Market Data Notices: October 22, 2012

FIX/FAST Operators Release
The removal of the operators previously scheduled for Sunday, October 21, has been postponed to Sunday, November 18.

The life cycle of the FIX/FAST protocol, including streamlined FIX/FAST, is rapidly approaching its end as an industry standard in the United States. †The OPRA connected exchanges are eliminating FIX/FAST entirely by the end of this year. Given the increased availability of bandwidth as well as high speed connections such as co-location, compression has become less critical. In the short term, we are removing certain field operators (copy, default, delta and increment) from our data feed. In the longer term, CME Group continues to evaluate a next generation market data protocol.

These operators will be removed from all production FIX/FAST and streamlined FIX/FAST channels on the Market Data Platform by Sunday, November 18, 2012. A detailed schedule of the remaining channels is now available  online.

New templates will be required for the impacted channels. Per the normal process, the new templates are currently available on the CME Group ftp site for New Release and Production, along with the current and last generation templates. More information on template management is available in the  Client Systems Wiki.

The current Production channels without operators will also be available in the Certification environment.

Please Note: CME Group recommends customer systems pull the templates from the CME Group ftp site every week, prior to Sunday startup.

These changes are currently available on all FIX/FAST channels in the New Release environment.

As a result of this launch, bandwidth utilization over the Market Data Platform will ultimately increase. CME Group is contacting customers who may have over-subscription risk.

†Please note: CME Group is not a member of the Options Pricing Reporting Authority (OPRA).

New S&P Market Data Template
Effective Saturday, November 17, S&P market data via streamlined FIX/FAST will utilize a new FIX/FAST template and source IPs due to CME Group maintenance.

The new template and config.xml are currently available in New Release and Production environments.

Please note: CME Group recommends customer systems pull the templates from the CME Group ftp site every week, prior to Sunday startup.

 Dow Jones Indices via Streamlined FIX/FAST
Starting on Saturday, November 17, 2012, CME Group will begin disseminating real-time Dow Jones Indices market data via streamlined FIX/FAST.

Streamlined FIX/FAST is an optimized version of the FIX/FAST market data format for non-actionable price data. Streamlined FIX/FAST has a dedicated message specification distinct from the CME Globex FIX/FAST format and new templates. More information on streamlined FIX/FAST is available  online.

On Friday, November 16, 2012, Security Definitions will be broadcast for Dow Jones Indices between 11:30 pm Central Time (CT) and 12:30 am CT. The Security Definitions for the Dow Jones Indices will be re-broadcast during the normal window on Saturday evening.

Detailed information on enhanced Dow Jones Indices market data via streamlined FIX/FAST is available  Client Impact Assessment.

Starting on Sunday, October 21, we will begin broadcasting heartbeats in the production environment for Market Data Platform (MDP) channel 151. In addition, the new template and the config.xml file will be available in production.

Please Note: CME Group recommends all system providers supporting Dow Jones Indices market data to test these enhancements thoroughly in New Release and complete certification in AutoCert+.

With this change, the dissemination of the 52-week high and lows index values for Dow Jones Indices will be discontinued. In addition, the announcement of new indices will be disseminated through News messages (tag 35-MsgType=B) only.

As of Saturday, November 17, 2012, Dow Jones Indices market data will no longer be disseminated in ITC 2.1 format.

Streamlined FIX/FAST – ERIS Exchange Swapbook 3.0 Upgrade
Effective Sunday, December 2 (trade date Monday, December 3), CME Group will implement an upgrade to the ERIS Exchange market data in streamlined FIX/FAST. The ERIS Exchange Swapbook 3.0 upgrade will provide robust support for spread products and functionality.

This upgrade will include new source IP address changes and templates. The new source IP address will be available in the config.xml from the  CME Group FTP site on Sunday, October 21, 2012. The new template will be available on November 4, 2012.

Detailed information for the ERIS Exchange market data upgrade is available  online.

The ERIS Exchange market data upgrade will be available for customer testing in New Release on Monday, November 5, 2012.

Fifth Month Lean Hog Calendar Spread Option (CSO)
Effective Sunday, November 4 (trade date November 5), the fifth month on Lean Hog calendar spread options (CSO) (tag 1151-SecurityGroup=B0E (B-zero-E), tag 55-Symbol=2H) will be listed for trading on CME Globex.

In addition, a new synthetic future will be launched for the options on fifth month Lean Hog future calendar spread.

The new future will have tag 1151-SecurityGroup=Y05 and tag 55-Symbol=05. Settlement prices will be published for the new synthetic future to support customers’ options pricing model.

The options (tag 1151=B0E) will identify Y05 as the underlying contract in tag 309-UnderlyingSecurityID of the Security Definition (tag 35-MsgType=d) FIX/FAST message.

These products will be available in New Release for customer testing on October 22.

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

Deliverable Interest Rate Swap Futures
Effective Sunday, November 11 (trade date Tuesday, November 13), USD Interest Rate Swap futures will be listed for trading on CME Globex.

The   USD Interest Rate Swap futures will be listed for quarterly expiration on IMM dates, for physical delivery of OTC US dollar interest rate swaps at key terms to maturity (2, 5, 10, 30 years). Contracts will be quoted on a price basis, with a fixed coupon for each contract that is set by the Exchange when the contract is listed for trading. At expiration the holder of a long futures position will become the fixed rate receiver and floating rate payer in an OTC interest rate swap cleared by CME Clearing.

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

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

Please view the  New Product Summary.

Standard-Size and E-micro USD/Offshore RMB (CNH) Futures
Effective Sunday, November 18 (trade date Monday, November 19), standard-size and E-micro USD/Offshore RMB (CNH) futures will be listed for trading on CME Globex.

These futures feature physical delivery of Chinese Renminbi in Hong Kong (CNH), priced in interbank terms of Chinese Renminbi per U.S. dollar and associated daily settlement variation banked in Chinese Renminbi offshore in Hong Kong. The new CME USD/CNH futures will help international market participants hedge their U.S. dollar risk exposure to the deliverable Chinese currency.

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 CME.

 Daily European Naphtha CIF NWE (Platts) Futures Product Code Change
Effective this Sunday, October 28 (trade date Monday, October 29), the Daily European Naphtha CIF NWE (Platts) Futures product code for CME Clearport and open outcry code will change from NCN to NCP.

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

Daily Price Limit Changes for Nonfat Dry Milk and Dry Whey Futures
Effective trade date Tuesday, October 30, daily price limits will be increased for Nonfat Dry Milk (tag-1151 SecurityGroup=GNF, tag-55 Symbol=DC) and Dry Whey (tag-1151 SecurityGroup=DY, tag-55 Symbol=DY) futures as follows:

Nonfat Dry Milk:
 

• Daily price limits will be increased to 4 cents per pound, with the expandable limit increasing to 8 cents per pound. Currently, the price limit is 2.5 cents per pound, with an expandable limit 5 cents per pound.

Dry Whey:
 

• Daily price limits will be increased to 6 cents per pound with the expandable price limit increasing to 8 cents per pound, with the expandable price increasing to 12 cents per pound. Currently, the daily price limit is 4 cents per pound with an expandable limit 6 cents per pound.

The new price limits are currently available in New Release for customer testing.

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

 Expansion of Listed Contract Months for East-West Fuel Oil Spread (Platts) Futures
Effective Sunday, November 4(trade date Monday, November 5), East-West Fuel Oil Spread (Platts) futures (Code:EW) the listing cycle will be expanded to the current year and next three consecutive calendar years on open outcry and CME ClearPort . Currently, the listing cycle is the current year and next two consecutive calendar years.

The contract will continue to be listed on CME Globex for 18 consecutive months.

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

CME Globex Equity Index Trading Hours and Daily Price Limit Changes for Futures and Options
Effective Sunday, November 18 (trade date Monday, November 19), the electronic trading hours on CME Globex for Equity Index futures and options will be expanded to the following:

• 17:00 Central Time (CT) through 16:15 CT, with a 15 minute market pause (Pre-open) from 15:15 CT to 15:30 CT. This expansion does not impact the current halt in trading on CME Globex from 8:15 CT to 15:30 CT in the following full size Equity Index contracts (SP, ND, MD & DD).

With this change, the existing 5, 10, 20, and 30 percent daily price limits will be applied to the futures fixing price rather than the daily settlement price. The 5 percent ± price limits will be applied at 15:00 CT and will be in effect until 08:30 CT the following day.

Customers are strongly encouraged to utilize Security Status (tag 35-MsgType=f) to obtain the daily price limits (tag 332-HighPx; tag 333-LowPx) to avoid rejection of orders that breach price limit thresholds.

Customers may also obtain the daily price limits of the Security Definition (tag 35-MsgType=d) from the instrument replay feed (tag 1149-HighLimitPrice; 1150-LowLimitPrice).

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

If you have any questions, please contact the CME Global Command Center at (+1)312-456-2391, in Europe at +44-20-7623-4708 or in Asia at +65-6223-1357.

 Co-Location Services Product Update: Partial Cabinet Space
CME Co-Location Services is offering Partial Cabinet Space that will allow new and existing customers an entry-level lower-priced licensed space option. Partial Cabinet Space includes:

• Dedicated ½ Cabinet (24U)
• Up to 4.25 kW
• A&B power redundancy
• Card reader security access

Please contact the  Co-Location Business Development Team for more information or to order the Partial Cabinet product.

CME Group Regional Failover Mock Trading Session
On Saturday, November 10, CME Group will conduct a Regional Failover customer mock trading session. The mock trading session is designed to allow customers to test connectivity to the  New York Data Center (NYDC) in the case of a regional event that affects the Chicago metropolitan area. During the regional failover mock, customers who are on the CME Group network and who connect to CME Group from outside the Chicago metropolitan area will automatically be rerouted to the NYDC.

An  overview of the mock trading session is now available. Customers must register  online to participate.

Please contact your  Global Account Manager in U.S. at 312-634-8700, in Europe at 44-203-379-3754, or in Asia at 65-6593-5574 for further information.