CME Globex Notices: December 14, 2015

 

Topics in this issue include:

• Critical System Updates
  • MDP 3.0 - New Schema File and Updated High Bid/Low Ask Statistics Calculations - This Week
  • New iLink Architecture Phase 2 Pre-Launch - December 20 ^Update
  • New iLink Failover Process - December 20 ^Update
  • Drop Copy 4.0 Implementation - January 9 ^Update
  • AutoCert+ SMART Click Integration - January 11
  • New iLink Architecture Phase 2 - 2016 ^Update
  • iLink Session ID Policy and Operational Guidelines
• Product Launches
  • Renewable Identification Number Futures - This Week
  • 1-Month and 3-Month Euro/US Dollar (EUR/USD) Realized Volatility Futures - This Week
  • Ultra 10-Year Treasury Note Futures and Options - January 10 ^Update
• Product Changes
  • Name Changes for Eleven Gulf Coast Residual Fuel Oil Futures and Options - This Week ^New
  • Changes to Non-Reviewable Range for Aluminium European Premium Duty-Unpaid (Metal Bulletin) Futures - This Week ^New
  • Renaming E-mini CNX Nifty Index Futures - This Week
  • Change to Minimum Price Increment for Euro/U.S. Dollar (EUR/USD) Futures - January 10
  • Aluminium European Premium Duty-Unpaid (Metal Bulletin) Futures Calendar and Strips Spreads - January 10 ^New
  • Minimum Quantity Changes for Covered Options - January 17 ^New
• Events and Announcements
  • Reduced Velocity Logic Parameters - Starting December 24
  • iLink Session ID Policy and Operational Guidelines
  • Messaging Efficiency Program Q1 2016 Benchmarks - 2016 ^New
  • CME Globex Messaging Efficiency Program 2016 Holiday Calendar - 2016 ^New
  • Order Routing and Front-End Audit Trail Requirements - April 2016

 

Critical System Updates

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

Effective this Sunday, December 20 (trade date Monday, December 21), CME Group will complete implementation of the updates to the calculation of High Bid/Low Ask Statistics and new Schema file for the final group of MDP 3.0 channels.

312	CME Globex Interest Rate Futures
315	CME Globex FX Options
317	CME Globex Commodity Options
321	CME Globex FX Options II
344	CBOT Globex Interest Rate Futures
380	NYMEX Globex Emissions Futures
382	NYMEX Globex Crude & Crude Refined Futures
430	BMD Globex Futures
431	BMD Globex Options
440	DME Globex Futures
450	KRX Globex Futures

A complete description of these changes can be found here.

Important Note: In order to provide additional testing support for customers, Channel 344 - CBOT Globex Interest Rate Futures in New Release is on Schema version 5. This allows client systems to test in an environment using two different Schema versions at one time.

Channel 344 in New Release 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 are now available in New Release for all channels except 344.
• 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 launch date for each Channel.
• 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.

 

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Update - New iLink Architecture Phase 2 Pre-Launch

† Denotes update to the article

Starting this Sunday, December 20, 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). There are no connectivity changes associated with these changes and customers will not be able to connect directly to the MSGWs until the Phase 2 launch starting in 2016.

In internal testing, the MSGW 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 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 †on Saturday in order to participate in the mock trading sessions. For more information about the Mock Trading Sessions, please view the mock trading session script.

New iLink Architecture Phase 2 Pre-Launch Schedule
Tag1300-MarketSegmentID	Market Segment	Pre-Launch Mock Trading Session	Pre-Launch Schedule	iLink Round-TrIp Times Improvement (up to)
60	CBOT Commodity and Equity options	December 19, 2015	December 20, 2015	42%
70	CME Commodity futures	December 19, 2015	December 20, 2015	36%
72	CBOT Commodity futures	December 19, 2015	December 20, 2015	33%
54	CME Equity options	†December 19, 2015 January 30, 2016	†January 31, 2016	TBD
64	CME E-mini S&P 500 futures	†December 19, 2015 January 9, 2016 January 30, 2016	†January 31, 2016	TBD
66	CBOT Equity futures	†December 19, 2015 January 30, 2016	†January 31, 2016	TBD
68	CME Equity futures excluding E-mini S&P	†December 19, 2015 January 30, 2016	†January 31, 2016	TBD
50	CME Eurodollar options	†January 30, 2016 February 20, 2016	†February 21, 2016	TBD
58	CBOT Treasury options	†January 30, 2016 February 20, 2016	†February 21, 2016	TBD
82	CME Eurodollar futures	†January 30, 2016 February 20, 2016	†February 21, 2016	TBD
84	CBOT Treasury futures	†January 30, 2016 January 9, 2016 February 20, 2016	†February 21, 2016	TBD
56	NYMEX and COMEX options	†February 20, 2016 March 5, 2016	†March 6, 2016	TBD
74	Hosted Partner Exchange markets	†February 20, 2016 March 5, 2016	†March 6, 2016	TBD
76	NYMEX and COMEX Metals and Alternative Market futures	†February 20, 2016 March 5, 2016	†March 6, 2016	TBD
78	NYMEX Non-Crude Energy and Emissions futures	†February 20, 2016 March 5, 2016	†March 6, 2016	TBD
80	NYMEX Crude Energy futures	†January 9, 2015 February 20, 2016 March 5, 2016	†March 6, 2016	TBD
86	CME Europe futures and options	†February 20, 2016 March 5, 2016	†March 6, 2016	TBD

 

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Update - New iLink Failover Process

† Denotes update to the article

Starting on †Sunday, December 20, 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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Update - Drop Copy 4.0 Implementation

† Denotes update to the article

†On January 9, 2016, CME Group will offer a customer mock trading session for Drop Copy 4.0 Market Segment Gateway (MSGW) target sessions.

†The Drop Copy 4.0 MSGW mock trading session script is now available online.

†The Drop Copy 4.0 MSGW 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 †decommissioned on Friday, March 4, 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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AutoCert+ SMART Click Integration

On Sunday, November 22, the CERT VPN access model for AutoCert+ was replaced by a new internet based access method and users are required to access AutoCert+ via the new URL.

• The new access model offers a secure web-based URL which provides bidirectional encryption of communications between a client and server, thereby ensuring privacy and integrity of the exchanged data.
• Customers can still log into AutoCert+ with their existing credentials.
• There will be no change to test suite status. Customers who are in the process of certifying will not lose any data with this move.

Starting on Monday, January 11, 2016, AutoCert+ users will have the ability to migrate to SMART Click.

• Current users will be expected to associate their legacy user name and password to their SMART Click ID and connect via a new URL
• New users will be expected to register their SMART Click ID and connect via a new URL

On April 11, 2016, all AutoCert+ access will migrate to SMART Click and legacy user ID and password will be decommissioned.

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 - New iLink Architecture Phase 2

† Denotes update to the article

Starting in 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 full Phase 2 launch schedule will be announced in future CME Globex Notices.

The Phase 2 launch will allow customers to access the MSGWs 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.

†CME Group will offer several customer mock trading sessions to ensure customers have opportunities to connect directly to their new MSGW sessions and trade in the CME Globex production environment prior to the Phase 2 launch. The first Phase 2 mock trading session will be scheduled on:

• †Saturday, January 9, 2016
  • †Customers are required to register in advance and join the conference bridge line on Saturday in order to participate in the Phase 2 mock trading session.
  • †Additional mocks and an overview to the Phase 2 mock trading sessions will be published in next week’s Globex Notices.

†During this Phase 2 mock trading session, customers may select to trade using any CME Group instruments from the following market segments, per their business needs.

†Tag1300-MarketSegmentID	†Market Segment
52	CME FX options
62	CME FX futures
64	CME E-mini S&P 500 futures
80	NYMEX Crude Energy futures
84	CBOT Treasury futures

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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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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Product Launches

Renewable Identification Number Futures

Effective this Sunday, December 20 (trade date Monday, December 21), the following Renewable Identification Number (RIN) 2016 vintage futures are listed for trading on CME Globex and for clearing submission via CME ClearPort.

Product	FIX/FAST and iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	FIX/FAST and iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
D4 Biodiesel RINs (Argus) 2016 Futures	D46	RI (R-eye)
D6 Ethanol RINs (Argus) 2016 Futures	D66	RI (R-eye)

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

Please view the New Product Summary.

This contract is listed with, and subject to, the rules and regulations of NYMEX.

 

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1-Month and 3-Month Euro/US Dollar (EUR/USD) Realized Volatility Futures

Effective this Sunday, December 20 (trade date Monday, December 21), 1-Month and 3-Month EUR/USD Realized Volatility futures are listed for trading on CME Globex and for submission for clearing via CME ClearPort.

1-Month and 3-Month Euro/US Dollar (EUR/USD) Realized Volatility Futures
Product	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
3-Month EUR/USD Realized Volatility Futures	36E	6E
1-Month EUR/USD Realized Volatility Futures	16E	6E

These futures are available for customer testing in New Release.

Please view the New Product Summary.

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

 

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Update - Ultra 10-Year Treasury Note Futures and Options

† Denotes update to the article

Effective Sunday, January 10, 2016 (trade date Monday, January 11), Ultra 10-Year Treasury Note futures and options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Ultra 10-Year Treasury Note 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
Ultra 10-Year U.S. Treasury Note Futures	TN	Z1
Options on Ultra 10-Year U.S. Treasury Note Futures	OTN	T1
Weekly Options on Ultra 10-Year U.S. Treasury Note Futures	TN1-TN5	†T1
2-Year T-Note Futures vs. Ultra 10-Year U.S. Treasury Note Futures Inter-commodity Ratio Spread	TUX	IV
3-Year T-Note Futures vs. Ultra 10-Year U.S. Treasury Note Futures Inter-commodity Ratio Spread	TYX	IV
5-Year T-Note Futures vs. Ultra 10-Year U.S. Treasury Note Futures Inter-commodity Ratio Spread	FIX	IV
10-Year T-Note Futures vs. Ultra 10-Year U.S. Treasury Note Futures Inter-commodity Ratio Spread	TEX	IV
10-Year T-Note Futures vs. Ultra 10-Year U.S. Treasury Note Futures Inter-commodity 1-to-1 Ratio Spread	NON	IV
Ultra 10-Year U.S. Treasury Note Futures vs. U.S. Treasury Bond Futures Inter-commodity Ratio Spread	NCB	IV
Ultra 10-Year U.S. Treasury Note Futures vs. Ultra U.S. Treasury Bond Futures Inter-commodity Ratio Spread	NUB	IV

These futures and options are available in New Release for customer testing.

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

 

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Product Changes

New - Name Changes for Eleven Gulf Coast Residual Fuel Oil Futures and Options

Effective immediately, the following Gulf Coast Residual Fuel Oil futures and options will be renamed as follows:

Name Changes for HSFO Products
Current Product	New Product Name	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
Gulf Coast No. 6 Fuel Oil 3.0% (Platts) Average Price Options	Gulf Coast HSFO (Platts) Average Price Options	AFG	EF
NY 3.0% Fuel Oil (Platts) vs. Gulf Coast No. 6 Fuel Oil 3.0% (Platts) Futures	NY 3.0% Fuel Oil (Platts) vs. Gulf Coast HSFO (Platts) Futures	FOC	RF
Gulf Coast No.6 Fuel Oil 3.0% (Platts) Brent Crack Spread Futures	Gulf Coast HSFO (Platts) Brent Crack Spread Futures	GCI	RF
Gulf Coast No. 6 Fuel Oil 3.0% (Platts) vs. European 3.5% Fuel Oil Barges FOB Rdam (Platts) Futures	Gulf Coast HSFO (Platts) vs. European 3.5% Fuel Oil Barges FOB Rdam (Platts) Futures	GCU	PT
Gulf Coast No. 6 Fuel Oil 3.0% (Platts) Futures	Gulf Coast HSFO (Platts) Futures	MFB	PT
Gulf Coast No. 6 Fuel Oil (Platts) Crack Spread Futures	Gulf Coast HSFO (Platts) Crack Spread Futures	MGH	RF
NY 1% Fuel Oil (Platts) vs. Gulf Coast 3% Fuel Oil (Platts) Futures	NY 1% Fuel Oil (Platts) vs. Gulf Coast HSFO (Platts) Futures	VR	PT
Gulf Coast 3.0% Fuel Oil (Platts) BALMO Futures	Gulf Coast HSFO (Platts) BALMO Futures	AVZ	RF
Gulf Coast No. 6 Fuel Oil 3.0% (Platts) vs. European 3.5% Fuel Oil Barges FOB Rdam (Platts) BALMO Futures	Gulf Coast HSFO (Platts) vs. European 3.5% Fuel Oil Barges FOB Rdam (Platts) BALMO Futures	GCB	RF
Gulf Coast No. 6 Fuel Oil (Platts) Crack Spread BALMO Futures	Gulf Coast HSFO (Platts) Crack Spread BALMO Futures	GFC	RF
NY 1% Fuel Oil (Platts) vs. Gulf Coast 3% Fuel Oil (Platts) BALMO Futures	NY 1% Fuel Oil (Platts) vs. Gulf Coast HSFO (Platts) BALMO Futures	NFG	CP

Additional information on this change is available here.

 

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New - Changes to Non-Reviewable Range for Aluminium European Premium Duty-Unpaid (Metal Bulletin) Futures

Effective this Sunday, December 20 (trade date Monday, December 21), the Non-Reviewable Ranges will be modified for Aluminium European Premium Duty-Unpaid (Metal Bulletin) futures.

Product	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Non-Reviewable Range	New Non-Reviewable Range
Aluminium European Premium Duty-Unpaid (Metal Bulletin) Futures Contract	AEP	ST	250	2000

Additional information on these changes is available here.

The non-reviewable range and price band settings for every CME Globex product are defined in the CME Globex Product Reference.

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

 

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Renaming E-mini CNX Nifty Index Futures

Effective this Sunday, December 20 (trade date Monday, December 21), the E-mini CNX Nifty Index Futures is renamed to E-mini NIFTY 50 Index Futures.

Renaming E-mini CNX Nifty Index Futures to E-mini NIFTY 50 Index Futures
Old Product Name	New Product Name	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
E-mini CNX Nifty Index Futures	E-mini NIFTY 50 Index Futures	MNF	FN

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

 

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

Effective Sunday, January 10 (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:

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

Product

iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset

iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group

tag 969-MinPriceIncrement (Current)

tag 969-MinPriceIncrement (New)

Euro/U.S. Dollar Futures

6E

6E

1

0.5

This change is available for customer testing in New Release.

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

 

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New - Minimum Quantity Changes for Covered Options

Effective Sunday, January 17 (trade date Tuesday, January 19), CME Group will make changes to the minimum quantity value in the Security Definition (tag 35-MsgType=d) message on all covered options.

CME Globex will reject orders and mass quotes with quantities violating the minimum quantity value in tag 526-MinTradeVol for all covered options strategies. There are no changes to the current functionality.

The following new error codes have been introduced with these changes.

Error Code	Tag 58-Text
Sent in response to New Order (tag 35-MsgType=D) and Cancel Replace (tag 35-MsgType=G) messages in tag 103-OrdRejReason of the Execution Report (tag 35-MsgType=8)	Text explanation of error code
2115	Order quantity is outside of the allowable range 'Quantity: <Requested Quantity> Max: <Maximum configured for contract> Min: <Minimum configured for contract>’
7613	Disclosed quantity cannot be smaller than the minimum quantity 'Disclosed: <Requested Quantity> Min: <Minimum configured for contract>’

For Mass quote or quote request messages with an invalid quantity, tag 368-QuoteEntryRejectReasonof the Quote Acknowledgment (tag 35-MsgType=b) message will reflect a new reject code.

Rejection Code	Description
100	Quote entry quantity is outside of the allowable range
101	Quote entry quantity is outside of the allowable max & min qty range for contract and resting quote cancelled

More information on UDS: Covereds functionality and trading is available online.

The UDS: Covereds changes enhancement will be available in New Release for customer testing on Monday, January 4.

If you have any questions, please contact the CME Global Command Center in the U.S. at +1 800 438 8616, in Europe at 0800 898 013 or in Asia at +65 6532 5010.

 

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New - Aluminium European Premium Duty-Unpaid (Metal Bulletin) Futures Calendar and Strips Spreads

Effective Sunday, January 10 (trade date Monday, January 11), calendar and strips spreads will be listed for trading on CME Globex for Aluminium European Premium Duty-Unpaid (Metal Bulletin) futures.

Product	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	tag 762-SecuritySubType
Aluminium European Premium Duty-Unpaid (Metal Bulletin) futures	AEP	ST	SP (Calendar Spread) SA (Energy Strip)

Listing Rules:

• Calendar spreads for the nearest 12 contracts months
• January, April, July and October quarterly strips (SA) for the nearest 12 months
• Balance of the year strip for the nearest 12 months

The new calendar spreads and strips will be available for customer testing in New Release this Monday, December 21.

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

 

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Events and Announcements

Reduced Velocity Logic Parameters

Starting on trade date Thursday, December 24 through the close of trading on Thursday, December 31, CME Group will reduce the price parameters that trigger Velocity Logic by 50 percent. In addition, CME Group will double the standard monitoring period.

Please note: Regular Velocity Logic parameters will apply to CME Europe products.

The Velocity Logic parameters for every CME Globex product are defined in the CME Globex Product Reference.

New - Messaging Efficiency Program Q1 2016 Benchmarks

The Q1 2016 CME Globex Messaging Efficiency Program Product Group Benchmarks are now available online. No changes were made to any of the Q1 2016 Product Group Benchmarks vs. Q4 2015 Product Group Benchmarks.

Effective trade date Monday, February 1, 2016, the following product groups and levels will be added to the Messaging Efficiency Program:

Sector	Product Group	Product	Tier 3 Ratio	Tier 2 Ratio	Tier 1 Ratio
Commodity	LE	Live Cattle Futures & Spreads	60:1	40:1	20:1
Commodity	GF	Feeder Cattle Futures & Spreads	180:1	120:1	60:1
Commodity	LE	Lean Hog Futures & Spreads	75:1	50:1	25:1
Interest Rate	ZU	Ultra U.S. Treasury Bond Futures & Spreads	75:1	50:1	25:1

The Product Group Benchmark Ratios are published quarterly, unless business circumstances for a particular product or product group require changes to be implemented more frequently.

The CME Globex Messaging Efficiency Program creates fair business guidelines by which customers are billed a surcharge for overly high message rates.

Please contact your Global Account Manager in the U.S. at 312 634 8700, in Europe at 44 203 379 3754, or in Asia at 65 6593 5505 with any questions.

 

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New - CME Globex Messaging Efficiency Program 2016 Holiday Calendar

As noted in the CME Globex Messaging Efficiency Program (MEP) document, the MEP is not applied on certain dates before/on/after U.S. recognized holidays. To obtain dates as to when CME Globex Messaging Efficiency Program Ratios for all Product Groups included in the MEP will not be enforced, please refer to the CME Globex Messaging Efficiency Program Holiday Calendar.

 

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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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