• CME Globex Notices: June 26, 2023

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions & Services (GMSS)
      • #
      • 20230626
      • Notice Date
      • 29 June 2023

    • Topics in this issue include:

    • For the latest roadmap of CME Group technology initiatives:
      See the Development Launch Schedule.

      Critical Updates

      New Release Source IP Historical Replay Update - August 11

      Effective close of business Friday, August 11, CME Group will change source IPs MDP for TCP historical replay as follows:

      IP ADDRESS CHANGE
      CHANNEL NAME CHANNEL ID CURRENT SOURCE IP ADDRESSES NEW SOURCE IP ADDRESSES FTP INFORMATION
      CME Benchmark Premium Administration  261 69.50.112.43 69.50.112.161 SFTP - MDP Configuration
      Streamlined Channels:
      · Equity Indices
      · OTC Daily
      · Block Trades
      · CME CF Cryptocurrency Indices      		 200, 201, 210, 211, 212, 213, 230, 231, 232, 233, 234 69.50.112.43 69.50.112.161 SFTP - MDP Configuration
      Settlements and Valuations 251, 252, 253, 254 69.50.112.43 69.50.112.161 SFTP - MDP Configuration

      A new config.xml file will be available for customer download Sunday, July 16.

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      UpdateUpdate - GLink Network Infrastructure Upgrade in Aurora - Q3 2023

      † Denotes update to the article

      In 2023, CME Group is upgrading its GLink network infrastructure at the CME Co-Location Facility in Aurora, IL. This network upgrade consists of:

      • Replacement of the existing end of life (EOL) Juniper switches with new Arista switches which will utilize new customer ports and new CME IPs
      • Introduction of a new GLink Demarc Cable providing customers with equidistant connectivity to any rack unit (RU) in their cabinet

      The new GLink switches will also expand capacity to support future growth while the new GLink Demarc Cable will allow customers to optimize their CME Co-location Licensed Space.  The new GLink infrastructure is anticipated to be ready in Q3 2023 with customer testing and cutover to the new network taking place during Q3/Q4 2023. Further details will be communicated during Q2 2023.

      † Please see the Client System Impact for details and an updated FAQ.

      Any immediate questions can be directed to Global Account Management.

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      UpdateUpdate - Mandatory Migration - iLink 3 Binary Order Entry Protocol for CGW - Q1 2024

      † Denotes update to the article

      CME Group is introducing iLink 3 on Convenience Gateways (CGW) for trading futures and options on CME Globex. †The iLink 3 protocol will launch on the existing CGWs on Sunday, February 4, 2024 (trade date Monday, February 5). All customers connected via CGW will need to migrate to iLink 3 by December 31, 2024.

      iLink 3 includes:

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

      The Client Impact Assessment is available and provides detailed functionality and messaging information.

      †Based on customer feedback and to better align with iLink 2 CGW, Cancel on Disconnect (COD) will be optional functionality for all iLink 3 CGW sessions. Customers will be able to request COD functionality to be disabled or enabled in:

      • New Release - July 17, 2023
      • Production – October 23, 2023

      Please note that all iLink 3 CGW sessions will be created with COD enabled. Clearing Firm Administrators can disable COD functionality by entering the change request via Firm Admin Dashboard (FADB).

      iLink 3 on CGW is currently available in New Release for customer testing.

      AutoCert+ certification is required for all client systems using CGWs.

      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 for additional information.

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      UpdateUpdate - Drop Copy Impacts - Mandatory iLink 3 Binary Order Entry Protocol for Convenience Gateway - Q1 2024

      † Denotes update to the article

      † On Sunday, February  4, 2024 (trade date Monday, February  5), CME Group will launch the iLink 3 protocol  on existing Convenience Gateways (CGW) for trading futures and options on CME Globex. All customers connected via Convenient Gateway (CGW) are encouraged to migrate to iLink 3 as early as possible prior to the iLink 2 decommission, key events and dates are listed here.

      Impacts of mandatory iLink 3 Binary Order Entry protocol for Convenience Gateway on Drop Copy Convenience Gateway target sessions.

      • Message encoding: The Drop Copy encapsulated XML Non-Fix (tag 35-MsgType=n) Message payload sent from iLink 3 source sessions will be in ASCII format.
        •  Message payload mapping conforming to the iLink 3 formats and encoding will feature deprecated message tags, additional tags and enumerations for order entry, clearing and regulatory compliance messaging specifications.
        • A summary of ASCII encoded tags with their equivalent values in Simple Binary Encoding tags and enumerations is available here.
      • Target Session: Current Drop Copy CGW target session users do not need to request new target sessions although upon requesting the mandatory iLink 3 source session, a new target session may be automatically created to accommodate iLink order entry infrastructure load balancing and optimization considerations. Customers are requested to check for new automatically generated Drop Copy CGW target sessions.
      • † Parallel period: During the parallel period which runs until December 31, 2024, CME Globex will support Drop Copy target sessions connected to both iLink 2 and iLink 3 CGW sessions. When iLink 2 is decommissioned on December 31, 2024, any Drop Copy target sessions with iLink 2 sessions only will be removed from the platform.
      • AutoCert+ Certification: Certification is not required for existing Drop Copy CGW session users.

      Please review Mandatory iLink 3 Binary Order Entry Protocol for CGW for additional details.

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      NewNew - Real-time JSON Block Trades Data via Google Cloud 

      CME Group market data in the cloud now supports real-time JSON-formatted futures and options data on block trades. New JSON CME Smart Stream on GCP topics will support CME Globex sourced products from the following Designated Contract Markets (DCM):

      • CME
      • CBOT
      • COMEX
      • NYMEX
      • DME

      Please review the Client Systems Wiki for additional information regarding JSON-formatted futures and options data on block trades.

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

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      Product Launches

      Listing Lithium Hydroxide CIF CJK (Fastmarkets) Futures Spreads and Strips - July 16

      Effective Sunday, July 16 (trade date Monday, July 17), Lithium Hydroxide CIF CJK (Fastmarkets) futures spreads for 24 months and strips for 12 months will be made available for trading on CME Globex.

      Listing Lithium Hydroxide CIF CJK (Fastmarkets) Futures Spreads and Strips
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Tag 762-
      SecuritySubType
      Lithium Hydroxide CIF CJK (Fastmarkets) Futures LTH LI

      SP Standard Calendar Spread
      SA Average Price Strip
      SB Balanced Strip Spread

      These spreads and strips are 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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      Listing Aluminum Futures Butterfly Spreads - July 16

      Effective Sunday, July 16 (trade date Monday, July 17), Aluminum futures 1-month butterfly spreads will be added for the first 12 contract months on CME Globex.

      Listing Aluminum Futures Butterfly Spreads
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Tag 762-
      SecuritySubType
      Aluminum Futures ALI AL BF (Butterfly Spread)

      These spreads are 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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      Lithium Carbonate CIF CJK (Fastmarkets) Futures - July 16

      Effective Sunday, July 16 (trade date Monday, July 17), pending completion of all regulatory review periods, Lithium Carbonate CIF CJK (Fastmarkets) futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Lithium Carbonate CIF CJK (Fastmarkets) Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Tag 762-
      SecuritySubType      		 Market Data
      Channel
      Lithium Carbonate CIF CJK (Fastmarkets) Futures LTC LI SP – Standard Calendar Spread
      SA – Strip
      SB – Balanced Strip Spread
      IS – Intercommodity      		 360

      These futures are 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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      Exchange-Defined Heating Oil-Gasoil (HOGO) Inter-Commodity Ratio Futures Spread - July 23

      Effective Sunday, July 23 (trade date Monday, July 24), a new exchange-defined energy Heating Oil-Gasoil (HOGO) Inter-Commodity Ratio futures spreads will be made available for trading on CME Globex. The new spread will utilize a new strategy type (TG). 

      The TG spread is the simultaneous purchase (sale) of two energy contracts of different leg quantity ratios where the spread will trade at a fixed price ratio of 1:1. The TG spread will allow customers to trade two energy contracts of varying leg ratios in a single package. 

      Please review the client impact assessment for detailed spread construction and pricing examples.

      These futures spreads 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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      NewNew - Monday and Wednesday Crude Oil Weekly Options - July 30

      Effective Sunday, July 30 (trade date Monday, July 31), pending completion of all regulatory review periods, Monday and Wednesday Crude Oil Weekly Options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Monday and Wednesday Crude Oil Weekly Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Market Data Channel
      Crude Oil Monday Weekly Option ML1-ML5 LO 383
      Crude Oil Wednesday Weekly Option WL1-WL5 LO 383

      These options will be available for customer testing in New Release on Monday, July 17.

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

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      Product Changes

      Delisting and Removal of Eurodollar Futures and Options - This Week

      On Monday, June 26, to support the transition from Eurodollar futures and options to Secured Overnight Financing Rate (SOFR) Term Rate, the following Eurodollar and Interest Rate Swap contracts were delisted. Effective close of business Friday, June 30, these futures will be removed from CME Globex.

      Delisting and Removal of Eurodollar Futures and Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Three-Month Eurodollar Futures GE GE
      Options on Three-Month Eurodollar Futures GE ZE
      One-Year Mid-Curve Eurodollar Options GE0 E0
      Two-Year Mid-Curve Eurodollar Options GE2 E2
      Three-Year Mid-Curve Eurodollar Options GE3 E3
      Four-Year Mid-Curve Eurodollar Options GE4 E4
      Five-Year Mid-Curve Eurodollar Options GE5 E5
      Weekly One-Year Mid-Curve Eurodollar Options - Week 1-5 E01-E05 E0
      Weekly Two-Year Mid-Curve Eurodollar Options - Week 1-5 E21-E25 E0
      Weekly Three-Year Mid-Curve Eurodollar Options - Week 1-5 E31-E35 E0
      One-Month Eurodollar Futures GLB EM
      Options on Three-Month Eurodollar Futures Calendar Spreads SPO 8I
      Three-Month Mid-Curve Eurodollar Options TE2 G3
      Six-Month Mid-Curve Eurodollar Options TE3 G6
      Nine-Month Mid-Curve Eurodollar Options TE4 G4
      2-Year U.S. Dollar Interest Rate Swap Futures T1U SJ
      5-Year U.S. Dollar Interest Rate Swap Futures F1U SF
      7-Year USD Interest Rate Swap Futures S1U S7
      10-Year U.S. Dollar Interest Rate Swap Futures N1U SN
      20-Year USD Interest Rate Swap Futures E1U S2
      30-Year U.S. Dollar Interest Rate Swap Futures B1U SM
      Please note: All LIBOR referent contracts will be delisted and removed.

      These futures currently have no open interest.

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

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      Change to Strike Price Listing for Equity Event Contracts  - July 9

      Effective Sunday, July 9 (trade date Monday, July 10), the strike price listing rule will be changed for the following Equity Event Contracts on CME Globex.

      Change to Strike Price Listing For Equity Event Contracts
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Listing Rule New Listing Rule
      Event Contracts on E-mini Standard and Poor’s 500 Stock Price Index Futures

       

      		 ECES

       

      		 VE

       

      		 5 strikes at $10.00 increment above and below the at-the-money strike, then 1 strike at $25.00 increment above and below the highest and lowest $10.00 increment strike, then 1 strike at $50.00 increment above and below the highest and lowest $25.00 increment strike.
      Upon demand and at the discretion of the exchange, additional strikes added in $25.00 and $50.00 increments.

       

      		 10 strikes at $10.00 increment above and below the at-the-money strike, then 2 strikes at $25.00 increment above and below the highest and lowest $10.00 increment strike, then 2 strikes at $50.00 increment above and below the highest and lowest $25.00 increment strike.
      Upon demand and at the discretion of the exchange, additional strikes added in $10.00 and $25.00 increments.

       
      Event Contracts on E-mini Nasdaq-100 Index Futures

       

      		 ECNQ

       

      		 VN

       

      		 5 strikes at $50.00 increment above and below the at-the-money strike, then 1 strike at $100.00 increment above and below the highest and lowest $50.00 increment strike, then 1 strike at $250.00 increment above and below the highest and lowest $100.00 increment strike.
      Upon demand and at the discretion of the exchange, additional strikes added in $50.00 increments.

       

      		 10 strikes at $50.00 increment above and below the at-the-money strike, then 2 strikes at $100.00 increment above and below the highest and lowest $50.00 increment strike, then 2 strikes at $250.00 increment above and below the highest and lowest $100.00 increment strike.
      Upon demand and at the discretion of the exchange, additional strikes added in $50.00 increments.

       
      Event Contracts on E-mini Russell 2000 Index Futures

       

      		 ECRTY

       

      		 VR

       

      		 5 strikes at $10.00 increment above and below the at-the-money strike, then 1 strike at $25.00 increment above and below the highest and lowest $10.00 increment strike, then 1 strike at $50.00 increment above and below the highest and lowest $25.00 increment strike.
      Upon demand and at the discretion of the exchange, additional strikes added in $10.00 and $25.00 increments.

       

      		 10 strikes at $10.00 increment above and below the at-the-money strike, then 2 strikes at $25.00 increment above and below the highest and lowest $10.00 increment strike, then 2 strikes at $50.00 increment above and below the highest and lowest $25.00 increment strike.
      Upon demand and at the discretion of the exchange, additional strikes added in $10.00 and $25.00 increments.

       
      Event Contracts on E-mini Dow Jones Industrial Average Index Futures

       

      		 ECYM

       

      		 VM

       

      		 5 strikes at $100.00 increment above and below the at-the-money strike, then 1 strike at $250.00 increment above and below the highest and lowest $100.00 increment strike, then 1 strike at $500.00 increment above and below the highest and lowest $250.00 increment strike.
      Upon demand and at the discretion of the exchange, additional strikes added in $100.00 and $250.00 increments.

       

      		 10 strikes at $100.00 increment above and below the at-the-money strike, then 2 strikes at $250.00 increment above and below the highest and lowest $100.00 increment strike, then 2 strikes at $500.00 increment above and below the highest and lowest $250.00 increment strike.
      Upon demand and at the discretion of the exchange, additional strikes added in $100.00 and $250.00 increments.

       

      These changes 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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      Listing Cycle Expansion for Copper Weekly Wednesday Option - July 16

      Effective Sunday, July 16 (trade date Monday, July 17), the listing cycle for the following Copper Weekly Wednesday Option will be expanded on CME Globex.

      Listing Cycle Expansion for Copper Weekly Wednesday Option
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Listing Schedule New Listing Schedule
      Copper Weekly Wednesday Option H1W-H5W 1U Weekly contracts listed for 4 weeks (no weekly contract listed with the same expiry as the monthly option) Weekly contracts listed for 4 weeks (no weekly contract listed with the same expiry as the monthly option) and 3 additional week 1 contracts

      These options will be 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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      Listing Cycle Expansion for Platinum and Palladium Futures and Options - July 16

      Effective Sunday, July 16 (trade date Monday, July 17), the listing cycle for the following Platinum and Palladium futures and options will be expanded on CME Globex.

      Listing Cycle Expansion for Platinum and Palladium Futures and Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group Current Listing Schedule New Listing Schedule
      Platinum futures PL PL 3 consecutive months and any Jan, Apr, Jul, Oct in the nearest 15 months 3 consecutive months and any Jan, Apr, Jul, Oct in the nearest 36 months
      Platinum option PO P0 3 consecutive months and any Jan, Apr, Jul, Oct in the nearest 15 months 3 consecutive months and any Jan, Apr, Jul, Oct in the nearest 36 months
      Palladium futures PA PD 3 consecutive months and any Mar, Jun, Sep, Dec listed for 15 months 3 consecutive months and any Mar, Jun, Sep, Dec listed for 36 months
      Palladium option PAO P3 3 consecutive months and any Mar, Jun, Sep, Dec listed for 15 months 3 consecutive months and any Mar, Jun, Sep, Dec listed for 36 months

      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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      Listing Cycle Expansion for Palladium TAS - July 16

      Effective Sunday, July 16 (trade date Monday, July 17), the following changes will be made to Palladium TAS on CME Globex:

      • Schedule expansion for Palladium Trading at Settlement (TAS)  
      • Enable spread eligibility for Palladium TAS month one versus TAS month two
      Listing Cycle Expansion for Palladium TAS
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group Current Listing Schedule New Listing Schedule
      Palladium TAS PAT PX 1 month of Mar, Jun, Sep, or Dec 2 months of Mar, Jun, Sep, or Dec

      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 - Renaming Crude Oil Weekly Option - July 30

      Effective Sunday, July 30 (trade date Monday, July 31), the Crude Oil Weekly Option external name will be changed to Crude Oil Friday Weekly Option.

      Renaming Crude Oil Weekly Option
      Current Product Name New Product Name iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset      		 iLink: tag 55-Symbol
      Crude Oil Weekly Option Crude Oil Friday Weekly Option LO1-LO5 LO

      This change will be available for customer testing in New Release on Monday, July 17.

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

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      Events and Announcements

      Now Available: Historical Product Referential Data in Google Cloud BigQuery - Now Available

      Clients now have access to historical product and instrument referential data in Google Cloud BigQuery, via the CME Group Reference Data Warehouse. 

      Reference Data Warehouse provides clients with a view into the historical CME Group product and instrument libraries. Details for all CME Group venues and the CME Clearing House are included with deep and robust relational information.

      Technical specifications and onboarding and access details are available here.

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      SPAN 2 Approximation Files Available Now - September 8

      As previously announced, the SPAN 2 framework will be rolled out for specific product groupings in a phased multi-year approach after extensive testing, starting with major NYMEX energy futures and options on futures. 

      SPAN 2 Approximation Files will go live over four weekends:

      • July 21
      • August 11
      • August 25
      • September 8

      All customers are encouraged to adopt the Approximation Files by Friday, September 8.

      To help clients prepare for this launch, CME Group is offering the following services:

      • Tools for replicating SPAN 2 margin requirements through software and API solutions for post-trade processes.
      • New SPAN 2 approximation file to help firms estimate SPAN 2 margins in low latency margin calculation scenarios for pre-trade margin approximation processes.

      Please contact PostTradeServices@cmegroup.com now to get ready for this critical migration.

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CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

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