CME Globex Notices: September 16, 2024

Critical Updates

CME Globex on Google Cloud

CME Group and Google Cloud recently announced a new private Google Cloud Chicago region and co-location facility for CME Group listed derivative markets.

Technical content to support clients throughout the migration is now available. Additional information will be published regularly on this site and announced via the CME Globex Notices.

NewPosition Reporting Under CFTC Part 17

On April 30, 2024, the Commodity Futures Trading Commission (“CFTC”) approved final rules to amend its Large Trading Reporting Regulations for Futures and Options. The amendments were made to modernize CFTC’s Large Trader Reporting process and align it with other reporting structures outlined in CFTC regulations. CFTC’s final rules remove the 80-character submission standard, replacing it with a FIXML standard. The required FIXML position message includes a large set of instrument characteristics as well as unique contract identifiers, Unique Contract Identifiers must be provided to Reporting Firms by the exchange where the positions are held. 

CME, CBOT, NYMEX, and COMEX (each an “Exchange” and together the “Exchanges”) will be providing Reporting Firms files containing Unique Instrument Codes in compliance with Large Trader Reporting requirements. The Exchanges are offering two methods to download this instrument information, as described in the CME Group Client Systems Wiki.

The Market Regulation Department will be publishing further guidance regarding Large Trader Reporting in subsequent Special Executive Reports as solutions become available.

CFTC’s final rules became effective upon publication in the Federal Register on June 3, 2024. Reporting Firms must comply with the CFTC’s final rules regarding Large Trader Reporting Requirements two years after publication in the Federal Register.

Change to E-mini S&P Options User Defined Spreads Market Data Channel - Resting Order Elimination - This Week

Effective this Sunday, September 22 (trade date Monday, September 23), E-mini S&P options User Defined Spreads (UDS) (tag 1151-SecurityGroup=1V) will move from Market Data Platform (MDP) 3 Channel 311 to 323 to better load balance across the MDP 3 channels.

E-mini S&P options outrights will remain on channel 311.

To facilitate this change, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders on E-mini S&P options UDS after the close on Friday, September 20. After 16:00 CT on Friday, September 20, all remaining GT orders for these User Defined Spreads will be canceled or deleted by the CME Global Command Center (GCC).

GT orders on the E-mini S&P 500 option outrights are not affected by this change.

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

Options on Bloomberg Commodity Index Futures - This Week

Effective this Sunday, September 22 (trade date Monday, September 23), pending completion of all regulatory review periods, Options on Bloomberg Commodity Index Futures (BCOM) will be listed for trading on CME Globex †and available for submission for clearing via CME ClearPort.

The variable minimum tick increment for Options on Bloomberg Commodity Index Futures will be as follows:

The Variable Tick Table (VTT) values are defined in the instrument's Security Definition Message (tag 35-MsgType=d) in tag 6350-TickRule tick table value.

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

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

Advertised Routes Update for Google Cloud Access via Client-Managed Connectivity Solutions - October 12

To prepare for the upcoming migration of CME Group services to Google Cloud, effective Saturday, October 12, the following Public IP Prefixes will be advertised on all CME Group connectivity options. Clients should ensure their networking teams are aware of and prepared for this change to ensure no interruption of services.

Mass Quote Protection Types and Fill % Threshold - October 13

Effective Sunday, October 13, there will be a decreased Fill % (F) threshold, and the following Mass Quote Protection (MQP) types will be decommissioned:

• New Quote Fill (X)
• Execution (Y)
• Buy/Sell (Sides)

Please Note: CME Group will continue to support the existing MQP types - Traded Quantity (Z) and Delta (D).

MQP types will be supported as follows:

All iLink Mass Quote customers are encouraged to migrate to the Fill % (F) type as early as possible prior to the current MQP types decommission.

Customers will be able to edit the Fill % (F) threshold to a value more than 70%, if utilized. Currently, customers can only edit it to a value more than 90%.

The new Fill % threshold will be available in New Release for customer testing on Sunday, September 22.

Three MQP types, 'New Quote Fill (X)', 'Execution (Y)', 'Buy/Sell (Sides)', will be decommissioned in New Release on Friday, September 27.

More information about the current Mass Quote Protection Fill % is available in the Client Systems Wiki.

MDP 3.0 SBE Schema Update  - Starting October 13

To support future enhancements for futures and options markets, including CME FX Spot+, on CME Globex MDP 3.0 and CME Smart Stream on GCP SBE, the Globex MDP SBE core schema will be updated to version 13 starting Sunday, October 13, 2024 (trade date Monday, October 14, 2024), and concluding Sunday, January 12, 2025 (trade date Monday, January 13, 2025).

Futures and options channels on CME Globex are currently utilizing core schema version 9. To ease customer development efforts, the new SBE schema files will support template extension for MDP 3.0 messages. For client systems that do not support template extension, the schema update is not backward compatible, and the MDP 3.0 messages sent from CME Globex cannot be decoded.

In conjunction with the core schema futures and options update, the futures and options markets will leverage a new separate schema dedicated to TCP recovery for UDP effective Sunday, November 24, 2024.

Please review the client impact assessment for full technical details and launch schedule.

iLink 3 On-Demand Party Details Changes - October 27

Starting Sunday, October 27 (trade date Monday, October 28), CME Group will implement the iLink 3 messaging changes to on-demand administrative information on Market Segment Gateway (MSGWs) and Convenience Gateways (CGWs) to return critical information currently only sent on the iLink messages from the customer to CME Globex.

Operator

Tag 1691-PartyDetaiID value on the Operator Party Detail Role (tag 1693-PartyDetailRole=118) on the Party Details Definition Request Acknowledgement (PDDRA, tag 35-MsgType=CY) will reflect the values from the Party Details Definition Request (PDDR, tag 35-MsgType=CX).  

Drop Copy will reflect the Operator value from the iLink message in Drop Copy new tag 129-DeliverToSubID.

Memo

Tag 5149-Memo value on the Party Details Definition Request Acknowledgement (PDDRA, tag 35-MsgType=CY) will reflect the party details from an Order Mass Action Request and from an unsuccessful Order Cancel Request. 

There is no change to a successful Order Cancel Request.

On-Demand Order-Cancel Replace

The Party Details Definition Request Acknowledgement (PDDRA, tag 35-MsgType=CY) will reflect the party details from the order cancel-replace request.

More detailed information on Party Details is available in iLink 3 Party Details Definition Messaging.

All of these changes are only applicable to the on-demand administrative information. There is no change to the Pre-Registered Party Detail Definition Request Acknowledgment messages sent from Order Entry Service Gateway to Client System.

Both pre-registered and on-demand administrative information on Drop Copy message payloads are impacted by these changes.

Production Launch Schedule 

iLink 3 CGWs and MSGWs will be phased in as follows: 

Please Note: During the iLink 3 CGWs phased launch, clients can see both current and new behavior until the launch is complete.

The these changes  are now available in the New Release.                 

CME Globex Order Entry Web Service APIs - Q4 2024

Clients now have access to CME Group futures and options on the new Order Entry Suite of APIs - Hosted by Google Cloud.

This solution is accessible over the public internet without the commitment of leased line or co-location investments. RESTful and WebSocket APIs with full order routing and instrument creation functionality deliver real-time trading and market exposure insight. This lightweight product is optimized for the needs of less latency sensitive traders and algorithms, while still offering fulsome functionality and utilizing the full suite of CME Globex risk and credit controls.

The OE APIs are made up of two Web Service APIs: RESTful and WebSocket. These APIs support:

• Order Submission and Modifications
• Strategy Creation (UDS) and Request for Quotes (RFQ) Capabilities
• Order and Trade Status Request

Please review the client impact assessment for full technical details and updated launch schedule.

This solution is currently available in the New Release environment; a production date will be announced in future notices.

iLink 3 CGW Migration - Deadline December 31

iLink 3 is now live in production for CGW since January 28, 2024. All customers using the Convenience Gateways (CGW) for order entry must complete their migration to iLink 3 by Tuesday, December 31, including functional certification and session migration as outlined in the client impact assessment. 

A charge of $1,000 USD per iLink session per week is applied to each session that has not yet migrated to iLink 3. Port activation charges (PAC) and market inactivity charges (MIC) for new iLink 3 sessions for CGW will be waived automatically from creation through the end of October 2024.

Starting Thursday, October 31, 2024, iLink 2 CGW sessions can no longer be created. Effective Sunday, February 2, 2025, iLink 2 on CGW will be decommissioned and only iLink 3 CGW sessions will be supported

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

As part of the iLink 3 migration, the following rules for an audit trail certification apply:

• All customer systems using Audit Trail 2.x CSV or FIX formats will be required to certify for Audit Trail 3.x CSV or FIX formats.
• Any certified Audit Trail 3.x CSV or FIX system that is not adding new functionality will not be required to recertify their audit trail system.
• Any certified Audit Trail 3.x CSV or FIX system that is adding new functionality or changes its Administrative Information Registration (On Demand or Pre-Registered) will be required to recertify their audit trail system.
• A new iLink 3.x CGW Order Entry System can be associated to an existing certified Audit Trail 3.x CSV or FIX system. Please send an email request to Audit Trail.

Only after your Order Entry is certified, please complete the questionnaire so an audit trail profile can be created. Audit Trail Production sample requirements guidelines can be found here.

More information regarding the iLink 3 audit trail test suite can be found at:

• iLink 3 - Minimum Acceptable Audit Trail Elements - Data Definitions and Validation Rules
• AutoCert+ Audit Trail for iLink 3 User Help

Please contact Market Regulation Audit Trail Team if you have any questions.

CME FX Spot+ - March 2025

Effective March 2025, CME Group will launch CME FX Spot Plus (CME FX Spot+), a new tradable spot FX instrument, leveraging CME FX Link liquidity to bring together OTC spot FX and FX futures.

CME FX Spot+ will enable spot FX market participants to tap into CME FX futures liquidity through an open, transparent central limit order book while giving FX futures users broader access to OTC liquidity. This unique liquidity connection will be made possible by implied matching through CME FX Link, a liquid, tradable spread between OTC spot FX and FX futures.

The FX Spot+ products will be available for the following currency pairs:  EUR/USD, GBP/USD, AUD/USD, NZD/USD, USD/JPY, USD/CAD, USD/CHF, and USD/MXN.

All of the CME FX Spot+ products will be available in the New Release environment for customer testing on Monday, November 11, 2024.

More information on these new products and the associated messaging and functionality enhancements is available in the CME FX Spot+ client impact assessment. A new CME FX Spot+ Credit Overview is also available with credit features and details for both FX Link and CME FX Spot+.

Decommission of MGEX Markets on CME Globex - Q2 2025

Effective end of Q2 2025, order routing and market data for Minneapolis Grain Exchange (MGEX) products, which includes Hard Red Spring Wheat, will no longer be available via CME Globex. Existing order routing customers to MGEX markets and customers wishing to pursue market access to MGEX should contact futures@miaxglobal.com.

For CME Group specific questions, contact Global Account Management.

New Functionality

NewCME Market Data Over WebSocket API Enhancement for Subscription  - This Week

Effective Sunday, September 22, in response to customer feedback, CME Market Data Over WebSocket API will add new optional filters to the Subscription request. These new filters are:

• periodCodes
• spreadReportTypes

The periodCode and spreadReportType fields allow users to filter on the underlying futures month/year and the message type (spread vs. outright) respectively. For more details, please review the client impact assessment.

Re-certification is not required for existing CME Market Data Over WebSocket customers. 

These new filters will be made available in New Release for customer testing on Sunday, September 22.

Product Launches

UpdateListing of Brent Last Day Financial Futures vs. Dubai Crude Oil (Platts) Financial Futures Spreads  - Postponed

† Denotes update to the article

†The launch of Brent Last Day Financial futures (BZ) vs. Dubai Crude Oil (Platts) Financial futures (DCB) spreads scheduled for Sunday, September 22, (trade date Monday, September 23) has been postponed.

Options on Bloomberg Commodity Index Futures - This Week

Effective this Sunday, September 22 (trade date Monday, September 23), pending completion of all regulatory review periods, Options on Bloomberg Commodity Index Futures (BCOM) will be listed for trading on CME Globex and available for submission for clearing via CME ClearPort.

The variable minimum tick increment for Options on Bloomberg Commodity Index Futures will be as follows:

The Variable Tick Table (VTT) values are defined in the instrument's Security Definition Message (tag 35-MsgType=d) in tag 6350-TickRule tick table value.

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

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

Bitcoin Friday Futures - September 29

Effective Sunday, September 29 (trade date Monday, September 30), pending completion of all regulatory review periods, Bitcoin Friday futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

These Bitcoin Friday futures are currently available for customer testing in New Release.

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

Chicago Wheat and KC HRW vs European Milling Wheat Spread Futures - October 13

Effective Sunday, October 13 (trade date Monday, October 14), Chicago Wheat and KC HRW Wheat vs European Milling Wheat Spread futures will be listed for 5 listed months following Mar, May, Sep, Dec on CME Globex and clearing submission via CME ClearPort. 

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

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

Henry Hub Natural Gas Weekly Futures  - October 13

Effective Sunday, October 13 (trade date Monday, October 14), pending completion of all regulatory review periods, Henry Hub Natural Gas Weekly 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 the New Release on Sunday, September 22.

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

CBL Australian Carbon Credit Unit (ACCU) Futures  - October 13

Effective Sunday, October 13 (trade date Monday, October 14), pending completion of all regulatory review periods, CBL Australian Carbon Credit Unit (ACCU) futures contracts 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 the New Release on Sunday, September 22.

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

NewWTI Ex-Pipe (Argus) vs. WTI Trade Month Futures  - October 13

Effective Sunday, October 13 (trade date Monday, October 14), pending completion of all regulatory review periods, WTI Ex-Pipe (Argus) vs. WTI Trade Month futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

The WTI Ex-Pipe (Argus) vs. WTI Trade Month futures will be available for customer testing in New Release on Sunday, September 22. 

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

Bursa Malaysia Derivatives (BMD) USD Used Cooking Oil FOB Straits (Platts) Futures  - December 15

Effective Sunday, December 15 (trade date Monday, December 16), subject to receipt of regulatory approval prior to such date, the Bursa Malaysia Derivatives (BMD) USD Used Cooking Oil FOB Straits (Platts) futures and spreads will be made available for trading 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 BMD.

Product Changes

Amendments to Final Settlement Price and Last Trade Date Trading Hours for USD/CNH Futures and Micro USD/CNH Futures Contracts - Today

Effective today Thursday, September 19, the final settlement price for the USD/CNH futures and the Micro USD/CNH futures contracts will be amended as follows:

There is open interest in the Contracts and related options contracts.  The Rule Amendments shall affect the final settlement price for open positions.  Effecting this change for October contracts months and beyond.

This change is currently available in New Release.

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

Friday Trading Hours Change for New Zealand Dollar/U.S. Dollar on FX Link  - September 29

To align with the FX trading hours, effective Sunday, September 29 (trade date Monday, September 30), the Friday trading hours for NZDUSD on FX LINK will change as follows:

This change will be available in New Release this Sunday, September 15.

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

NewChange to Strike Price Listing Rule for Four Grains and Oilseeds CSOs  - October 13

Effective Sunday, October 13 (trade date Monday, October 14), the strike price listing rule will be changed for specific grains and oilseed calendar spread options as follows:

These calendar spread options will be available for customer testing in New Release on Sunday, September 22.

These calendar spreads options are subject to rules and regulation of CBOT.

Delisting and Removal of BSBY Futures - October 14

Effective Monday, October 14, the following BSBY futures will be delisted, and effective close of business Friday, October 18, these futures will be removed from CME Globex.

Open interest for these futures is being converted to Three-Month SOFR futures as part of this delisting, please review the Special Executive Report (SER) for additional details.

These futures currently have no open interest.

Trading Hours Changes for BTIC on Nikkei Stock Average Futures and TOPIX Futures - November 5

Effective Tuesday, November 5, the Tokyo Stock Exchange Cash Markets will be extending their trading hours by 30 minutes. To support this change, and pending relevant CFTC Regulatory review periods, the following BTIC (Basis Trade at Cash Close) product trading hours will be extended for the following products. 

This change will be available for customer testing in New Release on Sunday, October 20.

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

Please review the Special Executive Report (SER) for additional details.

Equity Futures Japan Fixing Price Timing Changes - November 5

Effective Tuesday, November 5, the Tokyo Stock Exchange Cash Markets will be extending their trading hours by 30 minutes. To support this change, the fixing price reference time will be extended for the following products.

Fixing Price data blocks are sent in the MDP 3.0 Market Data Incremental Refresh (tag 35-MsgType=X) with the following attributes:

• Tag 279- MDUpdateAction will be set to 0 = New
• Tag 269-MDEntryType will be set to W = Fixing Price
• Tag 5796-Trading Reference will display the date for which the marker price was calculated

This change will be available in New Release for customer testing on Sunday, October 20.

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

Events and Announcements

Messaging Efficiency Program (MEP) Mass Quote Additions for Selected Equity Options - October 1

Effective trade date Tuesday, October 1, CME Group will extend the Messaging Efficiency Program (MEP) to selected equity options product groups for market participants submitting mass quotes during all trading hours in which the CME Globex platform is available.

Including mass quotes into the MEP is expected to enhance market performance for all participants in options-related product groups by defining, identifying, and discouraging inefficient options-related mass quote messaging. 

To assist potentially impacted firms, CME Group notified assigned messaging contacts or Admin Managers on a T+1 basis following the conclusion of trade date Monday, September 9, of any instances where mass quote product group benchmarks have been exceeded. CME Group will also provide weekly mass quote-related reports to market participants who have exceeded mass quote product group benchmarks.

Please refer to the CME Globex Messaging Efficiency Program for additional information or contact the CME Global Command Center in the US at +1 800 438 8616, in Europe at +44 20 7623 4747 or in Asia at +65 6532 5010 or your Global Account Manager with any questions.

Revised CME Globex Messaging Efficiency Program and Resources - October 1

Effective trade date Tuesday, October 1, CME Group will revise the CME Globex Messaging Efficiency Program (Program) to more effectively target messaging that can negatively impact system performance, impair efficient access to the market, and create unnecessary infrastructure and processing costs for market participants.

The existing Program will remain in effect through Monday, September 30, and will be retired when the revised Program is implemented on Tuesday, October 1.

The following changes will be made under the revised Program:

• Message scoring will be calculated and applied for the entire CME Globex trading session versus the current hours between 7:00 a.m. – 3:15 p.m. Central Time (CT)
• Previously excluded instruments and back months will be included and scored at a reduced weighting

To account for these changes, messaging tiers will be expanded.

To assist potentially impacted firms on a T+1 basis following the conclusion of trade date July 1, CME Group will notify assigned messaging contacts of any instances where product group benchmarks have been exceeded using the revised Program scoring methodology.

For more information, view CME Globex Messaging Efficiency Program Resources such as:

• Current Program and Benchmarks
• Upcoming Program and Benchmarks
• CME Globex Messaging Efficiency Program Holiday Calendar
• CME Globex Messaging Policy

For questions, contact the Global Command Center (GCC) at 1 800 438 8616 or Global Account Management.