CME Group Customer Forum Q Electronic Trading Updates

Transcription

1 CME Group Customer Forum Q Electronic Trading Updates Sydney October 1, 2013 Singapore October 8, 2013 Hong Kong October 10, 2013 New York October 16, 2013 Chicago October 23, 2013 London October 30, 2013

2 Agenda Electronic Trading Updates Business Continuity Management Program Mass Order Cancel and Mass Order Status Risk Tools MDP 3.0 CME Europe CME Group Co-Location Market Data Policy Partner Exchange 2 2

3 Business Continuity Management Program New datacenter solution: one production and one, out-of-region disaster recovery datacenter The use of single IP routing allows CME Group to route customers seamlessly between data centers Encourage participation in the November 23 disaster recovery exercise Test the majority of customer-facing applications for both CME Globex and Clearing Registration info via Globex Notices BCM Customer Outreach Program introduced this year: Quarterly events in Chicago and NY with updates on most recent strategies; events recorded and posted on the CME website Discussion of upcoming disaster recover exercises and enhancements Guest speakers from the BCP/DR industry For more information go to 3

4 Mass Order Cancel Optimized messaging to cancel working orders Cancels all working orders for an ilink session except Mass Quotes Single inbound message Order Mass Action Request (35=CA) per market segment Single outbound message Order Mass Action Report (35=BZ) per market segment New Drop Copy outbound messages FIX/FAST Security Definition tag 1300-MarketSegmentID introduced in September A two-byte identifier to specify the market segment for which orders will be cancelled Cancel parameters: Entity Identifier SenderCompID (Required), Account, SenderSubID Market Identifier (one required) Market Segment, Product Group, Instrument Order Identifier (optional) Order Type, Time in Force, Side Certification Requirements One ilink certification test required for systems using Mass Order Cancel Global Drop Copy certification required by Friday, November 8. Production Launch : Nov 10, 2013 (Metal futures) & Nov 17, 2013 (All markets) 4

5 Mass Order Status Optimized messaging to obtain status for all working orders Single inbound message Order Mass Status Request (35=AF) Multiple outbound status Execution Report (35=8, 39=0 or 1, 150=I) One Execution Report for each order Status for all working orders accepted within the request parameters Working and partially filled Status Request Parameters Entity Identifier SenderCompID Required SenderSubID Account Market Identifier One required Instrument Instrument Group All working orders Order Identifier Optional Time in Force 5

6 Mass Order Status Messaging Processing Single inbound message & Multiple outbound status Order Mass Status Request (35=AF) 584-MassStatusReqID assigned by customer 585-MassStatusReqType specifies the scope of the request by instrument, Instrument Group, or All Working Orders 5000-OrdStatusReqType specifies the scope of the request by Account or SenderSubID Execution Report Order Status (35=8, 39=0 or 1,150=I, 912=N) ilink Client System 39-OrdStatus status of the order 150-ExecType-indicates type of execution report 912-LastRptRequested-indicates if this message completes the report Execution Report Order Status (35=8, 39=0 or 1,150=I, 912=N) CME Globex Execution Report Order Status (35=8, 39=0 or 1,150=I, 912=N) Execution Report Order Status (35=8, 39=0 or 1,150=I, 912=Y) 6

7 Mass Order Status Messaging Impacts New FIX-compliant ilink inbound messages New FIX tags will be disseminated on: ilink outbound messages Drop Copy outbound messages Note: All messaging will be FIX-compliant Certification Requirements Certification is mandatory for ilink customers who wish to use Mass Order Status functionality The new certification suite will be available in Autocert+ Launching 2014! 7

8 Risk Tools: Kill Switch GUI for a one-step shutdown of all CME Globex activity Order entry is blocked and all working orders are cancelled Access via the Risk Management Tools web page Access automatically granted to GC2 Risk Admins Currently in New Release; Oct 20th Production launch Kill instructions can be initiated by: 1. Exchange registered employees 2. Clearing Firm registered Clearing Firm Risk Admins 3. CME Globex Execution Firm registered Execution Firm Admins Execution Firm must be granted access by their Clearing Firm Action takes place at the SenderCompID (Session ID + Firm ID) level User can select all, or a subset, of a firm s SenderCompIDs for kill instruction Instruction remains in place until removed by same or higher-level entity 8

9 Risk Tools: In-Line Credit Controls (ICC) New tool which provides daily quantity position limits per product at the account level More granular risk management at the product and account level Globex-only initially Using ICC will not put users at a latency disadvantage All orders submitted to Globex will pass through ICC check, regardless of whether the account is registered within the tool Account registration required to leverage ICC Registration and limit management via CME Account Manager (RAV manager) Clearing Firm administrators register accounts/set limits Clearing Firm can grant access to Execution Firms admins to register accounts/set limits Execution Firms cannot override limits placed by clearing firm 9

10 Risk Tools: In-Line Credit Controls (ICC) Functionality includes: alerts Dashboard monitoring First phase release target Q Future phases to include: Executing Firm level limits management User level limits management Account and user grouping Contract month limits management Limits copying Credit limits 10

11 Risk Tools: Deliverable Swap Future (DSF) Access Manager New Risk Management Tool functionality for mitigating delivery risk in the DSF products All new order entry in the front-month DSF contract will be prevented during the 7 calendar days preceding last trading day GTC/GTD orders entered prior to the 7 day period will remain active In order to trade during this period, the clearing firm must permission customer accounts via the DSF Access Manager DSF Access Manager will appear as a new tab on the Risk Management Tools page Access automatically granted to GC2 Risk Admins Currently in New Release Oct 20th Production launch Functionality will eventually be captured in In-Line Credit Controls for other products 11

12 MDP 3.0: Next Generation Platform - Summary Simple Binary Encoding to replace FAST Compression with event-based messaging Tie Incremental Messages to a Single Event; Tag 5799-MatchEventIndicator indicates for a given event the end of: Trades, volume Book updates, statistics, implied quotes and the event itself Messaging Improvements Resolve FIX Compliant Issues (For example: tags 55-Symbol / 1151-SecurityGroup currently not FIX Compliant) Support independence between number of events, messages, and packets, including: Allowing multiple messages per packet or, A single message over multiple packets Microsecond timestamp granularity for event start (tag 60) and sending time (tag 52) Performance Expectations Reduce dissemination gap between Market Data and Order Entry Lower Latency 12

13 MDP 3.0: Next Generation Platform - Events Single event per UDP packet End of Event <PacketSeq> <SendTime> Trades <Size> <# Group> <FIX..> Quotes <Size> <# Group> <FIX..> Stats <FIX..5799=1 > UDP Packet Multiple events per UDP packet End of Event #1 End of Event #2 <PacketSeq> <SendTime> Quotes <FIX..5799=1 Trades <FIX..5799=0 Quotes <FIX..5799=0 Stats <FIX..5799=1 > Large event passing across multiple UDP packets <PacketSeq> <SendTime> Trades <FIX..5799=0 Quotes <FIX..5799=0 End of Event <PacketSeq> <SendTime> Quotes <FIX..5799=0 Stats <FIX..5799=0 > Implied Quotes <FIX..5799=1 13

14 MDP 3.0: Next Generation Platform FIX Binary Based on simple primitive encoding 20% increase overall in bandwidth Very low latency Optimized for direct data access Direct access by security id <PacketSeq > Trades <48= > <48= > Quotes <48= > <48= > Direct access by message type <PacketSeq Quotes Trades Quotes Stats Implied Quotes 14

15 MDP 3.0: Next Generation Platform Templates Template Extension The addition of new fields to the body or repeating group of a message without changing the Template ID The new data will be indicated by an increase in block Length Systems can use the new data, or Ignore until customer wants to modify their system Template Extension Benefits: Templates are backwards compatible Provides flexibility in processing template updates and new message data 15

16 MDP 3.0:Next Generation Platform Deployment Plan New Release Environment Deployment Schedule Templates and PCAP (Packet Captures of Message Examples): Aug 12 th Additional templates and messages added October 4 Opensource C++ and Java decoders available: mid-late October AC+ Test Suite Availability: targeting December NR Deployment Schedule: November 11 Futures / Non-Implied Channels November 18 Futures / Implied Channels December 8 Options Channels Production Rollout: late Q Production channels will be rolled out over 6 weekends Production parallel for 6 months Note bandwidth impacts of running in parallel Order Routing Partner Exchanges and Streamlined FIX/FAST will be migrated at a later date 16

17 CME Europe Launching Q4 2013, pending FCA approval London-based, FCA supervised RIE Wholly owned subsidiary of CME Group with a dedicated Board of Directors, Management Team and Risk Committee. Available via CME Globex, the world s leading electronic trading system, as its trading platform CME ClearPort available to enter block & EFRP trades, amongst others, to bring them under the rules of the exchange and for clearing Clearing services are provided by CME Clearing Europe, a Bank of England recognized and supervised London-based clearing house 17

18 CME Europe Benefits: Exchange model designed to meet local needs and best accommodate regional trading practises while providing transparent price discovery and risk management solutions Simple membership structure & criteria with a low, one-off cost to join Simple and competitive pricing approach Market Data fee holiday for one year from launch; appropriate licensing required CME Europe Ltd is a UK registered company that operates under English law. Simple Membership Approach: Two types of membership: Clearing Members & Trading Participants Low barriers to participation: one-off fee to become a member and no annual membership fees Straightforward set of membership documentation Fee Incentive Plans linked to volumes and not to equity membership 18

19 CME Europe Update - Products Major Currencies (CLS*-Settled) Australian Dollar/US Dollar British Pound/US Dollar Euro/US Dollar Euro/British Pound New Zealand Dollar/US Dollar US Dollar/Canadian Dollar US Dollar/Japanese Yen US Dollar/Swiss Franc CLS*-Settled Currencies Euro/Danish Krone Euro/Japanese Yen Euro/Norwegian Krone Euro/Swedish Krona Euro/Swiss Franc US Dollar/Israeli Shekel US Dollar/Mexican Peso US Dollar/South African Rand Non-CLS* Physically-Settled Currencies Euro/Chinese Offshore Renminbi Euro/Czech Koruna Euro/Hungarian Forint Euro/Polish Zloty Euro/Turkish Lira US Dollar/Turkish Lira US Dollar/Chinese Offshore Renminbi Non-CLS* Cash-Settled Currencies Euro/Chinese Renminbi US Dollar/Ukrainian Hryvnia US Dollar/Brazilian Real US Dollar/Chinese Renminbi US Dollar/Indian Rupee US Dollar/Korean Won US Dollar/Russian Ruble *CLS stands for 'continuous linked settlement,' which describes the process whereby banks manage settlement of foreign exchange amongst themselves and their customers, including corporates **Contract specifications included in Appendix 19

20 CME Europe - Access Leverages CME Globex as its matching engine: Advanced functionality with high reliability Global connectivity and amongst the fastest global electronic trading systems Used by CME Group, BM&F Bovespa, Dubai Mercantile Exchange (DME), the Kansas City Board of Trade (KCBT), the Korea Exchange (KRX), the Minneapolis Grain Exchange (MGEX) and Bursa Malaysia Derivatives (BMD) Diverse Connectivity options Leverage existing connectivity to CME Globex or select new access via hubs, co-location, clearing firm or 3 rd party CME ClearPort is being utilised for entering block & EFRP trades Equinix LD4/LD5 Data Center access now live Multiple Channel Partners certified and offer access Global Account Management (GAM) team, a single point of contact for the onboarding process and ongoing etrading requirements 20

21 CME Europe - Access Multiple channel partners have certified for CME Europe: Channel Partner ATEO Bloomberg Computer Voice Systems ONIX Solutions Order Routing Market Data CQG X X EPAM X X Drop Copy ION X X X Options City X X Trading Technologies Sungard X X X Global Account Management (GAM) team, a single point of contact for the onboarding process and ongoing etrading requirements X X X X X 21

22 CME Europe - Contact To find out more about CME Europe: Felix Carabello, Head of Strategic Sales, CME Europe, Felix.Carabello@cmegroup.com David Emerick, Strategic Sales, CME Europe, David.Emerick@cmegroup.com For further information about Foreign Exchange products from CME Group: Will Patrick, CME Group, EMEA FX Products, Will.Patrick@cmegroup.com Sandra Ro, CME Group, FX Research and Product Development, Sandra.Ro@cmegroup.com For CME Clearing Europe s services, becoming a clearing member, and our multi-asset class offering: Tina Hasenpusch, Chief Operating Officer, CME Clearing Europe, Tina.Hasenpusch@cmeclearingeurope.com, For CME Europe market access please contact Global Account Management at: Gamemea@cmegroup.com in Europe at , or in Asia at

23 CME Co-Location Business Update Launched microwave service between CME Group and NASDAQ via Strike Technologies (live as of August 2013) Updated Master Co-Location Services Agreement (MCSA) - October 2013 More customer-friendly insurance terms Flexibility in changing services mid-term Capped Liability Recently launched a Market Data Directory from Support Portal Easy search engine for customers to explore market data offerings in Aurora Introductory offer: 3 month contract to trial our Co-Location Services 12 month contract mandatory if services are extended past 3 months Upcoming Events: Markets Media Panel > London October 2013 Trade Tech Singapore CTO Panel > November 2013 CoLoBusinessDevelopment@cmegroup.com For more information: 23

24 Key Market Data Fees Distribution License Fee Applies to all distributors including brokers who redistribute market data to customers. $12,000 per year per exchange (CME, CBOT, NYMEX, COMEX). Waiver has been removed on Feb. 1, Subscriber Site Access Fee Applies to subscriber firms who receive datafeed or API from other distributors but don t redistribute market data externally. $375 per month per exchange (CME, CBOT, NYMEX, COMEX). Waiver has been removed on Feb. 1, Sub-Vendor Access Fee Applies to sub-vendors who receive datafeed or API from other distributors and redistribute market data externally. $375 per month per exchange (CME, CBOT, NYMEX, COMEX). Newly added on Feb. 1, User/Device Fee Applies to end users or terminals who receive market data. $70 per month per exchange (CME, CBOT, NYMEX, COMEX). May be waived if qualifying for Schedule 5.1 of MDLA at (Notes) Above fees are based on real-time data and reflect new market data policy, effective Feb. 1 st, For any specific questions related to market data policies or fees, please contact CME Information Product Management team at marketdataemea@cmegroup.com or +44 (0)

25 New Market Data Policy & Incentive Program New Market Data Policy (Feb. 1 st, 2013) Waiver on some market data fees was removed and a new fee was introduced. Customers who receive market data from vendors and redistribute to clients are assessed both Distribution License Fee and Sub-Vendor Access Fee. Customers who receive market data directly from CME and distribute to clients are assessed only Distribution License Fee. Market Data Incentive Program for Asian Non-clearing FCMs Target Customer Asian Non-Clearing FCMs Details Waived Fee Annual Distribution License Fee ($12,000/exchange/year) Sub-vendor Access Fee ($375/exchange/month) Program Duration Remainder of 2013 and 2014 Firm must be a distributor of CME Market data. Conditions Firm should complete the Scope-of-Use document, execute and comply with the Market Data License Agreement by 31 December Total of 5 CME telecommunication hubs in Asia with the latest addition of Tokyo hub launched in May. Customers connect to our Tokyo hub will only begin hub billing on January 1, CME Group. All rights reserved

26 Global Partner Exchange Updates MexDer April 15 th, MexDer launched their Single Match Engine (MoNeT) solution for derivatives and equities Includes increase in capacity for 100 MPS per ilink session More vendors available for order routing: CQG, EPAM Systems, Fidessa, ION Trading, Rithmic LLC, Stellar Trading Systems, SunGard and Trading Technologies Korea Exchange Kospi200 futures YTD ADV (as of 8/30) on the Globex is around 18,000 contracts, which consists of about 10% of the daytime Kospi200 futures on KRX. Dubai Mercantile Exchange CME Group Clearing is in process to approve Singaporean Banks to issue Stand by Letter of Credit (SBLCs) for interested customers, including DME customers DME Oman Crude Oil average daily volume for August 2013 was 6,384 lots, the fourth highest month for volume in the exchange s history. Physical delivery was 15.3million barrels, the third largest delivery month ever. 26

27 Bursa Malaysia Derivatives Updates 27

28 Bursa Malaysia Derivatives Initiative Launching BMD Gold Futures Contract on October 7, 2013: Introduction of BMD Gold Futures (FGLD) Underlying Settlement Method Contract Size Price Quotation Minimum Price Flucuation Contract Month Trading Hours Last Trading Day Gold assayed to a minimum of 995 fineness based on London spot market prices. Cash Settlement 100 grams Ringgit Malaysia per gram RM0.05 per gram (or RM5 per tick) Spot month, next 3 calendar months; any Feb, Apr, Jun, Aug, Oct and Dec falling within 12 month period with the current month. M-F Kuala Lumpur Business Day hours; hours Last common Business Day of the spot month in both London and KL. A new contract will be available for trading on the first KL Business Day of the following month. Settlement Gold Reference Price London AM Fix (quote USD/troy oz) on the Last Trading Day adjusted for conversion into RM/gram. 28

29 Bursa Malaysia Derivatives Updates Bursa Malaysia Derivatives Clearing Compliance with International Standards 29

30 Quiz and Q&A 30

31 Disclaimer Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, 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 deposited for a futures 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. All references to options refer to options on futures. Swaps trading is not suitable for all investors, involves the risk of loss and should only be undertaken by investors who are ECPs within the meaning of section 1(a)12 of the Commodity Exchange Act. Swaps are a leveraged investment, 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 deposited for a swaps 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. Any research views expressed are those of the individual author and do not necessarily represent the views of the CME Group or its affiliates. CME Group is a trademark of CME Group Inc. The Globe Logo, CME, Globex and Chicago Mercantile Exchange are trademarks of Chicago Mercantile Exchange Inc. CBOT and the Chicago Board of Trade are trademarks of the Board of Trade of the City of Chicago, Inc. NYMEX, New York Mercantile Exchange and ClearPort are registered trademarks of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. KCBOT, KCBT and Kansas City Board of Trade are trademarks of The Board of Trade of Kansas City, Missouri, 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. 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 the results of actual market experience. All matters pertaining to rules and specifications herein are made subject to and are superseded by official Exchange rules. Current rules should be consulted in all cases concerning contract specifications. Copyright 31