• Market Data Notices: November 15, 2010

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      • Market Data Notices
      • #
      • 2010-224
      • Notice Date
      • 15 November 2010
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      S&P Launches and Changes
      Events and Announcements


      Critical System Updates

      FIX/FAST Market Data Platform Channel Changes
      Effective Sunday, November 21, the FX futures and options Market Data Platform channels will be split to better manage messaging rates and performance.

      Channel 11 - CME FX Futures
       

      • The current channel 11 will continue to broadcast CME FX futures with the exceptions noted below.
      • New channel 60 will broadcast the following FX futures:
        • Tag 55-Symbol=6C
        • Tag 55=6E
        • Tag 55=6L
        • Tag 55=6M
        • Tag 55=6N
        • Tag 55=6R
        • Tag 55=CZ
        • Tag 55=KC
        • Tag 55=XR

      Channel 12 - CME FX Options
       

      • The current channel 12 will continue to broadcast CME FX options with the exceptions noted below.
      • New channel 61 will broadcast the following FX options:
        • Tag 55-Symbol=0L
        • Tag 55=0M
        • Tag 55=0X
        • Tag 55=0Z
        • Tag 55=2C
        • Tag 55=2E
        • Tag 55=2N
        • Tag 55=3J
        • Tag 55=3N
        • Tag 55=FR
        • Tag 55=MO
        • Tag 55=OR
        • Tag 55=UO
        • Tag 55=X8
        • Tag 55=XD
        • Tag 55=XT

      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
      At customers’ requests, the following tags will be added to the Security Definition messages (tag 35-MsgType=d) for user-defined spreads. These tags are currently published on the Security Definition messages for outright instruments and exchange-defined spreads.

      New tags for UDS Security Definition Messages

      • Tag 461-CFICode
      • Tag 731-SettlPriceType
      • Tag 827-ExpirationCycle
      • Tag 1148-LowLimitPrice
      • Tag 1149-HighLimitPrice
      • Tag 1180-ApplID
      • Tag 1234-NoLotTypeRules
      • Tag 1093-LotType
      • Tag 1231-MinLotSize

      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:

      • Sunday, November 20
        • CME and CBOT Agriculture Options
        • CME and CBOT Equity Options
        • NYMEX, COMEX and DME Options
      • Sunday, December 12
        • Bursa Malaysia Derivatives Options

      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.

      New Functionality

      CBOT, KCBT and MGEX Agriculture Options Enhancements
       

      Effective this Sunday, November 21, 2010, fractional pricing information will be published on the FIX/FAST Security Definition (tag 35=d) messages for User-Defined Spreads (UDS) on CBOT, KCBT and MGEX agriculture options.

      Details on this enhancement 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.


      Update COMEX, NYMEX, and DME Futures Enhancements
      In response to customer feedback, the COMEX, NYMEX and DME futures enhancements have been rescheduled:

      COMEX, NYMEX, and DME Futures Enhancements

      Product Complex New Release Launch Production Launch
      COMEX Futures Now Available Sunday, December 12
      NYMEX Futures
      DME Futures
      Now Available Sunday, January 23

      Please note: for the COMEX futures enhancements launch on December 12, 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, December 10. After 16:15 CT on Friday, December 10, 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, December 12. 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, in Europe at 44.20.7623.4708, or in Asia at 65.6223.1357.

      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%.

      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.

      Product Launches

      NEW Mont Belvieu Normal Butane LDH (OPIS) Swap Futures
      Effective Sunday, December 5, (trade date Monday, December 6), Mont Belvieu Normal Butane LDH (OPIS) Swap futures will be listed for trading on the NYMEX trading floor and for submission for clearing through CME ClearPort.

      Please view the   New Product Summary.


      NEW PP Polypropylene (PCW) Calendar Swap Futures
      Effective Sunday, December 5, (trade date Monday, December 6), PP Polypropylene (PCW) Calendar Swap futures will be listed for trading on the NYMEX trading floor and for submission for clearing through CME ClearPort.

      Please view the   New Product Summary.


      NEW 2 Alberta Electricity Futures
      Effective Sunday, December 5, (trade date Monday, December 6), Alberta Power Pool Calendar Day Swap and Alberta Power Pool Calendar Month Swap futures will be listed for trading on the NYMEX trading floor and for submission for clearing through CME ClearPort.

      Please view the   New Product Summary.


      NEW PGP Polymer Grade Propylene (PCW) Calendar Swap Futures
      Effective Sunday, December 5, (trade date Monday, December 6), PGP Polymer Grade Propylene (PCW) Calendar Swap futures will be listed for trading on the NYMEX trading floor and for submission for clearing through CME ClearPort.

      Please view the   New Product Summary.


      NEW 3 Tanker Freight Average Price Options
      Effective Sunday, December 5, (trade date Monday, December 6),3 Tanker Freight Average Price options will be listed for trading on the NYMEX trading floor and for submission for clearing through CME ClearPort.

       

      Please view the   New Product Summary.


      NEW 24 ERCOT Electricity Futures Contracts
      Effective Sunday, December 5, (trade date Monday, December 6), twenty four (24) new Electric Reliability Council of Texas (ERCOT) Swap futures will be listed for trading on the NYMEX trading floor and for submission for clearing through CME ClearPort. Please view the following new product summaries:


      Green Exchange Product Migration
      Effective Sunday, January 23, 2011 (trade date Monday, January 24), the existing NYMEX emissions products (Green products) will be de-listed from trading on NYMEX and will be listed for trading on Green Exchange (the Transition). These products will use the same SecurityGroup (tag 1151) as they do today; however the value in tag 207-SecurityExchange will be updated from XNYM to GREE. In addition, the value in tag 55-Symbol will be changed for the Green products. The Green futures and options will be disseminated on new Market Data Platform channels 18 and 19 as described below. Information on the new channels are now added to the config.xml file. The channels will be available for customers and broadcasting heartbeats as of Sunday, January 9 in the production and certification environments.

      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.

      • November 22, 2010
        • Seven new Green Exchange options will be launched in New Release with market data available on channel 19.

      New Green Exchange Options in New Releases

      Options Tag 1151-SecurityGroup tag 55-Symbol tag 207-SecurityExchange
      European Union Allowance (EUA) Option EUX GY GREE
      In Delivery Month European Union Allowance (EUA) Option EAX
      In Delivery Month European Union Allowance (EUA) Serial Option 9G
      Certified Emission Reduction (CER) Option CCX
      In Delivery Month Certified Emission Reduction (CER) Option CRY
      In Delivery Month Certified Emission Reduction (CER) Serial Option 9E
      Climate Action Reserve Option CO
      Product Changes

      NEW Delisting of E-mini S&P Asia 50 Futures and Deliverable Nonfat Dry Milk Futures and Options
      Effective close of business tomorrow, Friday, November 19, the following products will be delisted:

      • E-mini S&P Asia 50 futures (tag 1151-SecurityGroup=SP5)
      • Deliverable Nonfat Dry Milk futures (tag 1151=GNP)
      • Deliverable Nonfat Dry Milk options (tag 1151=GNP)

      FIX tag 55-Symbol Change for E-mini S&P SmallCap 600 Futures
      Effective Sunday, December 12 (trade date Monday, December 13), the Symbol (FIX tag 55) for E-mini S&P SmallCap 600 futures will be changed as follows:

      FIX tag 55-Symbol Change for E-mini S&P SmallCap 600 (SMC)

      Product Tag 1151-SecurityGroup Current tag 55-Symbol New tag 55-Symbol
      E-mini S&P SmallCap 600 Futures SMC ME SC

      The E-mini S&P SmallCap 600 (SMC) with the new tag 55 value is now available in New Release for customer testing.

      S&P Launches and Changes

      New S&P Real Time Indices
      Effective this Monday, November 22, CME Group will begin disseminating the new indices detailed below. These indices will be transmitted every 15 seconds, via Channel 3 of CME’s MDP, with an Exchange Code of “M.”

      New S&P Real-time Indices

      Index Name MDP Ticker S&P Display Codes Currency Dissemination Times Fee Liable
      S&P Euro 75 Index ELP SPEL75UP USD 23:45 to 14:00
      Central Time
      Yes

      Revised ITC 2.1 Fractional Indicators
      Effective this Monday, November 22, the ITC 2.1 fractional indicator will be modified for the select S&P Indexes. Please click   here to view the complete list of indexes.


      New S&P Real Time Indices
      Effective Monday, November 29, CME Group will begin disseminating the new indices detailed below. These indices will be transmitted every 15 seconds, via Channel 3 of CME’s MDP, with an Exchange Code of “M.”

      New S&P Real-time Indices

      Index Name MDP Ticker S&P Display Codes Currency Dissemination Times Fee Liable
      S&P / Harel Energy
      Index
      ENI SPHLENIP ILS 1:30 to 11:30
      Central Time
      Yes
      S&P / Harel Materials
      Index
      MAI SPHLMAIP
      S&P / Harel Consumer
      Goods Index
      CGI SPHLCGIP
      S&P / Harel
      Telecommunications Index
      TCI SPHLTCIP

      Update New S&P Real Time Indices
      Effective Monday, December 6, CME Group will begin disseminating the new indices detailed below. These indices will be transmitted every 15 seconds, via Channel 3 of CME’s MDP, with an Exchange Code of “M.”

      New S&P Real-time Indices

      Index Name MDP Ticker S&P Display Codes Currency Dissemination Times Fee Liable
      Alerian MLP Index AMI AMZ USD 8:30 - 16:30
      Central Time
      No
      Alerian MLP
      Infrastructure Index
      AII AMZI
      Alerian MLP
      Infrastructure Index (TR)
      AIX AMZIX
      Dogs of the Dow
      Indicative Value
      DOD DODIV
      Elements Linked to Credit
      Suisse Global Warming Index
      GWO GWOIV
      Elements Linked To Spectrum Index EEH EEHIV
      Elements Linked to the CNY/USD
      Exchange Rate ETN
      CNY CNYIV
      Elements Linked to the INR/USD
      Exchange Rate ETN
      INR INRIV
      Elements Linked to the SPTICTR LSC LSCIV
      Morgan Stanley Double
      Long Euro IIV
      URR URRIV
      Morgan Stanley Double
      Short Euro IIV
      DRR DRRIV
      S&P Listed Private
      Equity Index (Net TR)
      EQN SPLPEQNT 19:00 - 16:30
      Central Time

      Update New S&P Real Market Data Platform Channel
      Effective, Sunday, November 21, CME Group will introduce a new Market Data Platform (MDP) channel to support S&P indices. All existing S&P Indices, which currently reside on MDP channel 3 will migrate to the new MDP channel 109 all other indexes will remain on MDP channel 3.

      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:

      • Message Time Stamp will be disseminated in Greenwich Mean Time (GMT).
      • Message Day Code will be based on the date of where the index is traded (Asian index will reflect accurate date and GMT).
      • New Exchange IDs will be utilized to give customers the ability to distinguish entitlement offerings.
        • XL – S&P 100 and S&P 500
        • XF – all other Fee Liable indexes
        • XW – all Fee Waived

      The new MDP Channel 109 and ITC 2.1 Specification changes will be available for customer testing in production parallel until February 25, 2011. On Monday, February 28, 2011, all S&P Indices will be disseminated solely on MDP channel 109.

      Events & Announcements

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      CME Co-Location Services Details
      CME Co-Location Services – comprised of hosting, connectivity and support services – will launch early 2012 at our new state-of-the-art data center. The CME Group Data Center, designed to be environmentally friendly and energy efficient, will provide the following services:

      • Power and Space
      • Lowest Latency and Equidistant Access for All Customers
      • Exceptional Support and Responsiveness

      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

       View   CME Co-Location Services Brochure (PDF)

       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.

      CME Co-Location Briefing Center Now Open
       

      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:

       

      • Cabinets and Cages
      • Cabling Options
      • Power Strips

      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.