System Admin News & Updates

CME: Three Month SOFR Futures vs Eurodollar Futures Inter-Commodity Pack Spreads

May 22

Effective this Sunday, May 22 (trade date Monday, May 23), the following futures pack spread will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.  This futures pack spread will be traded as a single outright future contract that represents four quarterly Inter-Commodity spreads between the Three-Month SOFR futures vs Eurodollar futures.

Please Note:

• The Three-Month SOFR futures vs Eurodollar futures Inter-Commodity Pack spreads follow the product definition conventions of the SED spread.
• Implieds will NOT be enabled.

When buying the SEP future, the trade will be decomposed in Clearing as buying of four Three-Month SOFR futures and sell of four Eurodollar futures.

Security Definition Example: SEPU3

Example:  Buying the Sep 2023 SEP Future

Buy the Sep 2023 SED spread → Buy Sep 2023 SOFR future, sell Sep 2023 ED future

Buy the Dec 2023 SED spread → Buy Dec 2023 SOFR future, sell Dec 2023 ED future

Buy the Mar 2024 SED spread → Buy Mar 2024 SOFR future, sell Mar 2024 ED future

Buy the Jun 2024 SED spread → Buy Jun 2024 SOFR future, sell Jun 2024 ED future

The Three-Month SOFR futures (Clearing product code SR3) vs Eurodollar (Clearing product code ED) futures traded as SEP will be cleared as outright legs and will be priced as follows:

• The ED price will be determined as prior-day settlement.
• The SR3 price will be determined as the prior-day Eurodollar settlement price, plus ISDA (International Swaps and Derivatives Association) spread adjustment rounded to four decimals (0.2616), plus the SEP futures trade price.

B3: Mock Test

May 14 and June 11

B3 has announced the mock trading sessions for the participants of the market to test the  Puma trading system. The test dates have been announced for the mock tests as May 14 and June 11. The purpose of these mock sessions is to help the participants plan changes and implementation in the trading system.

TT will participate in these mock sessions and customers are encouraged to reach out to the respective onboarding contacts in TT if they wish to participate in the same.

The validation scope of the mock trading session with market participation will be announced in due course by the exchange.

Additional Resources

B3 Mock Test

IDEM: Deletion of GTC Orders

May 6

From the exchange:

“As a result of a technological upgrade scheduled for SOLA trading platform for derivatives markets, all orders not executed on the IDEM market at the end of Friday, 6^th May 2022 trading session will be automatically cancelled, and trading participants will be informed by specific notifications sent by the platform.

This technological upgrade will not have any impact on the customer side.”

TT Platform Impact

Customers should delete working GTC orders prior to the close of trading on Friday, May 6.

CME: Cryptocurrency Market Data Channel Launch and Market Segment Update

May 1

On Sunday, May 1 to support increased client demand for cryptocurrency futures and options products, CME will launch two new dedicated cryptocurrency market data channels. In conjunction with the cryptocurrency channel migration the market segment ID will update for MDP 3.0, MSGW iLink and MSGW Drop Copy. This update will not impact data licensing and entitlement requirements. With the launch, the following cryptocurrency products and associated spreads will be migrated to the new channels:

• Bitcoin Futures
• Ether Futures
• Micro Bitcoin Futures
• Micro Ether Futures
• BTIC on Bitcoin Futures
• BTIC on Ether Futures
• BTIC on Micro Bitcoin Futures
• BTIC on Micro Ether Futures
• Options on Bitcoin Futures

For migration, the impacted UDS Option GTC/GTD orders will be canceled at the end of day Friday, April 29th.

Customers who want to trade these products should ensure they have a MSGW iLink3 connection in User Setup for Market Segment 74. (Please note: In User Setup this connection type is currently called “MSGW iLink 3: NYMEX SEF (74).” This is different than the connection type currently called “MSGW iLink3: BMD Futures and Options (74)”, which still requires a dedicated iLink3 for trading Bursa Malaysia products. In the near future, all User Setup connection types will be labeled by Market Segment ID only to avoid confusion.

Additional Resources

Globex Notice April 18, 2022

TFEX: External Crisis Test

April 22

TFEX has scheduled an External Crisis Test which will take place in the TFEX STAGE environment on April 22 starting from 18:00 ICT. Because participation is mandatory for all Brokers TT will provide access to the test in the UAT Environment. Please note that on the day of the test, UAT TFEX will be available for the Crisis Test only from 15:30 onward. All questions and concerns specific to test guidelines or procedures should be directed to  SETContactCenter@set.or.th.

TT Platform Impact

All participating Brokers are required to prepare a STAGE Environment Connection in TTUS in advance of the test. The new connection should be enabled at the start of the Crisis Test and then disabled upon completion. At the end of the Crisis Test, all original Connections that were previously used for routine testing should be returned to normal operation along with all of their original settings.

For connecting to the Crisis Test, TFEX requires the following:

1. STAGE Test Environment IP and Port:
   1. Primary – 10.232.6.31:6974
   2. Secondary –  10.232.6.32:6974
2. Username must be the same as the one used in Production.
3. Password must be set to ffffff@2

For questions or concerns specific to Connection setup and configuration, please contact your TT service representative.

Additional Resources

Test Script

Teleconference (Apr 20 – 21, 14:00 – 16:00 ICT)