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February 15, 2019

Exchange System Updates

Eurex: Gateway Transaction Timestamp Issue – UPDATE

X_TRADER® Platform Impact
As previously summarized here and in the Release Notes for Eurex Gateway 7.18.43, an issue was uncovered in December where transaction timestamps of Eurex orders via the Eurex Gateway were incorrect vs. those observed via the Eurex GUI. This issue had existed since January, 2018, when MiFID II came into force.

On versions of Eurex Gateway 7.18.42 and below, the Order Server was improperly dropping the three digits immediately following the decimal point in the transaction timestamp. So, for example, if a timestamp was received as <ss.123456789>, we should have dropped the 7, 8 and 9 decimal places, but instead we were incorrectly dropping the 1, 2 and 3 decimal places and writing 4 through 9.  

We released Eurex Gateway 7.18.43 on December 20, 2018 to address this issue going forward. To correct the transaction timestamps on .cba files created by the Order Server on version 7.18.42 and below, we created a tool which uses the original timestamp, captured as a part of the TVTIC value, to replace the incorrect transaction time. Please note that this tool requires the original .cba file for conversion and cannot reconvert an already converted file. Files were reconverted and made available to X_TRADER ASP customers earlier this week. All other customers must utilize this conversion tool should they choose to reconvert their .cba files. This tool is available from your TT Technical Account Manager.

TT® Platform Impact
No customer action is necessary.

CFE: Prevention of Order Purge on Holidays

February 18

To prevent purging of GTD (Day) orders on designated exchange holidays, we released CFE Gateway 7.18.9 last September. This release introduced a new hostinfo.cfg parameter that customers needed to configure on the gateway.

CFE Gateways should be configured with these dates for 2019 holiday trading hours:

  • President’s Day – Monday, February 18 (U.S.)
  • Memorial Day – Monday, May 27 (U.S.)
  • Independence Day – Thursday, July 4 (U.S.)
  • Labor Day – Monday, September 2 (U.S.)
  • Thanksgiving Day – Thursday, November 28 (U.S.)

X_TRADER Platform Impact
Prior to the start of trading on February 17, you must add the new NoPurgeDates parameter under the [OrderServer] section in the hostinfo.cfg file as NoPurgeDates=2/18, 5/27, 7/4, 9/2, 11/28

TT Platform Impact
No customer action is necessary.

CME: FIX Tag Changes

February 24

Effective February 24 (trade date February 25), values in some FIX tags for Henry Hub Natural Gas Last Day Financial Options (AE7) and values in some FIX tags and price format for Short-Term Natural Gas Options (U01-U31) will change. Please see the Globex Notice link below for more product detail.

To facilitate the change, you should cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders after the close on February 22. After 4:00 CT on February 22, the CME Global Command Center (GCC) will cancel all remaining GT orders.

These changes are currently available for customer testing in DDE for 7.x and UAT for TT.

X_TRADER and TT Platform Impacts
Cancel GTC and GTD orders after the close on February 22.

Additional Resources
Globex Notices February 4, 2019

HKEX: API Upgrade Market Rehearsal

March 2, 9 and 16

In preparation for the May 2019 HKATS OMD-D and OAPI upgrade, the exchange will hold mandatory testing on three Saturdays in March:

  • March 2: Connectivity Test
  • March 9: Market Rehearsal Part A
  • March 16: Market Rehearsal Part B

To participate in these tests, you’ll need to register with the exchange. Note that TT-hosted customers don’t need to register or participate in the March 2 connectivity test as these tasks will be handled by TT.

X_TRADER Platform Impact
Work with your TAMs and follow testing steps provided by the exchange.

TT Platform Impact
Work with Onboarding and follow testing steps provided by the exchange.

CME: SenderSubID Validation on iLink Messages

March 31

CME is changing its requirements for the iLink FIX tag 50-SenderSubID and will begin validating the new format on all iLink messages on March 31. Testing of the new format and the validation behavior is now available in the CME New Release environment.

All Tag 50 IDs must meet the following criteria:

  • At least 2 bytes (characters) in length
  • Include and/or numeric characters
  • May include only the following non-alphanumeric characters
    • _ underscore
    • – dash
    • : colon
    • @ (commercial) at
    • . period

Any iLink message submitted with an invalid tag 50 value will be rejected. CME Globex will send a Session Level Reject (tag 35-MsgType=3) message including tag 58=<Reject Reason>.

Reject Reason Tag 58-Text
Invalid length Business Reject: Other ’50 (SENDER_SUB_ID) length: 1 min: 2′
Invalid character tag SenderSubID (50) can contain only alphanumeric values

X_TRADER and TT Platform Impacts
Prior to March 31, you must ensure that the Tag 50 values you have populated comply with the new CME requirements.

Additional Resources
Globex Notices January 28, 2019

CME: Secure Logon – HMAC Keys Beginning to Expire

Beginning Spring 2019

Last year beginning on April 27, CME required HMAC keys for iLink logon. These keys expire every 12 months, and CME is notifying customers as the keys approach expiration. You should contact CME to obtain new keys.

X_TRADER Platform Impact
Contact TT with your new HMAC keys. Locally hosted customers need to modify the access key ID and secret key parameters in the hostinfo.cfg file.

TT Platform Impact
Update the account settings in Setup under the Connection tab with the new access ID and secret key fields.

CME: Changes to User Defined Spreads Functionality: Resting Order Eliminations

Q2 2019

In Q2 2019, CME will implement the following changes to User Defined Spreads (UDS) functionality on CME Globex:

  • Performance changes
  • Improved spread recognition logic
  • Extended timing for UDS creation
  • Effects of UDS creation in non-open market states
  • Changes to tag 5979-RequestTime value
  • Harmonization of SecurityID Source values

To facilitate this change, you will be asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders for UDS for only the affected products by the close on Friday before the production launch. After 4:00 CT on the specified Friday, any remaining GT orders on UDS will be cancelled or deleted by the CME Global Command Center (GCC).

Product launch dates by market segment (staggered rollout) will be announced when finalized.

X_TRADER and TT Platform Impacts
Cancel your GTC and GTD orders for UDS for affected products (date TBD).

Additional Resources
Globex Notices February 4, 2019

Product Releases