Market Data Notices: October 28, 2013

Dow Jones and S&P Market Data Dissemination
CME Group will conduct disaster recovery testing, during which the dissemination of the Dow Jones and S&P streamlined FIX/FAST market data will be impacted on the following dates:

• Saturday, November 2, November 23
  • Dow Jones and S&P market data will not be disseminated to customers connecting via CME Group Chicago area datacenters. All other connectivity options will receive production cash index data utilizing the new source IPs only.

The new source IPs are currently available in the config.xml file on the   FTP site.

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 is currently available for customer testing in New Release.

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.

KCBT Product Migration to CBOT
Effective Sunday, December 8 (trade date Monday, December 9), Kansas City Board of Trade (KCBT) products will migrate from a KCBT DCM (Designated Contract Market) to Chicago Board of Trade (CBOT) DCM, subject to regulatory review and approval. The current governmental shutdown may impact the launch date.

These products will use the same Symbol (tag 55) and SecurityGroup (tag 1151) as they do today. With this change, the value in tag 207-SecurityExchange and Market Data Platform channels will be updated as follows:

These changes will be available in New Release for customer testing on Monday, October 28.

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 production 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.

New 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 Incremental Refresh (tag 35-MsgType=X) and Security Definition (tag 35-MsgType=d) messages 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.

MDP 3.0 New Release Availability
Starting on Monday, November 11, MDP 3.0 will be implemented in New Release environment in  three phases. For each phase, specific MDP 3.0 channels and functionality will be available in the environment. The implementation will be cumulative therefore once a channel or type of functionality is available; it will remain in the environment.

The config.xml file will be available on Monday, November 4, 2013. With this release, CME Group will use new public multicast source IPs to the for MDP 3.0 channels in the New Release environment. Customers must configure their firewall or network device to include the entire range of eligible addresses.

If you have any questions, please contact  Certification Support for Electronic Trading (CSET) in the U.S. +1 312 930 2322 or in Asia at +65 6593 5593 for assistance.

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 is currently available for customer testing in New Release.

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 is currently available for customer testing in New Release.

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
  • 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.

Commodity Calendar Spread Option (CSO)
Effective Sunday, November 10 (trade date Monday, November 11), options on the following futures calendar spread will be listed for trading on the CME Globex, subject to regulatory review and approval.

Please view the  New Product Summary.

Settlement prices will be published for the synthetic futures to support customer options pricing models.

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

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

Demarc-ANR-Ventura New Fixed Price Natural Gas Futures
Effective Sunday, November 10 (trade date Monday, November 11), the following New Fixed Price Natural Gas futures, future strips and intercommodity spreads 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 contracts are listed with, and subject to, the rules and regulations of NYMEX.

California ISO Futures
Effective Sunday, November 10 (trade date Monday, November 11), the following California ISO Futures will be listed for trading on CME Globex.

These futures will be available for customer testing in New Release on Monday, October 28, 2013.

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

RBOB Options
Effective Sunday, November 10 (trade date Monday, November 11), RBOB Gasoline vs. Euro-bob Oxy NWE Barges (Argus) Average Price options futures will be listed for trading on CME Globex.

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

Please view the  New Product Summary.

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.

European Diesel Differentials vs New York Harbor ULSD Futures
Effective Sunday, November 10 (trade date Monday, November 11), the following European Diesel Differentials vs. New York Harbor ULSD futures 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 contracts are listed with, and subject to, the rules and regulations of NYMEX.

Low Sulphur Gasoil Futures
Effective Sunday, November 10 (trade date Monday, November 11), the following Low Sulphur Gasoil futures 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 contracts are listed with, and subject to, the rules and regulations of NYMEX.

Weekly 2-Year & 3 Eurodollar Mid-Curve Options
Effective Sunday, November 17 (trade date Monday, November 18), the following Weekly 2-Year & 3 Eurodollar Mid-Curve options will be listed for trading on CME Globex and open outcry.

For the initial launch, week 4 and week 5 will be available for trading.

Please view the  New Product Summary.

These options will be available for New Release for customer testing on Monday, November 4.

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

 European Light Ends Futures
Effective Sunday, November 17 (trade date Monday, November 18), the following energy futures will be listed for trading on CME Globex.

Please view the  New Product Summary.

These products will be available in New Release for customer testing on Monday, November 4.

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

Commodity Calendar Spread Options Listing Cycle Expansion
Effective Sunday, November 10 (trade date Monday, November 11), the listing cycle for the following Commodity Calendar Spread Option (CSO) will be expanded as follows:

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

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

Energy Strips Change
Effective Sunday, November 10 (trade date Monday, November 11), tag 762-SecuritySubType for the following future strips will be modified from FS to SA.

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

 CAISO Power Futures Minimum Tick Increment Changes
Effective Sunday, November 10 (trade date Monday, November 11), changes to minimum tick increment tag 969-MinPriceIncrement will be implemented for CAISO Power futures, pending regulatory review periods.

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

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

Listing Cycle Changes for Standard and Mid-Curve Eurodollar Options
Effective Sunday, November 17 (trade date Monday, November 18) the listing cycle for the Standard and Mid-Curve Eurodollar options will be modified as follows:

These options will be available for New Release for customer testing on Monday, November 4.

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

New Public Source IPs for Certification and New Release Environment
At customers’ requests to increase network flexibility, the Certification and New Release Environments will move from private to public source IPs. In preparation for this change, CME Group will be adding a new IP subnet on Friday, November 8, 2013. CME Group recommends that customers configure their firewall or network device to include the 69.50.112.0/24 subnet.

On Monday, November 10, 2013, CME Group will use new public multicast source IPs to the for   MDP 3.0 channels in the New Release environment. The public IPs for other components, including iLink, Drop Copy and FIX/FAST market data channels will be announced in upcoming CME Globex notices.

On Monday, October 21 CME Globex Services begin sending all existing CME CERTLink, London CME CERTLink, Cert VPN and Cert Data Center customers a sample configuration file. For question regarding the configuration file, please contact   Globex Services.

CME Globex Disaster Recovery (DR) Failover
CME Group is committed to the protection of its members, employees and stakeholders and has a long history of successfully managing risk. In keeping with those traditions, CME Group has a comprehensive business continuity program in place. To ensure customer readiness CME Group offers CME Globex Disaster Recovery (DR) Failover testing, which will be held on Saturday, November 23.

The CME Globex DR Failover test is designed to ensure customers can successfully failover to the DR environment, send orders and fallback to the production environment in case of an emergency. Customers are required to register  onlineand in advance to participate.

Complete information on the CME Group business continuity program, including Frequently Asked Questions and DR Client Impact Assessment, is available  online.

The CME Globex DR Failover testing will begin at 9:00 a.m. Central Time (CT) and conclude at 3:00 p.m. CT. This will be the first CME Globex DR Failover test which allows customers to test 3 different failover scenarios. A detailed timeline is available in the  overview.

For more detailed information on the CME Globex DR Failover testing, please contact your  Global Account Manager.

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