Critical System Updates

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UpdateUpdate - Mandatory iLink 3 Binary Order Entry Protocol for MSGW - Available Now in New Release

To allow additional time for clients adjusting to the impacts of COVID-19, the launch of iLink 3, the new order entry protocol for trading futures and options products on CME Globex, has been postponed to Sunday, May 17. 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:

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

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

Mock Trading Session:

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

• Saturday, May 2, 2020
• Saturday, May 16, 2020*
• Saturday, May 30, 2020*
• Saturday, June 6, 2020*
• Saturday, June 20, 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 include the following iLink 3 market integrity controls:

• Added iLink 3 Messaging Controls
• Added iLink 3 Automated Port Closure

Please contact your Global Account Manager for additional information.

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

† Denotes update to the article

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. †AutoCert + iLink 3 Audit Trail Tests for all client systems will be available on Monday, April 20.

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 - Available Now in New Release

Starting Sunday, May 17, CME Group will 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, May 2, 2020
• Saturday, May 16, 2020
• Saturday, May 30, 2020
• Saturday, June 6, 2020
• Saturday, June 20, 2020

The updated mock trading session script is now available.

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

Please contact your Global Account Manager for additional information.

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CME Globex Updates: Market Segment and MDP 3.0 Channel Migrations  - May 17

Effective Sunday, May 17 (for trade date Monday, May 18), to better align related markets across the platform, the following changes will be applied to CME Globex market segments and MDP 3.0 market data channels.

• All futures currently listed on market segment 72 will migrate to segment 70.
• Good Till Cancel and Good Till Date (GTC and GTD) orders will migrate with the markets.
• Market Data for all migrated products will be published on channel 340.
• The updated config.xml files for MDP will be available at launch.
• The Non-tradeable Synthetic Futures Spreads will migrate from Security Group 03 to 05. The Security Group is found in the MDP 3.0 Security Definition message, tag 1151; and iLink tag 55-Symbol.

In internal testing, these changes increased round-trip times for iLink less than 5% at the 50th percentile.

With this change, market segment 72 will not have any listed markets, and MDP channel 346 will only publish heartbeats. CME Group intends to use this MDP 3.0 channel again soon and strongly encourages clients to keep the channel information in their configurations.

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

Effective Sunday, June 21 (trade date Monday, June 22), the following additional changes will be made:

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

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

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Decommission of Select ITC Market Data - May 29

On Friday, May 29, 2020, select ITC market data functions will be decommissioned in favor of an architecture that will support price decimals beyond 7 digits. As the result of the launch of SBE Settlements and Valuations and CME Reference Data API, many ITC data functions will become redundant and will be decommissioned.

There is currently a parallel period from the Settlements and Valuations production launch and decommission of select ITC market data. On Friday, May 29, the following ITC market data impacts will be implemented:

• NYMEX, COMEX and DME ITC channels will be eliminated
• Futures and options settlements
• Cleared volume and open interest
• Cumulative volume
• High/Low/Last prices
• Fixing prices
• Marker prices
• Close prices
• Net change
• Lead month indicator
• Contract specifications

Real-time trading floor data and indexes, such as trades, will continue to be disseminated on ITC channels for CME, CBOT, and MGEX.

Please review the Client Impact Assessment for additional information and decommission schedules.

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CME Globex Market Segment Gateway Enhancements - June 21

CME Group will introduce the following Market Segment Gateway (MSGW) enhancements to further safeguard CME Globex infrastructure. With this enhancement, if a Market Segment Gateway (MSGW) iLink session sends a network packet with an incomplete message, that session will be subject to additional processing to ensure the stability of the platform. This processing results in at least 3 microseconds before the message(s) can be sent to the trading engine.

iLink messages impacted by this enhancement will be flagged in the corresponding Acknowledgment sent from CME Globex.

Customers are strongly encouraged to ensure all messages are contained within a single network packet by the following methods:

• Ensure any packet sent to CME group contains only complete messages
• Limit the number of quote entries in a mass quote message that fits within a single TCP packet
• Disable nagling, an algorithm that concatenates a number of small buffer messages to decrease the number of sent packets, on your order routing systems

As a reminder, conduct that disrupts, delays, or overloads the systems or operations of the exchange may be deemed to violate Rule 575 (“Disruptive Practices Prohibited”) or other rules, including Rule 432.Q. (“General Offenses – to commit an act which is detrimental to the interest or welfare of the Exchange or to engage in any conduct which tends to impair the dignity or good name of the Exchange”). Rule 575 further provides that it is a violation to enter or cause to be entered an order where the intent at the time of order entry is to cancel the order before execution. It is also a violation of Rule 575 to intentionally or recklessly enter or cause to be entered an actionable or non-actionable message that may cause an adverse impact on the orderliness of the markets.

Customers interested in finding out how MSGW enhancements would impact their iLink sessions should contact their Global Account Manager for additional information.

In internal testing, iLink round trip times at the 75th percentile and above increased at least 10%.

Please review the Client Impact Assessment for additional information on these Market Segment Gateway enhancements.

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

Mock Trading Session:

CME Group will offer two customer mock trading sessions on Saturday, May 30 and Saturday, June 6, to support customer experience with the MSGW enhancements in the CME Globex production environment. Customers are required to register in advance in order to participate in this mock trading session. The mock trading session script will be announced in future CME Globex Notices.

The mock trading session script will be announced in future CME Globex Notices.

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Product Launches

Options on One-Month SOFR Futures  - May 3

Effective Sunday, May 3 (trade date Monday, May 4), pending completion of all regulatory review periods, options on One-Month SOFR futures will be listed for trading on CME Globex and the CME Trading Floor, and for submission for clearing via CME ClearPort.

These options will be available for customer testing in New Release on Monday, April 20.

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

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Product Changes

NewNew - Testing Opportunities for Negative Prices and Strikes for Certain Energy Products 

Effective immediately, firms wishing to test negative and zero trade, settlement and strike prices for Crude Oil futures (tag 6930-Asset=CL) and options on Crude Oil futures (6930=LO) may utilize the CME Group New Release testing environment .

As previously announced, as an operational step toward potentially supporting negative pricing and strikes, the MDP 3 Security Definition (tag 35-MsgType=d) for these Energy outright futures and options on CME Globex are now flagged as eligible to trade at negative prices. The options on futures are also flagged as negative strike price eligible.

For additional information, please refer to the Clearing Advisory Notice 20-160.

Any changes to the production environment to allow negative futures and strike prices will be published in future CME Globex Notices.

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Listing Cycle Expansion for Gold TAS and Silver TAS  - This Week

Effective this Sunday, April 19 (trade date Monday, April 20), the listing cycle for the following Gold TAS and Silver TAS will be expanded on CME Globex

These products 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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Harmonization of Final Settlement Prices for Expiring Out-of-the-Money Options - This Week

Effective this Sunday, April 19 (trade date Monday, April 20), the final settlement price for expiring out-of-the-money options for CBOT and CME options markets will be harmonized to align the behavior with NYMEX and COMEX options markets. With this change, the out-of-the-money options will now be assigned a final settlement price of zero for CME and CBOT options. 

Please Note: This behavior change only impacts expiring options on the day of expiration. Out of the money options will continue to settle at "cab" (where eligible) prior to the expiration date.

Currently, these options are assigned a cabinet price (tag 9850-MinCabPrice) in the Security Definition (tag 35-MsgType=d) message. 

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Changes to Variable Tick for Bitcoin Options - May 3

Effective Sunday, May 3 (trade date Monday, May 4), CME Group will modify the tick increment of Bitcoin options to a variable minimum tick increment defined in tag 969-MinPriceIncrement in the instrument’s Security Definition Message (tag 35-MsgType=d). Currently, these instruments use a fixed tick increment Tag 969-MinPriceIncrement=5. With this change, a new Variable Tick Index Code "13" will be introduced to the Variable Tick Table.

The variable minimum tick increment for Bitcoin options 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 as described online.

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.

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Events and Announcements

BrokerTec CME Globex New Release Environment Access

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

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

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

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

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

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

Learn more about how to get set up to test in the CME Globex New Release Environment:

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

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