CME Globex Notice: November 9, 2015

 

Topics in this issue include:

• Critical System Updates
  • MDP 3.0 Migration – FIX/FAST Decommissioning - This Week
  • New iLink Architecture Phase 2 Pre-Launch - This Week ^Update
  • New iLink Failover Process - This Week
  • AutoCert+ SMART Click Integration - Q4 2015 ^Update
  • MDP 3.0 - New Schema File and Updated High Bid/Low Ask Statistics Calculations - December 6 ^Update
  • 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 ^Update
• Product Launches
  • BTIC on E-mini S&P 500 Futures and BTIC on E-mini Nasdaq-100 Futures - This Week
  • BTIC on E-mini DJIA Futures - This Week
  • S&P MLP Total Return Index Futures and BTIC on S&P MLP Total Return Index Futures - This Week
  • S&P 500 Quarterly and Annual Dividend Index Futures - This Week
  • European Distillate Crack Spread Futures - This Week
  • Metals Average Price Options - This Week
  • Lead Futures - November 22
  • DME Platts Crude Oil and Refined Products - December 6 ^New
• Product Changes
  • Delisting of California Carbon Allowance (CCA) Futures and Options - November 9 ^New
  • CDD Weather Delistings - November 9 ^New
  • FIX tag Changes for Energy Futures and Options - This Week
  • Tick Assignment for Eurodollar and Eurodollar Mid–Curve Options UDS - This Week
  • Changes to Unit of Measure for Refined Energy Futures - This Week
  • Streamlined FIX/FAST – S&P / Dow Jones Indices Pre-Market Session Changes - December 6
• Events and Announcements
  • iLink Session ID Policy and Operational Guidelines
  • Order Routing and Front-End Audit Trail Requirements - April 2016

 

Critical System Updates

MDP 3.0 Migration – FIX/FAST Decommissioning

The legacy FIX/FAST feed will be decommissioned for CME Group and Partners Exchanges, including BM&FBovespa and MexDer (Mercado Mexicano de Derivados) after trading closes on the following dates.

FIX/FAST Decommission
Markets	New Release	Production
CME Group Markets	Friday, November 6	Friday, November 13
Partner Exchanges	Friday, November 6	Friday, November 13

Please note: No additional extensions will be granted.

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.

 

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Update - New iLink Architecture Phase 2 Pre-Launch

† Denotes update to the article

Effective this Sunday, November 15, CME Group continues 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)
60	CBOT Commodity and Equity options	November 14	November 15	42%
70	CME Commodity futures	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

 

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New iLink Failover Process

Effective Sunday, November 15, CME Group will continue introducing the 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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Update - AutoCert+ SMART Click Integration

† Denotes update to the article

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;

†In addition, the existing CERT VPN access model will be replaced by an new internet based access method and AutoCert+ users will be required to access AutoCert+ via the new method.

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

† Denotes update to the article

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.

†Important Note: In order to provide additional testing support for customers, the new Schema File and Enhancements will be rolled back to Schema version 5 for Channel 344 - CBOT Globex Interest Rate Futures only in New Release on Thursday, November 12. This will allow client systems to test in an environment using two different Schema versions at one time.

†Channel 344 will be upgraded with the Enhancements and the new Schema (version 6) on Wednesday, December 16.

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

Update - Implied Options

† Denotes update to the article

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.

†A complete list of products eligible for implied options functionality is available here.

The Implied Options functionality is available for customer testing in New Release.

 

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Product Launches

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

Effective this Sunday, November 15 (trade date Monday, November 16), BTIC on E-mini S&P 500 futures and BTIC on E-mini Nasdaq-100 futures are 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

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

Please see New Product Summary.

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

 

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BTIC on E-mini DJIA Futures

Effective this Sunday, November 15 (trade date Monday, November 16), BTIC on E-mini DJIA futures are listed for trading on CME Globex and for submission for clearing via CME ClearPort.

BTIC on E-mini DJIA 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 DJIA Futures	YMT	DB

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

Please see New Product Summary.

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

 

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S&P MLP Total Return Index Futures and BTIC on S&P MLP Total Return Index Futures

Effective this Sunday, November 15 (trade date Monday, November 16), S&P MLP Total Return Index futures and BTIC on S&P MLP Total Return Index futures are listed for trading on CME Globex and for submission for clearing via CME ClearPort.

S&P MLP Total Return Index Futures and BTIC on S&P MLP Total Return 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
S&P MLP Total Return Index Futures	SLP	MP
BTIC on S&P MLP Total Return Index Futures	SLT	MR

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

Please see New Product Summary.

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

 

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S&P 500 Quarterly and Annual Dividend Index Futures

Effective this Sunday, November 15 (trade date Monday, November 16), S&P 500 Quarterly and Annual Dividend Index futures are listed for trading on CME Globex and for submission for clearing via CME ClearPort.

S&P 500 Quarterly and Annual Dividend 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
S&P 500 Annual Dividend Index Futures	SDA	SD
S&P 500 Quarterly Dividend Index Futures	SDI	SD

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

Please see New Product Summary.

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

 

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European Distillate Crack Spread Futures

Effective this Sunday, November 15 (trade date Monday, November 16), the following European Distillate Crack Spread futures are listed for trading on CME Globex.

European Distillate Crack Spread Futures Contracts
Product	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
Jet Fuel Cargoes CIF NWE (Platts) Crack Spread Futures	JFC	CP
Jet Fuel Cargoes CIF NWE (Platts) Crack Spread BALMO Futures	JFB	CP
European Low Sulphur Gasoil Brent Crack Spread BALMO Futures	ESB	PT
Low Sulphur Gasoil Crack Spread (1000mt) BALMO Financial Futures	ESS	PT

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

Please see New Product Summary.

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

 

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Metals Average Price Options

Effective this Sunday, November 15 (trade date Monday, November 16), Copper and U.S. Midwest Domestic Hot-Rolled Coil Steel Index average price options (APOs) are listed for trading on CME Globex.

Metals 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 (Outrights)	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group (UDS)	DCM
Copper Average Price Options	CAP	1U (one U)	2U (two U)	COMEX
U.S. Midwest Domestic Hot-Rolled Coil Steel Index Average Price Options	HRO	I1 (eye one)	I2 (eye two)	NYMEX

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

 

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Lead Futures

Effective Sunday, November 22 (trade date Monday, November 23), Lead futures will be listed for trading on CME Globex and submission for clearing via CME ClearPort.

Lead Futures
Product	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
Lead Futures	LED	LD

These futures are available in New Release for customer testing.

Please see New Product Summary.

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

 

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New - DME Platts Crude Oil and Refined Products

Effective Sunday, December 6 (trade date Monday, December 7), subject to regulatory approval, the following Dubai Mercantile Exchange (DME) Platts Crude Oil and Refined futures and options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

DME Platts Crude Oil and Refined Futures
Product	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
Brent (Singapore Marker) vs. DME Oman Crude Oil Futures	BDS	DE
Brent vs. Dubai (Platts) Crude Oil BALMO Futures	DHI	DE
Brent vs. Dubai (Platts) Crude Oil Futures	DBI	DE
DME Oman vs. Dubai (Platts) Crude Oil Futures	DDO	DE
Dubai Crude Oil (Platts) BALMO Futures	DDI	DE
Dubai Crude Oil (Platts) Futures	DCD	DE
DME Oman Crude Oil BALMO Futures	DDB	DE
DME Oman Crude Oil Calendar Futures	ODO	DE
Singapore Gasoil (Platts) vs. DME Oman Crude Oil Futures	DDA	DE
Singapore Jet Kerosene (Platts) vs. DME Oman Crude Oil Futures	DKR	DE
Singapore Mogas 92 Unleaded (Platts) vs. DME Oman Crude Oil Futures	DDE	DE

DME Platts Crude Oil 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)
Dubai Crude Oil (Platts) Average Price Options	DAH	1O (one Oh)	2O (two Oh)

These products will be available in New Release for customer testing on Monday, November 16.

 

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Product Changes

New - Delisting of California Carbon Allowance (CCA) Futures and Options

On Monday, November 9, California Carbon Allowance (CCA) futures and options were delisted for trading on CME Globex. There is currently no open interest in these products.

California Carbon Allowance (CCA) Futures and Options
Product	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
California Carbon Allowance (CCA) Futures	CCA	VX
California Carbon Allowance (CCA) Option	CAO	GI

 

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New - CDD Weather Delistings

On Monday, November 9, the following weather futures were delisted for trading on CME Globex and for submission for clearing via CME ClearPort. There is currently no open interest in these products.

CDD Weather Delistings
Product	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
Washington Reagan Airport Month Futures	AU	HW
Washington Reagan International Seasonal May CDD Futures	AUK	HW
K6 Philadelphia CDD Futures	K6	HW
Philadelphia Cooling Seasonal May Strip Futures	K6K	HW
Philadelphia Cooling Seasonal June Strip Futures	K6N	HW
K7 Portland CDD Futures	K7	HW
Portland Cooling Seasonal May Strip Futures	K7K	HW
Portland Cooling Seasonal June Strip Futures	K7M	HW
K8 Tucson CDD Futures	K8	HW
Tucson Cooling Seasonal May Strip Futures	K8K	HW
K9 Des Moines CDD Futures	K9	HW
Des Moines Cooling Seasonal May Strip Futures	K9K	HW
Baltimore Monthly CDD Futures	KV	HW
Baltimore Cooling Seasonal May Strip Futures	KVK	HW
Boston Monthly CDD Futures	KW	HW
Boston Seasonal Strip May CDD Futures	KWK	HW

 

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FIX tag Changes for Energy Futures and Options

Effective this Sunday, November 15 (trade date Monday, November 16), the values in the following FIX tags are 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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Tick Assignment for Eurodollar and Eurodollar Mid–Curve Options UDS

Effective this Sunday, November 15 (trade date Monday, November 16 ), the Eurodollar, Eurodollar Bundle and Eurodollar Mid–Curve options User Define Spread (UDS) tick increment are modified to align CME Globex behavior to the trading floor convention as follows:

• If all legs are fixed 1/4 tick, spread will be fixed 1/4
• If legs are a mix of quarter and VTT=12, spread will be VTT=12
• If all legs are VTT=12, the spread will be VTT=12
• If any leg is 1/2 tick, the spread will be 1/2 tick

Tick Assignment for Eurodollar and Eurodollar Mid–Curve UDS Options
Product	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group (UDS)
Eurodollar Options	GE	U$
Eurodollar 1 Year Mid-Curve Options	GE0	U$
Eurodollar 2 Year Mid-Curve Options	GE2	U$
Eurodollar 3 Year Mid-Curve Options	GE3	U$
Eurodollar 4 Year Mid-Curve Options	GE4	U$
Eurodollar 5 Year Mid-Curve Options	GE5	U$
Eurodollar 1-Year Mid-Curve Weekly Options	E01,E02,E03,EO4,E05	U$
Eurodollar 2-Year Mid-Curve Weekly Options	E21,E22,E23,E24,E25	U$
Eurodollar 3-Year Mid-Curve Weekly Options	E31,E32,E33,E34,E35	U$
2-Year Eurodollar Bundle Options	BU2	U$
3-Year Eurodollar Bundle Options	BU3	U$
5-Year Eurodollar Bundle Options	BU5	U$

The minimum tick increment is defined in the instrument’s Security Definition Message (tag 35-MsgType=d) in tag 969-MinPriceIncriment.   The Variable Tick Table (VTT) values are defined in the instrument’s Security Definition Message (tag 35-MsgType=d) in tag 6350-TickRule tick table value as described online.

To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) orders for the impacted User Defined Spreads  after their close on Friday, November 13. After 16:00 CT on Friday, November 13, all remaining GTC orders for these options will be cancelled by the CME Global Command Center (GCC).

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

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

 

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Changes to Unit of Measure for Refined Energy Futures

Effective this Sunday, November 15 (trade date Monday, November 16), the values for tag 996-Unit of Measure and tag 1147-Unit of Measure Quantity on the Security Definition (tag 35-MsgType=d) are modified for the following refined products to metric tons to align with the current listing rules.

Changes to Unit of Measure for Refined 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 (UDS)	Current tag 996-UnitOfMeasure	Current tag 1147-UnitOfMeasureQty	New tag 996-UnitOfMeasure	New tag 1147-UnitOfMeasureQty
Argus Gasoline Eurobob Oxy Barges NWE Crack Spread (1000mt) Futures	RF	EOB	BBL	8,330	METON	1,000
RBOB Gasoline vs. Euro-bob Oxy NWE Barges (Argus) (350,000 gallons) Futures	RF	EXR	GAL	350,000	METON	1,000
1.0% Fuel Oil Cargoes FOB NWE (Platts) Crack Spread (1000mt) Futures	RF	FVB	METON	6,350	METON	1,000
Low Sulphur Gasoil Crack Spread (1000mt) Financial Futures	RF	GOC	BBL	7,450	METON	1,000
Mini 3.5% Fuel Oil Barges FOB Rdam (Platts) Crack Spread (100mt) Futures	RF	MFR	BBL	635	METON	100
Mini 1% Fuel oil Cargoes FOB NWE (Platts) Crack Spread (100mt) Futures	RF	MNS	BBL	635	METON	100
Mini RBOB Gasoline vs. Gasoline Euro-bob Oxy NWE Barges (Argus) Futures	PT	MXB	METON	35,000	METON	100
Mini RBOB Gasoline vs. Gasoline Euro-bob Oxy NWE Barges (Argus) BALMO Futures	PT	MXR	METON	35,000	METON	100
Naphtha Cargoes CIF NWE (Platts) Crack Spread (1000mt) BALMO Futures	RF	NBB	BBL	8,900	METON	1,000
RBOB Gasoline vs. Euro-bob Oxy NWE Barges (Argus) (350,00 Gallons) APO	EF	RGE	GAL	350,000	METON	1,000

These futures are available in New Release for customer testing.

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

 

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Streamlined FIX/FAST – S&P/Dow Jones Indices Pre-Market Session Changes

Effective Sunday, December 6, the streamlined FIX/FAST feed for S&P/Dow Jones Indices will include the following Index Pre-Market Session changes.

• Streamlined FIX/FAST will begin disseminating messages for Indices with a Pre-Market session 1 hour prior to the trading session of the underlying exchanges.
• During the Pre-Market session:
  • Bid and Ask Indicative Index values will continue to be available.
  • Index Values will no longer be provided.

The following is a list of Indices for which the Pre-Market Session will be available:

Streamlined FIX/FAST – S&P / Dow Jones Indices Pre-Market Session Changes
Index Symbol	Index Name
SP100	S&P 100
SP400	S&P 400
SP500	S&P 500
SP600	S&P 600
DJC	Dow Jones Composite Average
DJI	Dow Jones Industrial Average
DJI2MN	Dow Jones Industrial Average 2 Minute
DJT	Dow Jones Transportation Average
DJU	Dow Jones Utility Average
IXY	Consumer Discretionary Select Sector Index
IXR	Consumer Staples Select Sector Index
IXE	Energy Select Sector Index
IXM	Financial Select Sector Index
IXV	Health Care Select Sector Index
IXI	Industrial Select Sector Index
IXB	Materials Select Sector Index
IXT	Technology Select Sector Index
IXU	Utilities Select Sector Index

 

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Events and Announcements

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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