With CME Market Data Over WebSocket API, clients can access easy-to-use real-time CME Group market data feeds. CME Market Data Over WebSocket API supports JavaScript Object Notation (JSON) format. The service provides an easy, low-cost, and highly scalable format to drive trading analysis, risk management, or distribution. Data available in this universal format includes top of book information, trade execution, and product statistics including settlement, total daily volume, and open interest. CME Market Data Over WebSocket API is a service powered by Google Cloud for market data distribution.
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Product Offerings
CME Market Data Over WebSocket API supports CME Globex sourced futures and options products from the following Designated Contract Markets (DCM):
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A registered OAuth API ID is required to access the CME Market Data Over WebSocket API services. API IDs for CME Group Logins are created and managed in the CME Customer Center - My Profile menu. Client API IDs must also be entitled prior to accessing CME APIs.
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New clients should consult the CME Group Login registration process page for more information. |
Complete the step(s) that are applicable to your account:
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Open Interest is the total number of contracts per instrument that are not yet offset or fulfilled from the previous trading day. Open Interest is updated once per day throughout the trading week.
Settlement Price
CME Market Data Over WebSocket API sends the following types of settlement prices:
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For a settlement price overview, refer to the Settlement Prices topic. |
Settlement Price Attribute Examples
| EXAMPLE # | KEY | ATTRIBUTE | VALUE | MEANING |
|---|---|---|---|---|
| 1 | payload.tradeStatistics | settlementFinal | 0 | Preliminary Actual Settlement at Trading Tick |
| payload.tradeStatistics | settlementActual | 1 | ||
| payload.tradeStatistics | settlementRounded | 1 | ||
| 2 | payload.tradeStatistics | settlementFinal | 0 | Preliminary Actual Settlement at Clearing Tick |
| payload.tradeStatistics | settlementActual | 1 | ||
| payload.tradeStatistics | settlementRounded | 0 | ||
| 3 | payload.tradeStatistics | settlementFinal | 1 | Final Theoretical Settlement at Trading Tick |
| payload.tradeStatistics | settlementActual | 0 | ||
| payload.tradeStatistics | settlementRounded | 1 | ||
| 4 | payload.tradeStatistics | settlementFinal | 1 | Final Actual Settlement at Trading Tick |
| payload.tradeStatistics | settlementActual | 1 | ||
| payload.tradeStatistics | settlementRounded | 1 | ||
| 5 | payload.tradeStatistics | settlementFinal | 1 | Final Actual Settlement at Clearing Tick |
| payload.tradeStatistics | settlementActual | 1 | ||
| payload.tradeStatistics | settlementRounded | 0 |
Connectivity Processing
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Sequence Number (field name sequenceNumber) is a unique number per each CME to client message. Each topic has its own separate set of sequence numbers that increment sequentially with each message and reset weekly.
Heartbeat
Heartbeat messages are generated by MDP the API every 10 seconds, independently for each authenticated socket connection in periods of no activity. Generated if there is no data to be sent and 10 seconds passed since last message of any kind was sent to client connectionThey allow the connection to remain open when no market data messages are being published. The messageType for the heartbeat is "HEARTBEAT". Users of the API should monitor for these heartbeat messages so that they can identify if a Websocket connection has gone stale. If a connection to the API is open but no heartbeat messages are detected within the ranges specified, this indicates that the Websocket connection is stale and that clients should close the active connection, open a new connection and re-subscribe for market data.
System Recovery Processing
In the event of a CME Websocket Market Data failure, client systems must reestablish a connection and re-subscribe via request messages.
Product and Instrument Referential Data
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