-5, all firms must comply with the new Order Routing and Front-End Audit Trail Requirements (Rule 536.B.) by April 1, 2016.  All new, and currently certified, iLink order routing applications must certify or recertify their trading systems to ensure full compliance with the new audit trail requirements.

      Detailed information on the new specification is available in the Client Systems Wiki.

      Important changes to the Order Routing and Front-End Audit Trail Requirements:

      • Market Regulation will now require the Audit Trail for certifications and annual exams to be submitted in CSV or Excel file format with specific column order as outlined in the Minimum Acceptable Audit Trail Elements.
      • The new specifications of the audit trail file provides details for each column on data requirements for tier 1 and tier 2 components
      • Clarification of how to represent market maker functionality at the quote entry level as well as how to properly represent Request for Cross (RFC) and Request for Quote (RFQ)s.
      • Additional iLink messages are now in scope of the audit trail:
        • Session Level Reject (tag 35-MsgType=3)
        • Business Level Reject (tag 35-MsgType=j)
        • Order Mass Action Request (tag 35-MsgType=CA)
        • Order Mass Action Report (tag 35-MsgType=BZ)
      • For improved representation of the information exchanged between trading systems and CME Globex, 17 data points have been added and 16 data points have been removed from the audit trail specifications.
      • The new 2016 specifications simplify data capture by removing requirements to capture data from other interfaces than iLink, including market data and post-trade system interfaces.

      CME Group recommends all applications certifying for Market Segment Gateway (MSGW) certify for the new audit trail requirements simultaneously.

      Please forward any questions regarding the new Order Routing and Front-End Audit Trail Requirements to: audittrail@cmegroup.com.

       

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