Market Data Notices: June 17, 2013

New KCBT MDP Channel and ITC Format
Effective Monday, July 1, 2013, Kanas City Board of Trade (KCBT) market data will be disseminated in CME’s version of   ITC 2.1 Specifications.

With this change, KCBT market data will be disseminated via a new Market Data Platform (MDP) channel 101. The new MDP channel 101 will be available for customers and broadcasting heartbeats starting on Friday, June 21.

ITC 2.1 ticker test will be held on Saturday, June 22 and Saturday, June 29, at approximately 9:00 a.m. Chicago Time (CT) for customer testing.

Please contact your  Global Account Manager for the source IPs, ports, and multicast addresses for the new channel.

Please Note: The Value Line Index will remain on MDP channel 107 in the KCBT version of ITC through Friday, September 1.

 Market Data Enhancements for CME Globex
Starting Sunday, July 21 (trade date Monday, July 22) CME Group will be enhancing the FIX/FAST market data messaging for all markets to accurately reflect market status of halted contracts.

Scenarios for a halted instrument include the following:

• Prelisted contracts prior to activation date
• Defective contract that has been deactivated
• Market event that requires deactivation, e.g. Partner Exchange request

A detailed schedule of New Release and Production availability is available  online.

 Implied Allocation Enhancements
Starting Sunday, August 11 (trade date Monday, August 12), CME Group will implement enhancements to allocation of trade quantity in implied markets as follows:

These enhancements will optimize the allocation process for match events in implied markets.

In internal testing, these enhancements resulted in reduced iLink round trip time (RTT) variability for large match events in Pro-Rata and K-Algo markets.

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

Market Data Enhancement for Market Segment ID
Effective Sunday, August 25 and September 8 (trade dates Monday, August 26 and September 9), CME Globex will support a new FIX/FAST tag 1300-MarketSegmentID on the security definition (tag 35-MsgType=d) message. This new tag will identify products within a Market Segment.

This launch will be phased in on the following schedule:

• August 25
  • NYMEX metals, softs and alternative markets
  • COMEX futures
• September 8
  • All other markets listed on CME Globex

The new FIX/FAST tag 1300-MarketSegmentID will be available for testing in New Release on Monday, July 1.

The template files that were implemented on March 3, 2013 must be utilized when these new enhancements are implemented. New template id ‘140’ will be used for the Security Definition message which includes the Market Segment ID.

 Market Data Enhancements for CME Globex – Trade ID and Reset Statistics
Starting on Sunday, August 25 (trade date Monday, August 26), CME Group will introduce the following market data enhancements. .

• August 25
  • NYMEX Metals, Softs, and Alternative Markets
  • COMEX futures
• September 8
  • All other markets listed on CME Globex

These enhancements include:

• New FIX tag 1003-TradeID will be sent on Market Data Incremental Refresh Messages (tag 35-MsgType=X) for Trades (tag 269-MDEntryType=2)
  • Represents a unique Trade Entry ID per Instrument and Trading Date.
  • Matches the trade number from  tag 17-ExecID in the Execution Report – Fill Notice for iLink Order Entry Messages. The characters following the ‘TN’ in the ExecID are called the Trade Number and will match the new tag 1003-TradeID.
• Changes to Trading Statistic Reset
  • Security Status (tag 35-MsgType=f) Message will be sent with the following tags prior to or during the Pre-Open Session.
    • Tag 326-SecurityTradingStatus=Any Valid Value
    • Tag 1174-SecurityTradingEvent=4

More information on Trading Statistic Reset is available in the  Client System Wiki

These changes will be available for customer testing in New Release on Monday, July 1.

Please Note: The template files that were implemented on March 3, 2013 must be utilized when the tag 1003-TradeID is implemented. New template ids '141 through 147' will be used for the Incremental Refresh Trade messages which include the tag 1003-TradeID.

New CME Globex Market Data Protocol
CME Group is introducing Market Data Platform (MDP) 3.0, a low latency and direct data access solution designed to improve customers’ ability to process and act on real-time price information. The protocol will launch on new production parallel channels beginning in Q4 2013.

MDP 3.0 includes:

• Simple Binary Encoding (SBE); replaces the current FAST compression model
• FIX 5.0 (SP2) Market by Price messaging formats
• Event-driven market price and trade information
• Enhanced market state dissemination
• Increased timestamp granularity
• Trade identifier on both market data and order entry messages

The  client impact assessment provides detailed functionality and messaging information.

A new MDP 3.0 certification suite will be available in AutoCert+ in Q3 2013. Customer systems receiving market data via CME Globex must complete this mandatory certification.

MDP 3.0 will be available in New Release for customer testing in Q3 2013. Further information on the deployment plan and timing for all customer-facing environments will be published in upcoming CME Globex and Market Data Notices.

Please contact your  Global Account Manager with any questions or concerns at 312-634-8700, in Europe at 44-20-3379-3754 or in Asia at +65 6593 5505 for additional information.

CME Europe on CME Globex
Effective Sunday, September 8 (trade date Monday, September 9), CME Europe markets will be available via CME Globex for iLink order routing and market data, pending regulatory recognition. Only non-US customers are eligible to trade on CME Europe. Eligible customers who would like to trade CME Europe products must establish all appropriate agreements and accounts to be authorised to trade CME Europe products and clear through CME Clearing Europe.

The launch includes the following impacts:

• New tag value to identify the exchange
• New products in FX Futures
• New market data channels to disseminate market data
• New streamlined Fix/Fast market data to publish block information

The  client impact assessment provides detailed functionality and messaging for customer systems interested in supporting CME Europe products via CME Globex.

Onboarding information is available  online.

Please note: The schedules mentioned within the CME Europe Globex Onboarding Reference Guide will be available in the near future.

A new CME Europe mandatory certification suite is currently available in AutoCert+. Customer systems that plan to support CME Europe via CME Globex must complete this certification.

The implementation is currently available in New Release for customer testing.

Please contact your  Global Account Manager for further information.

Weekly KCBT Wheat Options
Effective Sunday, June 30 (trade date Monday, July 1), Weekly KCBT Wheat options will be listed for trading on CME Globex.

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

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

Please view the  New Product Summary.

MGEX-KCBT Wheat Inter-Commodity Spread Options
Effective Sunday, June 30 (trade date Monday, July 1), MGEX-KCBT Wheat Inter-Commodity Spread options will be listed for trading on CME Globex.

In addition, a new synthetic future will be launched for the options on MGEX-KCBT Wheat Inter-commodity Spread futures.

The new future will have tag 1151-SecurityGroup=WMK and tag 55-Symbol=08. Settlement prices will be published for the new synthetic future to support customers’ options pricing model.

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

Please view the  New Product Summary.

The MGEX-KCBT Wheat inter-commodity spread option and synthetic future are currently available in New Release for customer testing.

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

KCBT-CBOT Wheat Inter-Commodity Spread Options
Effective Sunday, June 30 (trade date Monday, July 1), KCBT-CBOT Wheat Inter-Commodity Spread options will be listed for trading on CME Globex.

In addition, a new synthetic future will be launched for the options on KCBT-CBOT Wheat Inter-commodity Spread futures.

The new future will have tag 1151-SecurityGroup=CKW and tag 55-Symbol=08. Settlement prices will be published for the new synthetic future to support customers’ options pricing model.

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

Please view the  New Product Summary.

The KCBT-CBOT Wheat inter-commodity spread option and synthetic future are currently available in New Release for customer testing.

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

Low Sulphur Gasoil Futures & Options
Effective Sunday, June 30 (trade date Monday, July 1), the following Low Sulphur Gasoil futures and options will be listed for trading on CME Globex.

These futures are currently 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 NYMEX.

Delisting of FX Volatility-quoted Options
Effective Sunday, June 23, the following FX volatility-quoted options will be delisted:

These products have already been delisted in New Release.

Delisting of On-The-Run U.S. Treasury Futures
Effective this Sunday, June 23 (trade date Monday, June 24) On-the-Run (OTR) U.S. Treasury futures and inter-commodity spreads will be delisted.

These products have already been delisted in New Release.

Delisting of Interest Rate Swap Futures and Options
Effective Sunday, June 23 (trade date Monday, June 24), the following Interest Rate Swap futures and options will be delisted with expiration of the September 2013 maturity.

These products have already been delisted in New Release.

EUR/GBP Options VTT Removal
Effective Sunday, June 30 (trade date Monday, July 1), the Variable Tick Table (VTT) for EUR/GBP options (tag 1151-SecurityGroup=RP, tag 55-Symbol=X8) will be removed. Currently, the Variable Tick Table (VTT) values and corresponding minimum tick increments per price are defined in the instrument’s Security Definition message (tag 35-MsgType=d) in the repeating group tag 871-InstAttribType=23, tag 872-InstAttribValue=02.

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

Options on Mexican Peso/U.S. Dollar (MXN/USD) Futures Minimum Tick Increment Change
Effective Sunday, June 30 (trade date Monday, July 1), the minimum tick increment tag 969-MinPriceIncrement will be modified for options on Mexican Peso/U.S. Dollar (MXN/USD) futures as follows:

This is currently available in New Release for customer testing.

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

 Strike Listings Change for KCBT Wheat Options
Effective Sunday, June 30 (trade date Monday, July 1), strike listing rules for KCBT Wheat options (tag 1151-SecruityGroup=OKE, tag 55-Symbol=OK) for trading on CME Globex. These listing rules will be modified as follows:

• Strikes prices will be listed in intervals of $0.10 for ± 50 percent ATM strike price
• Additional strike prices with $0.05 intervals will be listed for ± 25 percent ATM strike price at the commencement of trading serial month options and for standard option months the business day they become the third listed month

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