What does the CME-CBOT merger mean for algorithmic and automated traders?

All the futures and options contracts previously available on the Chicago Board of Trade’s e-cbot platform have now been fully migrated and are now available on the CME Globex® electronic trading platform. All the e-cbot agricultural products and equity index products went live on January 13, followed by interest rate products on January 27. In each case, there was a day’s mock trading on the Saturday preceding migration on the Sunday to give traders a chance to connect to CME Globex and get comfortable and we’re now running all those contracts on a single platform.

One platform should provide a more consistent and efficient trading experience for customers that trade multiple asset classes. An algo trader can now leverage a single gateway to trade multiple products and take advantage of the speed and reliability of the CME Globex platform.

What difficulties had to be overcome?

The migration involves more than just running markets on a new matching engine; a lot of other system migrations have to take place beforehand. For example, we had to migrate and consolidate the different membership and fee systems, as well as systems that generate product information. Because we couldn’t really start work on those until the merger with CBOT closed in July, we really didn’t have much time to put those systems in place in preparation for the migration of the e-cbot products to CME Globex. In addition, we have to ensure customers have sufficient time to make their system changes, then test them against our certification environment and ultimately in the mock trading sessions, six of which were conducted across December 2007 and January 2008. The biggest challenge was for firms not already connected to CME Globex, because they would typically need a new release from their ISV or undertake in-house development work if using proprietary systems.

How will CME Globex handle both CBOT-related and ongoing volume growth?

CME Globex is very flexible, capacity-wise, because we run multiple matching engines. To cope with the migration, we’ve added four new engines specific to e-cbot products, i.e. one for agriculture products and equity futures and one for interest rate futures as well as two new engines for options on these futures. The e-cbot products had a combined average daily volume of 3.2 million in 2007, so that’s a lot of trades to add to Globex’s own 5.3 million contracts per day. So now CME Globex totals six futures engines and six options engines, not including our disaster recovery capabilities. We’ve also scaled up our order entry and market data systems to accommodate additional connections from users, either new customers or existing ones that want to increase the scale of their CME Globex connectivity. Since July 2007, we’ve been investing in hardware and the necessary configuration to handle increasing volumes. ...

Registered viewers can post questions and discussion points about this article below

---

Discussion of articles is limited to registered users. Click here to register now click here to return to the top of the page