20151026 - CME Group

CME Globex Notice: October 26, 2015

- To
- CME Globex Customers
- From
- GMSS
- #
- 20151026
- Notice Date
- 26 October 2015

Topics in this issue include:

Critical System Updates
- New iLink Architecture Phase 2 Pre-Launch - November 1
- New iLink Failover Process - November 1
- MDP 3.0 Migration – FIX/FAST Decommissioning Postponed - November 13 ^Update
- AutoCert+ SMART Click Integration - November 2 ^Update
- 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 - This Week
- South American Short-Dated New Crop Soybean Options - This Week
- BTIC on E-mini S&P 500 Futures and BTIC on E-mini Nasdaq-100 Futures - November 15
- BTIC on E-mini DJIA Futures - November 15
- S&P MLP Total Return Index Futures and BTIC on S&P MLP Total Return Index Futures - November 15
- S&P 500 Quarterly and Annual Dividend Index Futures - November 15
- European Distillate Crack Spread Futures - November 15
- Metals Average Price Options - November 15
- Lead Futures - November 22
Product Changes
- Unit of Measure Enhancements for Outright Options on Future Spreads - This Week
- RBOB Gasoline Options Listing Cycle Change - This Week
- FIX tag Changes for Energy Futures and Options - November 15
- Tick Assignment for Eurodollar and Eurodollar Mid–Curve Options UDS - November 15
- Changes to Unit of Measure for Refined Energy Futures - November 15 ^New
- Streamlined FIX/FAST – S&P / Dow Jones Indices Pre-Market Session Changes - December 6 ^New
Events and Announcements
- iLink Session ID Policy and Operational Guidelines
- EOS Trader Decommission - This Week
- Order Routing and Front-End Audit Trail Requirements - April 2016

Critical System Updates

New iLink Architecture Phase 2 Pre-Launch

Starting this 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.

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 are required to register and join the conference bridge line in order to participate in the mock trading sessions. 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	iLink Round-TrIp Times Improvement (up to)
52	CME FX options	October 31	November 1	50%
62	CME FX futures	October 31	November 1	30%
60	CBOT Commodity and Equity options	October 31 November 14	November 15	42%
70	CME Commodity futures	October 31 November 14	November 15	36%
72	CBOT Commodity futures	October 31 November 14	November 15	33%
54	CME Equity options	November 14 December 19	December 20	TBD
64	CME E-mini S&P 500 futures	November 14 December 19	December 20	TBD
66	CBOT Equity futures	November 14 December 19	December 20	TBD
68	CME Equity futures excluding E-mini S&P	November 14 December 19	December 20	TBD
50	CME Eurodollar options	December 19 January 9	January 10	TBD
58	CBOT Treasury options	December 19 January 9	January 10	TBD
82	CME Eurodollar futures	December 19 January 9	January 10	TBD
84	CBOT Treasury futures	December 19 January 9	January 10	TBD
56	NYMEX and COMEX options	January 9 January 30	January 31	TBD
74	Hosted Partner Exchange markets	January 9 January 30	January 31	TBD
76	NYMEX and COMEX Metals and Alternative Market futures	January 9 January 30	January 31	TBD
78	NYMEX Non-Crude Energy and Emissions futures	January 9 January 30	January 31	TBD
80	NYMEX Crude Energy futures	January 9 January 30	January 31	TBD
86	CME Europe futures and options	January 9 January 30	January 31	TBD

New iLink Failover Process

Starting this 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.

Update - AutoCert+ SMART Click Integration

† Denotes update to the article

Effective †Monday, November 2, 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.

Update - MDP 3.0 Migration – FIX/FAST Decommissioning Postponed

† Denotes update to the article

†To ensure customer readiness, the legacy FIX/FAST feed decommission for all production CME Group Exchanges and Partners, including BM&FBovespa and MexDer (Mercado Mexicano de Derivados), has been postponed until after the close on Friday, November 13.

Please note: This is the final decommission date, no additional extensions will be granted.

†The FIX/FAST feed in the New Release and Certification Environments will be decommissioned after the close on Friday, November 6.

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.

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.

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.

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.

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.

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.

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.

Product Launches

CME Europe Emissions Monthly and Daily Futures

Effective Sunday, November 1 (trade date Monday, November 2), pending regulatory approval the following CME Europe Emissions Monthly and Daily futures will be listed for trading on CME Globex and clearing submission via CME ClearPort.

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 products are currently available in New Release for customer testing.

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

South American Short-Dated New Crop Soybean Options

Effective this 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 products are currently available in New Release for customer testing.

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

BTIC on E-mini S&P 500 Futures and BTIC on E-mini Nasdaq-100 Futures

Effective Sunday, November 15 (trade date Monday, November 16), BTIC on E-mini S&P 500 futures and BTIC on E-mini Nasdaq-100 futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

BTIC on E-mini S&P 500 Futures and BTIC on E-mini Nasdaq-100 Futures
Product	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
BTIC on E-mini S&P 500 Futures	EST	SB
BTIC on E-mini Nasdaq-100 Futures	NQT	NB