FIX/FAST Market Data Format to Replace Globex ITC Message Format in 2009 - Updated Information

This reminder notice has been updated to include revised decommission dates of the NYMEX/COMEX flavor of ITC along with a table (see Exhibit I) of the ITC GLOBEX channels that will be eliminated by the end of this year and the corresponding FIX/FAST channels.

In 2007, CME Group introduced FIX/FAST and began a project to eliminate the legacy RLC and ITC formats of market data.  RLC was successfully eliminated at the end of 2008, while the ITC elimination is the next and final milestone in this project.  As a reminder, all CME Group Quote Vendors that currently use the legacy ITC 2.1 format of market data will be required to complete the conversion to FIX/FAST within 2009. 

This notice contains the following information:

·         Background on FIX/FAST

·         ITC elimination overview

·         Mandatory certification

·         Description of CME Group’s two testing/certification environments

·         Information about connectivity options and establishing connections to the testing/certification environments

·         Completion of CME® Globex® Interface Development Agreement and Schedule B forms

·         CSET-provided assistance during development and testing/certification period

Background

FIX/FAST dramatically reduces end-to-end latency, improves bandwidth scalability and provides increased efficiency. The FIX protocol provides the core message structure and syntax while the FAST protocol increases optimization. FIX/FAST is the most current industry standard for market data.

For more details regarding FIX/FAST, including message specifications and other detailed documentation, please visit http://www.cmegroup.com/globex/resources/fix-fast-market-data-format.html.  Specific documentation concerning the ITC to FIX/FAST conversion will be added to the Core Functionality document in the coming weeks.

ITC Elimination Overview

If you have not already done so, we strongly encourage all Quote Vendors to begin their development efforts as soon as possible.   The following timetable should be followed related to the conversion.  

·      ITC 2.1 Globex to be eliminated by year end 2009

·         99% of Globex messages can be tested today in all environments

·         Additional ITC Globex messages to be added  in April

·         Financial Penalties will be implemented prior to year end for late conversion – Dates TBD

§  NYMEX/COMEX flavor of ITC to be eliminated

·         Available in CME flavor of ITC - TBD

·         October 3   – all COMEX Floor data in NYMEX flavor of ITC decommissioned

·         October 9   – NYMEX Floor Futures data in NYMEX flavor of ITC decommissioned

·         October 16  – NYMEX Floor Options data in NYMEX flavor of ITC decommissioned

Mandatory Certification

As a reminder, CME Group’s management determined in 2007 that all Quote Vendors must conduct testing to become officially “Certified.”  The decision to make certification mandatory was very carefully considered and was based on the following key benefits for Quote Vendors, their subscribers and our customers world-wide.

·         CME Group has assumed the responsibility of disseminating an ever-increasing amount of market data over its Market Data Platform, including CBOT, NYMEX, COMEX, DME, the Minneapolis Grain Exchange, Kansas City Board of Trade, as well as additional market data for more CME products. With the conversion to the FIX/FAST format from the legacy ITC format, a greater need was identified for ensuring the integrity of the data, as it is processed and displayed by Quote Vendors to CME Group customers.

·         The FIX/FAST format offers expanded functionality and has more nuances than our existing legacy message formats. As such, this creates the need for more extensive testing to ensure that Quote Vendor FIX/FAST development efforts have meticulously accounted for our published FIX/FAST specifications.

·         The responsibility for “maintenance of the order book” has been transitioned to our Quote Vendor community from CME Group, which is logic that must be thoroughly tested to ensure the results match CME Group’s.  This is true even for those Quote Vendors and customers who only focus on Top of Book.

Quote Vendors that previously certified for Globex market data during the RLC to FIX/FAST conversion, will not have to certify again for the Globex ITC conversion. Certification for the rest of the Globex consumers will take place via AutoCert+ by way of the New Release environment.  A dedicated circuit is required for access to the New Release environment.  The FIX/FAST suite of certification tests offered by CME Group will enable Quote Vendors to test their applications repeatedly using specific scenarios, such as simulation of system failures, forced rejects or even market state changes. It will also help to ensure that Quote Vendor applications properly receive and manage data related to instrument dictionary, order book representation, market state, market statistics and other functionality supported on Globex.

Tw Two CME Group Testing Environments

CM CME Group offers two testing environments that are dedicated to the development needs of our Quote Vendors. Both environments, which are described below, are similar in size and scale to    CME Group’s production environment. Please note that only “one” network connection is required to access both testing environments.

·         The New Release Environment offers the newest release of market data functionality that has or will be implemented by CME Group, including FIX/FAST. Quote Vendors may use this environment as soon as they ready to facilitate and validate their FIX/FAST development efforts. This environment will also be used for all upcoming new market data-related releases.

·         The Certification Environment mirrors CME Group’s production market data environment in terms of functionality but not speed, including current functionality and FIX/FAST messaging.  This is used for testing and certification of all functionality and messaging that exists in production. 

NOTE: For those Quote Vendors that provide front-end trading systems, both of these environments are connected to CME Group’s clearing test environments to facilitate front-end and back-end system testing simultaneously.

CME Group Testing and Certification Environments -- Connectivity Options 

There are four options described below for connecting to the two certification environments that were mentioned above. However, it is important to note that the connection must be in addition to your “production” network connection. Production network connections may NOT be used for testing/certification.   

·         VPN – This is the most basic connectivity option available and is free of charge. Quote Vendors are able to manage their own network and hardware connected to CME Group’s certification environment.

·         Client CERTLink – This option enables Quote Vendors to manage their own network and hardware that connects to CME Group’s certification environments within the ATM “clouds” of CME-certified Telecom vendors. This option is available worldwide.   

·         CME CERTLink – This option is a CME-managed solution available to customers within the United States.

·         BT Radianz – This option, provided directly by the vendor, is fully managed and uses RadianzNet -- an IP-based extranet that connects financial institutions worldwide.

CME Globex® Interface Development and Testing Agreement and Schedule B

Completion of both the Globex Interface Development and Testing Agreement and Schedule B forms must be completed before access can be granted to CME Group’s New Release Environment (or Certification Environment used for production certification). Please note that for those Quote Vendors, which do not offer front-end trading systems, Schedules A.1 and A.2 need not be completed. 

Please contact Market Data Operations, Quote Vendor Support for the agreement and schedule. Upon execution of the forms, the forms should be sent to the following address; not to the address listed on the forms:

CME Group

Market Data Operations/Quote Vendor Support

20 S. Wacker Drive – 8 North

Chicago, Illinois 60606

FIX/FAST Development and Certification Process -- Support

Once you are connected to CME Group’s New Release Environment, and you are ready to test and certify, you may contact our CSET (Customer Support of Electronic Trading) group at 312.930-2322.  CSET is available Monday through Friday, during regular trading hours. CSET is responsible for both CME Group’s testing environments and can answer any questions related to these environments. If you have questions outside of the hours listed above, they should be e-mailed to CSET@cmegroup.com. Responses to all development questions received via email are sent within 24 hours.

Reference Materials

Documentation for the FIX/FAST market data format is available at http://www.cmegroup.com/globex/resources/fix-fast-market-data-format.html.  A reference code for Top of Book market data consumers will be available by request in the near future, but will only be provided in Java.

The following is a list of essential and very informative CME Group Testing and Certification documentation that is available via http://www.cmegroup.com/globex/resources/testing-and-certification-documentation.html.

·         Certification Environments Overview

·         Certification Connectivity Guide

For details specific to the ITC 2.1 conversion of Globex market data to FIX/FAST is available at: http://www.cmegroup.com/globex/files/ITCEliminationClImp.pdf

Action Items for Quote Vendors

To quickly get up to speed in preparation for both the conversion to FIX/FAST and mandatory certification testing, we’ve listed the following action items that should be completed as soon as time permits. Quote Vendors that currently take Globex data in ITC format should begin immediately developing to FIX/FAST as this information is currently available in the testing and production environments. Going forward, your CME Group contact for questions, form requests and IP addresses and ports will be Market Data Operations/Quote Vendor Support.

·         Review this notice with other appropriate staff within your firm. 

·         Access and review the certification documentation via the link shown in this notice.

·         Review the connectivity options, and choose your certification connectivity method.

·         Review all FIX/FAST documentation published to-date.

·         Contact Market Data Operations to discuss ITC elimination project and development plans

·         Establish connectivity to the New Release and Certification Environments, including filling out all appropriate documentation. 

·         Complete Certification process for FIX/FAST.

Summary 

We realize that there is considerable amount of information in this notice to digest and many to-dos that must be completed within the coming months. We are here to assist you through every stage of testing, certification and migration to FIX/FAST.

Market Data Operations/Quote Vendor Support Contacts

As always, please don’t hesitate to contact the following individuals with any questions you may have:

·         Kevin Brady, Manager, Quote Vendor Support – 312.648-3653 or kevin.brady@cmegroup.com

·         Lakisha Speights, Project Manager, Quote Vendor Support – 312.338-7110 or lakisha.speights@cmegroup.com

·         Marilee Radecki, Associate Director, Market Data Operations – 312.930-8193 or marilee.radecki@cmegroup.com

·         Michele Ivanski, Associate Director, Client Management – 312.930-8504 or michele.ivanski@cmegroup.com 

                                                                                                                                                                                                      Exhibit I