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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.

SGX: Gift City Market Launch

May 24

SGX and NSE IFSC announced their partnership in 2019, which is now culminating in the launch of the SGX Gift City market, providing SGX members with offshore access to the NSE Nifty market on a new platform that is mutually beneficial to both exchanges. The exchange launch is currently scheduled for July 22 2022.

TT is currently preparing for the launch with the introduction of our new “SGX_GIFT” market, which will be available in the UAT test environment starting from May 24 2022.

All participants planning to test SGX_GIFT in UAT should please note the following:

  1. The initial availability of SGX_GIFT in UAT is not the final production release version.
  2. Although there will be no major changes in fundamental features and functionality following the May 24 UAT release, minor changes to behavior and/or non-critical field values should be expected.
  3. TT will announce when the final production-ready version is ready for deployment, and kindly asks that Brokers and End Users refrain from contacting Support to report issues / bugs / incidents until after the final production-ready version is available.

Availability of the final production-ready version of SGX Gift City will be announced via System News.

Additional Resources

Inauguration of SGX’s GIFT City office and the launch of GIFT Data Connect

Euronext: Data Center Migration

June 6

From the exchange:

Euronext is planning to migrate its trading chain and colocation services from its current Data Centre in Basildon, UK, to the Aruba Global Cloud Data Centre IT3 in Bergamo, Italy, in Q2 2022. The move is subject to regulatory approval and operational readiness.


  • 3 March 2022: Start of technical testing phase to Next EUA platform in Aruba; connectivity testing from London PoPs available
  • 4 April 2022: Start of technical testing phase to Euronext DR site
  • 7 April 2022: Go-Live of Next EUA environment in Aruba; functional and technical testing available from London PoPs
  • 23 April 2022: Dress Rehearsal #1
  • 6 June 2022: Go-Live of Aruba DC-IT3 as Primary Data Centre for all Cash & Derivatives markets
TT Platform Impact

TT is currently in the process of completing Technical Testing in the “New Production” environment. Once completed, we will submit the “Test Form Unicast and Multicast – New Production Environment – Aruba Data Centre” form to the exchange, and will also provide customers with a copy for submission, if needed.

TT successfully participated in Dress Rehearsal #1 on April 23. 

Additional Resources

Globex Notice April 18, 2022

CME: Exchange-Recognized Eurodollar Options vs. Three-Month SOFR Options UDS: Resting Order Eliminations

June 6

Effective Sunday, June 5 (trade date Monday, June 6), a new exchange-recognized Eurodollar options vs. Three-Month SOFR options User Defined Spread (UDS) will be available for trading on CME Globex. 

To facilitate this change, customers should cancel all Good ‘Til Cancel (GTC) and Good ‘Til Date (GTD) orders on UDS in the U$ group after the close on Friday, June 3. After 16:00 CT on Friday, June 3, all remaining orders for UDS in the U$ group will be canceled or deleted by CME. 

B3: Mock Test

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

CME BrokerTec: DR Test

June 11

To help ensure readiness and provide an opportunity to test connectivity to DR systems, CME will hold Disaster Recovery (DR) Failover testing for BrokerTec US Markets on June 11, 2022.

This test will provide customers with a chance to test TT production connectivity to BrokerTec’s DR engines and customer gateways. 

Customers must register by June 5th, and each individual participant that will test must register with the login ID they will use (GFID and GUS) so it can be permissioned for Saturday testing. 

The market will open at 9:00am ET and close at 11:00am ET on Saturday, June 11th, or sooner should all registered firms complete testing before the scheduled close. The test window may be kept open through 12:00pm ET should any firms require additional time to test. 

Additional Resources

CME BrokerTec Disaster Recovery Test Script

Eurex/EEX: T7 10.1 Upgrade

June 27

Eurex has upgraded to the 10.1 version in Simulation, and TT will support this upgrade in UAT in the first week of May. Please note: this upgrade no longer includes the NextGeneration ETD Contracts (see below for more information). 

TFEX: New Currency Futures

July 18

TFEX has announced the introduction of four new Currency Futures with a tentative launch date of July 18, 2022. The Product Codes will be listed as follows:

  • EUR/THB Futures – “EUR”
  • JPY/THB Futures – “JPY”
  • EUR/USD Futures – “EURUSD”
  • USD/JPY Futures – “USDJPY”

Starting from May 2, the new products will be available in UAT for testing and also for access by Brokers for the purpose of verification and submission of the readiness survey to the exchange.

JPX: Introduction of Holiday Trading

September 20

JPX has announced the introduction of Holiday Trading with a launch date of September 20 2022. This new exchange initiative will allow trading during Japan public holidays for Index Futures and Options and all Commodity Futures and Options (including TOCOM products). Securities Options, JGB Futures and Options on JGB Futures will not be tradable during holidays.

For support of order management and trading during holidays, changes to TT Order Connector (OC) are currently in progress and will be deployed to UAT for testing as soon as possible. To ensure correct display of trading status during holidays, a TT Market Data Server (MDS) change is needed. This MDS change will be available in UAT starting from May 24 2022.

For detailed information about JPX Holiday Trading on the TT Platform, please refer to the JPX Holiday Trading document.

JPX: System Reboot

September 20

JPX has announced the introduction of Recovery by system reboot with a launch date of September 20 2022. This new exchange initiative is to allow the exchange to resume trading following certain failure scenarios. JPX is rolling this out as a response to Arrowhead failures experienced by the exchange during the 2021 Calendar year.

TT Platform will fully support all elements of the System Reboot process including all sequence number changes, settlement price updates and post-reboot order workflow. TT Business and Engineering Teams will coordinate efforts to verify correct platform response during the pre-scheduled test environment weekday test events.

Eurex: Next Generation ETD Contracts

February 6, 2023

Eurex is aiming to introduce a more flexible set-up of Exchange Traded Derivatives (ETD) products by implementing an enhanced contract identification concept in February 2023 allowing more than one expiration per month on product level (sub-monthly contracts).

New features, changes and improvements:

  • Integration of Weekly Expiring Instruments on Product Level
  • Volatility Strategies in Single Stock Options
  • Market-On-Close Futures T+X (Basis Trading in Equity Index Futures)

Weekly contracts will follow the new format of DDMMYYYY (current format: MMYYY), and will be listed under the same Product symbol as the Monthly contracts. 

Example: OEB1, OEB2, OEB3, OEB4 will be listed under the OESB Product Symbol, and will be sequentially integrated. 

Monthly Option: OESB Sep22

Sub-monthly Options, Week 1-5): OESB Sep22-W1Fr, OESB Sep22-W2Fr, OESB Sep22-W3Fr, OESB Sep22-W4Fr, OESB Sep22-W5Fr

Market on Close T+X will be eligible for MSCI Futures. An example is the following:

On T, Client trades the calendar between the daily future (T+1) and the standard future. After the T+1 session, the index close of T+1 is published by MSCI. On T+2, the T+1 index close is entered as the Final Settlement Price for the daily future. At the end, the Client has paid basis + index close for the standard future. 

TT will support the sub-monthly contracts and T+X MSCI Futures in the UAT environment shortly after the T7 10.1 Upgrade on June 27, 2022. More details on the Production rollout plan will be confirmed after UAT support has been added.

Additional Resources

Eurex Circular

FIA: Execution Source Code Schema Initiative (Tag 1031)

Timeline Varies by Exchange

Multiple exchanges, in cooperation with the FIA Execution Source Code Schema Initiative, are moving forward with plans to implement FIX tag 1031 (CustOrderHandlingInst) on their APIs.

Exchange-Specific Plans
  • CME: Tag 1031 is supported and is mandatory.
  • ICE: Tag 1031 is supported, but not required. 
  • Eurex: Tag 1031 is supported, but not required. 
  • CurveGlobal/IDEM: Tag 1031 is supported, but is not required.
TT Platform Impact

For CME, tag 1031 is now available for use in Production. Customers should select a valid value in Setup or set Order Tag Defaults. 

For ICE, tag 1031 is now available for use in Production. Customers should select a valid value in Setup or set Order Tag Defaults to send the value to the exchange. Customers can choose not to select any value as this is an optional field for ICE.

For Eurex, support of tag 1031 on the TT platform is now available. Customers should select a valid value in Setup or set Order Tag Defaults to send the value to the exchange. Customers can choose not to select any value as this is an optional field for Eurex. On the X_TRADER platform, tag 1031 is not currently supported.

For CurveGlobal and IDEM, support for tag 1031 was added on February 3 for both exchanges.

Additional Resources

FIA Indirect Clearing Documentation