• FIX/FAST 2.0 Implementation - Update # 3

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      • Quote Vendors
      • From
      • Market Data Operations
      • #
      • Q2010-11
      • Notice Date
      • 18 March 2010
      • Effective Date
      • 06 June 2010

    • Effective Sunday, May 9, the new version of FIX/FAST – 2.0 will be moved into production for all Globex data, on a subset of Market Data Platform (MDP) channels.  Subsequently, on Sunday, June 6, 2010, FIX/FAST 2.0 will be moved into production for all remaining MDP channels. Please refer to updated information on page 2 of this notice concerning the addition of new Sub-Channels Identifiers.

       

      FIX/FAST 2.0 Implementation Schedule

      April 2010

      April 24

      A new config file named config20.xml will be available for the production environment that will include  the following 5 new FIX/FAST 2.0 channels with new IP addresses and ports:

      • Channel 307 – CME Equity Futures
      • Channel 309 – CME Interest Rate Futures
      • Channel 310 – CME Interest Rate Options
      • Channel 311 – CME FX Futures
      • Channel 330  –  NYMEX Crude Futures

      May 2010

      May  1

      and

      May  8

       

       

      Mock testing sessions will be held using the following five existing FIX/FAST 1.6 production channels. PLEASE NOTE THAT THESE CHANNELS WILL BE USED TO DISEMINATE FIX/FAST 2.0 MARKET DATA DURING MOCK TESTING, ONLY.

       

      • Channel 7 – CME Equity Futures
      • Channel 9 – CME Interest Rate Futures
      • Channel 10 – CME Interest Rate Options
      • Channel 11 – CME FX Futures
      • Channel 30  –  NYMEX Crude Futures

      May  9

      The five new market data channels (307, etc.) will be moved to production and will run in parallel with the existing FIX/FAST 1.6 channels until June 6.  Quote Vendors will be required to use the new multicast IPs and ports to access the new channels.  (See FIX/FAST 2.0 Client Impact Assessment.)

      June 2010

      June 6

      FIX/FAST 2.0 market data will be  moved into production for all remaining MDP channels, and the following IP addresses and ports will be decommissioned

      • Channel 307 – CME Equity Futures
      • Channel 309 – CME Interest Rate Futures
      • Channel 310 – CME Interest Rate Options
      • Channel 211 – CME FX Futures
      • Channel 330  –  NYMEX Crude Futures

       

      FIX/FAST 1.6 market data will no longer be disseminated

       

       

      FIX/FAST 2.0 Recap

       

      The new version of FIX/FAST includes several customer-requested enhancements to support trading and market data strategies.  Please note that because FIX/FAST 2.0 is not backward-compatible to the current FIX/FAST format, all Quote Vendors are required to develop to the new format and also complete mandatory certification prior to the May 9 implementation. This will ensure uninterrupted access to CME Globex market data.

       

      New Auto-Cert+ Test Suite

      The new AutoCert+ test suite for FIX/FAST 2.0 is now available, and contains four tests focused on the following:

       

      • Multiple book depth per channel
      • Product statistics reset process
      • Mid-week User-Defined Spread (UDS) deletions
      • Recovery process

       

      We strongly recommend that quote vendors thoroughly test all systems in New Release prior to attempting certification.

       

      Addition of New Sub-Channel Identifiers Added

      With the FIX/FAST 2.0 implementation, CME Group will introduce new Sub-Channels Identifiers in the preamble. These identifiers will make it possible for Quote Vendors to process only those messages, which carry high-volume products. In addition, the identifiers will be mapped to group codes in the config20.xml file and will be available for testing in the New Release environment Monday, March 29, 2010.

      Additional information on this release, including implementation and mock trading dates, can be found in the FIX/FAST 2.0 Client Impact Assessment.

       

      Contact Market Data Operations (MDO) at mdo@cmegroup.com, if you have any questions concerning this notice. Thank you.

       

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