• CME Globex Notices: February 29, 2016

      • To
      • CME Globex and Market Data Customers
      • From
      • GMSS
      • #
      • 20160229
      • Notice Date
      • 29 February 2016

    •  

      Topics in this issue include:

       

      Critical System Updates

      New iLink Architecture Phase 2 Pre-Launch

      Effective this Sunday, March 6, 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)
      56 NYMEX and COMEX options March 5, 2016 March 6, 2016 60%
      74 Hosted Partner Exchange markets March 5, 2016 March 6, 2016 20%
      76 NYMEX and COMEX Metals and Alternative Market futures March 5, 2016 March 6, 2016 30%
      78 NYMEX Non-Crude Energy and Emissions futures March 5, 2016 March 6, 2016 30%
      80 NYMEX Crude Energy futures March 5, 2016 March 6, 2016 30%
      86 CME Europe futures and options March 5, 2016 March 6, 2016 30%

       

      Back to Top

       

      RC4 Cipher Suites

      CME Group is committed to information security. To deliver the best security and customer experience, we are eliminating support of the RC4-based cipher suites for CME Group web-based applications, APIs, and services. Effective Saturday, March 12, customers using RC4 will not be able to access, connect, or establish sessions for CME Group products.

      CME Group Services
      • CME Account Manager
      • AutoCert+
      • Broker to Broker
      • Broker Payment System (BPS)
      • CME ClearPort
      • CME Cleared Trades API
      • CME ConfirmHub
      • CME Core
      • CoLo Portal
      • CME Positions Systems
      • CME DataPoint
      • Deliveries Plus System
      • CME E-Bill
      • Enterprise Reporting Portal (EREP)
      • Exchange Fee System (EFS)
      • FEC, FEC+ and FEC for OTC IRS
      • Firm Admin Dashboard (FADB)
      • Firm Regulatory Portal
      • FirmSoft
      • Galax-C Admin
      • Give-Up Payment System (GPS)
      • Global Repository Services
      • Membership Portal
      • OR Web Report
      • CME Group Risk Management Tools – 
        Globex Credit Controls (GC2), Risk Management Interface (RMI)
      • Settlements Firm
      • SMART Click
      • CME STP

      Customers following CME Group Web Browser Standards should not be impacted by this change. However, if customers connect through a proxy, they should ensure their proxy utilizes one or more of these CME Group supported ciphers:

      • TLS_RSA_WITH_AES_256_CBC_SHA256
      • TLS_RSA_WITH_AES_256_CBC_SHA
      • TLS_RSA_WITH_AES_128_CBC_SHA256
      • TLS_RSA_WITH_AES_128_CBC_SHA

       

      Back to Top

       

      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 available for customer testing in New Release.

      Detailed information including these failover behavior changes and customer New Release testing window are now available online.

       

      Back to Top

       

      New iLink Architecture Phase 2

      CME Group will continue to launch Phase 2 of the new iLink Architecture, which implements 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

      Important MSGW Updates:

      • CME Group strongly recommends MSGW customers retain their traded-in CGW sessions until further notice in case of technical issues.
      • Access to TAS markets during the early pre-open will remain restricted to Phase 1 MSGW sessions until the Phase 2 launches are complete.
      • The new FIX tag 5979-RequestTime will be added to iLink outbound messages from CME Globex to the client system following the completion of all Phase 2 launches.

      Detailed timelines for these updates will be announced in future CME Globex notices.

      The Phase 2 launch allows customers to access the MSGWs directly and introduces 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 continues to be supported and routes through the MSGWs.

      CME Group offers several customer mock trading sessionswith full Drop Copy 4.0 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.

      Please note that FirmSoft will not be available during the Saturday, February 27 mock trading session.

      New iLink Architecture Phase 2 Launch Schedule
      Tag1300-MarketSegmentID Market Segment Phase 2 Mock Trading Session Phase 2 Launch Schedule
      54 CME Equity options March 19, 2016 March 20, 2016
      64 CME E-mini S&P 500 futures 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 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 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 available on the CME Group SFTP site. The file contains the list of all market segments and MSGW IP addresses. Refer to MSGW – SFTP Site Information for more information.

      A new iLink MSGW certification suite is available in Autocert+. Both iLink and the new iLink MSGW certifications are required for customer systems to connect directly to the MSGW. To successfully certify your application, customers must use the same System Profile for both iLink and iLink MSGW certifications. As a reminder, all customers must certify and migrate to Drop Copy 4.0. Only Drop Copy 4.0 supports MSGW source sessions.

      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.

       

      Back to Top

       

      Drop Copy 4.0 Implementation

      CME Group will continue to implement Drop Copy 4.0 support for Market Segment Gateways (MSGWs) source sessions in addition to the Convenience Gateway (CGW) implementation available in production.

      The Drop Copy 4.0 MSGW mock trading session script and production launch schedule are now available.

      Please Note: During the mock trading session, customers may observe some simulated messaging activity on their target sessions generated by their source sessions not registered for the mock.

      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 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, May 6, 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.

       

      Back to Top

       

      CME Ciphers and MACs SFTP Changes

      On Saturday, April 9, CME Group will update our supported list of ciphers and MACs to enhance security of customers’ connectivity to CME Group Secure FTP site.

      This change will impact connectivity to CME Group Secure FTP site. Following the update, customers must use at least one of the Ciphers and one of the MAC’s listed below:

      Supported Cipher algorithms:

      • aes256-ctr
      • aes192-ctr
      • aes128-ctr
      • aes256-cbc
      • aes192-cbc
      • aes128-cbc

      Supported MAC Algorithms:

      • hmac-sha2-256
      • hmac-sha2-512
      • hmac-sha1

      Failing to do so will impact firms’ ability to access CME Group Secure FTP site. Customers can test this enhancement in the Test SFTP site starting on Monday, February 29.

      Below are the CME Group Secure FTP site information and testing procedure:

      • Web based site address: sftpcert.cmegroup.com
      • Will accept the same credentials currently used for Production SFTP site.
      • Firms can send a test file into the Incoming folder
      • or Download test file “CME.Cipher.Test.xml” from the Outgoing folder.

      Back to Top

       

      AutoCert+ SMART Click Integration

      In Q2 2016, all AutoCert+ access will migrate to SMART Click and legacy user IDs and passwords will be decommissioned.

      Currently, AutoCert+ users have the ability to migrate their existing AutoCert+ Login ID to SMART Click.

      A single SMART Click ID can be used to claim all the users existing AutoCert+ Login ID’s. Claiming legacy AutoCert+ ID’s will consolidate the user’s entitlements associated with the legacy AutoCert+ ID’s under one SMART Click ID.

      All AutoCert+ users need to begin the claim process with a registered SMART Click ID.

      • Current users with a SMART Click ID can begin the SMART Click claim process now.
      • New AutoCert+ users create a SMART Click ID prior to accessing AutoCert+

      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.

       

      Back to Top

       

      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 June 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.

       

      Back to Top

       

      New Functionality

      New Cross Process on CME Globex

      Effective Sunday, April 10 (trade date Monday, April 11), CME Globex will introduce a new Committed Cross (C-Cross) process for CME FX options and CME and CBOT Interest Rate and Equity Index options.

      The new C-Cross process supports the following enhancements to Request for Cross:

      • The Request for Quote (tag 35-MsgType=R) is no longer required.
        • CME Globex will continue to automatically publish an RFQ upon receipt of the Request for Cross (tag 35-MsgType=s) message
      • Extended Pre-cross state.
      • Better Price Match (BPM) guaranteed execution for some markets.

      A detailed description of the C-Cross process is available here. More information is also available in the Regulatory Advisory.

      The C-Cross process is available in New Release and AutoCert+ for customer testing.

      Customer systems already certified for Request for Cross functionality are not required to certify for this enhancement.

       

      Back to Top

       

      Product Launches

      E-mini® IPOX US Index Futures

      Effective this Sunday, March 6 (trade date Monday, March 7), E-mini® IPOX US Index Futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      E-mini® IPOX US 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
      E-mini® IPOX US Index Futures IPO IX
      BTIC on E-mini® IPOX US Index Futures IPT IT

      These futures are currently 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 CME.

       

      Back to Top

       

      5-Year Treasury Note vs. 10-Year Treasury Note Inter-commodity Ratio Spread

      Effective this Sunday, March 6 (trade date Monday, March 7), the 5-Year Treasury T-Note vs. 10 Year Treasury Note Inter-commodity Ratio spread will be listed for trading on CME Globex.

      5-Year Treasury T-Note vs. 10 Year Treasury Note Inter-commodity Ratio Spread
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      5-Year  Treasury Note vs. 10-Year TreasuryNote FYN IV

      These changes are available for customer testing in New Release.

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

       

      Back to Top

       

      New - Weather Futures and Options CME ClearPort

      Effective Sunday, March 20 (for trade date Monday, March 21), Weather futures and options will available for clearing submission via CME ClearPort.

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

       

      Back to Top

       

      Product Changes

      New - Changes to Price Bands for Chinese Renminbi Futures

      Effective this Sunday, March 6 (trade date Monday, March 7), the price bands for Standard-Size USD/Offshore RMB (CNH) and Chinese Renminbi/USD futures will be increased as follows:

      Changes to Price Bands for Chinese Renminbi 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 Price Bands New Price Bands
      Standard-Size USD/Offshore RMB (CNH) Futures CNH RM 150 650
      Chinese Renminbi/USD Futures RMB F8 60 150

      The price band settings for every CME Globex product are defined in the CME Globex Product Reference.

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

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

       

      Back to Top

       

      Strike Price Listing Rules and External Name Changes for Treasury Options

      Effective this Sunday, March 6 (trade date Monday, March 7), the strike price listing rules for the following Treasury Options listed on CME Globex will be modified.

      Strike Price Listing Rules Changes for Treasury Options
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Listing Rule New Listing Rule
      U.S. Treasury Bond Options OZB UZ

      Strike price are listed ATM ± 30 strikes in 1 point intervals for all series

      		 Strike prices will be listed ATM ± 60 strikes in 0.50 intervals for all weeklies and the nearest serial or quarterly month to expiration.

      For all other Standard option expiration months, the Current Listing Rule will apply.

      Dynamic strikes will be supported in the new 0.50 point strike increment for these contracts, only.
      Weekly U.S. Treasury Bond Options ZB1-ZB5 UZ
      Ultra U.S. Treasury Bond Options OUB UB
      Weekly Ultra U.S. Treasury Bond Options UB1-UB5 UB
      10-Year T-Note Options OZN TE

      Strike prices ATM ± 50 strikes in 0.50 intervals for all series

      		 Strike prices will be list ATM ± 100 strikes in 0.25 point intervals for all weeklies and the nearest serial or quarterly month to expiration.

      For all other Standard option expiration months, the Current Listing Rule will apply.

      Dynamic strikes will be supported in the new 0.25 point strike increment for these contracts, only.
      Weekly 10-Year T-Note Options ZN1-ZN5 TE
      Ultra 10-Year U.S. Treasury Note Options OTN T1
      Weekly Ultra 10-Year U.S. Treasury Note Options TN1-TN5 T1

      The external instrument naming convention for these options on CME Globex will be modified.


      Current External Name iLink: tag 107-SecurityDesc
      MDP 3.0: tag 55-Symbol

      New External Name iLink: tag 107-SecurityDesc
      MDP 3.0: tag 55-Symbol

      Strike Price iLink:tag 612-
      LegStrikePrice 
      MDP 3.0: tag 202-StrikePrice

      OZBH6 C0155
      OZBH6 C0156

       

      		 OZBH6 C1550
      OZBH6 C1560      		 15500
      15600
      OUBH6 C0160
      OUBH6 C0161      		 OUBH6 C1600
      OUBH6 C1610      		 16000
      16100

      Please note: New strikes can be created by negotiation on the trading floor or by calling the CME Global Command Center (GCC) for next day addition.

      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, March 4. After 16:00 CT on Friday, March 4, all remaining GTC orders for these options will be cancelled by the CME Global Command Center (GCC).

      These changes are available for customer testing in New Release.

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

       

      Back to Top

       

      Stop Orders for CBOT Treasury Invoice Swaps

      Effective Sunday, March 13 (for trade date Monday, March 14), CBOT Treasury Invoice Swaps spreads will support stop orders. Market integrity functionality such as Stop Logic will apply.

      With this change, when an exchange-defined lead month futures instrument triggers a Stop Logic event, all products in its group will be placed in the Pre-Open state (market data message tag 35-MsgType=f, tag 326-SecurityTradingStatus=21).

      Technical information on supporting CBOT Treasury Invoice Swaps and the inter-commodity spread on CME Globex is available here.

      This change is available for customer testing in New Release.

      CME Globex products with exchange-defined lead month futures instruments and enhanced market integrity controls are listed in the CME Globex Product Reference Sheet in the Client Systems Wiki.

       

      Back to Top

       

      Expand the Listing Cycle for LOOP Crude Oil Storage Futures

      Effective Sunday, March 13 (trade date Monday, March 14), the listing cycle of the LOOP Crude Oil Storage futures will be expanded from 12 to 15 consecutive months on CME Globex.

      Expand the Listing Cycle for LOOP Crude Oil Storage Futures
      Product iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      LOOP Crude Oil Storage Futures LPS BB

      These changes will be available in New Release for customer testing on Monday, February 29.

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

       

      Back to Top

       

      New - Listing Cycle Expansion for Aluminum Japan Premium (Platts) Futures

      Effective Sunday, March 20 (for trade date Monday, March 21), the listing cycle for Aluminum Japan Premium (Platts) futures will be expanded on CME Globex, and clearing submission via CME ClearPort.

      Listing Cycle Expansion for Aluminum Japan Premium (Platts) 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 Listing Cycle New Listing Cycle
      Aluminum Japan Premium (Platts) Futures MJP ST 12 consecutive maturities 24 consecutive maturities

      This change will be available for customer testing in New Release on Monday, March 7.

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

       

      Back to Top

       

      External Name Changes to Existing NYMEX Inter-Commodity Spreads and Listing of Six Additional Spreads

      Effective Sunday, April 3 (trade date Monday, April 4), the external instrument naming convention for RB:BZ and HO:BZ Inter-Commodity spreads on CME Globex will be modified as follows:

      Current External Name iLink: tag 107-SecurityDesc
      MDP 3.0: tag 55-Symbol      		 New External Name iLink: tag 107-SecurityDesc
      MDP 3.0: tag 55-Symbol
      Examples:

      a) BZ:C1 RB-BZ K6

      BZ - Leg 2 Symbol
      C1 - Strategy Type (Crack)
      RB = Leg 1 Symbol
      K6 = Month & year of both legs

      b) BZ:C1 HO-BZ K6

      BZ - Leg 2 Symbol
      C1 - Strategy Type (Crack)
      HO = Leg 1 Symbol
      K6 = Month & year of both legs      		 Examples:

      a) BZ:C1 RB K6-BZ M6

      BZ - Leg 2 Symbol
      C1 - Strategy Type (Crack)
      RB = Leg 1 Symbol
      RB K6 = Month & Year of Leg1
      BZ M6 = Month & Year of Leg2

      b) BZ:C1 HO K6-BZ †M6

      BZ - Leg 2 Symbol
      C1 - Strategy Type (Crack)
      HO = Leg 1 Symbol
      HO K6 = Month & Year of Leg1
      BZ M6 = Month & Year of Leg2

      With this change, six additional RB:BZ and six HO:BZ Inter-Commodity spreads will be listed on CME Globex.

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

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

       

      Back to Top

       

      Implied Options Functionality

      Starting Sunday, April 3 (trade date Monday, April 4), CME Group will enable implied options functionality for the following options listed for trading on CME Globex. Additional information on implied options functionality is available in the Client Systems Wiki.

      Implied Options Functionality
      Product Production Launch Date
      Crude Oil Options April 3
      Natural Gas Options
      Biofuels Options
      Refined Options
      Agricultural Options April 24
      FX Options April 24

      Please view the complete list of products eligible for the implied options functionality.

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

       

      Back to Top

       

      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. 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.

       

      Back to Top

       

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2025 CME Group Inc. All rights reserved.