CME Globex Notices: August 5, 2019

Critical System Updates

HMAC Key Expiration - September 29

Effective Sunday, September 29 (trade date Monday, September 30), all Hash Message Authentication Codes (HMAC) security keys for iLink and Drop Copy sessions with expiration dates prior to Sunday, September 29, 2019, will be expired and no longer valid for login.  Moving forward, expiration of all HMAC security keys on their expiration date will be enforced.

Request Center will continue to display a Red flag next to keys expiring within 4 weeks and email notifications will continue to be sent via a “Security Key Will Expire Soon” email.

If you have any questions, please contact Global Account Management 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  - Q3 2019

Starting Q3 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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iLink Mandatory Order Handling Flag: Tag 1031 - 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)

Tag 1031 must be populated by one of 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

If you have any questions on tag 1031 values, please contact your clearing firm to determine which value to use.

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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Decommission of Select ITC Market Data - November 22

Effective at the close of business Friday, November 22, 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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NewNew - Original Client Order ID change on Cancel Request - Q4 2019

Effective Q4 2019, to better align with FIX Protocol standards, CME Globex will remove FIX tag 41-OrigClOrdID validation from the Order Cancel Request (tag 35-MsgType=F) message. With this change, tag 41-OrigClOrdID will no longer be required on Order Cancel Request messages. If the tag is present on the Request, CME Globex will return it on the Execution Report (tag35=8, 39=4).

This change will be available for customer testing in New Release on Tuesday, August 13.

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CME Globex Market Segment Gateway Enhancements  - January 26, 2020

Starting Sunday, January 26, 2020 (trade date Monday, January 27), CME Group will introduce the following Market Segment Gateway (MSGW) enhancements to further safeguard CME Globex infrastructure.

With this enhancement, if a Market Segment Gateway (MSGW) iLink session sends a network packet with an incomplete message, that session will be subject to additional processing to ensure the stability of the platform. This processing results in at least 3 microseconds before the message(s) can be sent to the trading engine.

iLink messages impacted by this enhancement will be flagged in the corresponding Acknowledgment sent from CME Globex.

Customers are strongly encouraged to ensure all messages are contained within a single network packet by the following methods:

• Ensure any packet sent to CME group contains only complete messages
• Limit the number of quote entries in a mass quote message that fits within a single TCP packet
• Disable nagling, an algorithm that concatenates a number of small buffer messages to decrease the number of sent packets, on your order routing systems

As a reminder, conduct that disrupts, delays, or overloads the systems or operations of the exchange may be deemed to violate Rule 575 (“Disruptive Practices Prohibited”) or other rules, including Rule 432.Q. (“General Offenses – to commit an act which is detrimental to the interest or welfare of the Exchange or to engage in any conduct which tends to impair the dignity or good name of the Exchange”). Rule 575 further provides that it is a violation to enter or cause to be entered an order where the intent at the time of order entry is to cancel the order before execution. It is also a violation of Rule 575 to intentionally or recklessly enter or cause to be entered an actionable or non-actionable message that may cause an adverse impact on the orderliness of the markets.

Customers interested in finding out how MSGW enhancements would impact their iLink sessions should contact their 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.

In internal testing, iLink round trip times at the 75th percentile and above increased at least 10%.

Please review the Client Impact Assessment for additional information on these Market Segment Gateway enhancements.

Staring on Monday, November 4, the CME Globex MSGW Enhancements will be available for customer testing in New Release. In addition, the new FIX tags for this enhancement will be available for customer testing in CME AutoCert+ Test Suite - MSGW Protection Enhancements. Certification is not required for these MSGW enhancements.

Mock Trading Session:

CME Group will offer two customer mock trading sessions on Saturday, December 14, 2019 and Saturday, January 25, 2020 to support customer experience with the MSGW enhancements in the CME Globex production environment. Customers are required to register in advance in order to participate in this mock trading session. The mock trading session script will be announced in future CME Globex Notices.

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UpdateUpdate - Mandatory iLink3 Binary Order Entry Protocol for MSGW - Q2 2020

† Denotes update to the article

CME Group is introducing iLink 3, a new order entry protocol for trading futures, options, and BrokerTec products on CME Globex. The iLink 3 protocol will launch with new production parallel channels for futures and options beginning in March 2020. All customers connected via Market Segment Gateway (MSGW) will need to migrate to the iLink 3 by Q4 2020.

iLink 3 includes:

• Simple Binary Encoding (SBE);delivers faster encoding/decoding
• FIX Performance (FIXP) protocol; very simple, lightweight, point-to-point session layer
• More efficient iLink FIX messaging
• Standard message size, fixed positions, and fixed length fields
• Consistent encoding method for order entry and market data

iLink 3 will only support iLink MSGW sessions. The Client Impact Assessment is available and provides detailed functionality and messaging information.

A new iLink certification suite will be available in AutoCert+ in November 2019; certification is required for all client systems on MSGWs.

• †August 26, 2019 – iLink 3 available in New Release environment for core functionality for futures and options
• November 2019 - Complete iLink 3 functionality in New Release; AutoCert+ certification for futures and options;
• March – April  2020 -  Production launch of iLink 3
• Q4 2020 – Elimination of iLink 2 for MSGW

Further information on the production launch deployment schedule, and mock trading sessions will be published in upcoming CME Globex Notices.

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 - BrokerTec US Treasury Data on MDP - September 22

† Denotes update to the article

Effective Sunday, September 22 (trade date Monday, September 23), CME Group will launch a new Simple Binary Encoding (SBE) Market Data Platform (MDP) Channel named BrokerTec US Treasury Data.

†This new market data channel redistributes NEX Data’s comprehensive BrokerTec US Treasury price discovery solution. Please note: This market data channel is distinct from the CME Globex BrokerTec Market Data scheduled to launch with integration in Q4 2020.

†This channel will include:

• top 5 levels of the order book for active benchmark products (2 Year – 30 Year)
• trade indicators
• market statistics including calculated analytics such as Volume Weighted Average Yield (VWAY) 

BrokerTec US Treasury Data Supported Products:

• Active Benchmark Bills
  • 1 Month Bills – 1 Year Bills
• Active Benchmark Notes and Bonds
  • 2 Year Note – 30 Year Bond
• When Issued Bills, Notes & Bonds
  • 1 Month Bills – 30 Year Bonds
• Once Old & Twice Old Off-the-Run Notes and Bonds
  • 2 Year Notes – 30 Year Bonds

Please review the Client Impact Assessment for product details, technical specifications and launch schedule.

A market data license is required to gain access and interested customers should contact NEX Data Sales Team for licensing and cost at Enquiries@nexdata.com.

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Product Launches

LNG Japan/Korea Marker (Platts) Futures-Style Margined Average Price Option - This Week

Effective this Sunday, August 11 (trade date Monday, August 12), pending completion of all regulatory review periods, LNG Japan/Korea Marker (Platts) Futures-Style Margined Average Price Option will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

This option is 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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Eris Swap Futures Inter-Commodity Spreads - This Week

Effective this Sunday, August 11 (trade date Monday, August 12), Eris Swap futures inter-commodity spreads will be listed on CME Globex.

These spreads 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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Forward BTICs and Forward TACOs on E-mini S&P 500 Futures - September 8

Effective Sunday, September 8 (trade date Monday, September 9), pending completion of all regulatory review periods, Forward BTICs and Forward TACOs on E-mini S&P 500 futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

These are futures contracts in which a long (short) position in an expiring contract, upon termination of trading, will be fulfilled by assignment of a long (short) BTIC or TACO transaction, which, if held to expiration, will in turn be fulfilled by assignment of a long (short) position in the corresponding E-mini S&P Futures contract at an assignment price equal to the sum of the S&P 500 index marker level corresponding to either BTIC or TACO plus the final settlement price reflected in the Market Data Incremental Refresh (tag 35-MsgType=X, 269=6) message of the underlying contract’s last trade date (generally on the business day immediately prior to the delivery date).

Example: After ES1M905 Forward BTIC ceases trading on June 4, 2019, each open contract would be fulfilled by assignment of a June 2019 E-mini S&P 500 BTIC (ESTM9) traded and settled on June 5, 2019.

• ES1 would be fulfilled by assignment of the ES Future that is the “front month” future as of the assignment date.
• ES2 would be fulfilled by assignment of the second-nearest contract month of the ES future.
• EQ1 would be fulfilled by assignment of a “front month” ES future.”

These futures will be available for customer testing in New Release on Monday, August 12.

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

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Black Sea Sunflower Oil Financially Settled (Platts) Futures - August 25

Effective Sunday, August 25 (trade date Monday, August 26), pending completion of all regulatory review periods, Black Sea Sunflower Oil Financially Settled (Platts) futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

The Black Sea Sunflower Oil Financially Settled (Platts) futures will be available for customer testing in New Release on Monday, August 12.

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

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Micro Refined Futures - August 25

Effective Sunday, August 25 (trade date Monday, August 26), pending completion of all regulatory review periods, micro refined futures 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, August 12.

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

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Singapore Fuel Oil Bunker 380 cst (Argus) Futures - August 25

Effective Sunday, August 25 (trade date Monday, August 26), pending completion of all regulatory review periods, Singapore Fuel Oil Bunker 380 cst (Argus) futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

The Singapore Fuel Oil Bunker 380 cst (Argus) futures will be available for customer testing in New Release on Monday, August 12.

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

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Product Changes

Implied Functionality Disabled on CME FX Futures and SD Calendar Spreads - This Week

Effective this Sunday, August 11, (for trade date Monday, August 12), implied functionality will be disabled on the following CME FX futures outrights and all SD calendar spreads (i.e., serial-to-serial, serial-to-quarterly, and quarterly-to-quarterly).

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

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Changes to FX Futures Calendar Spreads – Resting Order Eliminations  - This Week

Effective this Sunday, August 11 (for trade date Monday, August 12), the following changes will be made to the EUR/USD and JPY/USD futures calendar spreads:

• For all calendar spreads: Match Algorithm change from Pro-Rata (tag 1142=C) to Configurable (tag 1142=K) for all calendar spread months.  The configuration will be 20% FIFO, 80% Pro Rata with no Leveling, and FIFO for residuals.
• For non-consecutive calendar spreads only: A reduced minimum trading tick of 0.2; currently defined as 0.5.

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

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

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Renaming FX Options - This Week

Effective this Sunday, August 11 (trade date Monday, August 12), and pending all relevant CFTC regulatory review periods the FX options will be renamed.

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

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Change to Maximum Order Quantities for CBOT-Listed Invoice Swap Spread - August 25

Effective Sunday, August 25 (for trade date Monday, August 26), maximum order quantities for CBOT-Listed Invoice Swap Spread s will be changed as shown in the table below.

This change will be made available for customer testing in New Release on Monday, August 12.

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

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Temporary Suspension of Three EUA Futures and Options  - October 31

The temporary suspension of the European Union Allowance (EUA) futures and options has been extended. Effective Thursday, October 31 (trade date Friday, November 1), beginning with the November 2019 contract 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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Events and Announcements

NewNew - Gemini Joins CME CF Cryptocurrency Indices - August 30

On August 30, 2019 at 10:30am CT, Gemini digital asset exchange data will be included in the CME CF Reference Rates and Real Time Indices for both Bitcoin and Ether. The CME CF Bitcoin Reference Rate (BRR), is used to settle CME Bitcoin Futures (BTC). CF Benchmarks, the leading cryptocurrency index provider, is the Administrator for the CME CF Cryptocurrency Indices.

For more information, please visit the CME CF Cryptocurrency Indices webpage.

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