CME Globex Notices: June 19, 2017

Critical System Updates

New New - iLink Message Specification Update - This Week

The iLink message specifications in the Client Systems Wiki have been updated to more accurately reflect tag 167-SecurityType validation for Order Cancel Request (tag 35-MsgType=F) messages sent by the client to CME Globex.

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UpdateUpdate - Market Segment Changes for CME and CBOT Products  - This Week

† Denotes update to the article

Continuing this Sunday, June 25 (trade date Monday, June 26), the following instruments will be moved to different Market Segments and different MDP 3.0 Incremental feed Source IPs. No new Market Segments are being introduced.

† As a result of these changes, the following Market Segment Gateways will be decommissioned in the New Release and Production environments as follows.

Attempts to connect to these gateways following decommission will be ignored. The new MSGW and Drop Copy 4.0 config.xml files will be updated prior to the open for each environment change.

There will be no changes to MDP 3.0 functionality or messaging format associated with these market segment changes.

Drop Copy 4.0 sessions will support these market segment changes. As a reminder, customers must manage the relationship between Drop Copy 4.0 sessions and corresponding IP addresses and market segments within their risk management systems.

Config.xml Files

The new MDP 3.0 config.xml files are available for customer download:

• New Release
  • all changes reflected in "20170426" files
• Production
  • Changes for channels 317 and 345 reflected in "20170520" file
  • Changes for channel 320 reflected in "20170603" file
  • Changes for channels 342 and 343 reflected in "20170624" file

To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for User-Defined Spreads (UDS) only for the affected markets by the close on the Friday before launch. Any remaining GT orders on UDS will be cancelled by the CME Global Command Center (GCC). GT orders on outright options, futures and futures spreads will not be impacted.

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.

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Streamlined FIX/FAST Decommission  - July 7

Blocks market data is now available on the streamlined SBE feed. The following streamlined FIX/FAST feed will be decommissioned in the New Release and Production environments as follows:

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.

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Eris Exchange Streamlined SBE Enhancements - July 9

Effective Sunday, July 9 (trade date Monday, July 10), the Eris Exchange will launch enhancements with new functionality for the Streamlined SBE feed.

The streamlined Market Data enhancements will feature:

• Theoretical update book processing
• New daily statistics and reference data
• Expanded instruments
• Increase precision for tag 38-OrderQty for the Quote Request (tag 35-MsgType=R) message

The client impact assessment provides functionality and messaging information.

The enhancements and new functionality is available in New Release for customer testing.

†To support the increased precision on tag 38-OrderQty,a new schema is available in New Release environment. The new version 8 schema replaces version 7 and will be the version launched into production.

The CME FTP site will be updated as follows:

The Eris streamlined SBE enhancements certification suite is currently available in AutoCert+ for customer testing. Customer systems who choose to process Eris exchange streamlined SBE market data must complete this certification.

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UpdateUpdate - New IPs and Ports for iLink Convenience Gateways  - This Week

† Denotes update to the article

Following the successful launch of Market Segment Gateway (MSGW), CME Group is introducing improvements to the Convenience Gateway (CGW) architecture. These changes include a hardware upgrade and are designed to reduce CGW IP management needs. There should be no performance change for iLink CGW sessions.

Effective Sunday, June 25 (trade date Monday, June 26), all CGW iLink sessions will use new IPs and ports. The new IP ranges are currently available on the Client Systems Wiki. All CGW iLink sessions must migrate to the new IPs and Ports in order to access CME Globex markets. The current IPs will be disabled after the close on Friday, June 23.

†CME Group is supporting a connectivity mock to the new primary & backup CGW IPs and ports on Saturday, June 24, from 9:00 - 11:00 am Central Time (CT).You will need to reset your Message Sequence number to “1” for the mock trading session and again upon logon on Sunday for the beginning of the week trading. Session information will be available in the FADB and Request Center during the mock. If you experience any issues during the mock, please contact the GCC for assistance at 1 800 438 8616. For a general status during the mock there will be a bridge line open for regular updates 1 877 979 3898 Access code: 6485475.

Please note: Later this year, CGW sessions will move to the MSGW-style Application Level Fault Tolerance, with an enforced primary gateway. To minimize impact when this change is implemented customers must use their designated Primary IPs and Ports upon launch.

If you have any questions or concerns, please contact your Global Account Manager 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.

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New Functionality

UpdateUpdate - Market Data Dissemination of Intraday Settlements Prices - July 9

† Denotes update to the article

Effective †Sunday, July 9 (trade date Monday, July 10) CME Group will fully support Tag 731-SettlPriceType bit 3 = “1” to indicate an Intraday Settlement.

Intraday Settlement Prices will be published on the last trading day of the calendar month for equity futures contracts. The settlement prices for equity products will be disseminated while the trading session is still active. They will represent a snapshot valuation of the settlement price at the time that they are published.

Intraday Settlement Prices for Dubai Mercantile Exchange (DME) will be published daily.

These changes are currently available for customer testing in New Release. To test tag 731-SettlPriceType bit 3 = “1” in New Release, please contact Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803 or in Asia at +65 6593 5593.

The MDP 3.0 Market Data Incremental Refresh message including the tag 731-SettlPriceType field is documented here.

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Globex Risk Management Enhancements: Inline Credit Controls - July 2017

In July 2017, in addition to existing risk management controls, CME Group will offer optional, more granular pre-trade risk management capability through the In-Line Credit Control (ICC) tool.

The ICC tool allows Clearing Member Firms and Executing Firms to set daily position limits for CME Globex, per product, at the account level through Account Manager.

The new functionality will feature:

• Daily quantity position limits applied per product at the account level.
• Positions reset to flat at the end of the day. Good 'Til Cancel (GTC) and Good 'Til Date (GTD) orders will roll-over to be calculated in the next day’s working orders.
• No latency differential; all orders are subject to the same ICC processing.
• Both Clearing Member Firm and Executing Firm Risk Admins can register accounts and set limits.
  • The most restrictive limit applies.
  • Clearing Member Firm and Executing Firm Risk Admins can view each other's account limits.
  • Clearing Member Firms and Executing Firms cannot change the other's limit.
• Email alerts can be set up when pre-set threshold level breaches occur (for example, at 80%).

Please note: With the introduction of ICC, clients may see minor changes in order entry round trip times (RTT) during large market events.

Initially, ICC processing for accounts approaching their pre-set threshold level, In-Flight Mitigation(IFM) enabled orders may temporarily violate account limits resulting in a reject. See scenario here. Future phases of ICC will accommodate In-Flight Mitigation and eliminate the temporary account limit violation scenario.

See more on Viewing and Managing Inline Credit Control Limits and Configuring Alerts and Policies for Inline Credit Controls.

For registered client systems, a new or cancel/replace order that violates specified position limits will be rejected. CME Globex will send a Session Level Reject (tag 35-MsgType=3) message including tag 58=<Reject Reason>.

This new functionality is currently available for customer testing in New Release.

Please contact your Global Account Manager with any questions on onboarding and testing In-line Credit Controls functionality in New Release 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.

Please contact Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803 or in Asia at +65 6593 5593 with questions while testing in New Release.

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Market by Order (MBO) Market Recovery Implied Dissemination Modification - August 6

Starting on Sunday, August 6 (trade date Monday, August 7), to allow customer systems to efficiently recover market data books, the Market by Order Recovery feed will now include 2nd level (1023-MDPriceLevel) Market by Price implied book depth (tag 269-MDEntryType=E, F).

The Market By Order (MBO) Market Recovery Implied Dissemination Update will be available for customer testing in New Release on Monday, June 26.

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New New - Rounded Intraday Settlement Prices - August 27

Effective Sunday, August 27 (trade date Monday, August 31), to provide additional information on intraday settlement prices, CME Group will publish rounded intraday settlements for E-mini S&P 500 futures, in addition to the unrounded prices available today. Rounded intraday settlements are flagged with tag 731=SettlPriceType where bit 2=1 and bit 3=1.

With this change, customers will receive both a rounded and unrounded intraday settlement message. Intraday Settlement Prices are published on the last trading day of the calendar month for E-mini S&P 500 contracts. These prices are sent while the trading session is still active and represent a snapshot valuation of the settlement price at the time that they are published.

The new prices will be available for customer testing in New Release on Monday, July 17. To test tag 731-SettlPriceType (bits 2 and 3) in New Release, please contact Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803 or in Asia at +65 6593 5593.

The MDP 3.0 Market Data Incremental Refresh message including tag 731-SettlPriceType is documented in the Client Systems Wiki.

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CME Globex Execution Information Enhancements - Q3 2017

In Q3 2017, CME Group will offer customers the following CME Globex execution information enhancements:

• Updated STP function - new Common Trade ID automatically traces each individual execution across CME Globex and through clearing
  • iLink tag 37711-MDTradeEntryID
  • MDP 3.0 tag 37711-MDTradeEntryID
  • CME STP and CME STP FIX MDTrdEntrID
• Real-time trade price adjustments reporting to participating traders and market as a whole via iLink and MDP 3.0 messages
  • Currently, trade price adjustments are only available via Clearing systems

Please review the client impact assessment for information on functionality and messaging impacts and complete rollout schedule.

These enhancements are now available in New Release for customer testing.

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.

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New New - Self-Match Prevention Enhancements - September 24

Effective Sunday, September 24 (trade date Monday, September 25) CME Group will launch enhancements to CME Globex Self-Match Prevention (SMP).

With these enhancements, iLink customers will have the ability to configure SMP functionality across multiple Globex Firm IDs within or across clearing firms. Upon this release, orders submitted with unregistered SMP IDs will be rejected. CME Globex will send a Session Level Reject (tag 35-MsgType=3) message including tag 58=<Reject Reason>. All Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders with unregistered SMP IDs must also be updated to use a registered SMP ID by the close on the Friday before launch. Any remaining GT orders with unregistered SMP IDs will be eliminated at Sunday start-up on launch weekend.

The Firm Administrator Dashboard interface will continue to be used to request new SMP IDs but will be enhanced to allow existing SMP IDs to be modified to support additional Globex Firm IDs.

Detailed information, including the launch schedule, is available in the Client Impact Assessment.

The new SMP enhancements will be available for customer testing in New Release on Monday, July 10. Customer certification is not required, but CME Group strongly recommends all system providers test these changes thoroughly in New Release.

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.

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Product Launches

Urea (Granular) FOB Middle East Futures - This Week

Effective this Sunday, June 25 (trade date Monday, June 26), Urea (Granular) FOB Middle East futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

This product is currently available for customer testing in New Release.

Please see New Product Summary.

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

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Listing of Calendar and Strips Spreads for Natural Gas Liquid Futures  - This Week

Effective this Sunday, June 25 (trade date Monday, June 26), calendar and strip spreads will be listed on CME Globex for the following Natural Gas Liquid futures.

In addition, the following Natural Gas Liquid futures will be expanded as follows:

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

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

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Listing of Energy Inter-Commodity Strips for Inter-commodity Spreads - This Week

Effective this Sunday, June 25 (trade date Monday, June 26), energy inter-commodity strips (Tag 762-SecuritySub Type=XS) will be listed for trading on CME Globex for the following inter-commodity spreads.  

These strips will be available for customer testing in New Release on Monday, June 26.

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

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E-mini Russell 2000 Index Futures and Options  - July 9

Effective Sunday, July 9 (trade date Monday, July 10), the following E-mini Russell 2000 Index futures and options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Please see New Product Summary.

With this launch, the Fixing Price for the E-mini Russell 2000 Index futures will be disseminated. The fixing price will be calculated Monday through Friday from 2:59:30 pm to 3:00:00 pm CT.

Fixing Price data blocks are sent in the MDP 3.0 Market Data Incremental Refresh (tag 35-MsgType=X) with the following attributes:

• Tag 279- MDUpdateAction will be set to 0 = New.
• Tag 269-MDEntryType will be set to W = Fixing Price.
• Tag 5796-Trading Reference will display the date for which the fixing price was calculated.
• These futures and options are currently available for customer testing in New Release.

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

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European Power Financial Monthly Futures  - July 9

Effective Sunday, July 9 (trade date Monday, July 10), German and Italian Baseload & Peakload Financial Monthly futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

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.

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NBP and TTF Natural Gas Physically Delivered Monthly and Daily Futures  - July 9

Effective Sunday, July 9 (trade date Monday, July 10), NBP and TTF Natural Gas Physically Delivered Monthly and Daily futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

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.

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New New - Futures-Style Margined Coal Options  - July 9

Effective Sunday, July 9 (trade date Monday, July 10), Futures-Style Margined Coal options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

These futures will be available for customer testing in New Release on Monday, June 26.

Please see New Product Summary.

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

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New New - Micro Coal Futures  - July 9

Effective Sunday, July 9 (trade date Monday, July 10), Micro Coal (API 5) fob Newcastle (Argus/McCloskey) futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

The Micro Coal futures will be available for customer testing in New Release on Monday, June 26.

Please see New Product Summary.

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

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Bursa Malaysia Derivatives Berhad (BMD) FX Futures - Q3 2017

Pending regulatory approvals, Bursa Malaysia Derivatives (BMD) will list the following FX futures for trading on CME Globex in late Q3 2017.

These are currently available for customer testing in New Release.

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Product Changes

Resumption of Listing Cycle for Live Cattle Futures and Options - This Week

Effective Sunday, June 25 (trade date Monday, June 26), the listing cycle for Live Cattle futures and options will resume on CME Globex, beginning with the October 2018 contract month.

Please see Special Executive Report.

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

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Listing European Seasonal Strips Spreads to Natural Gas (Henry Hub) Last-day Financial Futures  - This Week

Effective Sunday, June 25 (trade date Monday, June 26), European Seasonal SA Strip and Balance strip spreads will be added to Natural Gas (Henry Hub) Last-day Financial Futures for trading on CME Globex.

These spreads will be available for customer testing in New Release on Monday, June 26.

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

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UpdateUpdate - Changes to Non-Reviewable Ranges for Natural Gas and Crude Oil Options  - July 16

† Denotes update to the article

Effective † Sunday, July 16 (trade date Monday, July 17), the Non-Reviewable Ranges will be modified for following natural gas and crude oil options:

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

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Decommission of MexDer Order Routing Offering - August 25

Effective end of day Friday, August 25, Globex order routing and market data for MexDer products will no longer be available via the CME Globex platform. Existing order routing customers to MexDer markets and customers wishing to pursue market access to MexDer should contact Laura Vazquez at lvazquez@grupobmv.com.mx or +(52 55) 53 42 9840. Customers wishing to pursue market access to CME Group markets should contact Global Account Management in the U.S. at 312-634-8700, in Europe at 44 203 379 3754, or in Asia at 65 6593 5505.

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Last Trading Date for CME Europe Limited (CMEEL) - August 30

On Friday May 19, CME Europe Limited (CMEEL) advised members and other participants that the last trading date for all remaining Products listed on CMEEL will be August 30. Members with open positions after that last trading date will be closed out in accordance with CME Clearing Europe Rules and in accordance with the Planned Termination Event as described in CME Clearing Europe Notice 17-24.

Additional information regarding this change can be found in the CME Europe Ltd Exchange Advisory Notice 17-014.

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Events and Announcements

Contact your Exchange Clearing Member Firm and Brokers! Block Trades & EFRPs Change Monday, July 17, 2017

If you currently transact or broker Block Trades or Exchange of Futures for Related Positions (EFRPs), please contact your Exchange Clearing Member Firm or broker to ensure that you are ready for the planned migration of Block Trade and EFRP trade submission to CME Direct or CME ClearPort.  Confirm your accounts are registered in CME Direct or CME ClearPort, credit limits are established and you or your clients have appropriate product permissions in place. Additionally, all brokers that execute on your behalf must be enabled with access to your account(s).  CME Direct and CME ClearPort currently support submission of all Block Trades and EFRPs, and we strongly encourage you to migrate your trade activity well in advance of the deadline.

Effective Monday, July 17, 2017, all Block Trades and Exchange of Futures for Related Positions (EFRPs) transactions must be submitted via CME Direct or CME ClearPort. At the close of business on Friday, July 14, Front-End Clearing (FEC) and Front-End Clearing Plus (FEC+) will no longer support any Block or Exchange of Futures for Related Positions (EFRP) trade reporting or booking.

For additional information, please contact the CME Global Command Center in the US at +1 800 438 8616, in Europe at +44 207 623 4747 or in Asia at +65 6532 5010 with any questions.

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