Market Data Notices: September 02, 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
• New FIX Tags and Statistic Reset Changes

Market Status of Halted Instruments
Effective this Sunday, September 8 (trade date Monday, September 9) CME Group will be enhancing the FIX/FAST market data messaging for the following markets to accurately reflect market status of halted contracts.

During Sunday start-up and in the event of a book reset, in addition to the product group status message, the FIX/FAST Security Status message will be sent for individual products in a halted state with the following values: tag 35-MsgType=f, tag 326-SecurityTradingStatus=2 (tags 327-HaltReason and 1174-SecurityTradingEvent are not sent).

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
Based on customer feedback, the  market data enhancements release schedule has been updated to provide additional time.

CME Group 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% across the Market Data Platform.

There will be no changes to FIX/FAST messaging or functionality. As a result of this launch, iLink order entry and Market Data Platform message timings will be better aligned. CME Globex does not guarantee the relative performance of iLink order entry and Market Data Platform messaging.

The launch will be phased in over four weeks across the Market Data Platform. The next launch will be as follows:

The complete implied channel launch schedule is available  online.

New FIX Tags and Statistic Reset Changes
Effective this Sunday, September 8 (trade date Monday, September 9), 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.

 MDP Channel 107 Decommission
Effective this Friday, September 6, Market Data Platform (MDP) Channel 107 will be decommissioned.

As a reminder, on Friday, August 30, the dissemination of the following KCBT Value Line Index was discontinued.

Changes to ITC Category Code C Messages
Effective this Monday, September 9, the following ITC 2.1Category Code C messages will be disseminated at approximately 5 p.m. Central Time (CT) for NYMEX and COMEX products via MDP channel 244 and 245. Currently, these messages are disseminated at approximately 4:35 p.m. (CT).

Category C: Control Messages

• Type Code D=Start of official transmissions
• Type Code I = End of official transmissions

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.

S&P and Dow Jones Source IP Changes
Effective Sunday, September 15, CME Group will be changing the multicast source IPs for S&P and Dow Jones streamlined FIX/FAST 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.

The new source IPs will be available in the config.xml file on the  FTP site on Sunday, September 2.

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.

Test versions of MDP 3.0 template and PCAP (Packet Capture) test files will be available  online starting Monday, August 12. The PCAP files will contain sample MDP 3.0 packets of various types in binary format.

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
Pending regulatory approval, CME Europe markets will be available via CME Globex for iLink order routing and market data on a launch date to be determined. The launch date will be published in the CME Globex notice.

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.

Low Sulphur Gasoil Crack Spread (1,000 bbl) Financial Futures
Effective this Sunday, September 8, (trade date Monday, September 9), Low Sulphur Gasoil Crack Spread (1,000 bbl) Financial futures (tag1151-SecurityGroup=LSC, tag 55-Symbol=IA) 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.

 Bursa Malaysia Derivative Berhad (BMD) Gold Futures
The launch of Bursa Malaysia Derivative Berhad (BMD) Gold futures scheduled for this Sunday, September 8, has been postponed. The new production launch date will be announced via the CME Globex notices.

Pending regulatory approval, Bursa Malaysia Derivative Berhad (BMD) will list Gold futures (tag1151-SecurityGroup=FGLD, tag 55-Symbol=BG) for trading on CME Globex. These BMD Gold futures will support implied functionality.

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

Energy Futures Strip Spreads
Effective this Sunday, September 8 (trade date September 9), the following futures strips on Natural Gas (Henry Hub) Physical (tag1151-SecurityGroup=NG, tag 55-Symbol=NG) and Natural Gas (Henry Hub) Last-day Financial (tag1151-SecurityGroup=HH, tag 55-Symbol=NG) will be listed for trading on CME Globex.

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

Detailed description of these spread types is available   online.

U.S. Dollar/South African Rand (USD/ZAR) Futures
Effective Sunday, September 22 (trade date Monday, September 23),   U.S. Dollar/South African Rand (USD/ZAR) futures (tag 1151-SecurityGroup=ZAR, tag 55-Symbol=6Z) will be listed for trading on CME Globex, pending certification with the Commodity Futures Trading Commission.

The USD/ZAR futures is a physically deliverable contract with a notional contract size of 100,000 U.S. dollars.

Please view the  New Product Summary.

These futures will be available in New Release for customer testing on Monday, September 9.

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

S&P MLP Index Futures
Effective Sunday, September 22 (trade date Monday, September 23), S&P MLP Index futures (tag1151-SecurityGroup=MLP, tag 55-Symbol=MP) will be listed for trading on CME Globex.

The S&P MLP Index futures contract tracks an S&P index of Master Limited Partnerships that are publicly traded on a securities exchange. MLPs combine the tradability of common stocks with the tax treatment of partnerships.

These futures will be available for customer testing in New Release on Monday, September 9.

Please view the  New Product Summary.

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

 TETCO STX Natural Gas (Platts IFERC) Fixed Price Futures
Effective Sunday, September 22 (trade date Monday, September 23), TETCO STX Natural Gas (Platts IFERC) Fixed Price futures (tag1151-SecurityGroup=ZTS, tag 55-Symbol=GU) will be listed for trading on CME Globex.

These futures will be available for customer testing in New Release on Monday, September 9.

Please view the  New Product Summary.

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

 Natural Gas (Platts IFERC) Fixed Price Futures
Effective Sunday, September 22 (trade date Monday, September 23), the following Natural Gas (Platts IFERC) Fixed Price futures will be listed for trading on CME Globex.

These futures will be available for customer testing in New Release on Monday, September 9.

Please view the  New Product Summary.

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

 Natural Gas Transco Fixed Futures
Effective Sunday, September 22 (trade date Monday, September 23), the following Natural Gas Transco Fixed futures will be listed for trading on CME Globex.

These futures will be available for customer testing in New Release on Monday, September 9.

Please view the  New Product Summary.

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

New Fixing Prices for Nikkei 225 Futures
Effective Sunday, September 8 (trade date Monday, September 9), CME Group will begin disseminating Fixing Prices via FIX/FAST for the Nikkei 225 futures.

The Nikkei 225 fixing price will be published Monday through Friday, at 1:00 a.m. Central Time (CT) during Daylight Savings Time.

Please note: the dissemination of the fixing prices will vary throughout the year due to Daylight Saving Time changes in Chicago.

Fixing Price data blocks are sent in the FIX/FAST Market Data Incremental Refresh (tag 35-MsgType=X):

• Tag 279- MDUpdateAction will be set to 0 = New
• Tag 269-MDEntryType will be set to W = Fixing Price
• Tag 5790-FixingBracket will display the time that the Fixing Price was calculated

The new Fixing Price Data Block will be available in New Release for customer testing on Monday, September 2.

KC Hard Red Winter Wheat (HRW) Swaps Fractional Indicator Change
Effective Sunday, September 22 (trade date Monday, September 23), the ITC fractional price indicator for KC Hard Red Winter (HRW) Wheat Swaps will change from E to 4. With this change, prices will be displayed decimal format.

ITC 2.1 ticker test will be held on Friday, September 20 at approximately 6:45 p.m. Central Time (CT) for customer testing.

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

 Display Factor Change for TAS Futures
Effective Sunday, September 29 (trade date Monday, September 30), changes tag 9787-DisplayFactor will be implemented for the following TAS futures:

These changes will be available in New Release for customer testing on Monday, September 16.