• CME Globex Notices: September 21, 2015

      • To
      • CME Globex and Market Data Customers
      • From
      • GMSS
      • #
      • 20150921
      • Notice Date
      • 21 September 2015

    •  

      Topics in this issue include:

       

      Critical System Updates

      MDP 3.0 Migration Schedule

      This 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

      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

      Starting this 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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      AutoCert+ SMART Click Integration

      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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      New iLink Architecture

      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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      New iLink Failover Process

      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

      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 Drop Copy 4.0 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.Upon completion of certification in the new Drop Copy 4.0 test suite in AutoCert+, customers can request Drop Copy CGW and/or Drop Copy MSGW 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 CGW and MSGW are available in New Release for customer testing.

      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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      † Denotes update to the article

      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.

      †Effective Thursday, October 1, a Port Activation Charge (PAC) will apply to all newly created Convenience Gateway (CGW) iLink sessions. Newly created and existing CGW iLink session IDs will not be subject to Monthly Inactivity (MIC) measurement or surcharges until iLink Session Policy Phase 2 begins, which is estimated to be March 1, 2016.

      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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      Product Launches

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

      Effective this 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 this 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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      New – E-mini FTSE Index Futures

      Effective Sunday, October 11 (trade date Monday, October 12), three E-mini FTSE Index futures will be listed on CME Globex, both for outright trades and via Basis Trade at Index Close (BTIC) transactions, and for submission of block trades for clearing via CME ClearPort.

      E-mini FTSE® Index 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 FTSE 100 Index Futures FT1 FZ
      BTIC on E-mini FTSE 100 Index Futures FTT FU
      E-mini USD Denominated FTSE 100 Index Futures FTU FZ
      BTIC on E-mini USD Denominated FTSE 100 Index Futures FTB FU
      E-mini FTSE China 50 Index Futures FT5 C5
      BTIC on E-mini FTSE China 50 Index Futures FTC C1

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

      These contacts shall be listed with, and subject to, the rules and regulations of CME.

       

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      New - Iron Ore APOs

      Effective Sunday, October 11 (trade date Monday, October 12), Iron Ore APOs will be listed for trading on CME Globex.

      Iron Ore 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)
      Iron Ore 62% Fe, CFR China (TSI) Average Price Option ICT I1 (eye one) I2 (eye two)
      Iron Ore 62% Fe, CFR North China (Platts) Average Price Option ICP I1 (eye one) I2 (eye two)

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

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

       

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      Product Changes

      New - Delisting of 11 NYMEX Natural Gas Products

      On Monday, September 21, the following natural gas futures were delisted for trading on CME Globex and for clearing submission via CME ClearPort.

      De-listing of 11 NYMEX Natural Gas Products
      Futures Product Name iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Texas Eastern, ELA Natural Gas (Platts Gas Daily) Swing Futures TK9 FD
      Texas Eastern, ELA Natural Gas (Platts Gas Daily/Platts IFERC) Index Futures M9 FD
      Texas Eastern, WLA Natural Gas (Platts Gas Daily) Swing Futures X8 FD
      Texas Eastern, WLA Natural Gas (Platts Gas Daily/Platts IFERC) Index Futures C2 FD
      Texas Eastern, WLA Natural Gas (Platts IFERC) Basis Futures 8BN FD
      Trunkline Louisiana Natural Gas (Platts IFERC) Fixed Price Futures XTC FD
      Trunkline, Louisiana Natural Gas (Platts IFERC) Basis Futures NUN FD
      NGPL STX Natural Gas (Platts Gas Daily) Swing Futures Q7 FD
      NGPL STX Natural Gas (Platts Gas Daily/Platts IFERC) Index Futures N6 FD
      NGPL STX Natural Gas (Platts IFERC) Basis Futures T5N FD
      NGPL STX Natural Gas (Platts IFERC) Fixed Price Futures DNS FD

       

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      Unit of Measure Enhancements for Options on Futures

      Effective this 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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      New - Listing Cycle Expansion for European Propane and Naphtha Futures

      Effective Sunday, October 4 (trade date Monday, October 5), the listing cycle for the following European Propane and Naphtha futures will be expanded from 36 consecutive maturities to the current year plus the next 3 years on CME Globex.

      Listing Cycle for European Propane and Naphtha 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 (Argus) vs. Naphtha Cargoes CIF NWE (Platts) Futures EPN RF
      European Propane CIF ARA (Argus) Futures APS ZZ
      Naphtha Cargoes CIF NWE (Platts) Futures UN PT

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

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

      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

      Removal of Dow Jones Global Total Stock Market Index Levels

      Effective this 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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