|Topics in this issue include:
|Critical System Updates
ITC 2.1 Category Code Z and Category Code X Message Changes
Channel 11 - CME FX Futures
Channel 12 - CME FX Options
The change will not impact the volatility-quoted FX options on channel 6.
Channel configuration information is available on the ftp.cmegroup.com site as outlined in the Core Functionality module of the FIX/FAST Software Development Kit. These new channels are available in New Release for customer testing.
Expanded Security Definition Messages for User-Defined Spreads
New tags for UDS Security Definition Messages
In addition, tag 600-LegSymbol, in the repeating group tag 555-NoLegs, will now identify the Symbol (tag 55) for each leg. Currently, tag 600 always contains [N/A].
The expanded Security Definition messages will be launched according to the following schedule:
There will be no template changes for this launch.
The expanded Security Definition messages are currently available for customer testing in the New Release environment.
This launch will impact the Security Definition (tag 35-MsgType=d,) and Security Status (tag 35=f) messages. Details on the enhancements are available in the Client Impact Assessment.
Certification is not required and there are no new templates. Customers and system providers are encouraged to test the enhancements thoroughly in New Release starting Monday, October 25.
COMEX, NYMEX, and DME Futures Enhancements
In internal testing environments, the enhancements for COMEX have resulted in significantly reduced message response times. Already among the fastest in the industry, this upgrade is expected to reduce iLink and FIX/FAST response times by an average of 30%. As a result of the reduced message response times, bandwidth utilization in these futures markets is expected to ultimately increase by as much as 30%.
Please note: for the COMEX futures launch on November 7, customers are asked to please cancel all Good ‘Till Cancel (GTC) and Good 'Till Date (GTD) orders for these COMEX futures and futures spreads after their respective closes on Friday, November 5. After 16:15 CT on Friday, November 5, all remaining GTC and GTD orders for these products will be cancelled by the CME Globex Control Center (GCC).
GTC and GTD orders for COMEX futures and futures spreads may be re-entered during an extended pre-open period, starting at 15:00 CT, on Sunday, November 7. TAS products will pre-open at their normal time, 16:15 CT. If you have any questions, please contact the CME Globex Control Center at 312.456.2391 or in Europe at 44.20.7623.4708.
The messaging and functionality impacts are documented online in the Client Impact Assessment.
CME Group recommends all system providers supporting NYMEX, COMEX or DME futures test these changes thoroughly in New Release.
Daily European Union Allowance (EUA) Futures
In addition, the Daily EUA Futures contract will be the first CME Globex daily expiration futures contract, and as such represents new functionality within CME Globex. For the Daily EUA Futures contract, the listing schedule will include two (2) daily contracts available for trading at any one time: the current trade date and the following trade date (the contract date). On the last trade date, trading will halt at 11:00 a.m. Central Time (CT) (5: 00 p.m. (UK) local time) and the Exchange for Related Position (EFRP) transaction session will end at 12:00 p.m. (CT) (6:00 PM (UK) local time).
Please note: During the week of October 31 through November 7 due to the end of British Summer Time (BST), trading will halt at 12:00 p.m. (CT) and the EFRP transaction session will end at 1:00 p.m. (CT).
The FIX/FAST Security Definition message (tag 35-MsgType=d) is being modified to support this new functionality. The following FIX tags will be leveraged for the Daily EUA Futures contract, as follows:
For daily expiration futures contracts:
Please view the New Product Summary.
To support extended testing time for this new daily expiration futures product type and the associated messaging tags, the Security Definition messages are available in New Release, Certification and Production environments for CME Globex. The Daily EUA Futures contract will be actionable in both the New Release and Certification test environments, but will be non-actionable in the CME Globex Production environment.
This new products will be migrated to Green Exchange products in New Release for customer testing Monday, November 8, 2010. This product will use the same SecurityGroup (tag 1151) and Symbol (tag55) as they do today; however the value in tag 207-SecurityExchange will be updated from XNYM to GREE.
We advise customers to test this new product under current production code in the Certification test environment, and under the NYMEX-enhanced functionality in New Release test environment.
Monthly and Seasonal Strip Rainfall Index Futures
Rainfall Index Futures & Strips are geared to the amount of rainfall recorded in a given month in a designated location. They provide a way to:
Please view the New Product Summary.
Brent Look-Alike Crude Oil Options
The Brent Look-Alike Crude Oil Option contract will continue to be available for trading on the NYMEX trading floor and for submission for clearing through CME ClearPort up to 72 consecutive months on an annual basis (balance of current year plus five full years) and then June and December contracts for three additional years.
7-Year Interest Rate Swap Futures
Green Exchange Product Migration
As previously announced, following the Transition, Green futures products will continue to be available for trading via CME Globex and privately-negotiated transactions accepted for submission for clearing through CME ClearPort. In addition, with the Transition, ten Green options products (currently available for trading on the New York trading floor) will be transitioned to and newly listed for trading on the CME Globex platform.
Currently, select Green products are available for customer testing in New Release on the Market Data Platform channel 32. The remaining changes to New Release will be rolled in as follows:
Cash-Settled Cheese Futures Strips
These strips will use tag 55-Symbol=DY, tag 1151-SecurityGroup=CSC and tag 762-SecuritySubType=FS.
The new strips are currently available for customer testing in New Release.
Expansion of Contract Months for the 3.5% Fuel Oil (Platts) Barges FOB Rdam Crack Spread Swap Futures
The listing will be expanded as follows:
These contracts are currently listed on the NYMEX trading floor and CME ClearPort.
Please be advised that, beginning with the December 2010 contract month, the Colombian Peso futures contract (V2) the last trade date will be modified as follows:
The last trading day for NYMEX Colombian Peso Futures Contracts shall be the Wednesday immediately prior to the second Thursday of the contract month. In the event that the Wednesday immediately prior to the second Thursday of the contract month is an Exchange holiday, the termination of trading will occur on the business day immediately.
|S&P Launches and Changes
Revised ITC 2.1 Fractional Indicators
New S&P Real Time Indices
New S&P Real Time Indices
New S&P Real Market Data Platform Channel
With this migration, the following ITC 2.1 Specification changes will occur for all S&P indexes, which will be disseminated on MDP channel 109:
The new MDP Channel 109 and ITC 2.1 Specification changes will be available for customer testing in production parallel starting Sunday, November 21. The new IPs and Ports will be made available in the comings weeks.
|Events & Announcements
CME Co-Location Services Details
If you are interested in having the lowest possible latency connection to the CME Globex platform, contact your Global Account Manager today.
Learn more about CME Co-Location Services, visit www.cmegroup.com/colo
To request additional information and to apply, please contact your Global Account Manager at +1.312.634.8700 in the United States; +44.20.7796.7100 in Europe; and +65.6593.5574 in Asia.
For your convenience, the CME Co-Location Briefing Center is now open and located at 141 West Jackson in Chicago, IL.
The Briefing Center includes displays of:
Conference room facilities are also available.
To access the Briefing Center, an appointment is needed. Please contact your Global Account Manager for further information and to schedule an appointment today.