CME Globex Notices: June 1, 2020

Critical System Updates

Mandatory iLink 3 Binary Order Entry Protocol for MSGW - June 21

On Sunday, June 21 (trade date Monday, June 22), CME Group will continue the launch of iLink 3, a new order entry protocol for trading futures, options, and BrokerTec products on CME Globex, over 3 launch weekends. 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.

iLink 3 Binary Order Entry Update:

As previously announced,  iLink 3 will launch in production using schema version 5.  Version 5 is currently the only version supported in New Release.  Customer can only send version 5 messages.

During the iLink 2 to 3 session migration, any MSGW sessions configured for iLink 3 must send iLink 3 messages if market segments are migrated to iLink 3, and send iLink 2 messages if market segments have not yet migrated to iLink 3.  A new MSGW config.xml file with a flag to indicate for each MSGW if it is enabled for iLink 3 is now available for customer download from CME Group SFTP site.

All client systems must complete the full certification before migrating to iLink 3 in production. All iLink 3 tests are now available in Autocert+.

Mock Trading Session:

To support customer experience with the iLink 3 protocol in the CME Globex production environment, CME Group will offer customer mock trading sessions on:

• Saturday, June 20, 2020*
• Saturday, July 11, 2020 *
• Saturday, July 25, 2020*

Customers are required to register in advance in order to participate in this mock trading session. The updated mock trading session script is now available.

*For any customers who plan to keep their sessions on iLink 3 for production launch weekends, in addition to registering those sessions for the mock they must also update the session protocol in CME Request Center by Friday prior to each iLink 3 production launch weekend.

For the iLink 2 to 3 migration, CME Group does not require customers to obtain new iLink sessions. Customers will have the ability to migrate their existing iLink sessions from iLink 2 to 3 within the CME Request Center starting Sunday, March 15.  For all existing migrated sessions, standard Session Policy Charges will apply. 

Please Note: Customers who chose to create new iLink sessions to facilitate this migration will be subject to the standard Port Activation charges.  However, the Monthly Inactivity charges will be waived for these new iLink sessions during the iLink 3 rollout from May 1 through July 31, after which standard Session Policy charges will apply.

Client systems must be certified for all iLink 3 tests via Autocert+ prior to participate the iLink 3 mock trading sessions. Please note that only iLink 3 sessions will be available for testing CME Globex markets during the mock trading sessions.

Please contact your Global Account Manager for additional information.

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Update on Order Routing and Front-End Audit Trail Requirements for iLink 3

As noted in the CME Globex Notice on January 30, 2020, the required audit trail specifications in the Client Systems Wiki were amended in connection with the implementation of iLink 3.

All customer systems must be certified for Audit Trail for iLink 3 prior to going to the production environment.

For additional information, please review the Market Regulation Advisory Notice on order routing and front-end audit trail regulatory requirements.

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Drop Copy Impact: iLink 3 Binary Order Entry Protocol for MSGW - June 21

On Sunday, June 21, CME Group will continue to introduce iLink 3, a new order entry protocol on CME Globex. When source sessions for Drop Copy migrate to iLink 3, the encoded payload messages sent on Drop Copy will be in ASCII format but will reflect the following changes:

• Deprecated message tags
• Change to FIX Type for Tag 548-CrossID
• Additional Enumeration for Tag 59-TimeInForce

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

The Client Impact Assessment is available and provides detailed information on the changes to the encoded iLink 3 messages.

Certification of client systems leveraging Drop Copy Market Segment Gateway (MSGW) is not required.

Please see the iLink 3 binary order entry deployment schedule.

Mock Trading Session:

To support customer experience with the iLink 3 protocol impacts on Drop Copy in the CME Globex production environment, CME Group will offer customer mock trading sessions on the following dates:

• Saturday, June 20, 2020
• Saturday, July 11, 2020
• Saturday, July 25, 2020

The mock trading session script is now available.

CME Group strongly recommends Drop Copy clients thoroughly test these changes to the encoded iLink messages before migration.

Please contact your Global Account Manager for additional information.

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CME Globex Updates: Market Segment and MDP 3.0 Channel Migrations  - June 21

Effective Sunday, June 21 (trade date Monday, June 22), to better align related markets across the platform, the following changes will be applied to CME Globex

• All products on market segment 54 except the standard and e-mini S&P 500 options markets will migrate to market segment 72.
• The standard S&P 500 options markets will migrate to MDP 3 channel 311 (currently on 319)
• User-Defined Spreads, Good Till Cancel and Good Till Date (GTC and GTD) orders will migrate with the markets, except for standard S&P 500 options.
• Market data will continue to be published on channels 311, 319 and 343.
• Incremental market data channels 319 and 343 will reflect new source IPs.
  • The new source IPs will be identical to the source IPs used for channels 318 and 342 today.
• The updated config.xml files for MDP to reflect the product moves to channel 311 will be available at launch.

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

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CME Globex Market Segment Gateway Enhancements - July 26

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 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.

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

Mock Trading Session:

CME Group will offer a customer mock trading session on Saturday, June 6, 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.

The updated mock trading session script is now available.

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NewNew - Options on Micro E-mini Equity Index Futures - Fall 2020

Effective Fall 2020, pending completion of all regulatory review periods, the following Options on Micro E-mini Equity Index futures will be listed for trading on CME Globex.

The Micro E-mini S&P 500 options market data will be published on a new MDP channel, 323-CME Globex Equity Options - Micro E-mini S&P 500 Options. This new channel will use the multicast IP previously used for channel 346 but will reflect new host IPs. Detailed information on the IPs and the config.xml updates will be available in future CME Globex Notices.

These options will be available for customer testing in New Release in August.

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

New Functionality

CME Reference Data API Version 2 - This Week

Effective this Sunday, June 7 (trade date Monday, June 8), CME Group will launch an enhanced version of CME Reference Data API named CME Reference Data API version 2. This enhanced version will require customer authorization using a CME Group Login and a registered OAuth 2.0 API ID to access the service. Customers that require access to BrokerTec content must have also completed API ID entitlement registration.

The Client Impact Assessment is available and provides detailed functionality and message specifications.

The current version of CME Reference Data API will continue to be supported until December 31, 2020.  CME Group recommends customers should migrate to CME Reference Data API version 2 as soon as possible.

The Reference Data API version 2 service is currently available for customer testing in New Release.

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Product Changes

NewNew - Changes to Non-Reviewable Ranges for Palladium Products - Available

On Sunday, May 31 (trade date Monday, June 1), the Non-Reviewable Ranges were be modified for following products.

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.

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NewNew - Delisting and Removal of S&P 500 Carry Adjusted Total Return Index Futures BTIC  - This Week

On Monday, June 1, the following S&P 500 Carry Adjusted Total Return Index Futures BTIC contract was delisted and on Friday, May 29 the futures contract was removed from CME Globex at close of business.

This futures contract currently have no open interest.

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Listing Cycle Expansion for Three LNG Freight Futures  - This Week

Effective this Sunday, June 7 (trade date Monday, June 8), the listing cycle for the following LNG Freight futures will be expanded on CME Globex.

These changes 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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UpdateUpdate - Transfer of NYMEX Ferrous Metals to COMEX – Resting Order Eliminations - July 12

† Denotes update to the article

Effective Sunday, July 12 (trade date Monday, July 13), the following NYMEX Ferrous metals products will be transferred from the NYMEX Designated Contract Market (DCM) to the COMEX DCM. With this change, all CME Group Ferrous metal contracts will be listed on a single DCM.

The transfer of open interest will be administrative in nature as there will be no impact on trading or to the economic value of the contracts.  The contracts will continue to clear at CME Clearing and the commodity codes will remain unchanged.

To effect this change, the contracts will be removed from NYMEX and added to COMEX.  The product codes and Market Segments will not change.

†The product groups and market data channel changes are detailed below.

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

The daily settlement (Incremental Refresh (35=X) with 269=6) published on Friday, July 10, for impacted NYMEX products will be re-published prior to start-up on Sunday, July 12, as daily settlements for COMEX products.

There will be no changes to MDP 3.0 functionality or messaging format. The multicast address, source IPs, TCP address, and ports for the channels and Market Segment Gateways are available on the CME FTP and SFTP sites.

Further details will be forthcoming closer to the effective date.

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UpdateUpdate - Transfer of NYMEX UxC Uranium U308 Futures to COMEX – Resting Order Eliminations  - July 12

† Denotes update to the article

Effective Sunday, July 12 (trade date Monday, July 13), the UxC Uranium U308 futures (tag 6937-Asset=UX) will be transferred from the NYMEX Designated Contract Market (DCM) to the COMEX DCM.

The transfer of open interest will be administrative in nature as there will be no impact on trading or to the economic value of the contract.  The contract will continue to clear at CME Clearing and the commodity codes will remain unchanged. To effect this change, the contract will be removed from NYMEX and added to COMEX.

†The product codes and groups will not change. The market segment, product groups and market data channel changes are detailed below.

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

The daily settlement (Incremental Refresh (35=X) with 269=6) published on Friday, July 10, for impacted NYMEX products will be re-published prior to start-up on Sunday, July 12, as daily settlements for COMEX products.

There will be no changes to MDP 3.0 functionality or messaging format. The multicast address, source IPs, TCP address, and ports for the channels and Market Segment Gateways are available on the CME FTP and SFTP sites.

Further details will be forthcoming closer to the effective date.

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Changes to Tick Increment and Match Algorithm for 3-Year Treasury Note Futures: Resting Order Eliminations - July 12

Effective Sunday, July 12 (trade date Monday, July 13), pending regulatory approval, the following changes will be made to 3-Year Treasury futures:

• Change to fix tag 969-MinTickIncrement for outrights, spreads, and associated Treasury Intercommodity Ratio Spreads from 7 to 8 decimals to support trading at 1/8 of 1/32
• Match Algorithm change from Configurable 40% FIFO (tag 1142=K) to FIFO 100% (tag 1142=F) for outright markets of all contract months. (match algorithm for calendar spreads will remain unchanged; 20% FIFO (tag 1142=F), 80% Pro Rata (tag 1142=C).

Please note Covered and Tail Spreads utilizing 3-Year T-Note Future (Z3N) will support the 1/8th of 1/32nd tick.

This change is 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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Events and Announcements

CME Globex New Release Environment Access for BrokerTec Customers

In preparation for the BrokerTec markets launch on CME Globex in Q4 2020, customers and vendors should develop and test their applications via CME Globex New Release Environment. The New Release Environment supports products, messaging and functionality testing prior to production launch. Basic functionality for all APIs is currently available in the New Release Environment.

All BrokerTec customers should establish connectivity to the CME Globex New Release Environment prior to testing. Customers may choose one of two ways to connect:

• CME Cert VPN - which uses a secure, encrypted tunnel through an Internet service that supports VPN protocols
• CME Cert Data Center - which allows customers to cross connect to CME Data Center locations where this option is offered, using a 1Gbps fiber handoff.

Internet access to the New Release environment for the CME STP and CME STP FIX APIs is also available now.

To request connectivity to the CME Globex New Release Environment for BrokerTec:

• BrokerTec customers who are new to CME Group must submit a Certification/New Release Environment Access Request and Change Form.  This form can be found on the BrokerTec Support Portal.
  • To access the BrokerTec Support Portal you must be an existing customer or vendor with a signed Non-Disclosure Agreement (NDA) in place with BrokerTec.  
• BrokerTec customers who already have a CME Cert VPN or CME Cert Data Center connection should contact their Global Account Manager to request that their existing connection be configured to connect to BrokerTec in the New Release Environment.

Learn more about how to get set up to test using the CME Globex New Release Environment Onboarding document.

If you have any questions, please contact your Global Account Manager for additional information.

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NewNew - Country Code File on ftp.cmegroup.com - June 21

Effective Sunday, June 21 (trade date Monday, June 22), the ISO identifier of message originator's location(s) will be updated on ftp.cmegroup.com to reflect ISO 3166 standards. A new country_codes.rtf file will be available for customer download on the production launch date prior to market open.

Please note: CME Group requires customers to populate all orders with the originating location. The originating location must be identified in tag 142-SenderLocationID.

ISO codes are available at ftp.cmegroup.com/fix/coo. Additional information on Point of Order Origination is available online.

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Messaging Efficiency Program New Product Group Additions - July 1

Effective trade date Wednesday, July 1, the following product groups and levels will be added to the Messaging Efficiency Program:

Additionally, the following product groups are currently included in the Messaging Efficiency Program however effective trade date Wednesday, July 1, they will be revised to incorporate all instruments:

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.

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 for additional information.

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