CME Globex Notice: November 16, 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 ^Update
  • New iLink Failover Process
  • AutoCert+ SMART Click Integration - Q4 2015
  • 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 ^Update
• Product Launches
  • Lead Futures - This Week
  • DME Platts Crude Oil and Refined Products - December 6
  • Mini-Argus Butane (Saudi Aramco) Futures - December 6 ^New
  • MJP Asia Aluminum Premium Futures - December 6 ^New
• Product Changes
  • Streamlined FIX/FAST – S&P/Dow Jones Indices Pre-Market Session Changes - December 6
  • Change to Minimum Price Increment for Euro/U.S. Dollar (EUR/USD) Futures - January 10 ^New
• Events and Announcements
  • Thanksgiving Holiday Schedule - November 26 ^New
  • 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 this Friday, November 20.

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

†The previously announced MSGW Phase 2 Pre-Launch mock trading sessions and launches have been postponed. A new schedule will be announced in future CME Globex notices.

CME Group will continue 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.

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New iLink Failover Process

With the iLink Architecture Phase 2 Pre-Launch, 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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AutoCert+ SMART Click Integration

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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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.

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

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.

†To support this functionality, the non-reviewable range for implied eligible spreads will be the same as the non-reviewable range of the individual legs.

†The non-reviewable range for every CME Globex product is defined in the CME Globex Reference Sheet.

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

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Product Launches

Lead Futures

Effective this 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.

These futures are available in New Release for customer testing.

Please view the New Product Summary.

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

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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.

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

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New - Mini-Argus Butane (Saudi Aramco) Futures

Effective Sunday, December 6 (trade date Monday, December 7), Mini-Argus Butane (Saudi Aramco) futures will be listed for trading on CME Globex and for clearing submission via CME ClearPort.

These futures will be available for customer testing in New Release on Monday, November 23.

Please view the New Product Summary.

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

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New - MJP Asia Aluminum Premium Futures

Effective Sunday, December 6 (trade date Monday, December 7), MJP Asia Aluminum Premium futures will be listed for trading on CME Globex and for clearing submission via CME ClearPort.

These futures will be available for customer testing in New Release on Monday, November 23.

Please view the New Product Summary.

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

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Product Changes

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:

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New - Change to Minimum Price Increment for Euro/U.S. Dollar (EUR/USD) Futures

Effective Sunday, January 10, 2016 (trade date Monday, January 11), the minimum price increment for the Euro/U.S. Dollar futures will be changed from .0001 to .00005 commencing with the March 2016 maturity and beyond. With this change, tag 969-MinPriceIncrement will be modified as follows:

This change will be available for customer testing in New Release on Monday, November 23.

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

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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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