CME Globex Notices: April 29, 2019

Critical System Updates

Consolidated iLink Fill Messages for BMD and KRX - June 2

On Sunday, June 2 (trade date Tuesday, June 3), CME Group will continue to launch consolidated iLink fill messages on CME Globex to reduce the number of iLink Execution Report - Fill messages. With this launch, CME Globex will consolidate Fill Execution Reports. Currently, when an aggressor order matches with multiple resting orders, CME Globex sends execution reports to the aggressor for each individual resting order.

As a result of fewer consolidated fill execution reports being disseminated, MDP 3.0 Trade Summary Messages (tag 35-MsgType=X, tag 269-MDEntryType=2) will be published up to 80 microseconds faster than today, in internal testing.

The key client system impacts of consolidated iLink fill messages include:

• iLink Fill Behavior Change
• New repeating group for Fill Reason

Please review the Client Impact Assessment and view a brief explanatory video for additional information on Consolidated iLink Fill Messages.

Consolidated iLink Fill Messages Frequently Asked Questions (FAQ) is now available.

Certification is not required for Consolidated iLink Fill Messages.

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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Changes to User Defined Spreads Functionality: Resting Order Eliminations  - Late Q2 2019

In late Q2 2019, CME Group will implement the following changes to User Defined Spreads (UDS) functionality on CME Globex:

• Performance changes
• Improved spread recognition logic
• Extended timing for UDS creation
• Effects of UDS creation in non-Open Market states
• Changes to tag 5979-RequestTime value
• Harmonization of SecurityID Source values

Please review the Client Impact Assessment for additional information and New Release launch schedule.

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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Decommission of Select ITC Market Data - November 1

Effective at the close of business Friday, November 1, select ITC market data functions will be decommissioned in favor of an architecture that will support price decimals beyond 7 digits. As the result of the launch of SBE Settlements and Valuations and CME Reference Data API, many ITC data functions will become redundant and will be decommissioned.

There will be a 6-month parallel period from the Settlements and Valuations production launch and decommission of select ITC market data. There will be the following ITC market data impacts:

• NYMEX, COMEX and DME ITC channels will be eliminated
• Futures and options settlements
• Cleared volume and open interest
• Cumulative volume
• High/Low/Last prices
• Fixing prices
• Marker prices
• Close prices
• Net change
• Lead month indicator
• Contract specifications
• Index prices

Real-time trading floor data, such as trades, will continue to be disseminated on ITC channels for CME, CBOT, and MGEX.

Please review the Client Impact Assessment for additional information and decommission schedules.

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iLink Mandatory Order Handling Flag  - November 17

Effective Sunday, November 17, 2019 (trade date Monday, November 18), in conjunction with the Futures Industry Association (FIA) Execution Code Schema initiative, CME Globex will require the current iLink FIX tag 1031-CustOrderHandlingInst on the following iLink messages.

Tag 1031 must be submitted on the following messages:

• New Order (tag 35-MsgType=D)
• Order Cancel/Replace Request (tag 35-MsgType=G)
• Mass Quote (tag 35-MsgType=i)

Please Note: Tag 1031 will continue to be an optional tag on the New Order Cross (tag 35-MsgType=s)message.

Tag 1031 will be returned on the following iLink messages:

• Execution Report: Order Creation or Modify (tag 35-MsgType=8, OrdStatus=0 or 5)
• Execution Report - Fill Notice (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2)
• Execution Report - Reject (tag 35-MsgType=8, tag 39-OrdStatus=8)
• Execution Report - Order Cancel-Replace Reject (tag 35-MsgType=9)
• Execution Report - Order Elimination (tag 35-MsgType=8, tag 39-OrdStatus=C, tag 150-ExecType=F) 
• Quote Acknowledgment (tag 35-MsgType=b)
• Business Level Reject (tag 35-MsgType=j)
• Session Level Reject (tag 35=3)

All tag 1031 must be populated by the following valid values:

• W - Desk
• Y - Electronic (Default)
• C - Vendor-provided Platform billed by Executing Broker
• G - Sponsored Access via Exchange API or FIX provided by Executing Broker
• H - Premium Algorithmic Trading Provider billed by Executing Broker
• D - Other, including Other-provided Screen

Learn more on the FIA guidelines on how to identify the source of any order:

• Press Release
• Summary
• White paper

With this launch, CME Globex will validate tag 1031 on iLink messages.   Any iLink message submitted with an invalid  tag 1031 value will be rejected. CME Globex will send a reject message including the following tag 58=<Reject Reason>.

To facilitate migration to the mandatory iLink tag 1031, customers can implement this change in advance of the effective date.

Tag 1031 will be available in New Release for customer testing on Monday, August 26.

Certification is not required for iLink Mandatory Order Handling Flag.

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New Functionality

UpdateUpdate - Inter-Commodity Ratio Spread: Henry Hub Natural Gas Futures - Postponed

† Denotes update to the article

†The launch of the new Inter-Commodity Ratio Spread scheduled for Sunday, June 2 (trade date Monday, June 3), has been postponed. New launch dates for production and New Release will be announced in future CME Globex notices.

The inter-commodity ratio spread is the simultaneous purchase (sale) of 8 Henry Hub Natural Gas Futures (tag 6937-Asset=NG) and sale (purchase) of 1 Henry Hub Natural Gas Last Day Financial Futures (tag 6937=NN). With this change, the IS inter-commodity spreads will support either 1:1 or 8:1 quantity ratios. Today all IS inter-commodity spreads †support the 1:1 quantity ratio.

Note: These inter-commodity ratio spread futures will NOT be implied.

Construction: Buy8com1exp1 Sell1com2exp1
Security Definition Example: NG8H9-NN1H9
Quantity Ratio: 8:1

Example: Buy the Spread

Buy 8 March 2019 Henry Hub Natural Gas Futures
Sell 1 March 2019 Henry Hub Natural Gas Last-day Financial Futures

Example: Sell the Spread

Sell 8 December 2019 Henry Hub Natural Gas Futures
Buy 1 December 2019 Henry Hub Natural Gas Last-day Financial Futures

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

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Product Launches

Micro E-mini Equity Index Futures - This Week

Effective this Sunday, May 5 (trade date Monday, May 6), pending completion of all regulatory review periods, the following Micro E-mini Equity Index futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

For more information and to subscribe to Micro E-Mini announcements, please visit https://activetrader.cmegroup.com/microemini/.

These Micro E-mini Equity Index futures are currently available for customer testing in New Release.

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

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Product Changes

NewNew - Delisting and Removal of Natural Gas Products - This Week

On Monday, April 29, the following Natural Gas products were delisted, and effective close of business Friday, May 3, these futures and options will be removed from CME Globex.

These products currently have no open interest.

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NewNew - Listing Cycle Expansion for Natural Gas TAS - May 19

Effective Sunday, May 19 (trade date Monday, May 20), the listing cycle for the following Natural Gas TAS will be expanded on CME Globex.

These futures will be available for customer testing in New Release on Monday, May 6.

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

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NewNew - Fixing Price for Rate Synthetic Futures  - May 19

Effective Sunday, May 19 (trade date Monday, May 20), CME Group will begin disseminating the fixing price for the Rate Synthetic futures. The fixing price will be calculated Monday through Friday and will be disseminated at approximately 2:00 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

This change will be available in New Release for customer testing on Monday, May 13.

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NewNew - Listing Cycle Expansion for BTIC on S&P 500 Total Return Futures - May 19

Effective Sunday, May 19 (trade date Monday, May 20), the listing cycle for the following futures will be expanded on CME Globex.

These futures will be available for customer testing in New Release on Monday, May 13.

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

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Extending Suspension of Three EUA Futures and Options - June 30

Effective Sunday, June 30 (trade date Monday, July 1), beginning with the July 2019 contract the month, the European Union Allowance (EUA) futures and options will be made available for trading on CME Globex.

These products currently have no open interest.

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CME FX Option Changes  - June 9

Effective with the listing of the September 2019 quarterly options, these CME FX options will reflect the following changes:

• Expiration time will be 9:00 am Central Time (CT). Currently, these options expire at 2:00 pm CT.
• Exercise will use the 9:00 am CT fixing price instead of the 2:00 pm fixing price.

These changes will be in effect for all option instruments that expire after Sunday, June 9, 2019. Currently listed instruments, and any instruments that expire before June 9, 2019, will continue to use the 2:00 pm expiration and 2:00 pm fixing price for exercise.

Additional information on these changes including a two minute overview video can be found at cmegroup.com/10am.

The instrument last trade date and time can be found by leveraging FIX tags 865=7 (Last eligible trade date) and 1145-EventTime in the Security Definition (tag 35-MsgType=d) message.

The 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=0 (New)
• Tag 269-MDEntryType=W (Fixing Price)
• Tag 270-MDEntryPX = Price of the MD Entry (This value will contain the fixing price).
• Tag 5796-Trading Reference will display the date for which the fixing price was calculated.

This change 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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Events and Announcements

NewNew - Synthetic Product Reminder 

Synthetic products are listed on CME Globex for internal testing purposes only. As a reminder, these products are not eligible for customer order entry.

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Processing During Japan’s Golden Week - starting April 29

Processing during Japanese Golden Week will mirror normal holiday schedules in Japan. Due to the extended holiday--Monday, April 29, through Monday, May 6--the trading schedules for Japanese Index products will be as follows:

• Normal trading hours for all Japanese equity index products, including all futures on Nikkei and Topix indexes, with the exception of BTIC instruments on Nikkei and Topix futures transactions.
• Due to the closure of the underlying cash equity markets for the Nikkei 225, BTIC transactions on the Nikkei 225 futures (JPY & USD) will not be allowed from Monday, April 29, through Monday, May 6.
• The price limit and circuit breakers will remain unchanged from Monday, April 29, through Tuesday, May 7.
  • The same circuit breaker levels of 8%, 12%,16% and daily price limits will apply for the entire period. 
  • These limits will be reset for the Wednesday, May 8, trade date.

Please contact the Global Command Center (GCC) at +1 800 438 8616 in the USA, +44 20 7623 4747 in Europe, and +65 6532 5010 in Asia with any questions.

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CME Globex Messaging Efficiency Program Billing Notification - June 3

Effective Monday, June 3, all CME Globex Messaging Efficiency Program (MEP) related surcharges will be billed to the Registered Entity that is the administrative owner of the Globex Firm ID that incurred the surcharge(s).  These surcharges will be identified on the monthly billing statement with the code “MPS” (Messaging Efficiency Program Surcharge).

Prior to this change, all MEP surcharges were billed through the clearing firm responsible for the Globex Firm ID that incurred the MEP surcharge.

Please refer to the Notices and Surcharges section of the Messaging Efficiency Program for additional details.

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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