CME Globex Notices: January 8, 2018

Critical System Updates

UpdateUpdate - Information Security Update - February 4

† Denotes update to the article

†CME Group is committed to our customers’ information security. To deliver the best security and customer experience, effective Sunday, February 4 (trade date Monday, February 5), the listed CME Group services will support Transport Layer Security (TLS) version 1.2 only, and TLS 1.0 and 1.1 will be disabled. Customers are encouraged to upgrade to TLS 1.2 immediately; please contact your system administrator or network provider today to ensure seamless access.

This change is currently available for customer testing in New Release and Certification.

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Market Segment Change and New Market Data Platform Channel Launch  - January 21

Effective Sunday, January 21, (trade date Monday, January 22), the 30 Day Federal Funds futures and future spreads (MDP 3.0 tag 6937-Asset=ZQ) will be moved to a different Market Segment and market data will be published on a new MDP 3.0 channel. No new Market Segments are being introduced. There will be no changes to MDP 3.0 functionality or messaging format.

Drop Copy 4.0 sessions will support this market segment change. 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.

The multicast address, source IPs, TCP address, and ports for the new MDP 3.0 channel 348 (CBOT Interest Rate Futures II) will be:

 

 

The complete rollout schedule is as follows:

• October 29: Production
  • New MDP 3.0 channel start publishing heartbeats
  • Updated Config.xml file available
• November 19: Certification
  • New MDP 3.0 channel start publishing heartbeats
  • Updated Config.xml file available
• January 21: Production and Certification
  • 30 Day Federal Funds futures and future spreads move to Market Segment 82
  • Market data published on new MDP channel
  • Config.xml files updated to include product

The new MDP channel and Market Segment move is currently available for customer testing in New Release.

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Streamlined MDP SBE Schema Update  - January 21

On Sunday, January 21, CME Group will continue to update the schema for all streamlined SBE market data channels to support schema version 8 to ensure consistency between market data channels.  

Please Note: With this schema update, there are no template format changes for Streamlined Market Data OTC Daily, Equity Indices, Eris Exchange or Bitcoin channels.

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NewNew - Triangulation Delta Range - February 4

On Sunday, February 4 (trade date Monday, February 5), to increase the range of triangulated strikes at market open, the initial Triangulation delta range will be configured to include strikes from 10 to 70 delta. Currently, the initial range only includes strikes from 10 to 60 delta.  

This change will be available for customer testing in New Release Monday, January 22.

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UpdateUpdate - CME Globex API Secure Logon – iLink and Drop Copy  - Q1 2018

† Denotes update to the article

CME Group is committed to our customers’ information security. To ensure the highest levels of security, CME Group will continue hardening iLink and Drop Copy 4.0 session authentication at logon in Q1 2018 with the launch of CME Globex API Secure Logon.

†In production, the new logon will be supported in parallel with the current model without surcharges until Friday, April 27. Customers are strongly encouraged to make the change before the end of April to ensure no business interruption. Any iLink or Drop Copy Target sessions that connect using plain text password after April 27 will be subject to surcharges as follows:

• †Sunday April 29 – Friday June 1: $100/session/month
• †Sunday June 3 – Friday June 29: $500/session/month

†Only Secure Logons will be supported starting Sunday, July 2.

CME Globex API Secure Logon includes:

• Security credentials
• New logon procedure
• New iLink and Drop Copy message tags

The Client Impact Assessment provides more detailed process and messaging information.

A new iLink and Drop Copy certification suite is currently available in AutoCert+. iLink and Drop Copy 4.0 customer systems must complete this mandatory certification.

The CME Globex API Secure Logon is now available for customer testing in New Release.

CME Group will offer a secure logon mock prior to each production launch weekend. These mock trading sessions will offer customers the opportunity to interact with the system and experience the new logon procedure in the CME Globex production environment. You will need to reset your Message Sequence number to “1” for the mock trading session and again prior to the beginning of week logon.  If you experience any issues during the mock, please contact the Global Command Center (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 that customers are required to register in advance in order to participate in the iLink mock trading session. Registration is now open.

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.

MDP 3 TCP Recovery IPs and Ports for New Release and Certification Environments - February 2

On Monday, December 4, CME Group migrated to new IPs and ports for MDP 3.0 TCP Recovery in the New Release and Certification environments.

The legacy IP and ports will be available in parallel until close of business on Friday, February 2.

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iLink Convenience Gateways Fault Tolerance Changes  - February 4

To simplify the iLink Fault Tolerance, effective Sunday, February 4 (trade date Monday, February 5), all Convenience Gateway (CGW) iLink sessions will move to MSGW-style Application Level Fault Tolerance with an enforced primary gateway. CGW session connectivity and login behavior will exactly match the MSGW current state.

Upon launch, all CGW iLink sessions will have a designated host that is primary and another that is designated backup. CGW customers must successfully logon to their designated primary IPs and ports before attempting to logon to the backup.

If the primary CGW fails, customers who logon without the fault tolerance must reestablish the connection to the newly promoted primary.  For customers who logon with the fault tolerance, the newly promoted primary will send a Heartbeat message with a Fault Tolerance Indicator (FTI) of ‘P’ in the tag 49-SenderCompID to notify the primary status of CGW connectivity.

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

A new CGW Fault Tolerance certification test suite is currently available in Autocert+. Certification via AutoCert+ is optional.

Drop Copy is not impacted by this change.

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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Price Precision Extension - 2018

In the second half of 2018, the supported decimal price precision for CME Globex and streamlined blocks SBE market data will be increased from 7 to 9 decimals to provide greater price granularity for future launches.

In Q4 2018, in conjunction with the price precision update, pending regulatory approval, the minimum price increment (MPI) for the 2 Year Treasury Note futures, future spreads and inter-commodity spreads will be reduced from 1/4th of 1/32nd (0.0078125) to 1/8th of 1/32nd (0.00390625). As a result, the maximum price precision will increase from 7 to 8 decimals.

The Client Impact Assessment includes additional information on the following:

• CME Globex iLink
• CME Globex MDP3
• Streamlined MDP
• ITC
• CME Globex Drop Copy
• Referential Data

These changes will be available in New Release for customer testing first half of 2018.

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New Functionality

CME FX Link  - February 25

On Sunday, February 25 (for trade date Monday, February 26), CME Group is launching CME FX Link, which is a new spot FX basis spread on CME Globex. CME FX Link will provide unique new capital, margin and operational benefits for the FX marketplace by efficiently linking trading activity in FX futures and OTC Spot FX via CME Globex.

Spot FX basis spreads will be offered between OTC Spot FX and CME FX futures for the following six currency pairs:

• EUR/USD
• JPY/USD
• GBP/USD
• CAD/USD
• AUD/USD
• MXN/USD

Additional information CME Globex processing and messaging impacts for CME FX Link is available in the Client Impact Assessment.

CME STP and CME STP FIX will support trade confirmations.

The CME FX Link is currently available for customer testing in New Release.

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NewNew - Inter-Exchange Ratio Spread: Fed Fund vs Eurodollar - March 11

Effective Sunday, March 11 (trade date Monday, March 12), a new exchange-defined Inter-Exchange Ratio Spread will be made available for trading on CME Globex. The EF inter-exchange ratio spread is the simultaneous purchase (sale) of two 30-Day Federal Funds futures (tag 6937-Asset=ZQ) and sale (purchase) of a Eurodollar future (tag 6937=GE). The new spread will allow customers to trade 90-day short term interest rates in a single package across exchanges.

Additional information on the technical details are available in the Client Impact Assessment.

The EF Inter-exchange ratio spread will be available for customer testing in New Release on Monday, January 22.

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

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Product Launches

UpdateUpdate - Energy Futures Inter-commodity Calendar Spread - January 21

† Denotes update to the article

Effective Sunday, January 21 (trade date Monday, January 22), CME Globex will launch new an Inter-commodity Calendar Spread for Henry Hub Natural Gas futures vs Henry Hub Natural Gas Look-Alike Last-Day Financial futures for the nearest 36 monthly expiries. This calendar spread will utilize a new strategy type (tag 762-SecuritySubType=IP). †Henry Hub Natural Gas futures vs Henry Hub Natural Gas Look-Alike Last-Day Financial futures will not support implied functionality in production.  Implied functionality will be turned off in the New Release environment on Monday, January 15, for customer testing.

Construction:  Buy1com1exp1 Sell1com2exp1 Sell1com1exp2 Buy1com2exp2

Security Definition Example: NGZ7-HHF8

Example: Buy the Spread

Buy 1 December 2017 Henry Hub Natural Gas (NG)
Sell 1 December 2017 Henry Hub Natural Gas Last Day Financial Future (HH)
Sell 1 January 2018 Henry Hub Natural Gas (NG)
Buy 1 January 2018 Henry Hub Natural Gas Last Day Financial Future (HH)

Example: Sell the Spread

Sell 1 December 2017 Henry Hub Natural Gas (NG)
Buy 1 December 2017 Henry Hub Natural Gas Last Day Financial Future (HH)
Buy 1 January 2018 Henry Hub Natural Gas (NG)
Sell 1 January 2018 Henry Hub Natural Gas Last Day Financial Future (HH)

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

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Reduced Tick Inter-Commodity Spread (RI) - January 21

Effective Sunday, January 21 (trade date Monday, January 22), CME Globex will launch a new Reduced Tick Inter-commodity Spread (RI) spread tag (762-SecuritySubType= RI). This new spread will allow a difference in tick size between the underlying instrument and the spread, where the underlying instrument trades at a larger tick size than the spread market. With this launch, the following energy Reduced Tick spreads (RT) will be converted to the new Reduced Tick Inter-commodity Spread (RI) type.

Please note: No additional changes will be made to these spreads, and all GT orders will remain in the order book during the conversion.

In addition, 2 new Reduced Tick Inter-commodity Spread (RI) spreads for Henry Hub Natural Gas futures vs Henry Hub Natural Gas Last Day Financial futures and Natural Gas (Henry Hub) Last-day Financial futures vs Henry Hub Natural Gas Last Day Financial futures will be listed for trading on CME Globex.

Construction:  Buy1com1exp1 Sell1com2exp1

Security Definition Example: HPH8-NGH8

Example: Buy the Spread

Buy 1 March 2018 Natural Gas (Henry Hub) Penultimate Financial Futures
Sell 1 March 2018 Natural Gas (Henry Hub) Last-day Financial Futures

Example: Sell the Spread

Sell 1 December 2018 Natural Gas (Henry Hub) Penultimate Financial Futures
Buy 1 December 2018 Natural Gas (Henry Hub) Last-day Financial Futures

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

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Argus WTI vs. NYMEX Futures - January 21

Effective Sunday, January 21 (trade date Monday, January 22), Argus WTI vs. NYMEX futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

These Argus WTI vs. NYMEX 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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Coal (ICI 4) Indonesian Coal Index (Argus/Coalindo) Futures - January 21

Effective Sunday, January 21 (trade date Monday, January 22), the Coal (ICI 4) Indonesian Coal Index (Argus/Coalindo) futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

The Coal (ICI 4) Indonesian Coal Index (Argus/Coalindo) 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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NewNew - Yen Denominated TOPIX Futures - February 4

Effective Sunday, February 4 (trade date Monday, February 5), Yen Denominated TOPIX futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

These Yen Denominated TOPIX futures will be available for customer testing in New Release on Monday, January 22.

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

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Bursa Malaysia Derivatives Berhad (BMD) FX Futures

Pending regulatory approval, Bursa Malaysia Derivatives (BMD) will list the following FX futures contracts for trading on CME Globex. A new launch date will be announced in future CME Globex notices.

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

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Product Changes

Listing Cycle Expansion for Crude and Refined Futures and Options - January 21

Effective Sunday, January 21 (trade date Monday, January 22), the listing cycle for the following Crude and Refined futures and options will be expanded on CME Globex.

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 NYMEX.

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Reduction in Extended Trading Hours for Rough Rice Futures and Options  - January 21

Effective Sunday, January 21 (trade date Monday, January 22), the extended trading hours for the following Rough Rice futures and options will be reduced on CME Globex.

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 CBOT.

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Changes to Bursa Malaysia Derivatives Berhad (BMD) Crude Palm Oil Products  - February 25

Effective Sunday, February 25 (trade date Monday, February 26), pending regulatory approvals, Bursa Malaysia Derivatives (BMD) is scheduled to make changes to the following crude palm oil products:

Please Note: The first trading session will remain unchanged at 1030 to 1230 Malaysia Time.

These contracts will be available for customer testing in New Release on Monday, January 22.

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Events and Announcements

CME Globex Port Closure Policy - February 11

Effective Sunday February 11 (trade date Monday, February 12), CME Group will implement changes to the CME Globex Port Closure Policy. With these changes, Drop Copy sessions and their respective ports will be added to the existing Policy.

Any questions regarding this change in procedure may be directed to the Global Command Center. The GCC can be reached at +1 800 438 8616 in the USA, +44 20 7623 4747 in Europe, and +65 6532 5010 in Asia.

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NewNew - iLink FIX Tag Library

In response to customer requests, a new iLink FIX Tag Library resource is currently available in the Client Systems Wiki. This page centralizes the iLink Message Specification and includes filters for querying iLink tags by:

• Tag Number
• FIX Name
• Tag Requiredness
• Tag Format

Please contact your Global Account Manager in the U.S. at 312 634 8700, in Europe at 44 203 379 3754, or in Asia at 65 6593 5505 with any questions.

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