• CME Globex Notice: August 24, 2015

      • To
      • CME Globex and Market Data Customers
      • #
      • 20150824
      • Notice Date
      • 24 August 2015

    •  

      Topics in this issue include:

       

      Critical System Updates

      MDP 3.0 Migration Schedule

      On Sunday, September 27, 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 for issues affecting FIX/FAST only. CME Group recommends all customers certify for and migrate to MDP 3.0 by Friday, September 25. The legacy FIX/FAST feed will be decommissioned after the close on Friday, October 30, 2015.


      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.

      Important Dates
      MDP 3.0 Sole Feed of Record – All Channels Sunday, September 27
      All FIX/FAST Channels Decommissioned Friday, October 30

      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 Available Now †September 2
      AutoCert+ Test Suite Available Available Now September 14
      Production Parallel August 23 September 14

      Please Note: AutoCert+ certification of the MDP 3.0 and MDP 3.0 Partner Exchange Supplemental Certification Test Suites are mandatory prior to subscribing to production 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. †Starting September 27, 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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      Postponed:BM&F Bovespa Market Data via MDP 3.0

      † Denotes update to the article

      †The launch of BM&F Bovespa Market Data via MDP 3.0 scheduled for Sunday, August 23 has been postponed. A new launch date will be announced in future CME Globex Notices.

      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 MDP 3.0 Partner Exchange Supplemental certification suite will be available in AutoCert+ on Sunday, August 16. 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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      MexDer Market Data via MDP 3.0

      Effective Monday, September 14, CME Group is introducing Market Data Platform (MDP) 3.0 for MexDer (Mercado Mexicano de Derivados). The new protocol will be available on new production parallel channels.

      MexDer MDP 3.0 will support:

      • CME Globex Market Data MDP 3.0 format
      • Event-driven market price and trade information
      • Enhanced market state dissemination
      • Increased timestamp granularity
      • Opt-In functionality for Order identifier on both market data and order entry messages

      The client impact assessment provides detailed functionality and messaging information.

      MexDer via MDP 3.0 will be available in New Release for customer testing on Wednesday, September 2. Further information on the deployment plan and timing for all customer-facing environments will be published in upcoming CME Globex Notices.

      A new MexDer MDP 3.0 certification suite will be available in AutoCert+ on Monday, September 14. Customer systems receiving MDP 3.0 market data for MexDer must complete this mandatory certification.

      Please contact your Global Account Manager with any questions or concerns at +1 312 634 8700, in Europe at + 44 20 33793754 or in Asia at +65 6593 5505 for additional information.

       

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      Market Data Dissemination of Intraday Settlement Prices

      Effective this Monday, August 31, 2015, CME Group will begin disseminating Intraday Settlement Prices on the last trading day of the calendar month for some equity index contracts. These settlement prices will be disseminated while the trading session is still active. They will represent a snapshot valuation of the settlement price at the time that they are published.

      Tag 731-SettlPriceType will include bit 3 = “1” to indicate an Intraday Settlement Price. The MDP 3.0 Market Data Incremental Refresh message including the tag 731-SettlPriceType field is documented here.

       

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      China Financial Futures Exchange Market Data Available via MDP 3.0

      Effective Monday, September 14, 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 is available in New Release for customer testing.

      Certification via AutoCert+ is required for customers to receive MDP 3.0 market data for the CFFEX. A new MDP 3.0 Partner Exchange Supplemental certification suite is currently available in AutoCert+.

      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.

      The Frequently Asked Questions (FAQ) and Onboarding Reference Guide are available online.

       

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      Velocity Logic

      Starting Sunday, September 27 (trade date Monday, September 28), CME Group will introduce enhancements to the Velocity Logic functionality. Velocity Logic is designed to deter extreme market moves by detecting market movements of a predefined number of points within a predefined time period and reserve the market(s) when triggered. Velocity Logic is only triggered by movement in CME Globex futures and future spreads markets for which the functionality is enabled.

      With this enhancement, in the event that a Fill and Kill, Minimum Quantity or Market Order were to trigger Velocity Logic, the following actions would occur. The order would be acknowledged, then CME Globex would cancel (tag 35-MsgType=8, tag 39-OrdStatus=4) the order in the case of a Market order or eliminate the order (tag 35-MsgType=8, tag 39-OrdStatus=C) in the case of Fill and Kill, and Minimum Quantity orders. The market will remain open.

      More information on Velocity Logic is available online.

      These changes will be available in New Release for customer testing on Sunday, August 23.

      The Velocity Logic values in Production and New Release are:

      • predefined point value: two times the greater of either the non-reviewable range or the price banding range
      • predefined time value: one second

      The non-reviewable range and price banding for every CME Globex product is defined in the CME Globex Product Reference in the Client Systems Wiki.

      If you have any questions, please contact the CME Global Command Center (GCC) in the U.S. at +1 312 456 2391, in Europe at +44 20 7623 4708 or in Asia at +65 6223 1357.

      The Velocity Logic functionality will be implemented as follows:

      MSGW Pre-Launch Schedule
      Tag1300-MarketSegmentID Market Segment Production Launch
      76 NYMEX and COMEX Metals and Alternative Market futures September 27
      -- All other markets October 4

       

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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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      Minimum Quantity Changes for NYMEX and COMEX Covered Options

      Effective Sunday, September 20 (trade date Monday, September 21), CME Group will make changes to the minimum quantity value in the Security Definition (tag 35-MsgType=d) message on the NYMEX and COMEX options market.

      Tag1300-MarketSegmentID Market Segment
      56

      NYMEX Energy and COMEX Options

      CME Globex will reject orders and mass quotes with quantities violating the minimum quantity value in tag 526-MinTradeVol for NYMEX and COMEX options strategies. There are no changes to the current functionality.

      The following new error codes have been introduced with these changes.

      Error Code Tag 58-Text
      Sent in response to New Order (tag 35-MsgType=D)and 
      Cancel Replace (tag 35-MsgType=G) messages in tag 103-OrdRejReason of the Execution Report (tag 35-MsgType=8)      		 Text explanation of error code
      2115 Order quantity is outside of the allowable range'Quantity: <Requested Quantity> Max: <Maximum configured for contract> Min: <Minimum configured for contract>’
      7613 Disclosed quantity cannot be smaller than the minimum quantity 'Disclosed: <Requested Quantity> Min: <Minimum configured for contract>’

      For Mass quote or quote request messages with an invalid quantity, tag 368- QuoteEntryRejectReasonof the Quote Acknowledgment (tag 35-MsgType=b) message will reflect a new reject code.


      Rejection Code Description
      100 Quote entry quantity is outside of the allowable range
      101 Quote entry quantity is outside of the allowable max & min qty range for contract and resting quote cancelled

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

      The UDS: Covereds changes enhancement will be available in New Release for customer testing on Monday, August 31.

      If you have any questions, please contact the CME Global Command Center in the U.S. at +1 800 438 8616, in Europe at 0800 898 013 or in Asia at +65 6532 5010.

       

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      New iLink Architecture

      † Denotes update to the article

      Starting Sunday, November 1, CME Group will launch Phase 2 of the new iLink Architecture, which will implement Market Segment Gateways (MSGWs) throughout the iLink infrastructure, to provide:

      • FIFO ordered message handling per market segment, and
      • Elimination of variability associated with multiple sessions across multiple gateways.

      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.

      Prior to the Phase 2 launch, CME Group will begin MSGW Phase 2 Pre-launch to implement the new MSGWs into the iLink architecture between the trading engines and the current iLink gateways (CGWs).

      Please note: Customers will not be able to connect directly to the MSGWs until the Phase 2 launch.

      The MSGW Phase 2 Pre-Launch and the Phase 2 launch will be phased in as follows:

      New iLink Architecture Production Launch
      Tag1300-MarketSegmentID Market Segment MSGW Phase 2 Pre-Launch Schedule   MSGW Phase 2 Launch Schedule  
      52 CME FX options September 20 November 01
      62 CME FX futures September 20 November 01
      60 CBOT Commodity and Equity options October 04 November 15
      70 CME Commodity futures October 04 November 15
      72 CBOT Commodity futures October 04 November 15
      54 CME Equity options October 11 December 06
      64 CME E-mini S&P 500 futures October 11 December 06
      66 CBOT Equity futures October 11 December 06
      68 CME Equity futures excluding E-mini S&P October 11 December 06
      50 CME Eurodollar options November 08 December 13
      58 CBOT Treasury options November 08 December 13
      82 CME Eurodollar futures November 08 December 13
      84 CBOT Treasury futures November 08 December 13
      56 NYMEX and COMEX options December 20 January 10
      74 Hosted Partner Exchange markets and NYMEX Emissions futures December 20 January 10
      76 NYMEX and COMEX Metals and Alternative Market futures December 20 January 10
      78 NYMEX Non-Crude Energy futures December 20 January 10
      80 NYMEX Crude Energy futures December 20 January 10
      86 CME Europe futures and options December 20 January 10

       

      CME Group will offer several customer mock trading sessions to ensure customers have opportunities to interact with the system prior to the new iLink Architecture Phase 2 Pre-Launch and the Phase 2 launch. There are 2 models of customer mocks:

      MSGW Phase 2 Pre-Launch mock trading sessions are scheduled on:

      • September 19
        • † Register for the MSGW Phase 2 Pre-Launch mock trading session
        • † The mock trading session script is now available online

      MSGW Phase 2 mock trading sessions are scheduled on:

      • September 26
      • October 10
      • October 31
      • November 14
      • December 5
      • December 12
      • January 9

      A new MSGW certification suite will be available in AutoCert+ †Monday, September 7. Customer systems who want to connect directly to the MSGW must complete this mandatory certification.

      All customers are encouraged to review the new iLink Architecture Client Impact Assessment.

      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, September 20, 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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      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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      Update - Drop Copy 4.0 Implementation

      † Denotes update to the article

      Starting †Sunday, November 1, CME Group will implement Market Segment Gateways (MSGWs) for Drop Copy 4.0, in addition to the Convenience Gateway (CGW) implementation currently available in production.

      †The Drop Copy 4.0 MSGW implementation schedule is available online.

      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.

      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

      Certification is mandatory for all Drop Copy customers and is a prerequisite for access to Drop Copy Convenience Gateways and Market Segment Gateway target sessions.

      Executing firms planning to leverage market segment gateway iLink sessions should follow up with their Clearing firms to confirm their readiness to support Drop Copy 4.0.

      Drop Copy 4.0 is not backward compatible and customer systems not certified for Drop Copy 4.0 will not have the ability to add MSGW sessions to their Drop Copy Group.

      The client impact assessment is now available outlining changes introduced by the new Drop Copy 4.0 implementation and details regarding functionality and messaging in the Drop Copy 4.0 Overview section.

      The existing implementation of Drop Copy will be phased out in Q1 2016. All customers leveraging the Drop Copy service must be certified for Drop Copy 4.0 by that date.

      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. The new Drop Copy 4.0 failover tests are currently available in AutoCert+ for customer certification.

      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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      New Functionality

      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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      iLink Enhancement for Mass Order Status Functionality

      Effective this 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

      LLS APOs

      Effective Sunday, September 13 (trade date Monday, September 14), the following LLS Average Price options (APOs) will be listed for trading on CME Globex, open outcry, and clearing submission via CME ClearPort.

      LLS APOs
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group (Outrights)      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group (UDS)
      LLS (Argus) vs. WTI Crude Oil Average Price Option WJO EF EX
      LLS (Argus) vs. Brent Crude Oil Average Price Option LRO EF EX
      LLS (Argus) Crude Oil Average Price Option XAO EF EX

      These options will be available in New Release for customer testing on Monday, August 31.

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

       

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      Product Changes

      Change to Minimum Price Increment for Calendar Spreads in CME Bundle Futures

      Effective this Sunday, August 30 (trade date Monday, August 31), the minimum price increment for the following CME Bundle futures calendar spreads will be changed from 0.0025  to 0.0005. With this change, tag 969-MinPriceIncrement will be modified as follows:

      Change to Minimum Price Increment for Calendar Spreads in CME Bundle Futures
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 tag 969-MinPriceIncrement
      (Current)      		 tag 969-MinPriceIncrement
      (New)
      2-Yr Eurodollar Bundle Calendar Spread BU2 GE 0.25 0.05
      3-Yr Eurodollar Bundle Calendar Spread BU3 GE 0.25 0.05
      5-Yr Eurodollar Bundle Calendar Spread BU5 GE 0.25 0.05

      In addition, tag 762-SecuritySubType value will change from SP (Calendar Spread) to RT (Reduced Tick).

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

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

       

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      Listings of Additional Expiration Months in Serial Options and Serial Mid-Curve Options on Eurodollar Futures

      Effective this Sunday, August 30, (for trade date Monday, August 31), additional expiration months will be listed  for Serial options and Serial Mid-Curve options on CME Three-Month Eurodollar.

      Detailed information on this change is available here.

      Listings of Additional Expiration Months in Serial Options and Serial Mid-Curve Options on Eurodollar Futures
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Listing Schedule New Listing Schedule (as of 8/30/2015)
      Eurodollar Serial options GE ZE Two nearest serial month options Four nearest serial month options
      Eurodollar 1-Year Midcurve options GE0 E0 Two nearest serial month options Four nearest serial month options
      Eurodollar 2-Year Midcurve options GE2 E2 Two nearest serial month options Four nearest serial month options
      Eurodollar 3-Year Midcurve options GE3 E3 Two nearest serial month options Four nearest serial month options
      Eurodollar 4-Year Midcurve options GE4 E4 Two nearest serial month options Four nearest serial month options
      Eurodollar 5-Year Midcurve options GE5 E5 Two nearest serial month options Four nearest serial month options

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

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

       

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      Changes to FX Roll Schedule

      Effective Sunday, September 6 (for trade date Monday, September 7), the roll dates for FX futures products currently listed on CME Globex, and available for submission for clearing on CME ClearPort will be modified. . Additional information these changes are available online.

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

       

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      CBOT Treasury Invoice Swap Spreads: Naming Convention Change

      Effective Sunday, September 20 (trade date Monday, September 21), the external instrument naming convention (iLink: tag 107-SecurityDesc and MDP 3.0: tag 55-Symbol) for CBOT Treasury Invoice Swap Spreads will be modified as follows.

       

      CBOT Treasury Invoice Swap Spreads – Naming Convention Change
      Current External Name
      iLink: tag 107-SecurityDesc
      MDP 3.0: tag 55-Symbol

       

      		 New External Name
      iLink: tag 107-SecurityDesc
      MDP 3.0: tag 55-Symbol

      IN:FFFFCRRRRDDMMMYY
      Example IN:ZTM5L026220NOV15
      IN: = Strategy type (Invoice Swap) with colon
      FFFF = Full 4 character XXMY product code of the related treasury futures. In example, ZTM5 = 2-Yr Treasury Note futures for June 2015 delivery).
      C = Related futures contract delivery date indicator:

      F for contract’s first eligible delivery date.
      L for contract’s last eligible delivery date.

      RRRR = Coupon interest rate per annum of related futures contract’s nominated Cheapest-to-Deliver (CTD) Treasury security In example, 0262 = 2.625 percent per annum.
      DDMMMYY = Maturity Date of related futures contract’s nominated CTD Treasury security In example, 20NOV15 = 20 November 2015.

      IN:FFFFMMYYC
      Example  IN:ZTM50317A
      IN: = Strategy type (Invoice Swap) with colon
      FFFF = Full 4 character XXMY product code of the related treasury futures contract. In example, ZTM5 (2-Yr Treasury Note futures for June 2015 delivery).
      MM = Numeric 2-character code for month of maturity date of Invoice Swap and related futures contract’s nominated Cheapest-to-Deliver (CTD) Treasury security. In example, 03 = March.

      YY = Numeric 2-character code for year of maturity date of Invoice Swap and related futures contract’s nominated CTD Treasury security.  In example, 17 = 2017

      C = Related futures contract delivery indicator:

      A, B, or C for related futures contract’s first-, second-, or third-nominated CTD Treasury security, for delivery on contract’s last eligible delivery date.  In example, A = delivery of first-nominated CTD Treasury security on contract’s last eligible delivery date.

      D, E, or F for related futures contract’s first-, second-, or third-nominated CTD Treasury security, for delivery on contract’s first eligible delivery date. In example, D = delivery of first-nominated CTD Treasury security on contract’s first eligible delivery date.

       

      This change will be available in New Release for customer testing on Monday, September 7.

       

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      New - Unit of Measure Enhancements for Options on Futures

      Effective Sunday, September 27 (trade date Monday, September 28), tag 996-UnitofMeasure and 1147-UnitofMeasureQty will be updated for all options on outright futures.

      With this enhancement, the values in tags 996 and 1147 will match those of their underlying futures.

      There will be no impact to resting orders.

      Options on futures with the new tag values will be available in New Release for customer testing Monday,September 14.

       

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      Events and Announcements

      New - Messaging Efficiency Program Product Group Benchmark Revision

      Effective trade date Tuesday, September 1, the Messaging Efficiency Program Product Group Benchmarks for Product Group 6J (Japanese Yen Futures & Spreads) will revert back to the following levels:

      • Tier 1 (>60,000 messages): 25:1
      • Tier 2 (>40,000 messages): 50:1
      • Tier 3 (>20,000 messages): 75:1

      Please contact your Global Account Manager with any questions, concerns or additional information 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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      Changes to Daily Maintenance Period for CME Globex

      Effective Monday, September 21, the daily CME Globex maintenance period will begin 15 minutes earlier Monday through Thursday from 16:00 until 16:45 Central Time (CT). Currently, the daily maintenance period occurs Monday through Thursday from 16:15 to 16:45 CT.  With this change, the closing times for the following markets will now occur 15 minutes earlier Monday through Friday at 16:00 CT.

      • CME Equity
      • CBOT Equity
      • COMEX
      • NYMEX
      • DME

      All other CME Globex markets trading hours remain unchanged.

       

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      Removal of Dow Jones Global Total Stock Market Index Levels

      Effective Monday, September 28, S&P Dow Jones Indices will remove end-of-day index levels for the Dow Jones Global Total Stock Market (DJ Global TSM) Indices from MDP Channel 152. For a full list of the affected index levels, please view the full notice on the S&P Dow Jones Indices website.

       

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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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      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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CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
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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