CME Globex Notice: October 12, 2015

 

Topics in this issue include:

• Critical System Updates
  • AutoCert+ SMART Click Integration - October 26
  • MDP 3.0 Migration Schedule: All FIX/FAST Channels Decommissioned - October 30
  • New iLink Architecture Phase 2 Pre-Launch - November 1
  • New iLink Failover Process - November 1
  • MDP 3.0 – New Schema File and Updated High Bid/Low Ask Statistics Calculations - December 6
  • New iLink Architecture Phase 2 - January 2016
  • Drop Copy 4.0 Implementation - January 2016
  • iLink Session ID Policy and Operational Guidelines
• New Functionality
  • Implied Options - December 6
• Product Launches
  • CME Europe Emissions Monthly and Daily Futures - November 1
  • South American Short-Dated New Crop Soybean Options - November 1 ^Update
• Product Changes
  • LLS (Argus) vs. Brent Crude Oil Average Price Options Listing Cycle Change - This Week
  • Unit of Measure Enhancements for Outright Options on Future Spreads - November 1
  • RBOB Gasoline Options Listing Cycle Change - November 1 ^Update
  • FIX tag Changes for Energy Futures and Options - November 15
• Events and Announcements
  • Subscription-based Email Advisories for CME Globex Test Environments ^New
  • iLink Session ID Policy and Operational Guidelines
  • Disaster Recovery (DR) Testing - October 24
  • EOS Trader Decommission - October 30
  • Order Routing and Front-End Audit Trail Requirements - April 2016

 

Critical System Updates

AutoCert+ SMART Click Integration

Effective Monday, October 26, 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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MDP 3.0 Migration Schedule

MDP 3.0 is now the sole "Feed of Record" and markets will be halted for MDP 3.0 issues only. Markets will not be halted for issues affecting FIX/FAST only. The legacy FIX/FAST feed will be decommissioned after the close on Friday, October 30, 2015.

TAS Pre-Validation

Only the publishing of the MDP 3.0 Pre-Open state message will be valid for the start of the TAS market and TAS order entry. CME Group will be utilizing timestamps from MDP 3.0 when determining potential violations. 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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New iLink Architecture Phase 2 Pre-Launch

Starting Sunday, November 1, CME Group will begin to implement the new Market Segment Gateways (MSGW) into the iLink architecture between the trading engines and the current iLink gateways (CGW). Customers will not be able to connect directly to the MSGWs until the Phase 2 launch starting in January 2016.

In internal testing, the MSGW Phase 2 Pre-Launch reduced iLink order entry round-trip times up to 30 % for FX futures and 50% for FX options on futures.

With each MSGW Pre-Launch, CME Group expects performance enhancements which will vary for each market segment. The performance forecasts will be released two weeks prior to each MSGW Pre-Launch.

The MSGW Phase 2 Pre-launch will include the New iLink Failover Process.

Due to the significant performance improvements, CME Group will offer a customer mock trading session prior to each MSGW Pre-Launch weekend. These mock trading sessions will offer customers the opportunity to interact with the system and experience the new failover process in the CME Globex production environment. Customers must certify and register to participate.  For more information about the Mock Trading Sessions, please view the mock trading session script.

MSGW Phase 2 Pre-Launch Schedule
Tag1300-MarketSegmentID	Market Segment	Mock Trading Session	MSGW Phase 2 Pre-Launch Schedule
52	CME FX options	October 31	November 1
62	CME FX futures	October 31	November 1
60	CBOT Commodity and Equity options	October 31 November 14	November 15
70	CME Commodity futures	October 31 November 14	November 15
72	CBOT Commodity futures	October 31 November 14	November 15
54	CME Equity options	November 14 December 19	December 20
64	CME E-mini S&P 500 futures	November 14 December 19	December 20
66	CBOT Equity futures	November 14 December 19	December 20
68	CME Equity futures excluding E-mini S&P	November 14 December 19	December 20
50	CME Eurodollar options	December 19 January 9	January 10
58	CBOT Treasury options	December 19 January 9	January 10
82	CME Eurodollar futures	December 19 January 9	January 10
84	CBOT Treasury futures	December 19 January 9	January 10
56	NYMEX and COMEX options	January 9 January 30	January 31
74	Hosted Partner Exchange markets	January 9 January 30	January 31
76	NYMEX and COMEX Metals and Alternative Market futures	January 9 January 30	January 31
78	NYMEX Non-Crude Energy and Emissions futures	January 9 January 30	January 31
80	NYMEX Crude Energy futures	January 9 January 30	January 31
86	CME Europe futures and options	January 9 January 30	January 31

 

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New iLink Failover Process

Starting Sunday, November 1, CME Group will introduce a new iLink failover process to improve customers’ ability to recover from a CME Globex component failure. The new iLink Failover Process change will affect all iLink sessions.

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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MDP 3.0: New Schema File and Updated High Bid/Low Ask Statistics Calculations

Starting on Sunday, December 6 (trade date Monday, December 7), updates to the calculation of High Bid/Low Ask Statistics and a new Schema file will be implemented for MDP 3.0 as follows:

High Bid/Low Ask Statistics

• The High Bid / Low Ask Statistics changes will be split into two parts for the New Release implementation only:
  • High Bid / Low Ask Statistics Calculation at the Open.
  • High Bid / Low Ask Statistics Calculation for Aggressing Orders.
• Both High Bid / Low Ask Statistics Calculations will be available in the Production environment at the same time for each channel according to the implementation schedule.

New Schema File

• The new Schema file will use Template Extension.
  • CME Group recommends that the new Schema file be downloaded and implemented on the production date for which Channels with data that are consumed by the customer begin using the new Schema file.
• New Tag 5796-TradingReferenceDate in Market Data Security Definition Message will be added to the end of the message body before repeating groups in the Security Definition templates for Futures, Options and Spreads.
  • It is extremely important that customers use the blockLength attribute of each message to ensure that the new field is either processed or ignored by their systems, and so that the next message received can be processed correctly. 
• Minor syntax changes for consistency.

The schedule for the New Release and Production Environment implementations of the new Schema File and the High Bid / Low Ask Calculations, and descriptions of the changes can be found here.

 

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New iLink Architecture Phase 2

Starting in January 2016 over several months 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.

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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Drop Copy 4.0 Implementation

Starting in January 2016, 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 launch schedule will be announced in future CME Globex Notices.

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.

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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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.

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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New Functionality

Implied Options

Effective Sunday, December 6 (trade date Monday, December 7), CME Group will introduce Implied functionality for options strategies and outrights.  Implied options functionality is request based, via Request for Quote (RFQ) messages on an implied eligible strategy, for a defined period of time. A detailed description of Implied Options functionality is included here.

The following products will be implied eligible on Sunday, December 6.

Energy and Metals Options
Product	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
Crude Oil Options	LO	LO
Crude Oil Weekly Options	LO1-LO5	LO
WTI Crude Oil 1 Month Calendar Spread Options	WAY	XZ
Light Sweet Crude Oil (WTI) Financial 1 Month Spread Options	B7A	PR
Brent Last Day Financial Options	OSX	PR
WTI-Brent Crude Oil Spread Options	ABV	OF
Natural Gas Options (American)	ON	ON
Natural Gas Weekly Options (American)	ON1-ON5	ON
Natural Gas Options (European)	LNE	LG
Natural Gas Weekly Options (European)	LN1-LN5	LG
Natural Gas (Henry Hub) Daily Options	KDB	GZ
New York Harbor ULSD Options	OH	OH
RBOB Gasoline Options	OB	OB
Gold Options	OG	OG
Gold Weekly Options	OG1-OG5	OG
Silver Options	SO	SO
Silver Weekly Options	SO1-SO5	SO
Copper Options	HXE	1U
Copper Weekly Options	H1E-H5E	1U
Platinum Options	PO	P0
Palladium Options	PAO	P3

The Implied Options functionality will be available for customer testing in New Release on Monday, November 8.

 

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Product Launches

CME Europe Emissions Monthly and Daily Futures

The target launch date for these products is Sunday, November 1 (trade date Monday, November 2), pending regulatory approval. Upon approval, these products will be available for trading on CME Globex and clearing submission via CME ClearPort.

On Monday, October 12, the following CME Europe Emissions Monthly and Daily futures will be available in New Release for customer testing.

CME Europe Emissions Monthly and Daily 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 Union Allowance Future	EMA	CE
European Union Allowance Daily Future	EDA	CE

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

 

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Update - South American Short-Dated New Crop Soybean Options

† Denotes update to the article

Effective Sunday, November 1 (trade date Monday, November 2), the South American Short-Dated New Crop Soybean options will be listed for trading on CME Globex and for clearing submission via CME ClearPort.

†South American Short-Dated New Crop Soybean 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)
†South American Short-Dated New Crop Soybean Options	SRS	SQ	PZ

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

 

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Product Changes

LLS (Argus) vs. Brent Crude Oil Average Price Options Listing Cycle Change

Effective this Sunday, October 18 (trade date Monday, October 19), the listing cycle for LLS (Argus) vs. Brent Crude Oil Average Price options will be reduced from the current year plus the next 5 years to 30 consecutive maturities on CME Globex.

LLS (Argus) vs. Brent Crude Oil Average Price Options
Product	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
LLS (Argus) vs. Brent Crude Oil Average Price Options	LRO	EF

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

 

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Unit of Measure Enhancements for Outright Options on Future Spreads

Effective Sunday, November 1 (trade date Monday, November 2), tag 996-UnitofMeasure and 1147-UnitofMeasureQty will be updated for all outright options on future spreads.

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.

Outright options future spreads with the new tag values are currently available in New Release for customer testing.

 

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Update - RBOB Gasoline Options Listing Cycle Change

† Denotes update to the article

Effective †Sunday, November 1 (trade date Monday, November 2), the listing cycle for the RBOB Gasoline options will be reduced from the †current 36 consecutive months to 12 consecutive months on CME Globex.

RBOB Gasoline 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)
RBOB Gasoline Options	OB	OB

This change will be available in New Release for customer testing on Monday, October 19.

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

 

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FIX tag Changes for Energy Futures and Options

Effective Sunday, November 15 (trade date Monday, November 16), 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 are currently available in New Release for customer testing.

 

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Events and Announcements

New - Subscription-based Email Advisories for CME Globex Test Environments

CME Group is now offering subscription-based email advisories for CME Globex Test Environments. These advisories are designed to provide updates on CME Globex test environments including New Release, Certification and the AutoCert+ application.

To receive email advisories regarding CME Globex Test Environments, please subscribe at cmegroup.com/subscribe. Customers who previously received these advisories are encouraged to verify their subscription/preferences.

 

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Disaster Recovery (DR) Testing

CME Group is committed to the protection of its members, employees and stakeholders and has a long history of successfully managing risk. In keeping with those traditions, CME Group has a comprehensive business continuity program in place. To ensure customer readiness, CME Group will offer CME Globex & Clearing Disaster Recovery (DR) Failover testing, in conjunction with the Futures Industry Association (FIA) test on Saturday, October 24, 2015.

The CME Globex & Clearing DR Failover test is designed to ensure customers can successfully failover to the CME Globex & Clearing DR environment, send orders and fallback to the production environment in case of an emergency.

A detailed time line and testing script is available here.

Customers are required to register in advance to participate online.

 

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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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