Market Data Notices: September 30, 2013

Source IP Changes for BM&FBOVESPA and Mexder on the Market Data Platform
Effective Sunday, November 10 (trade date Monday, November 11), CME Group will be changing the multicast source IPs for the Brazilian Mercantile and Futures Exchange (BM&FBOVESPA) and 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 BM&FBOVESPA Market Data Platform are available in the config.xml file on the  FTP site. A new config.xml will be available for customer download in production starting Sunday, October 20.

These changes are currently available in New Release.

As a reminder, CME Group requires that customers configure servers to connect to the Market Data Platform ports and multicast addresses for each desired channel. 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 in the U.S. at +1 312 634 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.

New User Defined Spread Combination Expiration Rules
Effective Sunday, November 10 and 17 (trade date Monday, November 11 and 18), the expiration rules for User Defined Spreads (UDS) combinations on CME Globex will be changed to better meet customers’ trading needs.

With this change, CME Globex will assign the expiration date and time as either the earliest leg expiration or the end of the current trading week, whichever occurs first. If there is a working Good ‘Till Cancel (GTC) order on the Combo after the close on Friday, the expiration will be extended an additional week. This extension will repeat as many times as necessary until the earliest leg expires. Tag 866-EventDate contains this expiration date and time in the Market Data Platform FIX/FAST Security Definition (tag 35-MsgType=d) message.

Currently, an options strategy remains an active contract on CME Globex for two weeks or until the leg with the shortest maturity expires, unless there is any activity during the week of expiration.

Please note: This change will not impact the expiration rules for the Covered, which continues to expire at the end of the trading date in which it has been created.

This launch will be phased in as follow:

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

Detailed information including functionality and messaging for UDS Combos Expiration and Extension are available in the   Client Systems Wiki.

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.

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 dates will be announced in future CME Globex and Market Data Notices.

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+. 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.

Further information on the deployment plan and timing for New Release will be published in future CME Globex and Market Data Notices.

Test versions of MDP 3.0 template and PCAP (Packet Capture) test files are currently available  online . The PCAP files will contain sample MDP 3.0 packets of various types in binary format.

Please Note: These files are for customer testing only and are subject to change without customer notice.

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.

 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 authorized to trade CME Europe products and clear through CME Clearing Europe.

The launch includes the following impacts:

• New  futures calendar spread type
  • The implied functionality will be made available in New Release on Monday, October 7.
• 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.

Please contact your  Global Account Manager for further information.

Request for Cross by Trading Session
Effective Sunday, November 10 (trade date Monday, November 11), pending all relevant regulatory review periods, CME Globex will allow the Request for Cross (RFC) by Trading Session on the following Market Data Platform channels:

Please note: This change will not affect Ethanol option’s cross eligibility.

With this change in the Grain and Oilseed options markets, clients may only submit a  New Order Cross (tag 35-MsgType=s, tag 549-CrossType=3) during Non-Pit Trading Hours, Sunday - Friday, 19:00 Central Time (CT) to 07:45 CT. Customers can use tag 871-InstAttrbType=24 and tag 872-InstAttrbValue=2 in the Security Definition (tag 35-MsgType=d) message to identify products that are eligible for cross orders.

If a cross is submitted during Pit Trading Hours, CME Globex will send an  Execution Report Reject (tag 35-MsgType=8, tag 39-OrdStatus=8) message with the reject code (tag 103-OrdRejectReason = 7610) and the accompanying text explanation (tag 58-Text = RFC not allowed during RTH).

This change will be available for customer testing in New Release on Monday, October 14.

Detailed information including functionality and messaging for Cross is available in the  Client Systems Wiki.

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.

 Streamlined FIX/FAST: Cancelled & Amended Block Trades
Effective Sunday, November 10, 2013, CME Group will begin sending tag -278 MDEntryID to link cancelled and amended Block Trades back to their original trade messages.

Tag 278-MDEntryID is included in the Market Data Incremental Refresh Messages (tag 35-MsgType=X) for Block Trades:

The new functionality will be available for customer testing in New Release on Monday, October 21, 2013.

Bursa Malaysia Derivative Berhad (BMD) Gold Futures
Effective this Sunday, October 6 (trade date Monday, October 7), having received approval from the Securities Commission (SC), 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.

RBOB Options
Effective Sunday, October 20 (trade date Monday, October 21) RBOB Gasoline vs. Euro-bob Oxy NWE Barges (Argus) Average Price options futures will be listed for trading on CME Globex, Open Outcry and for submission for clearing through CME ClearPort.

The new product is an Asian style option on the spread between NY Harbor gasoline and North West European gasoline.

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

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

Please view the  New Product Summary.

European Diesel Differentials vs New York Harbor ULSD Futures
Effective Sunday, October 20 (trade date Monday, October 21), the following European Diesel Differentials vs. New York Harbor ULSD futures will be listed for trading on CME Globex, Open Outcry and for submission for clearing through CME ClearPort.

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.

Low Sulphur Gasoil Futures
Effective Sunday, October 20 (trade date Monday, October 21), the following Low Sulphur Gasoil futures will be listed for trading on CME Globex, Open Outcry and for submission for clearing through CME ClearPort.

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.

 Display Factor Changes for Henry Hub Futures
Effective Sunday, October 20 (trade date Monday, October 21), changes tag 9787-DisplayFactor will be implemented for the following Henry Hub futures and future spreads.

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.

 Temporary Suspension of CME Lean Hog and Feeder Cattle Indexes
The calculation and distribution of the CME Lean Hog (ITC Code: IHX) and Feeder Cattle (ITC Code: ICX) Indexes have been temporarily suspended due to the unavailability of relevant data reported by the USDA-AMS. Additional information on the temporary suspension is available  online.

  FTP Access via IP Address
Effective Friday, October 18, 2013 the destination IP to access the CME Group FTP site via IP address 198.212.155.45 will be decommissioned. Firms must switch to IP address 167.204.41.33 to maintain their access to FTP. Customers currently accessing the FTP via IP address must make the change before Friday, October 18, to continue accessing the FTP.

Customers may also access the data on the public ftp website using   ftp://ftp.cmegroup.com/fix/Production/.

If you have any questions, please contact the CME Global Command Center in the U.S. at +1 312 456 2391 and ask for GSS at 312.456.2391.