CME Globex Notices: October 2, 2017

Critical System Updates

Changes in Timing and Frequency for Publishing VOI Messages - October 29

Effective Sunday, October 29 (trade date October 30), to provide more timely information, CME MDP 3.0 will publish preliminary Daily Cleared Volume and Open Interest (VOI) market data messages earlier. With this change, the redundant preliminary VOI messages will no longer be published.

Changes in Timing and Frequency for Publishing VOI Messages:

• First round of preliminary VOI messages will be published current calendar day (except Friday), after the trading session ends.
  • Between 6:30 pm – 6:45 pm Central time (CT) Monday – Thursday for COMEX, DME, and NYMEX.
  • Between 8:00 pm – 8:30 pm (CT) Monday – Thursday for CBOT and CME.
  • Friday’s preliminary VOI will be published on Sunday at 3:05 pm.
  • Currently, the first preliminary VOI message is published on the next calendar day (except Friday). Current publication times are available in the Client Systems Wiki.
• Second round of preliminary VOI messages will be eliminated.
• Final VOI messages will continue to be published the next calendar day (except Friday’s final VOI will continue to be published on Monday).
  • Between 8:00 am - 8:30 am Monday – Friday for all CME Group exchanges and DME.

Customers can determine the trading reference date by leveraging tag 5796-TradingReferenceDate in the cleared volume and open interest messages to identify the trading session date.

Please note: The publication timing and frequency of VOI messages for ITC messages, KRX Exchange, BMD Exchange and MGEX Exchange are not impacted by this change. MDP 3.0 VOI messages will be published significantly earlier than the ITC VOI messages.

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

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Streamlined MDP SBE Schema Update  - November 19

Starting Sunday, November 19, CME Group will update the schema for all streamlined SBE market data channels to support schema version 8 to ensure consistency between market data channels.  

With this change, the schema file for Streamlined Market Data for Block Trades will be modified as follows:

• Template MDIncrementalRefreshTradeBlocks340 will migrate to MDIncrementalRefreshTradeBlocks349
  • Tag 60-TransactTime will support uInt64NULL datatype on template MDIncrementalRefreshTradeBlocks349
  • Tag 75-TradeDate will be added to template MDIncrementalRefreshTradeBlocks349
  • Tag 271-MDEntrySize will support Decimal64 datatype on template MDIncrementalRefreshTradeBlocks349

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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Information Security Update - December 17

CME Group is committed to our customers’ information security. To deliver the best security and customer experience, effective Sunday, December 17 (trade date Monday, December 18), 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  - Q4 2017

Effective Q4 2017, 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 2: New Release
  • 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
• Q4 2017: Production and Certification
  • New MDP 3.0 channel start publishing heartbeats
  • Updated Config.xml file available
  • 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

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

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 until Friday, April 27, 2018. After this date, iLink and Drop Copy 4.0 sessions will only be allowed to logon with the new Secure Logon process. Customers are strongly encouraged to make the change in advance of the cutoff to ensure no business interruption.

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 will be available in AutoCert+ on Monday, October 16, 2017. iLink and Drop Copy 4.0 customer systems must complete this mandatory certification.

The CME Globex API Secure Logon will be available for customer testing 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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New New - iLink Convenience Gateways Fault Tolerance Changes  - February 4

To simplify the iLink Fault Tolerance, effective Sunday, February 4, 2018 (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 an Fault Tolerance Indicator (FTI) of ‘P’ in the tag 49-SenderCompID to notify the primary status of CGW connectivity.

These changes will be available in New Release for customer testing on Monday, October 16, 2017.

A new CGW Fault Tolerance certification test suite will be available in Autocert+ on Monday, November 20, 2017.  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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New Functionality

CME Globex Execution Information Enhancements - October 22

On Sunday, October 22 (trade date Monday, October 30), CME Group will continue to implement 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
• Spread trade cancellation reporting for both the spread and legs via iLink and MDP 3.0 messages
  • Currently, CME Globex sends the iLink Execution Report - Trade Cancellation message (tag 35-MsgType=8, tag 39-OrdStatus=H) for legs only

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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User-Defined Spread Enhancement  - October 29

Effective Sunday, October 29 (trade date Monday, October 30), User-Defined Spreads (UDS) on CME Globex will support up to 40 outright instrument legs. Currently, UDS supports 26 outright legs. The Recursive UDS limit of 40 legs will be unchanged.

This change will apply to UDS Combos and UDS Covereds. UDS for futures already support 40 outright legs.

40 leg UDS functionality is currently available in New Release for customer testing.

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CME FX Link  - Q1 2018

In Q1 2018, CME Group is launching CME FX Link 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 will support trade confirmations.

The CME FX Link will be available for customer testing in New Release on Thursday, November 16.

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Product Launches

Gold London Trade At Marker - October 22

Effective Sunday, October 22 (trade date Monday, October 23), Gold London Trade At Marker First PM will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

The Gold London Trade At Marker First PM is currently available for customer testing in New Release.

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

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FOB Australia Premium Hard Coking Coal (TSI) Average Price Option - October 22

Effective Sunday, October 22 (trade date Monday, October 23), FOB Australia Premium Hard Coking Coal (TSI) Average Price Option will list for trading on CME Globex and for submission for clearing via CME ClearPort.

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

This product is listed with, and subject to, the rules and regulations of NYMEX.

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Nikkei/USD Futures vs. Nikkei/Yen Futures Implied Intercommodity Spread  - October 29

Effective Sunday, October 29 (trade date Monday, October 30), the Nikkei/USD futures vs. Nikkei/Yen futures implied intercommodity spread will be listed on CME Globex for the nearest four quarterly expirations with both legs having identical expiry months.

This spread will function as an implied intercommodity, where buying the spread buys the first leg (Nikkei/USD futures) and sells the second leg (Nikkei/Yen futures). The spread will have a 1:1 leg price ratio quantity as defined in FIX tag 623-LegRatioQty in the Security Definition (tag 35-MsgType=d) message.

This spread is 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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New New - Wednesday Premium and Volatility Quoted Options on Five Major FX Futures  - October 29

Effective Sunday, October 29 (trade date Monday, October 30), Wednesday Premium and Volatility Quoted Options on Five Major FX Futures (AUD/USD, GBP/USD, EUR/USD, CAD/USD, & JPY/USD) will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

These Options will be available for customer testing in New Release on Monday, October 16.

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

New New - Japanese Naphtha Crack Spread Futures  - This Week

On Monday, October 2, the June 2018 and beyond expirations for the following Naphtha Crack Spread futures were suspended temporarily from trading and removed from CME Globex. This temporary suspension is required to support the change in the amendment to the conversion factor.

Trading will not be permitted in these expirations from Monday, October 2 through Sunday, October 22.

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Resumption of Listing Cycle for Corn and Mini Corn Futures - This Week

Effective this Sunday, October 8 (trade date Monday, October 9), the listing cycle for Corn and Mini Corn futures will resume on CME Globex, beginning with the July 2020 and December 2020 contract months.

These futures 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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Fix Tag Changes for Cash-Settled Cheese Futures and Non-fat Dry Milk Futures - October 22

Effective Sunday, October 22 (trade date Monday, October 23), the FIX tags will be changed for Cash-Settled Cheese Futures and Non-fat Dry Milk Futures.

• tag 55-Symbol for iLink, and
• tag 1151-SecurityGroup for MDP 3.0

These futures will be available for customer testing in New Release on Monday, October 2.

To facilitate this change, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders after the close on October 20. After 16:00 CT on October 20, all remaining GT orders for these futures will be cancelled or deleted by the CME Global Command Center (GCC).

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

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Daily Settlement Procedure for COMEX and NYMEX Metals Futures  - October 22

Effective Sunday, October 22 (trade date Monday, October 23), the daily settlement procedure for COMEX and NYMEX Metals futures will be harmonized to provide a standardized methodology and to improve transparency. The new standardized methodology will use:

• A volume weighted average price for the derivation of the active expiration.
• All other expirations will use volume weighted average calendar spread prices as the Tier 1 criterion for the derivation of settlements.
• Any remaining expirations will use active and actionable calendar spread bids and offers as the Tier 2 criterion for the derivation of settlement prices.

Additional information and examples are available in the Client Systems Wiki.

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New New - Daily Settlement Procedure for Energy Futures  - November 5

Effective Sunday, November 5 (trade date Monday, November 6), the daily settlement procedure for energy futures will be harmonized to provide a standardized methodology and to improve transparency. The new standardized methodology will use:

• A volume weighted average price for the derivation of the active expiration.
• All other expirations will use volume weighted average calendar spread prices as the Tier 1 criterion for the derivation of settlements.
• Any remaining expirations will use active and actionable calendar spread bids and offers as the Tier 2 criterion for the derivation of settlement prices.

Additional information and examples are available in the Client Systems Wiki.

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American-Style Mexican Peso Options to European-Style - January 2

Effective Tuesday, January 2, 2018, the full conversion from American-style to European-style exercise will occur and the Security Definition messages and Referential files will reflect European-style exercise. Product Symbols are not changing.

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

The change will be available in New Release for customer testing on Monday, November 8.

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Events and Announcements

Messaging Efficiency Program Q4 2017 Benchmarks

The Q4 2017 CME Globex Messaging Efficiency Program Product Group Benchmarks are now available online. No changes were made to Q4 2017 Product Group Benchmarks vs. Q3 2017 Product Group Benchmarks and Product Group Benchmark Ratios are published quarterly, unless business circumstances for a particular product or product group require changes to be implemented more frequently.

The CME Globex Messaging Efficiency Program creates fair business guidelines by which customers are billed a surcharge for overly high message rates.

CME Globex firms who exceed the benchmark ratios in applicable product groups and are signed-up accordingly, receive email notifications of any potential surcharges, and CME Globex firms who have access to the Firm Administrator Dashboard have the ability to view their messaging statistics on a T+1 basis.

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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Disaster Recovery (DR) Testing  - October 14

CME Group is committed to the protection of its members, employees and stakeholders and has a long history of successfully managing risk. In keeping with those traditions, CME Group has a comprehensive business continuity program in place. To ensure customer readiness, CME Group will offer CME Globex & Clearing Disaster Recovery (DR) Failover testing, in conjunction with the Futures Industry Association (FIA) test on Saturday, October 14.

The CME Globex & Clearing DR Failover test is designed to ensure customers can successfully failover to the CME Globex & Clearing DR environment, send orders and fallback to the production environment in case of an emergency.

A detailed time line and testing script is available on the FIA's website.

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Legacy FirmSoft Decommission  - October 27

Effective Friday, October 27, at close of business, CME Group will retire the legacy FirmSoft order management tool. After this date, users will be required to use the new version of FirmSoft for all order search, cancellation and reporting needs. Existing FirmSoft users are strongly encouraged to begin using the new version of FirmSoft as soon as possible.

The new FirmSoft offers:

• a new look and feel
• ability to search and cancel by Market Segment Gateway ID
• mobile-friendly access from any internet-enabled device

After Friday, October 27, legacy FirmSoft will be used for administrative purposes only. Authorized FirmSoft administrators will continue to use the legacy FirmSoft tool only to manage entitlements for users.

For additional information about functionality, please review the FirmSoft Help.

If you have any questions, please email FirmSoftFeedback@cmegroup.com or contact your Global Account Manager.

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New New - CME SFTP Server Upgrade  - November 18

Effective Saturday, November 18, the CME SFTP Production servers will be upgraded. There are no changes to the SFTP site name, IP address or the connectivity methods. Additionally, there are no changes required on the firms’ side. We are asking firms to participate in our initial testing in production on Saturday, October 28 or when we go live on Saturday, November 18. This upgrade affects the below CME SFTP sites:

• Web based: sftpng.cmegroup.com- port 22
• WAN based: 167.204.41.33 - port 22

Testing:

• Testing include connectivity to CME SFTP and uploading or downloading prior data file into/from the customer designated account Outgoing or Incoming folders.
• If you are uploading a test file, we recommend that customers insert the word “TEST” in the file name.
• For downloading file from the Outgoing folder, we recommend that firms download a prior day file.
• Customers can connect to CME SFTP using their credentials currently used in Production. Either via userid/password or via public keys.

To register to participate in either test, please contact CCS@cmegroup.com or call +1 312 207 2525 with your contact information and your preferred testing date.

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