CME Globex Notices: January 26, 2015

 

Topics in this issue include:

• Critical System Updates
  • DME Marker Prices via MDP 3.0 - This Week ^Update
  • MDP 3.0 Market Recovery Feed PPS Rate Changes - February 8 ^New
  • MDP 3.0 Migration
  • Drop Copy 4.0 Implementation - Q2 2015
  • New iLink Architecture - Q3 2015
    • New iLink Failover Process - Q2 2015
  • iLink Session ID Policy and Operational Guidelines
• New Functionality
  • Enabling Self-Match Prevention for Bursa Malaysia Derivatives (BMD) iLink Customers - February 4 ^New
  • MexDer Risk Control Gateway Enhancements - February 9
• Product Launches
  • MGEX HRSW Calendar Spread Options (CSOs) - This Week
  • CME Europe Daily Natural Gas Futures - This Week ^Update
  • CME Europe Italian Natural Gas Futures - This Week ^Update
  • Second Generation Deliverable Interest Rate Swap Futures - February 8 ^New
  • CME Europe Cocoa Futures - March 30 ^Update
  • CME Europe Euro and US Dollar Denominated Deliverable Swap Futures - Q1 2015
  • CME Europe Fertiliser Cash Settled Futures - Q1 2015 ^Update
• Product Changes
  • Price Banding Changes for Soybean Meal and Soybean Oil Futures Spreads - February 15 ^New
  • Ratio Calendar Spread for Treasury Bond Futures - February 15
  • FIX tag Changes for Metal Futures - February 22
• Events and Announcements
  • iLink Session ID Auto-Deletion Process - March 6
  • GCC Inbound Contacts - March 31
  • New Web Browser Standards - April 5 ^New
  • CME Group – Messaging Efficiency Program - June 2015
  • iLink Session ID Policy and Operational Guidelines
  • CME Globex Notice Survey - Tell Us What You Think

 

Critical System Updates

Update - DME Marker Prices via MDP 3.0

^{† Denotes update to the article}

Effective this Sunday, February 1 (trade date Monday, February 2), DME Marker Prices will be disseminated via MDP 3.0 for Dubai Mercantile Exchange (DME) products.

† Currently, the DME Marker Prices are disseminated via the Market Data Platform DME ITC channel. With this change, the DME Marker Prices will be disseminated via both MDP 3.0 and ITC.

Tag 731-SettlPriceType will include bit 3 = “1” to indicate a DME Marker Price or Intraday Settlement Price. Additional information on tag 731-SettlPriceType field is available in the Client Systems Wiki.

† Please Note: There will be no changes for FIX/FAST Settlement price dissemination.

 

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New - MDP 3.0 Market Recovery Feed PPS Rate Changes

Starting Sunday, February 8, CME Group will modify the Market Recovery Feed packets per second (PPS) rate for MDP 3.0 Market Data channels to balance bandwidth utilization. The PPS rate will be modified per the following schedule.

Please Note: The new PPS rates for each group of channels will be published in the Globex Notice a week prior to the implementation date.

 

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MDP 3.0 Migration

CME Group completed the launch of Market Data Platform (MDP) 3.0 on Sunday, December 7, 2014. Market Data Platform (MDP) 3.0 is a low latency and direct data access solution designed to improve customers' ability to process and act on real-time price information.

Please note that all customers must certify for and migrate to MDP 3.0 by Friday, June 5.

• As of Sunday, June 7, any customers who have not migrated will be charged a weekly escalating penalty for FIX/FAST market data.
• At the end of the trading day on Friday, July 10, all FIX/FAST channels will be retired.

During the six month parallel window, the following guidelines will be leveraged in case of market data failures. These are guidelines only, and CME Group will review each event individually to determine the best response.

• Currently, markets may be halted for either FIX/FAST or MDP 3.0 issues.
• In the final state, markets will be halted for MDP 3.0 issues only.

The weekly escalating penalty and final state will be announced via the CME Globex Notices.

TAS Pre-Open Validation

Order entry will be permitted in TAS (Trade at Settlement) markets as soon as the Pre-Open state message is published, regardless of whether it is received first via the FIX/FAST or MDP 3.0 feeds. The CME Group Market Regulation rules for TAS Transactions can be found here.

Customer systems receiving market data via CME Globex must complete mandatory certification via AutoCert+. The client impact assessment, functional specifications, and message specifications provide detailed functionality and messaging information.

Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

 

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Drop Copy 4.0 Implementation

In Q2 2015, CME Group will introduce a new Drop Copy implementation to provide further consistency across iLink and Drop Copy. The new Drop Copy 4.0 implementation will have both functional and messaging changes as compared to the existing Drop Copy service.

The new Drop Copy 4.0 implementations will include:

• Harmonized customer experience between iLink and Drop Copy
• New message format with encapsulated message type.
• New supported FIX tags on Drop Copy messages - inbound and outbound
• Harmonized resend behavior (elimination of Application Resend functionality to align with iLink)
• Sequencing by market segment (see: New iLink Architecture client impact assessment)
• Robust fault tolerance

The client impact assessment, functional specifications, and message specifications provide detailed functionality and messaging information.

The existing implementation of Drop Copy will be phased out on a date to be published in the CME Globex Notices. All customers leveraging the Drop Copy service must be certified by that date.

With the new implementation, the Drop Copy service will have a new session model where customers will have access to two types of target sessions:

• Drop Copy Convenience Gateway (CGW) target session - consumers manage sequence streams from Convenience Gateway iLink source sessions across all market segments.
• Drop Copy Market Segment Gateway target session - consumers manage sequence streams from Market Segment Gateway iLink source sessions per unique market segment; with the possibility of having the same sequence numbers from multiple market segments.

To facilitate migration to the new Drop Copy service, CME Group will support a parallel feed. Traffic from Convenience Gateway source sessions will be available via their current Drop Copy IPs and ports and via the new Drop Copy 4.0 IPs and ports. Certification is required for production access to Drop Copy 4.0. Please coordinate your migration with the CME Group Account Manager.

Upon completion of the Drop Copy 4.0 certification, customers can request Drop Copy CGW and/or Drop Copy MSGW target sessions.

Certification and New Release Drop Copy sessions will be re-issued by your to Global Account Manager upon customer request.

A new Drop Copy certification suite will be available in AutoCert+. Customer systems leveraging the Drop Copy service must complete this mandatory certification.

Certification environments for customer testing will be available in February 2015.

Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

 

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New iLink Architecture

In Q3 2015, CME Group will launch Phase 2 of the new iLink Architecture, which will implement Market Segment Gateways throughout the rest of the iLink infrastructure, to provide:

• FIFO ordered message handling per market segment.
• Elimination of variability associated with multiple sessions across multiple gateways.

All customers are encouraged to review the new iLink Architecture Client Impact Assessment.

The Phase 2 launch will allow customers to access the Market Segment Gateways directly which will involve a new session ID model, messaging and functionality changes. Customers may choose to access CME Globex markets through the MSGWs or the current Convenience Gateways (CGWs), which will continue to be supported and will route through the MSGWs.

Phase 2 will be launched over several weekends. Prior to each launch weekend, CME Group will conduct a mock trading session. MSGWs will be available in New Release for customer testing in February 2015. A new MSGW certification suite will be available in AutoCert+ in March 2015. Customer systems who want to connect directly to the MSGW must complete this mandatory certification. Additional information on the MSGW launch schedules and mock trading sessions will be published in the CME Globex Notices.

Details on the new iLink Architecture roadmap can be found online. For an overview of the new iLink architecture, please review the iLink Architecture webinar.

Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

 

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New iLink Failover Process

In Q2 2015, CME Group will introduce a new iLink failover process to improve customers’ ability to recover from a CME Globex component failure.

When a CME Globex component fails over from the primary to backup instance, customer iLink messages will be rejected with Session Level Reject (tag 35=3) messages including tag 58=Technical Error - Market Segment: <MarketSegmentID> is not available at this time. After the backup instance is up, order entry will be allowed again.

Currently, messages sent during failover are not guaranteed to be acknowledged by CME Globex. This new iLink Failover Process change will affect all iLink sessions.

Detailed information including this failover behavior change is now available online.

The new iLink failover process will be available for customer testing in New Release in Q1 2015.

Further details on the launch schedule will be published in future CME Globex Notices.

 

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iLink Session ID Policy and Operational Guidelines

As noted in the recent CME Group Customer Forum E-Trading Updates, as a result of the upcoming iLink Architecture with Market Segment Gateways, CME Group plans to introduce a new policy for the distribution and management of iLink session IDs. Please refer to the iLink Session ID Policy and Operational Guidelines available here, which replaces the previously published iLink Session ID Guidelines and provides operational, allocation and distribution information for the CME Globex production environment. It has been updated to include information pertaining to the new Market Segment Gateway (MSGW) iLink architecture and iLink session ID distribution and management policy. Market participants should refer to the CME Globex Notices as to when the MSGW functionality and iLink session ID distribution and management policy will take effect.

To ease and ensure a successful migration to the revised iLink Session Policy, clearing and executing firms are encouraged to contact their Global Account Manager with any questions.

 

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New Functionality

New - Enabling Self-Match Prevention for Bursa Malaysia Derivatives (BMD) iLink Customers

Effective trade date Wednesday, February 4, CME Group will enable the CME Globex Self-Match Prevention (SMP) functionality for Bursa Malaysia Derivatives (BMD) iLink customers.

This opt-in service will prevent orders sent by BMD iLink customers with the same Self-Match Prevention Identifier (SMP ID) and Executing Firm ID from trading against each other.

The SMP functionality introduces new iLink tags and values. Detailed functionality and messaging information is available on the Client Systems Wiki.

Customers are required to register in order to obtain their SMP ID(s). Please contact your Global Account Manager to register.

Customer certification is not required, but CME Group strongly recommends all system providers test the functionality thoroughly in New Release.

Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

 

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MexDer Risk Control Gateway Enhancements

Effective Monday, February 9, MexDer (Mercado Mexicano de Derivados) will launch enhancements to the Risk Control Gateway (RCG). With these enhancements, additional risk filters will be made available for north-to-south order routing customers. The RCG allows clearing firm Risk Administrators to set credit limits for pre-trade risk management.

The new risk filters are:

• Filter for class, side, order type, time in force and gap of time
• Daily Quantity per class and side
• Credit Limit Controls for Long/Short Margin
• Position Limit Control Net for Long/Short Margin

Orders that would exceed the credit limits are rejected with an Execution Report - Reject (tag 35-MsgType=8, tag 39-OrdStatus=8) message.

The additional risk filters are currently available in New Release for customer testing.

Please contact MexDer for more information on the RCG.

 

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Product Launches

MGEX HRSW Calendar Spread Options (CSOs)

Effective this Sunday, February 1 (trade date Monday, February 2), the following options on MGEX futures calendar spreads (CSOs) will be listed for trading on CME Globex.

For initial launch, the following CSOs will be available for trading:

• One consecutive CSO (March 2015 - May 2015)
• Two Annual CSOs (September 2015 - September 2016 and December 2015 - December 2016)
• Three non-Ccnsecutive CSO (March 2015 - July 2015, March 2015 - September 2015, March 2015 - December 2015)

Upon March expiration, the May Non-Consecutive months will be listed for trading and so on.

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

These contacts are listed with, and subject to, the rules and regulations of MGEX.

 

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Update - CME Europe Daily Natural Gas Futures

^{† Denotes update to the article}

Effective this Sunday, February 1 (trade date Monday, February 2), CME Europe will list the following daily natural gas futures based on the ICIS Heren day ahead and weekend price assessments for trading on CME Globex and clearing submission via CME ClearPort.

Detailed information regarding these contracts is available in the Client System Wiki.

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

These contracts are listed on, and subject to, the rules of UK RIE CME Europe Ltd.

 

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Update - CME Europe Italian Natural Gas Futures

^{† Denotes update to the article}

Effective this Sunday, February 1 (trade date Monday, February 2), CME Europe will list the following energy futures for trading on CME Globex and clearing submission via CME ClearPort.

Detailed information regarding these contracts is available in the Client System Wiki.

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

These contracts are listed on, and subject to, the rules of UK RIE CME Europe Ltd.

 

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New - Second Generation Deliverable Interest Rate Swap Futures

Effective Sunday, February 8 (trade date Monday February 9 ), the Second-generation 10-Year and 30-Year USD Deliverable Rate Swap futures will be listed for trading on CME Globex.

The second-generation 10-Year and 30-Year USD Deliverable Rate Swap futures will be listed for:

• March 2015 quarterly expiration, and
• A different coupon rate than the existing first-generation 10-Year USD Interest Rate Swap and 30-Year USD Interest Rate Swap

Additional information on Deliverable Interest Rate Swap futures is available online.

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

These futures will be available in New Release for customer testing on Monday, February 2.

 

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Update - CME Europe Cocoa Futures

^{† Denotes update to the article}

Effective † Monday, March 30, CME Europe will list the following Cocoa futures for trading on CME Globex and for clearing submission via CME ClearPort.

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

 

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CME Europe Euro and US Dollar Denominated Deliverable Swap Futures

Pending regulatory product approval CME Europe will list the following Euro and US Dollar Denominated Deliverable swap futures for trading on CME Globex and clearing submission via CME ClearPort for CME Clearing Europe (CMECE), in Q1 2015.

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

These contracts are listed on, and subject to, the rules of UK RIE CME Europe Ltd.

 

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Update - CME Europe Fertiliser Cash Settled Futures

^{† Denotes update to the article}

In Q1 2015, pending regulatory product approval, CME Europe will list the following Fertiliser Cash Settled Futures for trading on CME Globex and clearing submission via CME ClearPort.

These products will be available in New Release for customer testing on Monday, February 2.

These contracts are listed on, and subject to, the rules of UK RIE CME Europe Ltd.

 

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Product Changes

New - Price Banding Changes for Soybean Meal and Soybean Oil Futures Spreads

Effective Sunday, February 15 (trade date Monday, February 16), the price bands for Soybean Meal and Soybean Oil futures spreads will be reduced as follows:

Price bands for every CME Globex product is defined in the CME Globex Product Reference in the Client Systems Wiki.

These changes will available in available for customer testing in New Release Monday, February 9.

 

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Ratio Calendar Spread for Treasury Bond Futures

Effective this Sunday, February 15 (trade date Tuesday, February 17), due to unique changes in the deliverable basket affecting the upcoming March-June Treasury Bond (ZB) calendar roll, a new reduced-tick ratio calendar spread will be listed for trading on CME Globex. The March-June 2015 Treasury Bond Futures Roll: Mind the Gap is available now for more information.

This spread is a reduced tick calendar spread with the usual quarter-32nd tick, but with a leg ratio of 3:2. The details of the spread are included in the Security Definition message as defined below.

This spread will not be implied and will not be SLEDS eligible.

The ratio spread will be listed alongside the current Reduced Tick calendar spread. Trade leg assignment and spread pricing differences are outlined in the following scenarios:

• ZBH5 is priced at 150.0 (1500)
• ZBM5 is priced at 165.0 (1650)
• The Reduced Tick calendar spread ZBH5-ZBM5 trades at -15.0 (-1500
  • Front leg – deferred leg
  • (150.0 – 165.0) = -15.0
• The Reduced-Tick Ratio calendar spread ZBXH5-ZBXM5 trades at 120.0 (120000)
  • (Front leg*3)-(deferred leg*2)
  • ((150.0*3)-(165.0*2)) = 120.0

The reduced-tick ratio calendar spread is currently available for testing in the New Release environment.

 

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FIX tag Changes for Metal Futures

Effective Sunday, February 22 (for trade date Monday, February 23), the values in the following FIX tags will be changed for Metals futures:

• tag 55-Symbol for FIX/FAST, and
• tag 1151-SecurityGroup for MDP 3.0

These changes will be available in New Release for customer testing on Monday, February 9.

 

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Events and Announcements

iLink Session ID Auto-Deletion Process

Effective Friday, March 6, CME Group will delete idle iLink session ID auto-delete process. All iLink sessions must meet a minimum messaging threshold of 100 messages over three months to exempt themselves from this process. Any iLink session ID with less than 100 messages will be flagged for deletion. For the purposes of this policy, a message is defined as a new order (tag 35-MsgType=D), order cancel/replace request (tag 35=G), order cancel request (tag 35=F), and mass quote (tag 35=i).

Idle iLink session IDs needlessly consume resources and make load balancing and resource allocation planning more difficult. CME Group is committed to managing session IDs to ensure the best performance on CME Globex for our customers. The iLink session ID auto-delete process helps ensure these resources are managed proactively and consistently across the marketplace.

With the upcoming iLink Architecture with Market Segment Gateways, CME Group has introduced a new policy for the distribution and management of iLink session IDs. Once the new iLink policy is implemented, Convenience Gateway session IDs (CGW) that do not meet the volume requirement of 100 sides per month will be subject to an iLink session Month Inactivity Charge (MIC) of $100/per session ID.

Additional information on the new policy is here. Clearing firms should consider this final iLink auto-deletion round an opportunity to delete un-used session IDs.

An e-mail notification will be distributed to all Firm Admin Dashboard users on Monday, February 2. Class A clearing firms will have four weeks to review their idle session IDs. All idle session IDs will have their password changed and ports closed on Friday, February 27. All idle session IDs will be deleted at the end of the day on Friday, March 6. Details on the process are available online.

Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

 

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GCC Inbound Contacts

Starting Monday, November 17, 2014 the CME Global Command Center (GCC) began supporting GCC Inbound Contacts based on the FirmSoft permissions authorized through the FirmSoft Admin tool for their SMART Click user ID. The GCC will continue to support existing GCC Inbound Contacts based on a previously submitted CME Globex Schedule 3&4 until Tuesday, March 31, 2015. After this date, only users with a SMART Click ID and permissioned FirmSoft rights will be considered GCC Inbound Contacts with the necessary permission(s) to status and/or cancel orders.

As a reminder, a SMART Click ID is a unique user ID that allows access to CME Group applications. The SMART Click ID is retained by the user even when the user changes firms (clearing or trading). All users should only have 1 SMART Click ID. Additional SMART Click information is available online.

Please note that as a result of this new model, Clearing Firm Administrators will no longer be required to submit a CME Globex Schedule 3&4 to register GCC Inbound Contacts. Instead, the Administrators will use the FirmSoft tool to enable permissions for GCC Inbound Contacts as necessary.

In instances where a GCC Inbound Contact’s SMART Click ID is permissioned in FirmSoft, but the GCC Inbound Contact also has legacy permissions which were established by a CME Globex Schedule 3&4, the GCC will first refer to the SMART Click permissions in FirmSoft. GCC Inbound callers may have to ask the GCC to look at their old permissions established via a CME Globex Schedule 3&4 if they are not fully set up in FirmSoft.

FirmSoft provides more granularity than the existing CME Globex Schedule 3&4, and includes Firm, Session ID, Account and Tag50 permissions. To help support this transition, the CME Globex Schedule 3&4 will no longer be utilized when adding new GCC Inbound contacts but still should be utilized when adding new primary or secondary Clearing Firm Administrators as well as new EOS Trader users.

Reports are available in the Firm Administrator Dashboard for both GCC Inbound registered contacts and FirmSoft user permissions. Firm Administrators are strongly encouraged to review existing SMART Click contact information and FirmSoft permissions on a periodic basis to ensure accuracy.

CME Direct, GALAX-C and EOS Trader users will continue to be supported as they are today.

Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

 

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New - New Web Browser Standards

CME Group is committed to our customers’ information security. To deliver the best security and customer experience, we are implementing the following changes to all CME Group web-based applications and services:

• Sunday, February 1 – Internet Explorer version 6 will no longer be supported
• Starting Sunday, April 5 – Only versions of Chrome and Internet Explorer released in the most recent 12-month period will be certified and supported

Customers are encouraged to make sure they’ve upgraded to the latest versions of Chrome and/or Internet Explorer for the best and most secure experience.

Affected services may include:

 

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CME Group – Messaging Efficiency Program

The June 2015 Treasury Bond contract will be temporarily excluded from CME Globex Messaging Efficiency Program messaging score calculations from January-February 2015 after which, the June 2015 Treasury Bond contract will be reinserted back into Messaging Efficiency Program messaging score calculations.

This is in response to the fact that the deliverable grade securities for the June 2015 expiration are significantly different from those of the March 2015 expiration. CBOT had announced the decision to modify the deliverable grade for this contract in December 2013, the detail of which can be found here.

Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

 

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iLink Session ID Policy and Operational Guidelines

As noted in the recent CME Group Customer Forum E-Trading Updates, as a result of the upcoming iLink Architecture with Market Segment Gateways, CME Group plans to introduce a new policy for the distribution and management of iLink session IDs. Please refer to the iLink Session ID Policy and Operational Guidelines available here, which replaces the previously published iLink Session ID Guidelines and provides operational, allocation and distribution information for the CME Globex production environment. It has been updated to include information pertaining to the new Market Segment Gateway (MSGW) iLink architecture and iLink session ID distribution and management policy. Market participants should refer to the CME Globex Notices as to when the MSGW functionality and iLink session ID distribution and management policy will take effect.

To ease and ensure a successful migration to the revised iLink Session Policy, clearing and executing firms are encouraged to contact their Global Account Manager with any questions.

 

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CME Globex Notice Survey - Tell Us What You Think

Help us provide more relevant and meaningful customer information. Please complete a short 5 minute survey on the CME Globex Notices.

Your valuable input will help identify areas for future enhancement or improvement.

 

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