• CME Globex Notices: December 21, 2015

      • To
      • CME Globex and Market Data Customers
      • From
      • GMSS
      • #
      • 20151221
      • Notice Date
      • 21 December 2015
      • Effective Date
      • 24 December 2015

    •  

      Topics in this issue include:

       

      Critical System Updates

      New iLink Architecture Phase 2 Pre-Launch

      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 that 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)
      54 CME Equity and Commodity options January 30, 2016 January 31, 2016 TBD
      64 CME E-mini S&P 500 futures January 9, 2016
      January 30, 2016      		 January 31, 2016 TBD
      66 CBOT Equity futures January 30, 2016 January 31, 2016 TBD
      68 CME Equity futures excluding E-mini S&P 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, 2016
      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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      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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      Drop Copy 4.0 Implementation

      On January 9 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 that 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, 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 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 Sunday, February 7, 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 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. 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. †For more information about the Mock Trading Sessions, please view the mock trading session script.

      <
      New iLink Architecture Phase 2 Launch Schedule
      Tag1300-MarketSegmentID Market Segment Phase 2 Mock Trading Session Phase 2 Launch Schedule
      52 CME FX options January 9, 2016
      January 23, 2016
      February 6, 2016      		 February 7, 2016
      62 CME FX futures January 9, 2016
      January 23, 2016
      February 6, 2016      		 February 7, 2016
      60 CBOT Commodity and Equity options January 23, 2016
      February 27, 2016      		 February 28, 2016
      70 CME Commodity futures January 23, 2016
      February 27, 2016      		 February 28, 2016
      72 CBOT Commodity futures January 23, 2016
      February 27, 2016      		 February 28, 2016
      54 CME Equity options March 19, 2016 March 20, 2016
      64 CME E-mini S&P 500 futures January 9, 2016
      January 23, 2016
      March 19, 2016      		 March 20, 2016
      66 CBOT Equity futures March 19, 2016 March 20, 2016
      68 CME Equity futures excluding E-mini S&P March 19, 2016 March 20, 2016
      50 CME Eurodollar options April 2, 2016 April 3, 2016
      58 CBOT Treasury options April 2, 2016 April 3, 2016
      82 CME Eurodollar futures April 2, 2016 April 3, 2016
      84 CBOT Treasury futures January 9, 2016
      January 23, 2016
      April 2, 2016      		 April 3, 2016
      56 NYMEX and COMEX options April 9, 2016 April 10, 2016
      74 Hosted Partner Exchange markets and NYMEX Emissions futures April 9, 2016 April 10, 2016
      76 NYMEX and COMEX Metals and Alternative Market futures April 9, 2016 April 10, 2016
      78 NYMEX Non-Crude Energy futures April 9, 2016 April 10, 2016
      80 NYMEX Crude Energy futures  January 9, 2016
      January 23, 2016
      April 9, 2016      		 April 10, 2016
      86 CME Europe futures and options April 9, 2016 April 10, 2016

      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

      Ultra 10-Year Treasury Note Futures and Options

      Effective Sunday, January 10 (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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      New - DME Oman Crude Oil and Dubai Crude Oil (Platts) Average Price Options

      Effective Sunday, January 24 (trade date Monday, January 25), subject to regulatory approval, the following Dubai Mercantile Exchange Oman Crude Oil and Dubai Crude Oil (Platts) Average Price options products will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      DME Oman Crude Oil and Dubai Crude Oil (Platts) 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
      DME Oman Crude Oil Average Price Option DRD 1O (one oh) outright, 2O (2 oh) (UDS)
      Dubai Crude Oil (Platts) Average Price Option DAH 1O (one oh) outright, 2O (2 oh) (UDS)

      These products will be available in New Release for customer testing on Monday, January 11, 2016.

      These contracts are listed with, and subject to, the rules and regulations of the Dubai Mercantile Exchange (DME).

       

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      Product Changes

      New - Delisting Futures Contract Months and Suspension of Additional Options Contract Months for Tanker Freight Route Contracts

      On Monday, December 21, all maturities for the Freight Route TD3 (Baltic) Futures after December 2017 were delisted.

      In addition, effective Monday, January 11, and pending all relevant CFTC regulatory review periods, the listing of new contract months in the Freight Route TD3 (Baltic) Average Price Options contract will be suspended.

      There was no open interest in the delisted futures contract months.

      Tanker Freight Route Futures
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Freight Route TD3 (Baltic) Futures TL LD
      Freight Route TD3 (Baltic) Average Price Options TDT LD

       

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      New - Delisting of Variance Futures

      On Monday, December 21, the following Variance futures were delisted from trading on CME Globex. There was no open interest in these products.

      Energy Variance 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 Crude Oil Quarterly Variance Futures VBQ CV
      Brent Crude Oil Semi-Annual Variance Futures VBS CV
      Brent Crude Oil Calendar Variance Futures VBY CV
      Crude Oil Calendar Variance Futures VLA CV
      Crude Oil Quarterly Variance Futures VLR CV
      Crude Oil Semi-Annual Variance Futures VLS CV
      Natural Gas Calendar Variance Futures VNA VN
      Natural Gas Quarterly Variance Futures VNQ VN
      Natural Gas Semi-Annual Variance Futures VNS VN
      Australian Dollar/U.S. Dollar Quarterly Variance Futures VAQ VD
      Australian Dollar/U.S. Dollar Semi-Annual Variance Futures VAS VD
      Australian Dollar/U.S. Dollar Annual Variance Futures VAY VD
      Euro/U.S. Dollar Annual Variance Futures VEA VF
      Euro/U.S. Dollar Quarterly Variance Futures VEQ VF
      Euro/U.S. Dollar Semi-Annual Variance Futures VES VF
      British Pound/U.S. Dollar Annual Variance Futures VPA VD
      British Pound/U.S. Dollar Quarterly Variance Futures VPQ VD
      British Pound/U.S. Dollar Semi-Annual Variance Futures VPS VD
      U.S. Dollar/Japanese Yen Quarterly Variance Futures VJQ VD
      U.S. Dollar/Japanese Yen Semi-Annual Variance Futures VJS VD
      U.S. Dollar/Japanese Yen Annual Variance Futures VJY VD
      Gold Annual Variance Futures VGA VM
      Gold Quarterly Variance Futures VGQ VM
      Gold Semi-Annual Variance Futures VGS VM
      Silver Quarterly Variance Futures VSQ VS
      Silver Semi-Annual Variance Futures VSS VS
      Silver Semi-Annual Variance Futures VSY VS

       

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      New - Delisting of JM Electricity Product

      On Monday, December 21, PJM Electricity Option on Calendar Futures Strip was delisted from trading on CME Globex.

      PMJ Electricity Futures
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      PJM Electricity Option on Calendar Futures Strip A6O ET

       

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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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      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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      New - Changes to Unit of Measure for Iron Ore Futures

      Effective Sunday, January 17 (trade date Tuesday, January 19), the values for tag 996-Unit of Measure on the Security Definition (tag 35-MsgType=d) message will be modified for the following refined products to dry metric tons to align with the current listing rules.

      Changes to Unit of Measure for Iron Ore 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 996-UnitOfMeasure
      (Current)      		 tag 996-UnitOfMeasure
      (New)
      Iron Ore 62% Fe, CFR North China (Platts) Average Price Option ICP I1 MTONS (Metric Tons) DT (Dry Metric Tons)
      Iron Ore 62% Fe, CFR China (TSI) Average Price Option ICT I1 MTONS (Metric Tons) DT (Dry Metric Tons)
      Iron Ore 62% Fe, CFR North China (Platts) Futures PIO ST MTONS (Metric Tons) DT (Dry Metric Tons)
      Iron Ore 58% Fe, Low Alumina, CFR China (TSI) Futures TIC ST MTONS (Metric Tons) DT (Dry Metric Tons)
      Iron Ore 62% Fe, CFR China (TSI) Futures TIO ST MTONS (Metric Tons) DT (Dry Metric Tons)

      This change will be in New Release for customer testing on Monday, January 4.

       

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      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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      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.

       

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      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, 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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      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. 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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