This topic includes release notes about enhancements and updates to CME Optimizer Software versions.
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1.2. Enhancements
1.2.1. PLN and MXN
CME will support MXN Overnight TIIE Funding Rate (F-TIIE) and PLN Warsaw Interest Rate Overnight (WIRON) swap clearing in the New Release environment on Wednesday, November 01, 2023 - please see the advisory here for more details. The Production support date is early 2024, please see CME's production advisories for more details. The New
Optimizer version 19 supports the curve data necessary for trading these new contracts. Users who do not trade these contracts are also required to support Optimizer version 19.
1.3. Fixes
1.3.1. Treasury Rules-based Offset Engine (CME/FICC Cross Margin Program) Logic
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Optimizer version 17 adds validation logic for invalid dates in the position.csv input file TradeDate field. Prior Optimizer versions defaulted transfer output to an un-tradable 1/1/0001 date when an improper TradeDate format was supplied. The TradeDate field is now expected to be in date format: yyyymmdd, mm/dd/yyyy, or m/d/yyyy. Optimizer version 17 produces an error at the portfolio level if the TradeDate field is not in these formats. The new expected error is:
Invalid trade date format detected: '<<invalid format>>'. Expected yyyyMMdd or MM/dd/yyyy or M/d/yyyy
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- Optimizer v15.1 removes the optional FIXML attribute "CFI" from the fixmlTransfersyyyyymmdd.txt file for all transfer records. In prior versions of Optimizer, this attribute was a fixed value expressed as CFI="FXXXXX for both futures and options on futures, but this value is is is is not relevant for options. This attribute is produced correctly in clearing confirmation/trade acknowledgement acknowledgment messages from CME and therefore was not required for Optimizer transfer records, hence its removal.
- Optimizer v15.1 fixes an issue which incorrectly described the SecType attribute in the Undly block (underlying security type) for options as "OOP." The correct value for underlying security type for options on futures is "FUT." Optimizer v15.1 describes the underlying security type for options as "FUT" as expected. This attribute is optional for inbound trade messages to CME and has no impact on clearing confirmation/trade acknowledgement acknowledgment messages, which do not include this field.
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