Topics in this issue include:
As previously announced, effective end of day Friday, October 28, order routing and market data for BM&F BOVESPA (BVMF) products will no longer be available via the CME Globex platform. Existing order routing customers to BVMF markets should contact their Brazilian broker. Customers wishing to pursue market access to BVMF markets may also contact BVMF at +55 11 2565-5000 (dial ‘0’ for English, then ‘2’ for Trading).
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.
Effective close of business Friday, October 28, all resting Good ‘Till Cancel (GTC) orders on User-Defined Spreads will be eliminated for the following Market Segments:
These eliminations are required due to operational maintenance.
Resting GTCs on UDS for these markets in New Release were eliminated on Friday, October 21.
Effective Tuesday, November 1, CME Group will reduce the parameters to trigger Velocity Logic (VL) for Live Cattle from $3.00 (0.03) to $1.00 (0.01), and Feeder Cattle from $3.00 (0.03) to $1.25 (0.0125). All other VL parameters will remain the same.
Velocity Logic parameters for CME Globex products are defined in the CME Globex Product Reference in the Client Systems Wiki.
If you have any questions, please contact the CME Global Command Center in the U.S. at +1 800 438 8616, in Europe at +44 800 898 013 or in Asia at +65 6532 5010.
Effective Sunday, November 13, CME Group will continue implementing Streamlined Simple Binary Encoding (SBE) market data protocol. Streamlined SBE will replace the existing streamlined FIX/FAST market data protocol to align the market data protocol with MDP 3.0 encoding format.
Please refer to the table for the implementation schedule and client impact assessments.
Streamlined SBE Market Data Protocol | |||
---|---|---|---|
SBE Feed | Production | New Release | Client Impact Assessment Availability |
Blocks | Available | Available | Blocks Streamlined Conversion to SBE |
Equity Indices - S&P & Dow Jones | Available | Available | Equity Indices Streamlined Conversion to SBE |
Eris | Available | Available | Eris Exchange Streamlined Conversion to SBE |
OTC-EOD | November 13 | Available | OTC-EOD Streamlined Conversion to SBE |
Equity Indices - Bloomberg | January 22 | Available | Equity Indices Streamlined Conversion to SBE |
A new SBE config.xml file for production is now available for customer download from CME Group FTP site.
The new Streamlined SBE schema is currently available in New Release.
Customer systems receiving market data via Streamlined SBE must complete a mandatory certification suite for each market type.
Streamlined FIX/FAST and ITC 2 Blocks Decommission
The following streamlined FIX/FAST and ITC 2 Blocks feeds will be decommissioned in the New Release and Production environments as follows:
Streamlined FIX/FAST and ITC 2 Blocks Decommission | ||
---|---|---|
SBE Feed | Production | New Release |
FIX/FAST and ITC2 Blocks CME/CBOT/CME Europe | December 30 | December 30 |
FIX/FAST and ITC2 Blocks NYMEX/COMEX/DME | March 31 | March 31 |
FIX/FAST Equity Indices – Bloomberg, S&P & Dow Jones | January 20 | January 20 |
FIX/FAST Eris Exchange | April 21 | April 21 |
FIX/FAST OTC-EOD | December 30 | December 30 |
† Denotes update to the article
Starting Sunday, December 4 (trade date Monday, December 5), to increase market transparency and customer choice, CME Group will offer Market by Order (MBO) information in-line with the current Market by Price (MBP) for CME Globex markets.
Market Data Platform with MBO will feature:
The client impact assessment provides functionality and messaging information.
MBO is now available in New Release for customer testing. Please view the updated MBO rollout schedule for production.
With the introduction of MBO overall incremental feed bandwidth is expected to increase 30-40%. During peak times the number of incremental feed packets per millisecond may increase up to 40-50%.
The MBO certification suite is now available in AutoCert+ for customer testing. Customer systems who choose to process MBO via CME Globex must complete this certification.
†To ensure customers can access, trade and process the market data for Market By Order (MBO), CME Group will hold a mock trading session on Saturday, November 12. All customers and trading system providers who plan to support MBO are strongly encouraged to participate. For more information about the Mock Trading Session, please view the mock trading session script.
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.
Starting Sunday, December 4 (trade date Monday, December 5), CME Group will introduce an enhancement to Indicative Opening behavior to increase transparency and provide market participants with Indicative Opening Quantity. With this enhancement, a new MDP3 Indicative Opening Quantity (IOQ) statistic will be sent with the Indicative Opening Price (IOP). The tag will represent the probable aggregated quantity of all orders executed during the opening. The IOQ will include max show and stop order quantity.
Along with this change, the logic for calculating the book quantity during the pre-open and reserve states will also be updated.
The client impact assessment provides dates, functionality and messaging information.
Indicative Opening Enhancements is now available in New Release for customer testing. Please view the Indicative Opening Enhancements Rollout Schedule for production launch dates.
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.
† Denotes update to the article
Starting Sunday, December 4 (trade date Monday, December 5), to increase transparency and simplify CME Globex functionality, all tag 37-OrderID values will be published in the Market Data Incremental Refresh Trade Summary messages.
With this release, iLink will no longer support FIX tag 1091-PreTradeAnonymity. CME Globex will not send tag 1091 to client systems, even when submitted on the original message.
Trade Summary OrderID Opt-in Release Schedule | ||||
---|---|---|---|---|
Group | Channel Number | Channel Name | New Release Date | Production Date |
1 | 384 | NYMEX Globex Metals, Softs, & Alternative Market Futures | Available | Sunday, December 4, 2016 |
1 | 385 | NYMEX Globex Metals, Softs, & Alternative Market Options | ||
1 | 360 | COMEX Globex Futures | Sunday, January 8, 2017 | |
1 | 361 | †COMEX Globex Options | ||
1 | 380 | †NYMEX Globex Emissions Futures | ||
1 | 381 | NYMEX Globex Emissions Options | ||
1 | 440 | DME Globex Futures | ||
1 | 441 | DME Globex Options | ||
1 | 382 | NYMEX Globex Crude & Crude Refined Futures | Sunday, January 22, 2017 | |
1 | 383 | NYMEX Globex Crude & Crude Refined Options | ||
1 | 386 | NYMEX Globex Nat Gas & other Non-Crude Energy Futures | ||
1 | 387 | NYMEX Globex Nat Gas & other Non-Crude Energy Options | ||
1 | 410 | CME Europe Globex Futures | ||
1 | 411 | CME Europe Globex Options | ||
2 | 340 | CBOT Globex Commodity Futures | Available | Sunday, March 26, 2017 |
2 | 346 | CBOT Globex Commodity Futures II | ||
2 | 341 | CBOT Globex Commodity Options | ||
2 | 342 | CBOT Globex Equity Index Futures | ||
2 | 343 | CBOT Globex Equity Index Options | ||
2 | 344 | CBOT Globex Interest Rate Futures | ||
2 | 345 | CBOT Globex Interest Rate Options | ||
2 | 460 | MGEX Globex Futures | ||
2 | 461 | MGEX Globex Options | ||
2 | 310 | CME Globex Equity Futures | Available |
|
2 | 311 | CME Globex Equity Options | ||
2 | 312 | CME Globex Interest Rate Futures | ||
2 | 313 | CME Globex Interest Rate Options | ||
2 | 318 | CME Globex Equity Futures - excludes E-mini S&P 500 | ||
2 | 319 | CME Globex Equity Options - excludes E-mini S&P 500 | ||
2 | 314 | CME Globex FX Futures | Available | |
2 | 315 | CME Globex FX Options | Available | |
2 | 316 | CME Globex Commodity Futures | Available | |
2 | 317 | CME Globex Commodity Options | Available | |
2 | 320 | CME Globex FX Futures II | ||
2 | 321 | CME Globex FX Options II | ||
2 | 430 | BMD Globex Futures | ||
2 | 431 | BMD Globex Options | ||
2 | 450 | KRX Globex Futures |
Starting January 8, 2017 (trade date Monday, January 9), CME Group continues implementing new MDP 3.0 SBE schema files to support the upcoming Market by Order, Triangulation and Consolidated Fills initiatives on CME Globex. For more information regarding these initiatives, please see the CME Group Customer Forum. With the new MDP 3.0 SBE schema release, CME Group expects up to a 10% bandwidth increase per market data channel.
In order to ease customer development efforts, the new SBE schema files will support appended Template Extension. CME Group recommends that the new Schema file be downloaded and implemented on the production launch date for each channel.
Schema Channel Launch Schedule | ||
---|---|---|
Channels | Production | New Release |
340 - CBOT Globex Commodity Futures 346 - CBOT Globex Commodity Futures II 341 - CBOT Globex Commodity Options 460 - MGEX Globex Futures 461 - MGEX Globex Options |
January 8, 2017 | Available |
342 - CBOT Globex Equity Index Futures 343 - CBOT Globex Equity Index Options 344 - CBOT Globex Interest Rate Futures 345 - CBOT Globex Interest Rate Options |
January 22, 2017 | Available |
430 - BMD Globex Futures 431 - BMD Globex Options 450 - KRX Globex Futures Administrative Messages for TCP Replay |
January 22, 2017 | Available |
The launch of new market segments for FX futures and options scheduled for Sunday, January 8, has been postponed. CME Group will launch new market segments for FX futures and options markets to support the upcoming Triangulation initiative on CME Globex. More information on the launch dates, customer mock trading session and new config.xml files will be announced in future CME Globex notices.
The market segment for FX futures and options markets will be changed as follows:
Market Segment Changes for FX Futures and Options | |||||
---|---|---|---|---|---|
Product | MDP 3.0 Channel | Current Tag 1300- MarketSegemntID |
New Tag 1300- MarketSegemntID |
Production Launch | New Release Launch |
CME Globex FX Options | 315 | 52 | 88 | TBD | TBD |
CME Globex FX Futures | 314 | 62 | 88 | TBD | TBD |
There will be no changes to MDP 3.0 channels, functionality or messaging format associated with these market segment changes.
Please note: There are no market segment changes for CME Globex FX Futures II and CME Globex FX Options II on MDP 3.0 channel 320 and 321, respectively.
To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for all User Defined Spreads created on Market Segment ID 52 after their close on †the Friday prior the production launch date. All remaining GT orders for these User Defined Spreads will be cancelled by the CME Global Command Center (GCC). GTC and GTD order for he FX options, futures and futures spreads will not be affected by this change.
†To ensure customer can access, trade and process market data for these market segment changes, CME Group will host a mock trading session. All customers who support these market segments are strongly encouraged to participate.
For more information regarding this initiative, please visit the CME Group Customer Forum page.
Effective Sunday, November 13 (trade date Monday, November 14), CME Group and Crypto Facilities (CF) will launch two bitcoin-pricing products designed to give clients a reliable reference rate price source for digital assets.
The pricing data will be disseminated via a streamlined Simple Binary Encoding (SBE) market data feed. This feed will publish the following Bitcoin standardized reference rate and real time index pricing data:
The client impact assessment provides functionality and messaging information.
A new certification test suite in AutoCert+ for Bitcoin pricing data via streamlined SBE is currently available.
Please note: Certification for streamlined CME CF Bitcoin pricing data is not mandatory for client systems already certified for streamlined SBE Equity Indices.
A new SBE config.xml file for production will be available from CME Group FTP site on Monday, October 31. The production channels for Bitcoin pricing data will be available for customers and broadcasting heartbeats on Monday, October 31.
Streamlined SBE for Bitcoin pricing data is currently 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.
Effective Sunday, November 13, 2016 (trade date Monday, November 14), volatility-quoted options are scheduled to launch on six FX options products: Euro FX, British pound, Japanese Yen, Canadian Dollar, Swiss Franc and Australian Dollar in both American-style and new European-style options expiring at 2 p.m. Central Time (CT).
Volatility-quoted options is a functionality that allows CME Globex clients to trade an option contract with an 'auto-hedge' into the corresponding quarterly month of the underlying futures contract. When a volatility trade occurs, CME will use a standardized option pricing model to create a delta neutral combination of premium options and futures, and exchange these between the buyer and seller.
All of the volatility-quoted options products are currently available in the New Release for customer testing.
To ensure customers can access, trade and process the market data for the new volatility-quoted FX options, CME Group will hold a mock trading session on Saturday, November 12. All customers and trading system providers who plan to support these products are strongly encouraged to participate. For more information about the Mock Trading Sessions, please view the mock trading session script.
More information on these new products and the associated messaging and functionality enhancements is available in the Volatility-Quoted Options Client Impact Assessment.
Effective this Sunday, October 30 (trade date Monday, October 31), Bursa Malaysia Derivatives (BMD) is scheduled to list Tin futures for trading on CME Globex.
Bursa Malaysia Derivative Berhad (BMD) Tin Futures | |||
---|---|---|---|
Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Trading Hours |
Tin Futures | FTIN | BN | First Trading Session 9:00 a.m. - 12:00 p.m. Malaysian Standard Time (MST) 8:00 p.m. - 11:00 p.m. Central Time (CT) Second Trading Session 1:30 p.m. - 3:00 p.m. (MST) 12:30 a.m. - 2:00 a.m. (CT) |
These futures are currently available in New Release for customer testing.
Effective Sunday, November 20 (trade date Monday, November 21), subject to regulatory approval, the UK NBP Natural Gas (USD/MMBtu) (ICIS Heren) Front Month Future will be listed for trading on CME Globex and for submission to clearing via CME ClearPort.
UK NBP Natural Gas (USD/MMBtu) (ICIS Heren) Front Month Future | ||
---|---|---|
Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
UK NBP Natural Gas (USD/MMBtu) (ICIS Heren) Front Month Future | NUE | JQ |
These futures are currently available for customer testing in New Release.
These contracts are listed with, and subject to, the rules and regulations of CME Europe.
Effective this Sunday, October 30 (trade date Monday, October 31), the listing cycle for the Aluminum A380 Alloy (Platts) futures will be expanded from 12 consecutive months to the current year plus the next calendar year on CME Globex.
Listing Expansion for Aluminum A380 Alloy (Platts) Futures | ||||
---|---|---|---|---|
Product | MDP 3.0: tag 6937-Asset | MDP 3.0 tag 1151 - Security Group | Current Listing Cycle | New Listing Cycle |
Aluminum A380 Alloy (Platts) Futures | A38 | ST | 12 consecutive months | Current year plus the next calendar year |
This change is currently available in New Release for customer testing.
These futures are listed with, and subject to, the rules and regulations of CME.
Effective Sunday, November 6 (trade date Monday, November 7), the February 2018 maturity month for Live Cattle futures and options will be listed on CME Globex and clearing submission via CME ClearPort.
Listing Live Cattle Futures and Options for February 2018 Contract Months | ||
---|---|---|
Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Live Cattle Futures | LE | LE |
Live Cattle Options | LE | L0 |
These changes will be available for customer testing in New Release on Monday, October 31.
These contracts are listed with, and subject to, the rules and regulations of CME.
Effective Sunday, November 13 (trade date Monday, November 14), the maximum order quantity, tag 1140-MaxTradeVol, for the Energy Options in the following groups will be changed from 999 to 2,499. Tag 1140-MaxTradeVol can be found in the security definition message.
Change to Maximum Order Quantity for All Natural Gas Options | |||
---|---|---|---|
Product | MDP 3.0 tag 6937-Asset | tag 1140-MaxTradeVol(Current) | tag 1140-MaxTradeVol (New) |
Natural Gas Options | GZ | 999 | 2,499 |
Natural Gas Options | ON | 999 | 2,499 |
Natural Gas Options | LG | 999 | 2,499 |
WTI Crude Oil Options | LO | 999 | 2,499 |
Brent Crude Oil Options | OT | 999 | 2,499 |
Brent Crude Oil Futures-Style Margin Options | PR | 999 | 2,499 |
This change is currently available for customer testing in New Release.
These contracts are listed with, and subject to, the rules and regulations of NYMEX.
Effective Sunday, November 13 (trade date Monday, November 14), the second-generation implied functionality will be removed from all remaining eligible markets on Market Segments 70, 76, 82, 84 and 86, including all intra- and inter-commodity spreads. First generation implied functionality will still be supported. The market segment id can be identified in tag 1300-MarketSegmentID in the security definition message.
Information on second-generation implied functionality is detailed in the Client Systems Wiki.
Changes for Implied Futures Functionality | |
---|---|
Tag1300-MarketSegmentID | Market Segment |
70 | CME Commodity Futures, MGEX Futures |
76 | COMEX Futures, NYMEX Metals, Softs, & Alternative Market Futures |
82 | CME Interest Rate Futures |
84 | CBOT Interest Rate Futures |
86 | CME Europe Futures and Options |
This change will be available for customer testing in New Release on Monday, October 31.
Effective Sunday, November 13 (trade date Monday, November 14), pending all relevant CFTC regulatory review periods, the number of exchange-defined option instruments for the following NYMEX Natural Gas options will be reduced on CME Globex. Customers will continue to have the ability to create strikes as per the product Rulebook listing rules via the User-Defined Instruments functionality. UDI functionality allows users to dynamically create options strikes that co-exist with exchange-listed strikes and supports the most efficient use of product resources.
NYMEX Options on Futures Changes | ||
---|---|---|
NYMEX Natural Gas | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Natural Gas Option (European) | LNE | LG |
Natural Gas Option (American) | ON | ON |
Natural Gas (Henry Hub) Last-day Financial 3 Month Spread Option | G3B | ON |
Natural Gas (Henry Hub) Last-day Financial Option | AE7 | GZ |
Natural Gas (Henry Hub) Last-day Financial 1 Month Spread Option | G4X | ON |
Natural Gas 1 Month Calendar Spread Option | IAY | ON |
Henry Hub Natural Gas Financial Calendar Spread Option - Four Month | G10 | ON |
These products will be available for customer testing in New Release on Monday, October 31.
These contracts are listed with, and subject to, the rules and regulations of NYMEX.
Effective Sunday, November 20 (trade date Monday, November 21), CME Group will begin disseminating additional fixing prices for E-mini S&P 500 futures and Yen-Denominated Nikkei futures.
Fixing Price is a volume-weighted average price mid-point of the bid/ask quotes of the associated future from CME Globex as well as actual trade prices for a defined time span. The additional E-mini S&P 500 futures fixing price will be calculated Monday through Friday from 14:59:30 to 15:00:00 Japan time and published at 15:00:00 Japan time. The Yen-Denominated Nikkei futures fixing price will be calculated Monday through Friday from 16:29:30 to 16:30:00 London time and published at 16:30:00 London Time.
Additional Fixing Price for E-mini S&P 500 Futures and Yen-Denominated Nikkei Futures | |||
---|---|---|---|
Product | MDP 3.0 tag 6937 - Asset |
MDP 3.0 tag 1151 - Security Group |
ITC Commodity Code |
E-mini S&P 500 Futures | ES | ES | EJF |
Nikkei/Yen Futures | NIY | N1 | NEF |
Fixing Price data blocks are sent in the MDP 3.0 Market Data Incremental Refresh (tag 35-MsgType=X) with the following attributes:
The additional fixing prices will be available in New Release for customer testing on Monday, October 31.
These contracts are listed with, and subject to, the rules and regulations of CME.
Effective Sunday, November 20 (trade date Monday, November 21), Black Sea Wheat futures will resume the following listing cycle on CME Globex and clearing submission via CME ClearPort.
Listing Cycle Resumption for Black Sea Wheat Futures | |||
---|---|---|---|
Product | MDP 3.0 tag 6937 - Asset |
MDP 3.0 tag 1151 - Security Group |
Listing Cycle |
Black Sea Wheat | BSW | BW | Two months of March, May, July, September, and December |
These changes will be available for customer testing in New Release on Monday, October 31.
These contracts are listed with, and subject to, the rules and regulations of CBOT.
Effective Sunday, November 20 (trade date Monday, November 21), pending all relevant CFTC regulatory review periods, the number of exchange-defined option instruments for the following NYMEX Electricity options will be reduced on CME Globex. Customers will continue to have the ability to create strikes as per the product Rulebook listing rules via the User-Defined Instruments functionality. UDI functionality allows users to dynamically create options strikes that co-exist with exchange-listed strikes and supports the most efficient use of product resources.
NYMEX Options on Futures Changes | ||
---|---|---|
Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
PJM Western Hub Real-Time Peak Calendar-Month 5 MW Option | JOA | IZ |
PJM Western Hub Real-Time Peak Calendar-Month 50 MW Option | PMA | ET |
PJM Western Hub Real-Time Peak 5 MW Calendar Strip Option | 6OA | ET |
PJM Western Hub Real-Time Off-Peak Calendar-Month 50 MW Strip Option | 6OO | ET |
PJM Northern Illinois Hub Real-Time Peak Calendar-Month 5 MW Option | OUA | IZ |
ISO New England Day-Ahead Peak Calendar-Month 5 MW Option | INE | IZ |
ISO New England Mass Hub Peak LMP 5 MW Calendar Strip Option | NEG | IZ |
MISO Indiana Hub (formerly Cinergy Hub) Real-Time Peak Calendar-Month 5 MW Option | OYA | IZ |
These products will be available for customer testing in New Release on Monday, November 7.
These contracts are listed with, and subject to, the rules and regulations of NYMEX.
The Q4 2016 CME Globex Messaging Efficiency Program Product Group Benchmarks are now available online. The Product Group Benchmark Ratios are published quarterly, unless business circumstances for a particular product or product group require changes to be implemented more frequently.
Additionally, on Monday, October 3, various product groups and levels were added to the Messaging Efficiency Program; however, surcharges will not take effect until trade date November 1.
CME Globex firms who exceed the benchmark ratios in the new product groups and are currently signed-up to receive Messaging Efficiency Program e-mail notifications will be informed of any theoretical surcharges via a sample e-mail notification.
The CME Globex Messaging Efficiency Program creates fair business guidelines by which customers are billed a surcharge for overly high message rates.
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.
CME Group is committed to our customers’ information security. To deliver the best security and customer experience, as announced in the recent CME Group Customer Forums, all certified customer-facing applications that support human-to-machine authentication to CME Group systems will be required to support strong passwords, encryption of confidential and sensitive data, and two-factor authentication by the end of 2016.These requirements apply to both customer-facing services connected to CME Group and to their services exposed to clients.
Please contact your Global Account Manager or third-party provider with any questions.