Market Data Notices: July 29, 2013

Market Data Enhancements for CME Globex
CME Group will introduce a number of market data enhancements. These enhancements include:

• Market Status of Halted Instruments
• Market Data Improvements
• Configuration File Standardization
• New FIX Tags and Statistic Reset Changes

Market Status of Halted Instruments

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 is available  online.

Market Data Improvements
CME Globex is implementing architecture improvements that will impact market data bandwidth on implied futures channels. This release is expected to reduce overall latency, particularly in implied channels. In internal testing, these enhancements yielded up to a 60% increase in bandwidth utilization during peak periods on implied channels resulting in an overall increase of up to 15% increase across the Market Data Platform.

There will be no changes to FIX/FAST messaging or functionality.

The launch will be phased in over four weeks across the Market Data Platform. The implied channel launch schedule is available  online.

Configuration File Standardization
Effective Sunday, August 25, CME Group will standardize the Channel ID Labels within the config.xml from the  CME Group FTP site. A new config.xml will be available for customer download in production starting Sunday, August 25.

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

The new config.xml is currently available in New Release for customer testing.

New FIX Tags and Statistic Reset Changes
Starting on Sunday, August 25 (trade date Monday, August 26), introduce the following new FIX tags and changes to Trading Statistic Reset:

• New FIX tags
  • 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.
  • tag 1300-MarketSegmentID will be sent on the Security Definition message (tag 35-MsgType=d)
    • Identifies the market segment.
    • Populated for all CME Globex instruments.
  • 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

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

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

Please Note: The template files that were implemented on March 3, 2013 must be utilized when these new enhancements are implemented. New template ids '140 through 147' will be used for these enhancements.

 Increased iLink Messaging Rates for MexDer via CME Globex
Effective Sunday, August 11 (trade date Monday, August 12), the CME Group will increase the messaging control thresholds for the Mercado Mexicano de Derivados (MexDer) North-to-South order routing solution.

The messaging threshold for all application messages will be increased to 100 messages per second (MPS) per iLink session from the current 30 MPS. Administrative thresholds will remain at 100 MPS.

If an iLink session exceeds the designated MPS threshold over a rolling three second window, subsequent order messaging will be rejected until the average MPS rate falls below the threshold. The  Messaging Controls Overview is available in the Client Systems Wiki for further information.

The new volume control thresholds for new order and order cancel/replace messages are currently available for customer testing in New Release.

For more information, please contact the  CME Global Command Center in the US at +1312-456-2391, in Europe at +44-20-7623-4708 or in Asia at +65-6223-1357.

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.

Source IP Changes for MexDer on the Market Data Platform
Effective Sunday, August 25 (trade date Monday, August 26), CME Group will be changing the multicast source IPs for the MexDer Mercado Mexicano de Derivados (MexDer) market data channels. If a firewall or network device is configured with the source IP information, please correct your configuration to use the entire range of eligible addresses. Port, multicast addresses, and source IPs for MexDer Market Data Platform are available in the config.xml file on the  FTP site.

These changes will be available in New Release on Monday, July 28.

As a reminder, CME Group does not recommend restricting data flow via the source IPs, as these may change without notice.

If you have any questions or concerns, 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. If you experience any connectivity issues,   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.

Inter-Exchange Spread Channel Decommission
Effective Sunday, August 25 (trade date Monday, August 26), the inter-exchange spreads market data channel (channel 801) will be decommissioned. The spreads’ market data instruments will be disseminated on the channel of the first leg. The market data for the legs will continue to be sent on the respective outright channels.

A new config.xml will be available for customer download in production starting Sunday, August 25. The new config.xml includes the removal of MDP channel 801 and modifications to Channel ID Labels.

The market data for the legs will continue to be sent on the respective outright market data platform channels.

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

 Fee Code Change for Several Dow Jones Indices
Effective Sunday, September 15, the fee code will change for  several Dow Jones Indices from XD=Dow Jones Fee Liable Indices to XW=All Fee Waived Indices. With this change, these indices will migrate to the streamlined FIX/FAST Market Data Platform S&P Channel 150.

The fee code will be defined in the Security Definition message (tag 35-MsgType=d) in the Attribute Type Repeating group in tags 871=119 and 872=XW.

Please note: The indices naming convention and the Security Exchange will not be impacted by this change.

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 functional specification is now available  online. The functional specification provides the complete MDP 3.0 functionality details, whereas the client impact assessment outlines the differences in functionality between FIX/FAST and MDP 3.0.

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 approval. 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  futures calendar spread type
  • Pending regulatory approval, this spread will be implied. For the initial launch in New Release it will be non-implied to facilitate testing.
• 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.

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.

Bursa Malaysia Derivative Berhad (BMD) Gold Futures
Pending regulatory approval, Bursa Malaysia Derivative Berhad (BMD) will list Gold futures (tag1151-SecurityGroup=FGLD, tag 55-Symbol=BG) for trading on CME Globex in Q3 2013. The production launch date will be announced in the CME Globex Notices as soon as it is available.

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

European 3.5% Fuel Oil Barges Fob Rdam (Platts) Mini Weekly Spread Futures
Effective Sunday, August 11 (trade date Monday, August 12), European 3.5% Fuel Oil Barges Fob Rdam (Platts) Mini Weekly Spread futures (tag1151-SecurityGroup=EMW, tag 55-Symbol=ZZ) will be listed for trading on CME Globex.

Please view the  New Product Summary.

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

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

Singapore Fuel Oil Weekly Spread Futures
Effective Sunday, August 11 (trade date Monday, August 12), the following Singapore Fuel Oil Weekly Spread futures will be listed for trading on CME Globex.

Please view the  New Product Summary.

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

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

 PJM Daily Load Forecast Futures
Effective Sunday, August 25 (trade date Monday, August 26), PJM Daily Load Forecast futures (tag1151-SecurityGroup=PDJ, tag 55-Symbol=PW) will be listed for trading on CME Globex.

These futures will be available for customer testing in New Release on Monday, August 12.

Please view the  New Product Summary.

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

 KCBT Short-Dated New Crop Wheat Options
Effective Sunday, August 25 (trade date Monday, August 26), Short Dated Options on New Crop Hard Red Winter Wheat futures (tag1151-SecurityGroup=KWE, tag 55-Symbol=OK) will be listed for trading on CME Globex.

Short-Dated New Crop Wheat options are options on July Wheat futures with earlier expiry dates than the standard options. For the July futures contract, three earlier expiring options will be listed.

These options will be available for customer testing in New Release on Monday, August 12.

Please view the  New Product Summary.

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

FX Futures Listing Cycle Expansion
Effective Sunday, August 11 (trade date Monday, August 12), CME Group will expand the listing cycle for the following FX futures by adding 14 additional contract months in the March, June, September, and December quarterly, for a total of 20 quarterly contract months. Currently, only six quarterly contracts are listed.

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

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

ERCOT Daily Load Forecast Future Strips
Effective Sunday, August 11 (trade date Monday, August 12), one 8-day strip for ERCOT Daily Load Forecast futures (tag1151-SecurityGroup=EMC, tag 55-Symbol=PA) will be listed for trading on CME Globex.

The new strip is currently available for customer testing in New Release.

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

 Expanding the Grain and Oilseed Pre-Open
Effective Sunday, August 18, 2013 (trade date Monday, August 19), the Pre-Open market hours will be expanded to: Monday – Friday, 08:00 Central Time (CT) to 08:30 CT for the following products:

• CBOT Grain and Oilseed futures and options
• KCBT Wheat futures and options
• MGEX Wheat futures and options
• MGEX Grain Index Futures

The PCP state will remain unchanged Monday – Friday, 14:30 CT to 16:00 CT.

If you have any questions, please contact the  CME Global Command Center in the US at +1312-456-2391, in Europe at +44-20-7623-4708 or in Asia at +65-6223-1357.