Transcript CME Group Customer Forum E

CME Group Customer Forum
E-Trading Update
Q4 2014
© 2014 CME Group. All rights reserved.
Agenda
1. Market Data Platform 3.0
2. New iLink Architecture – MSGW
3. Revised iLink Session Policy
4. Drop Copy 4.0
5. Other Upcoming CME Globex Releases
• Self-Match Prevention Phase 2
• Implied Options
• User Defined Instruments
• CME STP
• Partner Updates
• “MY CME” portal
2
MDP 3.0: Features and Benefits
Currently rolling out Market Data Platform (MDP) 3.0, CME Group’s next
generation market data platform
• Simple Binary Encoding (SBE)
•
Replaces FAST compression and provides faster and more efficient delivery of
information to the customers
• New Trade Summary Message
• Streamlined and complete match event reporting to all market participants
• State of the Art Technology
•
Most current industry technology standard (FIX Protocol 5.0 SP 2).
•
Event-driven market price and trade information.
•
Nano-second timestamps (micro-second accuracy) for match event start and
message delivery.
3
MDP 3.0: Trade Summary Message
• Consolidated trade information in the first part of the summary message
communicates all trade information up-front
• Anonymous Order ID information in the second part of the message allows participants
to know if they have a trade
Example:
If you are a general MDP consumer,
number of packets until all market data
fill information is known
Sample Fill Event:
Two price levels
Order Size
750
Total Order
Entry Fill
Messages
150
Distinct Orders
Participating
75
Current FIX/FAST
(use trade messages)
MDP 3.0 w/ Trade
Summary
5
1
Number of packets until all order entry fill
information is known
Current via
iLink Fill Messages
MDP 3.0 w/ Trade
Summary + Order IDs
150
1
4
MDP 3.0: Trade Summary
Event: Aggressor matches with 80 counterparties across two price levels for a
single instrument.
5 messages to communicate 80 trades.
Repeating groups of 18, 18, 18, 18 and 8
Current FIX/FAST Messages:
<Preamble>
Trades
<Preamble>
Trades
<Preamble>
Trades
<Preamble>
Trades
<Preamble>
Trades
MDP 3.0 with Trade Summary:
<PacketSeq> <SendTime>
Trade Summarization
Quotes
Stats
80 repeating groups to
list participants
2 repeating groups to
communicate trade
Host Order Numbers
End of Event
<PacketSeq> <SendTime>
Quotes
Stats
5
MDP 3.0: Trade Summary Opt-In Functionality
You can choose to display your Order IDs in the MDP 3.0 Trade
Summary message (tag 35-MsgType=X) for the fastest possible trade
confirmations.
• New iLink Tag – PreTradeAnonymity (Tag 1091) on each new order
• Y, blank or tag not sent = The OrderID will not appear in the Trade Summary
message
• Orders that do not opt to include their Order ID in the Trade Summary will
be represented with an Order ID of “0”
• N = Tag 37-OrderID will appear in the Trade Summary message
Please note: Tag 37-OrderID is generated by each match engine and
has no ties to the customer entering the order; it is anonymous.
6
MDP 3.0: Deployment Plan
Production Deployment
 September 28 – CBOT Equity Index Futures & CME Interest Rate Options
 October 12 – FX Futures, Commodity Options, COMEX Futures
 November 2nd – NYMEX Metals, Softs & Alternative Market Futures, CME Equity
Futures
 November 9th – CME & CBOT Commodity Futures, NYMEX Nat Gas, MGEX
Commodity Futures, and CME Europe Futures
• December 7th – CME & CBOT Interest Rate Futures, NYMEX Crude & Emissions
Futures, DME Futures, BMD Futures and Options and KRX Futures.
Mock Trading Sessions
• Each Saturday before production launch. Registration is required.
• Must be certified for MDP 3.0 to participate; must identify session IDs when registering if
you will perform order entry during mock.
• All channels available for network access and firewall testing.
Bandwidth Estimates
• Internal testing indicates increases in bandwidth from 30 – 50% range during peak
periods
• 20% increase in packets-per-second
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MDP 3.0: Deployment Plan
Production Parallel Period
• 6 months – beginning after final launch weekend
• Customers will be charged escalating fees if not converted by end of 6 month parallel
period.
• End of Life for FIX/FAST planned 7 months after launch.
Migration Milestones
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.
• Until December 12, markets will be halted for FIX/FAST issues only.
• After December 14, 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 final state will be announced via the CME Globex Notices.
8
Agenda
1. Market Data Platform 3.0
2. New iLink Architecture – MSGW
3. Revised iLink Session Policy
4. Drop Copy 4.0
5. Other Upcoming CME Globex Releases
• Self-Match Prevention Phase 2
• Implied Options
• User Defined Instruments
• CME STP
• Partner Updates
• “MY CME” portal
9
New iLink Architecture: Market Segment Gateways (MSGW)
In Q2/Q3 2015, CME Group will launch new iLink Architecture across all
markets.
The new iLink architecture will include:
• Direct access to the new Market Segment Gateways (MSGWs)
• FIFO message handling per market segment
• Market Segments are defined in tag 1300-MarketSegmentID in the MDP Security Definition
messages
• Elimination of variability associated with multiple sessions across multiple
gateways
• Single entry point (MSGW) for all traffic to a single market
• New Session ID access model
• Customer systems must identify and route to the appropriate MSGW for the product being
traded
© 2014 CME Group. All rights reserved.
10
New iLink Architecture: Pre-Launch
Internal rollout of MSGWs
Roll out MSGWs into the iLink infrastructure between trading engines and
Convenience Gateways (CGW)
• Customers still only access CME Globex markets through the CGWs.
• Current CGWs will route through the new Market Segment Gateways
• Includes a failover behavior change, which will affect all clients.
• During the primary MSGW failover to backup, incoming orders will be rejected with a Session
Level Reject tag 58 = Technical Error – Market Segment: <MarketSegmentID> is not available
at this time.
• After the backup is up, order entry will be allowed.
• Note: Currently, messages sent during an internal component failover are not guaranteed to be
acknowledged by CME Globex.
• Will hold mock trading session for customers to interact with the system and experience
failover
• Target is April/May 2015
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© 2014 CME Group. All rights reserved.
New iLink Architecture: Launch
Optional Direct Access to MSGWs
Customer impacts if you decide to directly connect to MSGW:
• Utilize a single SessionID and port across all MSGWs
• Unique IP addresses for each of the primary and backup MSGWs
• Customer uses the same SessionID, password, and port to connect to different
MSGWs by IP address
• New sequence stream
• 1-19 TCP connections and sequence streams to access all market segments
• Determined by a combination of SessionID and MarketSegmentID
• Fault Tolerance
• Customers must log on to the primary MSGW first
• MSGW Failover
– Pre-launch: same as today’s behavior except orders will be rejected during the failover
– Launch: Market Pause, only order cancellation will be allowed
• iLink Messaging Changes – to support MSGW access and sequencing
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© 2014 CME Group. All rights reserved.
New iLink Architecture: Session Model
Shared SessionID Among All MSGWs
iLink Sessions
Session EF1 will be
replicated across
MSGWs
iLink
Convenience
Gateway-1
iLink
Convenience
Gateway-2
SessionID:Port
AB1:9000
AB2:9001
SessionID:Port
BC1:9000
BC2:9001
IP 10.10.1.1
IP 10.10.1.2
A MSGW session will have
different IPs and the same
port across MSGWs
MSGW sequence stream will be determined
by session & Market Segment Indicator
• Sequenced by FIX sequence number,
SessionID <and> TargetSubID
iLink Sessions
MSGW-01
MSGW-02
MSGW-2
MSGW-n
SessionID:Port
EF1:9000
EF2:9001
EF3:9002
SessionID:Port
EF1:9000
EF2:9001
EF3:9002
SessionID:Port
EF1:9000
EF2:9001
EF3:9002
IP:10.10.10.1
IP:10.10.10.2
IP:10.10.10.3
IP:10.10.10.3
IP:10.10.10.5
Trading
Engine 1
Trading
Engine 2
Trading
Engine n
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© 2014 CME Group. All rights reserved.
New iLink Architecture: Milestones
Available Now
• MSGW for TAS markets
• Client Impact Document
January 2015
New Release launch: MSGW for all markets
Autocert+ Test Suite available
April/May 2015
• Pre-Launch: Internal MSGW rollout for all markets
• Mock trading sessions
Q2/Q3 2015
• Production launch: MSGW available for direct access
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© 2014 CME Group. All rights reserved.
Agenda
1. Market Data Platform 3.0
2. New iLink Architecture – MSGW
3. Revised iLink Session Policy
4. Drop Copy 4.0
5. Other Upcoming CME Globex Releases
• Self-Match Prevention Phase 2
• Implied Options
• User Defined Instruments
• CME STP
• Partner Updates
• “MY CME” portal
15
Revised iLink Session Policy
• The launch of the new iLink Architecture, with the MSGW, requires a new
session ID model as well as the introduction of a new session policy
• Introducing revised iLink session policy to:
• Provide objective rationale for iLink session distribution which are easy to explain and
administer
• Effectively manage MSGW session distribution
• Incent more efficient usage of CGW & MSGW iLink sessions
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© 2014 CME Group. All rights reserved.
Revised iLink Session Policy
Rollout and Allocation
To ensure a smooth transition to the new order entry architecture, CME Group
is planning a two phase rollout:
Phase 1 is the first 3 - 4 months (subject to change) of MSGW deployment.
Limitation on the number of MSGW sessions a firm will initially be allocated
as they adapt to the new architecture.
• Targeting Q2 2015; in line with MSGW rollout
• Must certify to MSGW prior to requesting new session IDs
• Phase 2 would start in months 4 - 5 (subject to change) and would
transition to a more permanent method of MSGW session distribution.
Look for more information in future CME Globex Notices or contact your
Global Account Manager.
17
© 2014 CME Group. All rights reserved.
Revised iLink Session Policy
High Level Components
Component
Description
iLink Session
Port Activation Charge (PAC)
Apply a one-time surcharge for every new iLink
session created. (CGW & MSGW)
iLink Session
Monthly Inactivity Charge (MIC)
Apply an inactivity surcharge to iLink sessions that
fail to meet a minimum monthly trading volume
threshold. (CGW & MSGW)
Executing Firm
Average Daily Volume Tiers
Allocate MSGW iLink sessions to executing firms
based on 3-month ADV up to a tier-based cap.
(MSGW)
Executing Firm
Excess Capacity Charge (ECC)
Apply an excess capacity surcharge to executing
firms who require more sessions than their ADV tier
allows. (MSGW)
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© 2014 CME Group. All rights reserved.
Revised iLink Session Policy
Port Activation & Trade In
• Institute a Port Activation Charge for the creation of each new CGW or MSGW
iLink session
• CGW iLink session Port Activation *$125
• MSGW iLink session Port Activation *$250
• Begins Phase 1 and continues
• CME Group will offer customers the opportunity to “trade-in” their existing CGW
iLink sessions for new MSGW sessions and waive the Port Activation Charge
• Trade In Ratio (CGW: MSGW sessions) will be announced and is subject to change
• CGW trade-in iLink sessions will be scheduled for port closure
* Proposed charge
19
© 2014 CME Group. All rights reserved.
Revised iLink Session Policy
Monthly Inactivity Charge (MIC)
• Institute a MIC for MSGW & CGW iLink sessions that do not meet a monthly
volume threshold.
• CGW iLink session MIC *$100 if it trades < 100 sides in a calendar month
• MSGW iLink session MIC *$1,000 if it trades < 1,000 sides in a calendar month
• Each session will be evaluated independently as opposed to averaging volume
across sessions within an executing firm.
• No charges in Phase 1, but customers will be notified of charges that would have
applied based on activity.
• Fully effective Phase 2.
* Proposed charge
20
© 2014 CME Group. All rights reserved.
Revised iLink Session Policy
Executing Firm Average Daily Volume (ADV) Tiers
• More permanent method of MSGW session distribution introduced in Phase 2
•
Applies to MSGW sessions only
• The assigned ADV tier will determine the MSGW session allowance available to a
customer
•
•
Executing Firm ADV will be measured and customers will be notified of their ADV
tier on a quarterly basis
Customers may only change tiers on a quarterly basis
Excess Capacity Charge (ECC)
• Customers can request an additional limited number of MSGW sessions based
on their tier allocation, but will be assessed an Excess Capacity Charge
•
•
ECC sessions will be subject to *$500 monthly recurring charge regardless of usage
Provides flexibility
* Proposed charge
21
© 2014 CME Group. All rights reserved.
Revised iLink Session Policy
Executing Firm Average Daily Volume Tiers
Executing Firm
ADV
Tier #
MSGW Session
Allowance
*Excess Capacity
Session
Allowance
Total MSGW
Session
Allowance
0-5k
1
2
1
3
5k-10k
2
5
2
7
10k-25k
3
10
3
13
25k-50k
4
20
4
24
50k-75k
5
30
6
36
75k-100k
6
50
10
60
100k-250k
7
70
15
85
250k-500k
8
100
20
120
500k-1m
9
150
30
180
1m
10
250
50
300
2m
11
300
60
360
3m
12
350
70
420
*Subject to monthly recurring charge regardless of usage
© 2014 CME Group. All rights reserved.
22
Revised iLink Session Policy
Summary
• We are rolling out a new Session ID Policy in conjunction with the new
iLink Architecture, targeting Q2/Q3 2015
• Policy is designed to provide objective guidelines for session allocation
• Customers who manage their session footprint should face little to no
surcharges with new policy
• Documentation will be available before the end of the year
• We are here to help. Please contact your Global Account Manager at
[email protected] or call U.S. at +1 312 634
8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 with
any questions, concerns or for additional information.
23
© 2014 CME Group. All rights reserved.
Agenda
1. Market Data Platform 3.0
2. New iLink Architecture – MSGW
3. Revised iLink Session Policy
4. Drop Copy 4.0
5. Other Upcoming CME Globex Releases
• Self-Match Prevention Phase 2
• Implied Options
• User Defined Instruments
• CME STP
• Partner Updates
• “MY CME” portal
24
Drop Copy 4.0
In Q1 2015, CME Group will introduce a new Drop Copy (DC)
implementation featuring:
• architectural changes to align it with the upcoming new iLink architecture
• new messaging
• functionality changes
***Note that certification is required for all Drop Copy clients and is a prerequisite for access to Drop Copy for MSGW sessions.
Changes will include:
• New session model to support both Convenience Gateway (CGW) and Market
Segment Gateway (MSGW) iLink source sessions
• New encapsulated message type (35=n)
• Enhancements to make DC consistent with iLink FIX behavior
© 2014 CME Group. All rights reserved.
25
Messaging Impacts
Summary of Message Level Changes
All
Messages
Scenario
Current state
Future state
Header
Tag 10 checksum
validation
Validated for tag length (max 3
bytes) but not content.
Session disconnect for nonnumeric value less or greater than
three characters
Message
Type
Scenario
Current state
Future state
Heartbeat
Heartbeat interval
No Limit
Limit 5 – 60 seconds
Missing heartbeat
Session Level Reject
Session Logout
Resend Limit exceeded
(2500)
Gap Fill to next available
sequence number
Session Level Reject
Retrieval of trading
activity
1 week’s trading activity
Two days
Multiple Resend
Requests at a time
Processed
Session Level Reject
Interleaved messages
Real time messaging on hold until
resend complete
Real time and Resend Request
response are interleaved
FIX Resend
Request
26
© 2014 CME Group. All rights reserved.
Messaging Impacts
Application Messages
Application Resend Request Decommissioned
• Message no longer valid, client will receive a session level reject
Responses to FIX Resend Request Will Now Be Interleaved
• Outbound real-time messages will be interleaved with resend responses. Currently, real-time
messages are put on hold until resend response is complete.
Current state
Future state
27
© 2014 CME Group. All rights reserved.
Messaging Impacts
Application Messages
Encapsulation of all outbound iLink execution report messages – Brand new XML
non-FIX message (Tag 35-MsgType = n)
• The target session will send a FIX 35=n (XML non-FIX) message containing the given business
message as a payload: Complete and accurate copies of source session messages
•
8=FIX.4.2|9=377|35=n|34=9152031|49=CMEGROUP|52=2013051508:56:24.791|56=AT13301|212=300|213=<RTRF>
8=FIX.4.2|9=264|35=G|34=6074|369=4574258|49=5CS852N|50=852|52=2013051506:00:04.128|56=CME|57=G|142=US,IL|1=CMEGROUP_ACCT|11=5CSq4g1k8|21=1|37=991525447|38=9
9|40=2|41=5CSq4ft04|44=80|54=1|55=0K|60=20130515-06:00:04.128|107=KRWM3
P0945|167=OPT|204=0|1028=N|9702=4|9717=5CSq4fkec|10=151|</RTRF>|10=031|
• Message filtering does not change
28
© 2014 CME Group. All rights reserved.
Drop Copy 4.0 Session Model
Drop Copy 4.0 will feature a new session model to support both
types of target sessions:
• Drop Copy Convenience Gateway (CGW) target session
• Drop Copy Market Segment Gateway (MSGW) target session
Sequence streams in Drop Copy will follow the same convention as
discussed in the new iLink Architecture section
29
Current Drop Copy Architecture: CGW Sessions
Example: Target session OYZV2K sequences messages from multiple iLink Gateways
30
© 2014 CME Group. All rights reserved.
New Drop Copy 4.0 Architecture: MSGW Sessions
MSGW Drop Copy Target session management
31
© 2014 CME Group. All rights reserved.
Fault Tolerance and Bandwidth Impacts
Fault Tolerance
• Fault tolerance will be managed at the session level and customers will have to
connect to the exchange-designated primary Drop Copy gateway before
attempting to connect to the backup
• Customers can only receive acknowledgements through their primary
connections
- If primary fails, the backup is promoted to the primary role
Bandwidth Impact
• Bandwidth impact will be minimal – the new 35=n for Drop Copy 4.0 is
comparable size to the current Drop Copy messaging.
• Frequency of messaging will not change.
32
© 2014 CME Group. All rights reserved.
Mandatory Drop Copy 4.0 Certification
• All customers must certify for and migrate to Drop Copy 4.0
- Prerequisite for systems who wish to support MSGW access
- Certification required for both session models
• Client Impact Document available now
• New Release availability: late January 2015
- In New Release, Drop Copy customers will receive new sessions for both CGW and MSGW
message sequencing
• Autocert+ test availability: late January 2015
• Watch CME Globex Notices for more information
33
© 2014 CME Group. All rights reserved.
Production Migration
Separate CGW and MSGW Target sessions
• Once certified, customers should contact their GAM to set up a new Drop Copy 4.0
group to migrate
• Customers can choose to hot-cut or to run both groups in parallel
- Can only run in parallel with CGW targets
- GAM will create a new production Drop Copy 4.0 group – a duplicate to their existing group(s) and provide the following information: New Drop Copy 4.0 CGW target session IDs, IPs, ports and
passwords
• Drop Copy 4.0 will not be backwards compatible
- Customers should not connect to their current Drop Copy groups with new Drop Copy 4.0
applications
• After MSGW has been implemented, customers certified for Drop Copy 4.0 can add
MSGW iLink source sessions to their Drop Copy 4.0 groups
- Only supported in 4.0. GAM will provide a new Drop Copy MSGW target session ID, port and
password
- A Single MSGW target session ID will have 19 IPs, one corresponding to each Drop Copy Market
Segment Gateway
- CGW and MSGW source sessions will be in separate target sessions, but can be part of the
same Drop Copy Group
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© 2014 CME Group. All rights reserved.
Production Migration
The current Drop Copy architecture will be phased out
• Drop Copy 4.0 Production Launch date: Q2/Q3 2015
• Fees remain unchanged
- The parallel, duplicated Drop Copy groups will be free of charge for 6 months from launch
- Customers who continue to run in parallel beyond 6 months will be charged for the duplicate set of
DC groups at the current rate of $500/month
• End of life of current Drop Copy architecture: TBD 2015
- 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 and migrated by that date
35
© 2014 CME Group. All rights reserved.
Summary of CME Globex Impacts
Initiative
Who impacted?
How?
Timeframe
MDP 3.0
All customers
connected to
market data feed
MDP 3.0
Certification &
Migration
End of 6 month parallel
period: approx. June 7
2015
Drop Copy
4.0
All clients using
DC 4.0
Drop Copy service certification &
migration
Prod. launch late
Q2/early Q3
Parallel 6 months; EOL
in 2015
New iLink
Architecture
- MSGW
Optional.
Customers who
want to connect
directly to MSGW
MSGW
certification &
migration AND
DC 4.0
Prod. launch Q2/Q3
New Session
ID Policy
applies
In conjunction with
MSGW launch for Phase
1. TBD for Phase 2.
New Session All connected
Id Policy
customers
© 2014 CME Group. All rights reserved.
36
Agenda
1. Market Data Platform 3.0
2. New iLink Architecture – MSGW
3. Revised iLink Session Policy
4. Drop Copy 4.0
5. Other Upcoming CME Globex Releases
• Self-Match Prevention Phase 2
• Implied Options
• User Defined Instruments
• CME STP
• Partner Updates
• “MY CME” portal
37
Self-Match Prevention (SMP) Enhancements
New Functionality Behavior
1. Instruction to dictate which order is cancelled in the event of a
self-match: resting or aggressing
• For all markets
• Aggressing order instruction always applied in case of instruction
conflict
• Currently, the resting order is always cancelled.
2. Only cancel the order when it will participate in a match
• FIFO-only markets: include all markets with 100% FIFO
allocation
• Pro-Rata, Split FIFO/Pro-Rata, LMM and TOP markets:
functionality will remain as-is
• Avoids negative performance impacts
• Currently, orders are cancelled if they are on the same
executable price level as a match, regardless of actual fills
38
© 2014 CME Group. All rights reserved.
Self-Match Prevention Enhancements
iLink Messaging Impacts:
•
•
New FIX tag for SMP Instruction: Tag 8000 – SelfMatchPreventionInstruction.
•
Just like today, tag 7928-SelfMatchPreventionID must be included and the values must match
on both the buy and sell orders to trigger SMP functionality.
•
Tag 8000 is an optional tag on iLink that dictates whether the resting or aggressing order will be
cancelled during a Self-Match event
–
When 8000 is not sent, default behavior is to cancel the resting order.
–
The aggressing order’s instructions always take precedence over the resting order
instructions
–
Tag 8000 will be published on Drop Copy when submitted on the source iLink
message
New values for Cancel Reason will be added to cancel messages to indicate whether the
resting or aggressing order was cancelled due to Self Match Prevention.
• Tag 378 – ExecReinstatementReason = '107‘ (Cancel Aggressing due to SMP)
• Tag 378 – ExecReinstatementReason = '103‘ (Cancel Resting due to SMP)
• No impact to customer registration
39
© 2014 CME Group. All rights reserved.
Self-Match Prevention Enhancements
Key Customer Events and Dates:
Self Match Prevention Phase 2
Date
New Release Launch
September 29, 2014
Phased Production Launch
•
NYMEX and COMEX Metals
and Alternative Market Futures
December 21, 2014
•
All other markets
January 12, 2015
Testing and Certification
•
All customers and system providers can test SMP functionality in New Release
environment before launch.
•
Certification is not required for SMP Phase 2 functionality
40
© 2014 CME Group. All rights reserved.
Implied Options
Creating liquidity in spreads and back months through implied functionality
•
Enhance options market quality and liquidity to advance migration to CME Globex
Option Spread Type and Product Eligibility
•
8 recognized UDS strategies will be available for Implied Options:
•
•
Calendar, Straddle, Strangle, Vertical, Risk reversal, Diagonal, Guts, Double
Request for Quotes (RFQs) will trigger implied functionality for a pre-defined window
Messaging Impacts
•
FIX tag for implied eligibility:
- If option instruments are implied eligible,
•
FIX/FAST – Security Definition with tag 1144-ImpliedMarket Indicator = 3
•
MDP 3.0 – Security Definition with Implied Eligibility flag in Tag 872 InstAttribValue
Certification Requirements
•
Certification is not required for Implied Options functionality
Production launch for specific markets to be announced: Q1 2015
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Comparison to Futures Implied Functionality
Feature
Implied Futures
Implied Options
Frequency / Pace
Streaming
On-Demand driven by RFQs,
Configured with Delay + Duration
Implication Direction
Complementary;
INs + OUTs
Complementary;
INs + OUTs
Implied Generations
Up to 2nd Generation
1st Generation only
Spread Scope
Exchange-Defined, Ratios,
≥ 2 Legs, 1:n ratio
User Defined, limited to 8
strategies, 2 legs, 1:1 ratio
Order Priority
Customer orders always
prioritized over implied orders
in FIFO Markets
• Size priority in all others
New Aggregated Price / Time to
determine priority
•
No preference for customer orders over
implied orders
42
© 2014 CME Group. All rights reserved.
User Defined Instruments (UDI)
• Allows users to dynamically create new option strikes.
• For options in Energy and Metals only.
• UDIs can only be created using CME Direct.
• Once created, market data will be published on MDP 3.0 and order entry through
iLink will be supported
• Both Put and Call will be generated for the requested strike price.
• Only strikes which meet the product’s listing characteristics will be generated.
New Release: Mid-December 2014
Production: January 2015
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CME STP – Launched July 2014
Key Benefits
• Enables direct connectivity to CME to streamline post-trade flows for non-FCM
entities
• Reduces dependency on end-of-day trade reconciliation,T+1 error correction, and
report generation from FCM to Trading/Broker entity
• Ensures real-time regulatory compliance
• Facilitates using a single connection credential across one firm’s legal entities
• Receive your brokered bilateral trades over the same feed (in 2015)
• Leverages an industry standard protocol and access via the Internet
• Supports expanded product scope versus Cleared Trades API
• Leverages SMART Click for authentication
Venues Supported:
• CME Globex
• CME ClearPort
• Floor Trades
Exchanges Supported:
• CME
• COMEX
• CBOT
• DME
• NYMEX
• CME Clearing Europe
44
© 2014 CME Group. All rights reserved.
Available Vendors for CME STP Integration
Enabling Efficiencies Through Integrated Risk and Trading Work Flows
Certified Applications
• Allegro
• EPAM
• HedgeFacts LLP
• Kaizant
• MarkitSERV
• NASDAQ OMX (SMARTS)
• OnixS
• OpenLink (Endur)
• Open Link (Right Angle)
• WG Consulting
In Process
• Amphora
• ATEO Finance
• Broadpeak Partners
• CTS
• Enuit LLC
• EXXETA AG
• Miura Consulting
• Molecule Software
• Murex
• Power Costs, Inc
• SunGard Entegrate
• SunGard Kiodex
• Triple Point Technologies
© 2014 CME Group. All rights reserved.
45
Global Partner Updates
China Financial Futures Exchange (CFFEX)
• CFFEX is the only state-approved financial derivative exchange in China. Its flagship
product is CSI300 Index Futures.
• On September 24th, 2014 CME Group entered into a partnership to distribute CFFEX
Market Data on Globex.
• CME Group will also provide data administration service including licensing, onboarding,
invoicing, fee collection and audit on behalf of CFFEX for clients outside PRC.
• In Phase 1, CFFEX level 1 data will be distributed on CME Globex and in Phase 2, Level 2
data will also be included.
• Go-live date is subject to further notice. Please contact [email protected] for
enquires.
46
46
Global Partner Updates
Dubai Mercantile Exchange
•
Intraday Settlement changed to support the Singaporean Market Close via the new Trade at Marker,
and began support for marker prices for the entire Oman Crude (OQD) pricing curve
•
First half of 2014 DME posted average daily volume growth of over 52% compared to the same period
2013
MexDer
•
Launched new mini-IPC Equity Index (5:1 ratio) October 20th, and have three guaranteed market
makers and local participant interest.
BVMF
•
North-to-South Order Routing volume in September recorded highest monthly ADV since May 2010,
with 89,730 ADV (1,944,049 total N-S volume). The most heavily traded contracts were the One Day
Interbank Deposit Rate (DI), US Dollar (DOL) and IBOVESPA Equity Index (IND).
Silver Benchmark / Thomson Reuters
•
CME Group’s venture with Thomson Reuters to provide the daily Silver Benchmark price launched on
August 15, 2014. CME Group/TR transitioned seamlessly into the new operational responsibility,
initiating a much more transparent and inclusive price discovery process for a critical precious metal
benchmark.
47
47
Global Partner Updates
Korea Exchange
On December 8:
• KRX to launch USD/KRW FX futures on CME Globex for night time trading.
• KRX to list three additional expiration months up to 3 years for KOSPI 200 futures on CME Globex.
Bursa Malaysia
• Extension of trading Hours:
- Five Year Malaysian Government Security Futures (FMG5) from current close of 5:00 p.m. MST to 6:00
p.m. MST effective Monday, December 1, 2014.
- Gold Futures (FGLD) from the current close of 7:00 p.m. (MST) to 11:00 p.m. (MST) in Q4 2014
• All-time daily volume record of 76,335 for Crude Palm Oil futures on Sept 15, 2014. Additionally,
Average Daily Volume for BMD nearly doubled since partnership with CME Group
• BMD hosted OMS for the brokers will be decommissioned by end of 2014
-
All CME certified system providers may provide access to BMD markets
48
© 2014 CME Group. All rights reserved.
Country of Origin Reminder
CME Group requires each order be tagged with the originating
geographical location of:
1) the manual-entry trader / the individual submitting the order, or
2) the trader controlling the ATS application.
Orders generated by an ATS must be tagged with geographical location
of the personnel controlling the ATS.
As an example,
Trader
In Singapore
ATS in CMEG
Co-lo Aurora
•Tag142 = SG
Globex
•The list of ISO codes can be found at ftp.cmegroup.com/fix/coo . See your Global Account
Manager for details.
50
CME Group Is Committed To Improving Your Experience
A common portal and single sign-on simplifies access and improves
security with 2-factor authentication
• All applications standardizing on
SmartClick username
• 2014 remaining releases
- CME CORE & Fees suite to
launch November
- CME ClearPort to launch
December
• 2015 to complete migration
- Trade Repositories
- Clearing services
- CME Direct single sign-on
50
© 2014 CME Group. All rights reserved.
Introduction of the Request Center for Process Self-Service
Self-service being launched starting with membership and related process
registration
• All processes will eventually be enabled for self-service
• Onboarding and maintenance tasks will be simplified through workflows available in Request
Center
• Will provide ability to grant or remove access or permissions
51
© 2014 CME Group. All rights reserved.
“CME Group”, “CME Europe” and “CME Clearing Europe” are brands of CME Group Inc. and its subsidiaries, members of which include Chicago
Mercantile Exchange Inc., CME Europe Limited, CME Clearing Europe Limited and CME Marketing Europe Limited.
Exchange traded and Over-The-Counter (OTC) derivatives are not suitable for all investors, and involve the risk of loss. Exchange traded and OTC
derivatives are leveraged investments, and because only a percentage of a contract’s value is required to trade, it is possible to lose more than
the amount of money initially deposited for an exchange traded or OTC derivative position. Therefore, traders should only use funds that they
can afford to lose without affecting their lifestyles. And only a portion of those funds should be devoted to any one trade because they cannot
expect to profit on every trade.
CME Group is the trademark of CME Group, Inc. The Globe logo, Globex® and CME® are trademarks of Chicago Mercantile Exchange, Inc. CBOT®
is the trademark of the Board of Trade of the City of Chicago Inc. NYMEX, New York Mercantile Exchange, and ClearPort are trademarks of New
York Mercantile Exchange Inc. COMEX is a trademark of Commodity Exchange Inc. All other trademarks are the property of their respective
owners.
The information within this presentation has been compiled by CME Group for general purposes only. Although every attempt has been made
to ensure the accuracy of the information within this presentation, CME Group assumes no responsibility for any errors or omissions.
Additionally, all examples in this presentation are hypothetical situations, used for explanation purposes only, and should not be considered
investment advice or necessarily the results of actual market experience. All data is sourced by CME Group unless otherwise stated.
All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME, CBOT, NYMEX, CME Europe,
CME Clearing Europe and CME Group rules. Current rules should be consulted in all cases concerning contract specifications.
This communication does not constitute a Prospectus, nor is it a recommendation to buy, sell or retain any specific investment or to utilise or
refrain from utilising any particular service. This communication is for the exclusive use of Eligible Counterparties and Professional Clients only
and must not be relied upon by Private Clients who should take independent financial advice. Circulation should be restricted accordingly.
CME Europe Limited is a Recognised Investment Exchange (RIE) recognised and supervised by the Financial Conduct Authority in the United
Kingdom. CME Clearing Europe Limited is a Recognised Clearing House (“RCH”) recognised and supervised by the Bank of England. CME
European Trade Repository is a business name of CME Trade Repository Limited, a registered trade repository under EMIR supervised by the
European Securities and Markets Authority. Globex Markets Limited is authorised and regulated by the Financial Conduct Authority.
Chicago Mercantile Exchange Inc. is a Recognised Overseas Clearing House (ROCH) recognised by the Bank of England. Chicago Mercantile
Exchange Inc., Board of Trade of the City of Chicago and the New York Mercantile Exchange are Recognised Overseas Investment Exchanges
(ROIE’s) recognised by the Financial Conduct Authority.
Issued by CME Marketing Europe Limited. CME Marketing Europe Limited (FRN: 220523) is authorised and regulated by the Financial Conduct
Authority in the United Kingdom.
QUIZ and QA
© 2014 CME Group. All rights reserved.
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