• CME Globex Notices: September 14, 2015

      • To
      • CME Globex and Market Data Customers
      • From
      • GMSS
      • #
      • 20150914
      • Notice Date
      • 14 September 2015

    •  

      Topics in this issue include:

       

      Critical System Updates

      Update- Minimum Quantity Changes for NYMEX Options

      † Denotes update to the article

      † Effective this 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 following NYMEX options.

      Product iLink: tag 1151-Security Group iLink: tag 55-Symbol
      † Natural Gas options (American) 1T ON
      † Natural Gas options (European) 1T LNE
      † RBOB Gasoline options 1B OB
      † NY Harbor ULSD options 1I OH

      CME Globex will reject orders and mass quotes with quantities violating the minimum quantity value in tag 526-MinTradeVol for the listed NYMEX 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 is currently available in New Release for customer testing.

      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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      MDP 3.0 Migration Schedule

      On Sunday, September 27, 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 Available
      AutoCert+ Test Suite Available Available
      Production Parallel Available Available

      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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      Velocity Logic

      †Denotes update to the article

      † Starting Sunday, September 27 (trade date Monday, September 28), CME Group will introduce enhancements to the Velocity Logic functionality. Velocity Logic is designed to automatically detect market movements exceeding a predefined number of points within a predefined time (one second for RTH, two seconds for ETH) and place the affected market in a reserve state. 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 is determined by CME Globex to trigger Velocity Logic:

      • Order acknowledgement sent
      • Market order cancelled (tag 35-MsgType=8, tag 39-OrdStatus=4) and Fill and Kill and Minimum Quantity order eliminated (tag 35-MsgType=8, tag 39-OrdStatus=C)
      • The market will remain open

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

      The Velocity Logic values for all CME Globex products are defined in the CME Globex Product Reference.

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

      The Velocity Logic functionality will be implemented as follows:

      Velocity Logic
      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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      Update - AutoCert+ SMART Click Integration

      † Denotes update to the article

      Starting in October, AutoCert+ will be accessible via the existing Cert VPN and the internet. The current access model through Cert VPN will eventually be replaced by an internet URL. Both Cert VPN and internet URL based access models will continue to be supported until a date to be published in upcoming CME Globex Notices. AutoCert+ users will then have to migrate to the new internet based access method.

      Please note: Existing IDs will still be usable at the new URL.

      In late Q4 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. 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;

      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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      Update - New iLink Architecture

      † Denotes update to the article

      † The launch of MSGW Phase 2 Pre-Launch and the Phase 2 launch, previously scheduled to start Sunday, September 20 and Sunday, November 1 respectively, has been postponed. A new launch schedule will be announced in future CME Globex Notices.

      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.

      The MSGW config.xml file for the Production and New Release  environments is currently available on the CME Group SFTP site. The file will contain the list of all market segments and MSGW IP addresses. Refer to MSGW – SFTP Site Information for more information.

      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.

      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.

      More details and an overview to MSGW Mock Trading Sessions will be published in future CME Globex Notices.

      A new MSGW certification suite is currently available in AutoCert+. 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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      Update - New iLink Failover Process

      † Denotes update to the article

      † The launch of the new iLink failover process, previously scheduled to start Sunday, September 20, has been postponed. A new launch date will be announced in future CME Globex Notices.

      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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      Drop Copy 4.0 Implementation

      † Denotes update to the article

      † The implementation of Market Segment Gateways (MSGWs) for Drop Copy 4.0, previously scheduled to start Sunday, November 1, has been postponed. A new launch schedule will be announced in future CME Globex Notices.

      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.

      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 Drop Copy 4.0 MSGW config.xml file for the Production and New Release environments is currently available on the CME Group SFTP site. The file will contain the list of all market segments and Drop Copy 4.0 MSGW IP addresses. Refer to MSGW – SFTP Site Information for more information.

      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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      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.

      To 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

      Update - User-Defined Instruments on CME Globex

      † Denotes update to the article

      † Effective this Sunday, September 20 (trade date Monday, September 21), User-Defined Instruments (UDI) functionality will be launched on CME Globex. 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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      Product Launches

      E-mini Russell 1000 Index & BTIC Futures

      Effective this Sunday, September 20 (trade date Monday, September 21), E-mini Russell 1000 Index futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      E-mini Russell 1000 Index & BTIC Futures
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      E-mini Russell 1000® Index Futures RS1 RL
      BTIC on E-mini Russell 1000® Index Futures R1T R1
      E-mini Russell 1000® Growth Index Futures RSG RG
      BTIC on E-mini Russell 1000® Growth Index Futures RGT R2
      E-mini Russell 1000® Value Index Futures RSV RV
      BTIC on E-mini Russell 1000® Value Index Futures RVT R3

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

      Please view the New Product Summary.

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

       

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      Aluminium European Premium Duty-Unpaid (Metal Bulletin) Futures

      Effective this Sunday, September 20 (trade date Monday, September 21), Aluminium European Premium Duty-Unpaid (Metal Bulletin) futures will be listed for trading on CME Globex and clearing submission via CME ClearPort.

      Aluminium European Premium Duty-Unpaid (Metal Bulletin) Futures
      Product Name Product Code
      iLink: tag 1151-Security Group
      MD 3.0: tag 6937-Asset      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Aluminium European Premium Duty-Unpaid (Metal Bulletin) Futures AEP ST

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

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

       

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      7-Year and 20- Year USD Interest Rate Swap Futures

      Effective Sunday, September 27 (trade date Monday, September 28), 7-Year and 20- Year USD Interest Rate Swap futures will be listed for trading on CME Globex.

      7-Year and 20- Year USD Interest Rate Swap Futures
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      7-Year USD Interest Rate Swap Futures S1U ZN
      20-Year USD Interest Rate Swap Futures E1U ZB

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

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

       

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      CME Europe: Energy Futures

      Effective Sunday, September 27 (trade date Monday, September 28), CME Europe will list the following energy futures for trading on CME Globex and clearing submission via CME ClearPort.

       

      CME Europe –Energy Futures
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      European Propane CIF ARA (OPIS) Calendar Month Futures EOP NL
      European Ethanol T2 fob Rotterdam Inc Duty (German Specification) (Platts) Calendar Month Futures Z1D JV
      European Naphtha Cargoes CIF NWE (Platts) Calendar Month Futures ECC LF
      Mini European Naphtha CIF NWE (Platts) Calendar Month Futures MNA LF
      European Naphtha CIF NWE(1000mt) (Platts) Crack Spread Futures ENR LF
      Mini European Naphtha CIF NWE (100mt) (Platts) Crack Spread Futures MNI LF
      European Naphtha CIF NWE (1000bbls) (Platts) Crack Spread Futures ENI LF
      Gasoline Eurobob Oxy NWE Barges (Argus) Calendar Month Futures GEA LF
      Mini Gasoline Eurobob Oxy NWE Barges (Argus) Calendar Month Futures MGR LF
      Gasoline Eurobob Oxy NWE (1000mt) (Argus) Crack Spread Futures GED LF
      Mini Gasoline Eurobob Oxy NWE (100mt) (Argus) Crack Spread Futures MGI LF
      Gasoline Eurobob Oxy NWE (1000bbls) (Argus) Crack Spread Futures GEI LF
      Premium Unleaded Gasoline 10 ppm FOB MED (Platts) Calendar Month Futures PUN LF
      Mini Premium Unleaded Gasoline 10 ppm FOB MED (Platts) Calendar Month Futures MUN LF
      Gasoline Eurobob Oxy NWE Barges (Argus) vs. European Naphtha CIF NWE (Platts) Spread Futures GEO LF
      Mini Gasoline Eurobob Oxy NWE Barges (Argus) vs. European Naphtha CIF NWE (Platts) Spread Futures MGO LF
      East-West Naphtha: Japan C&F vs. Cargoes CIF NWE (1000mt) (Platts) Spread Futures EWA LF
      Mini East-West Naphtha: Japan C&F vs. Cargoes CIF NWE (100mt) (Platts) Spread Futures MWA LF
      Japan C&F Naphtha (1000mt) (Platts) Calendar Month Futures EJN LF
      Mini Japan C&F Naphtha (100mt) (Platts) Calendar Month Futures MJA LF
      Singapore Naphtha (1000bbls) (Platts) Calendar Month Futures SNA LF
      East-West Gasoline (Platts-Argus) Spread Futures EWO LF
      RBOB Gasoline vs. Euro-bob Oxy NWE Barges(1000bbls) (Argus) Spread Futures ERJ LF
      RBOB Gasoline vs. Euro-bob Oxy NWE Barges(1000mt) (Argus) Spread Futures RBE LF
      Mini RBOB Gasoline vs. Euro-bob Oxy NWE Barges(100mt) (Argus) Spread Futures MRE LF
      RBOB Gasoline Brent (1000bbls) Crack Spread Futures RCS LF
      European Naphtha Cargoes CIF NWE (Platts) BALMO Futures ECB LF
      Mini European Naphtha Cargoes CIF NWE (Platts) BALMO Futures MND LF
      European Naphtha Cargoes CIF NWE (Platts) (1000mt) Crack Spread BALMO Futures END LF
      Mini European Naphtha Cargoes CIF NWE (Platts) (100mt) Crack Spread BALMO Futures MNK LF
      European Naphtha Cargoes CIF NWE (Platts) (1000bbls) Crack Spread BALMO Futures ENL LF
      European Gasoline Eurobob Oxy Barges NWE (Argus) BALMO Futures GER LF
      Mini European Gasoline Eurobob Oxy Barges NWE (Argus) BALMO Futures MGE LF
      European Gasoline Eurobob Oxy Barges NWE (Argus) (1000mt) Crack Spread BALMO Futures GEE LF
      Mini European Gasoline Eurobob Oxy Barges NWE (Argus) (100mt) Crack Spread BALMO Futures MGL LF
      European Gasoline Eurobob Oxy Barges NWE (Argus) (1000bbls) Crack Spread BALMO Futures GEL LF
      European Premium Unleaded Gasoline 10ppm FOB Med (Platts) BALMO Futures PUB LF
      Mini European Premium Unleaded Gasoline 10ppm FOB Med (Platts) BALMO Futures MUC LF
      European Gasoline Eurobob Oxy Barges NWE (Argus) vs. European Naphtha Cargoes CIF NWE (Platts) Spread BALMO Futures GEP LF
      Mini European Gasoline Eurobob Oxy Barges NWE (Argus) vs. European Naphtha Cargoes CIF NWE (Platts) Spread BALMO Futures MGP LF
      Japan C&F Naphtha (Platts) vs. European Naphtha Cargoes CIF NWE (Platts) Spread BALMO Futures EWL LF
      Mini Japan C&F Naphtha (Platts) vs. European Naphtha Cargoes CIF NWE (Platts) Spread BALMO Futures MWL LF
      Japan C&F Naphtha (Platts) BALMO Futures EJB LF
      Mini Japan C&F Naphtha (Platts) BALMO Futures MJD LF
      Singapore Naphtha (Platts) BALMO Futures SNB LF
      New York RBOB Gasoline vs. European Gasoline Eurobob Oxy Barges NWE (Argus) (1000bbls) Spread BALMO Futures ERS LF
      New York RBOB Gasoline vs. European Gasoline Eurobob Oxy Barges NWE (Argus) (350,000 gallons) Spread BALMO Futures RBI LF
      Mini New York RBOB Gasoline vs. European Gasoline Eurobob Oxy Barges NWE (Argus) (35,000 gallons) Spread BALMO Futures MBD LF
      New York RBOB Gasoline vs. Brent (1000bbls) Crack Spread BALMO Futures RCB LF
      European Propane CIF ARA (Argus) BALMO Futures EPB NL
      Mini European Propane CIF ARA (Argus) BALMO Futures MPO NL
      Far East Propane (Argus) BALMO Futures PFB NL
      Mini Far East Propane (Argus) BALMO Futures MAR NL
      Mont Belvieu LDH Propane (OPIS) BALMO Futures E8E NL
      Far East Propane (Argus) vs. European Propane CIF ARA (Argus) Spread BALMO Futures PBF NL
      Mont Belvieu LDH Propane (OPIS) vs. European Propane CIF ARA (Argus) Spread BALMO Futures E5F NL
      European Propane CIF ARA (Argus) vs. European Naphtha Cargoes CIF NWE (Platts) Spread BALMO Futures EEP NL
      Mini European Propane CIF ARA (Argus) vs. European Naphtha Cargoes CIF NWE (Platts) Spread BALMO Futures EEB NL
      European Propane CIF ARA (Argus) Calendar Month Futures EPA NL
      Mini European Propane CIF ARA(Argus) Calendar Month Futures MEP NL
      Propane (Saudi Aramco) (Argus) Calendar Month Futures ESA NL
      Mini Propane (Saudi Aramco) (Argus) Calendar Month Futures MSA NL
      Propane Far East Index (Argus) Calendar Month Futures EPF NL
      Mini Propane Far East Index (Argus) Calendar Month Futures MPF NL
      Mont Belvieu LDH Propane (OPIS) Calendar Month Futures EMB NL
      Mont Belvieu Normal Butane (OPIS) Calendar Month Futures ENW NL
      Mont Belvieu Natural Gasoline (OPIS) Calendar Month Futures EQE NL
      Propane Far East Index (Argus) vs. European Propane CIF ARA (Argus) Spread Futures EPE NL
      Mont Belvieu LDH Propane (OPIS) vs. European Propane CIF ARA (Argus) Spread Futures E5E NL
      Mont Belvieu LDH Propane (OPIS) vs. Propane Far East Index (Argus) Spread Futures E5I NL
      European Propane cif ARA (Argus) vs. European Naphtha (Platts) Spread Futures EAN NL
      Mini European Propane cif ARA (Argus) vs. European Naphtha (Platts) Spread Futures EEC NL
      Mini Butane Far East Index (Argus) Calendar Month Futures EBU NL
      Mini Butane CIF ARA (Argus) Calendar Month Futures MBU NL
      Mini Butane (Saudi Aramco) (Argus) Calendar Month Futures MBA NL

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

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

       

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      Brent Futures-Style Options

      Effective Sunday, October 11 (trade date Monday, October 12), Brent Crude Oil Futures-Style Margin options will be listed for trading on CME Globex, open outcry, and clearing submission via CME ClearPort.

      Brent Futures-Style Options
      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)
      Brent Crude Oil Futures-Style Margin Option BZO PR P2

      Please view the New Product Summary.

      Additional information the clearing process for futures-style options is available online.

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

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

       

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      Product Changes

      Update - Changes to FX Roll Schedule

      This article corrects a typographical error that was contained in the roll date schedule of the Brazilian Real/US Dollar futures contract.  The contract expiry that will be used to determine new roll dates for Brazilian Real/US Dollar futures will be based on the monthly, not quarterly, contract month.

      On 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 was 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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      Changes to Non-Reviewable Range and Price Bands for Onshore and Offshore Chinese Renminbi Futures

      Effective this Sunday, September 20 (trade date Monday, September 21), the non-reviewable range and price bands will be modified for Onshore and Offshore Chinese Renminbi futures as follows:

      Product Name iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 iLink: tag55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Non-Reviewable Range New Non-Reviewable Range Current Price Bands New Price Bands
      USD/RMB Futures (USD/Chinese Renminbi) CNY F8 40 150 60 150
      USD/Offshore RMB (CNH) Futures CNH RM 40 150 60 150
      E-micro USD/RMB Futures (E-micro USD/Chinese Renminbi) MNH F8 0.0040 0.015 0.006 0.015
      E-micro USD/Offshore RMB (CNH) Futures (E-micro Size USD/Offshore RMB (CNH) MNH RM 0.0040 0.015 0.006 0.015

      Additional information on these changes is available here.

      The non-reviewable range and price band settings for every CME Globex product are defined in the CME Globex Product Reference.

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

       

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      CBOT Treasury Invoice Swap Spreads: Naming Convention Change

      Effective this 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 is available in New Release for customer testing.

       

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      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 are currently available in New Release for customer testing.

       

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      FIX tag Changes for Energy Futures and Options

      Effective Sunday, October 11 (trade date Monday, October 12), the values in the following FIX tags will be changed for energy futures and options:

      • tag 55-Symbol for iLink, and
      • tag 1151-SecurityGroup for MDP 3.0

      A complete list of products is available here.

      These changes will be available in New Release for customer testing on Monday, September 28.

       

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      Events and Announcements

      Changes to Daily Maintenance Period for CME Globex

      Effective this 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 products will continue to open at their normally scheduled times. 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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