CME Globex Notices: June 29 2020

Critical System Updates

Mandatory iLink 3 Binary Order Entry Protocol for MSGW - July 12

On Sunday, July 12 (trade date Monday, July 13 ), CME Group will continue the launch of iLink 3, a new order entry protocol for trading futures and options markets on CME Globex, over 2 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+.

iLink 3 Binary Order Entry Timeline
Market Segment ID	Market Segment Description	Production Launch
52 54 58 60 70 72 84 88	CME FX Futures and Options II CME and CBOT Equity Options CBOT Interest Rate Options CME, CBOT and MGEX Commodity Options CME, CBOT and MGEX Commodity Futures CBOT Commodity Futures II CBOT Interest Rate Futures CME FX Futures and Options	Sunday, July 12, 2020
56   68 74 78 80 82	NYMEX Emissions Options; NYMEX Energy, Metals, Softs and Alternative Market Options; COMEX Options; DME Options CME Equity Futures II; CBOT Equity Futures BMD Futures and Options; NYMEX SEF NYMEX Emissions and Non-Crude Energy Futures DME Futures; NYMEX Crude and Crude Refined Energy Futures CME Interest Rate Futures	Sunday, July 26, 2020

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, 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.

iLink 3 Message Specification Update

The iLink 3 message specification in the Client Systems Wiki has been updated to accurately reflect description for the following iLink 3 messages:

• Tag 45-RefSeqNum for iLink 3 Business Reject
• Tag 39019-MsgCount for Retransmit Request

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 - July 12

On Sunday, July 12, 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, 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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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.

Please Note: To facilitate this change, customers will be asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders for these contracts, including any User- or Exchange-Defined Spreads, by the close on Friday, July 10. After 16:00 CT on Friday, July 10, any remaining GT orders on these markets will be removed by the CME Global Command Center (GCC).

Changes to 3-Year Treasury Note Futures: Resting Order Eliminations
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Tag 969-MinTickIncrement	New Tag 969-MinTickIncrement
3-Year U.S. Treasury Note Futures	Z3N	Z3	1/4th of 1/32nd (0.0078125)	1/8th of 1/32nd (0.00390625)
3-Year U.S. Treasury Note Future vs. Ultra 10-Year U.S. Treasury Note Future	TYX	IV
3-Year U.S. Treasury Notes vs. 30-year U.S. Treasury Bond Future	TOB	IV
3-Year U.S. Treasury Note vs Ultra T-Bond	TOU	IV
3-Year U.S. Treasury Notes vs. 5-year U.S. Treasury Note Future:	TOF	IV
3-Year U.S. Treasury Notes vs. 10-year U.S. Treasury Note Future	TUN	IV
2-Year U.S. Treasury Notes vs. 3-year U.S. Treasury Note Future	TYT	IV

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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CME Globex Market Segment Gateway Enhancements - July 26

Starting Sunday, 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.

MSGW Enhancements Timeline
Market Segment ID	Market Segment Description	Production Launch
50 76	CME Interest Rate Options NYMEX Metals, Softs and Alternative Markets Futures; COMEX Futures	Sunday, July 26, 2020
54 68 72 88	CME and CBOT Equity Options CME Equity Futures II; CBOT Equity Futures CBOT Commodity Futures II CME FX Futures and Options	Sunday, August 9, 2020
52 58 60 64 70 78	CME FX Futures and Options II CBOT Interest Rate Options CME, CBOT and MGEX Commodity Options CME Equity Futures - E-mini S&P CME, CBOT and MGEX Commodity Futures NYMEX Emissions and Non-Crude Energy Futures	Sunday, August 16, 2020
56   74 80 82 84	NYMEX Emissions Options; NYMEX Energy, Metals, Softs and Alternative Markets Options; COMEX Options; DME Options BMD Futures and Options; NYMEX SEF DME Futures; NYMEX Crude and Crude Refined Energy Futures CME Interest Rate Futures CBOT Interest Rate Futures	Sunday, August 30, 2020

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NewNew - Enhancements to Cross Process on CME Globex - July 26

Effective Sunday, July 26 (trade date Monday, July 27), pending completion of all regulatory review periods, CME Group will make the following changes to the Committed Cross (C-Cross) process for all C-Cross eligible products on CME Globex.

• If the cross price betters the existing market at the time of entry to CME Globex, and new orders submitted during the Pre-Cross state do not improve on the cross price, the C-Cross order is guaranteed a Better Price Match (BPM) allocation at the beginning of the Cross Period.
• With this enhancement, the BPM will be allocated if the C-Cross price betters the market or betters the size at a current market price. If a C-Cross is entered at-the-market price, but with either side of the order is greater than the resting quantity at top of book, the cross order will receive BPM allocation for the net difference.
  • To reflect this change, Better Price Match (BPM) will be renamed Better Price or Volume Match (BPVM).

Examples: For a C-Cross of 500 contracts at a price of 8

Market Bid-Ask Spread: 800 lots at price 7 – 1,000 lots at price 9

• Cross is BPVM eligible because the cross price of 8 bettered the market.
• No change from current behavior

Market Bid-Ask Spread: 200 lots at price 8 – 1,000 lots at price 9

• Cross is BPVM eligible because the cross bid quantity bettered the resting quantity.
• Cross order will receive BPVM allocation on 300 contracts (differential of cross quantity minus resting quantity (500-200)).
• New behavior

Market Bid-Ask Spread: 1,000 lots at price 8 – 1,000 lots at price 9

• Cross is not BPVM eligible because it improves neither the price nor the quantity.

Additional information is also available in the Regulatory Advisory.

Customer systems already certified for Request for Cross functionality are not required to certify for this enhancement.

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

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

† Denotes update to the article

Effective Fall 2020, pending completion of all regulatory review periods, 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 3.0 channel, 323-CME Globex Equity Options - Micro E-mini S&P 500 Options. This new channel will use the multicast IPs previously used for channel 346, but will reflect new host IPs for the Incremental A and B feeds only. All other network information will remain the same. Heartbeats will be published on channel 323 at launch to facilitate client connectivity validation. The transition from 346 to 323 will be effective:

• New Release: Monday, July 13
• Production: Sunday, August 2

Channel ID	Environment	Feed Type	IP	Host IPs
346	New Release	Incremental A	224.0.28.84	69.50.112.89
		Incremental B	224.0.28.80	69.50.112.89
323	New Release	Incremental A	224.0.28.84	69.50.112.95
		Incremental B	224.0.28.80	69.50.112.95
346	Production	Incremental A	224.0.31.70	205.209.221.75 205.209.223.75
		Incremental B	224.0.32.70	205.209.212.75 205.209.211.75
323	Production	Incremental A	224.0.31.70	205.209.223.70 205.209.221.70
		Incremental B	224.0.32.70	205.209.211.70 205.209.212.70

Options on Micro E-mini Equity Index Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel	ITC Code
Quarterly Micro E-mini S&P 500 Options	MES	EO; EN-UDS	323	MSO
End of Month Micro E-mini S&P 500 Options	EX	EO; EN-UDS	323	EX
Weekly Micro E-mini S&P 500 Options	EX1, EX2, EX3, EX4	EO; EN-UDS	323	EX1, EX2, EX3, EX4
Quarterly Micro E-mini Nasdaq-100 Options	MNQ	NE; NF-UDS	319	MQO
End of Month Micro E-mini Nasdaq-100 Options	MQE	NE; NF-UDS	319	MQE
Weekly Micro E-mini Nasdaq-100 Options	MQ1, MQ2, MQ3, MQ4	NE; NF-UDS	319	MQ1, MQ2, MQ3, MQ4

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.

Product Launches

NewNew - Freight Route TC17 (Baltic) Futures - July 26

Effective Sunday, July 26 (trade date Monday, July 27), pending completion of all regulatory review periods, Freight Route TC17 (Baltic) Futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Freight Route TC17 (Baltic) Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Freight Route TC17 (Baltic) Futures	T7C	FT	386

The Freight Route TC17 (Baltic) Futures will be available for customer testing in New Release on Monday, July 13.

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

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Product Changes

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

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.

Please Note: To facilitate this change, customers will be asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders for these contracts, including any User- or Exchange-Defined Spreads, by the close on Friday, July 10. After 16:00 CT on Friday, July 10, any remaining GT orders on these markets will be removed by the CME Global Command Center (GCC).

Transfer of NYMEX Ferrous Metals to COMEX
Product	Current iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	New iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current MDP 3.0: tag 207-SecurityExchange	New MDP 3.0: tag 207-SecurityExchange	Current MDP 3.0 Market Data Channel	New MDP 3.0 Market Data Channel
U.S. Midwest #1 Busheling Ferrous Scrap (AMM) Futures – BUS	ST	MA	XNYM	XCEC	384	360
HMS 80/20 Ferrous Scrap, CFR Turkey (Platts) Futures – FSF	ST	MA			384	360
Iron Ore 58% Fe, Low Alumina, CFR China (TSI) Futures – TIC	ST	MA			384	360
Iron Ore 62% Fe, CFR China (TSI) Futures – TIO	IO				384	360
U.S. Midwest Domestic Hot-Rolled Coil Steel Index Futures – HRC	HR				384	360
U.S. Midwest Domestic Hot-Rolled Coil Steel Index Average Price Option – HRO	H1				385	361
Iron Ore 62% Fe, CFR China (TSI) Average Price Option - ICT	I5				385	361

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

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.

Please Note: To facilitate this change, customers will be asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders for these contracts, including any User- or Exchange-Defined Spreads, by the close on Friday, July 10 After 16:00 CT on Friday, July 10, any remaining GT orders on these markets will be removed by the CME Global Command Center (GCC).

Transfer of NYMEX UxC Uranium U308 Futures to COMEX
Product	Current MDP 3.0: tag 207-SecurityExchange	New MDP 3.0: tag 207-SecurityExchange	Current Market Data Channel	New Market Data Channel	Current Tag 1300-MarketSegmentID	New Tag 1300-MarketSegmentID
UxC Uranium U3O8 Futures - UX	XNYM (NYMEX)	XCEC (COMEX)	386	360	78	76

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.

Please Note: To facilitate this change, customers will be asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders for these contracts, including any User- or Exchange-Defined Spreads, by the close on Friday, July 10. After 16:00 CT on Friday, July 10, any remaining GT orders on these markets will be removed by the CME Global Command Center (GCC).

Changes to 3-Year Treasury Note Futures: Resting Order Eliminations
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Tag 969-MinTickIncrement	New Tag 969-MinTickIncrement
3-Year U.S. Treasury Note Futures	Z3N	Z3	1/4th of 1/32nd (0.0078125)	1/8th of 1/32nd (0.00390625)
3-Year U.S. Treasury Note Future vs. Ultra 10-Year U.S. Treasury Note Future	TYX	IV
3-Year U.S. Treasury Notes vs. 30-year U.S. Treasury Bond Future	TOB	IV
3-Year U.S. Treasury Note vs Ultra T-Bond	TOU	IV
3-Year U.S. Treasury Notes vs. 5-year U.S. Treasury Note Future:	TOF	IV
3-Year U.S. Treasury Notes vs. 10-year U.S. Treasury Note Future	TUN	IV
2-Year U.S. Treasury Notes vs. 3-year U.S. Treasury Note Future	TYT	IV

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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Change to Strike Price Listing for Russian Ruble/U.S. Dollar and South African Rand/U.S. Dollar Options - July 26

Effective Sunday, July 26 (trade date Monday, July 27), the strike price listing rule will be changed for Russian Ruble/U.S. Dollar and South African Rand/U.S. Dollar Options and they will be listed for trading on CME Globex.

Change to Strike Price Listing for Russian Ruble/U.S. Dollar and South African Rand/U.S. Dollar Options
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current	New
Options on South African Rand/U.S. Dollar (ZAR/USD) Futures.	RO	A4	Strike increment: 0.0025 Strike range: -/+ 8 strikes Contract listings: 12 monthlies plus four weeklies	+/- 20 strikes at 0.0005 for 3 front monthlies and +/- 20 strikes at 0.0010 for 9 monthlies
Weekly Options on South African Rand/U.S. Dollar (ZAR/USD) Futures.	1N,2N,3N,4N,5N	A4	Strike increment: 0.0025 Strike range: -/+ 8 strikes	+/- 15 strikes at 0.0005 for 4 weeklies
Options on Russian Ruble/U.S. Dollar (RUB/USD) Futures.	6R	UO	Strike increment: 0.00025 Strike range: +/- 25 strikes	+/- 20 strikes at 0.00010 for 3 front monthlies and +/- 20 strikes at 0.00020 for 9 monthlies
Weekly Options on Russian Ruble/U.S. Dollar (RUB/USD) Futures.	6R1,6R2,6R3,6R4,6R5	UO	Strike increment: 0.00025 Strike range: +/- 25 strikes	+/- 15 strikes at 0.00010 for 4 weeklies

These contracts are 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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UpdateUpdate - Changes to E-mini Nasdaq 100 Options – Resting Order Eliminations  - July 26

† Denotes update to the article

Effective Sunday, July 26 (trade date Monday, July 27), pending completion of all regulatory review periods, CME Group will shift the strike price in the external instrument name one byte to the left (e.g., truncate the trailing 0 (zero) right-most byte and support one additional byte to the left) for the following E-mini Nasdaq 100 options.

The external instrument name is provided in MDP 3.0 tag 55-Symbol and iLink tag 107-SecurityDesc. As a reminder, CME Group does not recommend parsing the external instrument name to determine instrument characteristics.

Please Note: tag 202-Strike Price on the MDP 3.0 Security Definition (tag 35-MsgType=d) message will not change.

Please Note: To facilitate this change, customers will be asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders for these contracts, including any User- or Exchange-Defined Spreads, by the close on Friday, July 24. After 16:00 CT on Friday, July 24, any remaining GT orders on these markets will be removed by the CME Global Command Center (GCC).

Changes to E-mini Nasdaq 100 Options
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current External Instrument Name Format	New External Instrument Name Format
E-mini Nasdaq-100 Options	NQ	QZ	NQM0 C9910; NQM0 C0560	NQM0 C0991; NQM0 C1056
E-mini Nasdaq-100 End-of-Month Options	QNE	NW	QNEM0 C9910; QNEM0 C0560	QNEM0 C0991; QNEM0 C1056
E-mini Nasdaq-100 Weekly Options	QN1-QN4	NW	QNEN1 C9910; QNEN1 C0560	QNEN1 C0991; QNEN1 C1056

†Example: new strike price
External Instrument Name: NQM0 C0991; FIX tag-202 Strike Price= 9910
External Instrument Name: NQM0 C1056: FIX tag-202 Strike Price= 10560

These changes will be available for customer testing in New Release on Monday, July 13.

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

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NewNew - Circuit Breaker Changes for CBOT Treasury Futures - July 26

Effective Sunday, July 26 (trade date Monday, July 27), and pending all relevant CFTC regulatory review periods, circuit breaker values will be modified for the following CBOT Treasury futures.

Circuit Breaker Changes for CBOT Treasury Futures
Product	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Circuit Breaker Settings (Limit Up/Down)	New Circuit Breaker Settings
Short-Term US Treasury Note Futures (2-Year)	ZT	ZT	RTH ETH Level 1: 3000 1000 Level 2: 4000 2000 Level 3: 5000 3000 Level 4: 6000 4000 Level 5: No Limit No Limit	0.75 of 1 point (RTH) 0.75 of 1 point (ETH)
3-Year US Treasury Note Futures	Z3N	Z3	RTH ETH Level 1: 3000 1000 Level 2: 4000 2000 Level 3: 5000 3000 Level 4: 6000 4000 Level 5: No Limit No Limit	1.00 point (RTH) 1.00 point (ETH)
Medium-Term US Treasury Note Futures (5-Year)	ZF	ZF	RTH ETH Level 1: 3000 2000 Level 2: 4000 4000 Level 3: 5000 6000 Level 4: 6000 8000 Level 5: No Limit No Limit	1.50 points (RTH) 1.50 points (ETH)
Long-Term US Treasury Note Futures (6½ to 10-Year)	ZN	ZN	RTH ETH Level 1: 3000 2000 Level 2: 4000 4000 Level 3: 5000 6000 Level 4: 6000 8000 Level 5: No Limit No Limit	2.00 points (RTH) 2.00 points (ETH)
10-Year U.S. Treasury Note Futures	TN	Z1	RTH ETH Level 1: 3000 2000 Level 2: 4000 4000 Level 3: 5000 6000 Level 4: 6000 8000 Level 5: No Limit No Limit	3.00 points (RTH) 3.00 points (ETH)
US Treasury Bond Futures	ZB	ZB	RTH ETH Level 1: 3000 300 Level 2: 4000 600 Level 3: 5000 900 Level 4: 6000 1200 Level 5: No Limit No Limit	4.50 points (RTH) 4.50 points (ETH)
Long-Term US Treasury Bond Futures	UB	ZU	RTH ETH Level 1: 3000 300 Level 2: 4000 600 Level 3: 5000 900 Level 4: 6000 1200 Level 5: No Limit No Limit	8.00 points (RTH) 8.00 points (ETH)

Please Note: The current 5-tier static price limit settings will be changed to a fixed dynamic variant applied in rolling 60 minutes look-back periods.

For additional information, please refer to Special Executive Report 8542.

The overview of the Dynamic Circuit Breakers video and Frequently Asked Questions (FAQ) are now available.

These changes will be available for customer testing in New Release on Monday, July 13.

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Events and Announcements

BrokerTec Markets on CME Globex  

For comprehensive information on the BrokerTec migration, please contact your Global Account Manager.

All APIs for BrokerTec on CME Globex are now available in New Release for client testing. More information about the APIs, onboarding and connectivity options is available 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.

Client systems must certify for all applicable APIs before the first mock trading session in October 2020. The AutoCert+ test suites are rolling out now for client system certification.

BrokerTec Integration Timeline

• October – November: Production Mock Trading Sessions
• November 16 – BrokerTec EU Launch
• December 7 – BrokerTec US Launch

The full release calendar is available on the BrokerTec Support Portal.

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NewNew - Two-Factor Authentication Requirement for CME Customer Center - Starting July 15

At CME Group, we are dedicated to implementing the highest level of information security so that you can trade our markets with confidence. As part of this ongoing effort, we are rolling out a two-factor authentication tool called Duo Security. Beginning on Wednesday, July 15, upon login to the CME Customer Center you will be prompted to complete the two-factor authentication registration and set up your user preferences. Once you have registered, Duo allows quick and easy authentication via push notification to your registered smart phone or a passcode from Duo Mobile app on your registered smart phone.

What is the snooze?

Upon being prompted to register for Duo Security, you will only have three opportunities to skip the registration process. After selecting snooze three times, you will be required to register for Duo Security.

Remember Me Functionality

Once you have registered for Duo Security you can select Remember Me, to skip the subsequent 2FA request.

You can register your device early to avoid delays in accessing the platform.

Register Today

To help guide you through the setup process, we've created a reference page with a tutorial video and Frequently Asked Questions (FAQ).

• DUO Reference Page
• DUO Security (FAQ)

For more information or assistance, please contact the Enterprise Application & System Entitlements Team.

CME Enterprise Application & System Entitlements
North America +1 312 456 1560
Europe +44 20 3379 3802
Asia +65 6593 5536

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Removal of Traffic Shaping from the CME Globex Production Feeds - July 25

Starting Saturday, July 25, CME Group will remove traffic shaping from the CME Globex production feeds over two weekends as follows:

• Saturday, July 25 - B Feed
• Saturday, August 1 -A Feed

While, we do not expect the removal of traffic shaping to impact customers, CME Group currently provides a bandwidth utilization tool that provides daily market statistics per market data channel in intervals of -1ms. This bandwidth utilization tool allows customers to more effectively manage their bandwidth subscriptions and network utilization for their connectivity to CME Group markets. Starting November 16, 2020, with the BrokerTec EU integration, it will also include BrokerTec markets.

Any connectivity issues should be reported to the CME Global Command Center (GCC) in the US at +1 800 438 8616, in Europe at +44 20 7623 4747 or in Asia at +65 6532 5010.   

For more information, please contact your Global Account Manager.

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