Page Comparison

Method used for assignment of futures upon options delivery:

• Actual values
• Pro-Rata
• Random

The entity where the trade will be cleared. Values include:

• BME
• BONY
• CLEARNET
• EUREX
• FICC
• MONTE

BrokerTec

Indicates if product is EBF eligible. (Y/N)

Indicates if product is EFP eligible. (Y/N)

Human-readable options exercise instructions.

Indicator for American or European option exercise style.

0 = American style

1 = European style

ALL

Smallest price CME Globex will accept for an option trade.

Returns in a 19 character CME Globex format string.

First character denotes the decimal by which value needs to move left. For example, 2000000000000001000 converts to 10.00.

Exchange-recommended factor to apply to raw CME Globex prices for display.

Returns in a 19 character CME Globex format string.

First character denotes the decimal by which value needs to move left. For example, 2000000000000000001 converts to 0.01.

globexGroupCode

For BrokerTec fields, this describes the Globex Group Code.

Smallest standard pricing increment for CME Globex markets.

• Excludes Cabinet price

CME Globex Product Code (MDP 3.0 tag 6937-Asset)

For spreads and combinations (securityType=COMBO), the CME Globex Product Code will be postpended with additional information.

To ensure you receive all product records, CME Group recommends querying with a wild card when using this parameter, for example: "globexProductCode=CL*"

Examples of globexProductCodes for combos:

• Crude Oil futures calendar spread: CL:CL

• Ultra 10-Year U.S. Treasury Note futures vs 10-Year T-Note futures DI inter-commodity spread: TN-21
• One-Month SOFR futures double butterfly: GEDF.

Describes status of in-the-money / out-of-the-money. 

Values:

• CALL-ITM
• OTM
• PUT-ITM
• PUT/CALL-ITM

Timestamp from last time the instrument definition / product was updated:

• first listed
• modified

Date

Format: "YYYY-MM-DDThh:mm:ss ",

Standard limits or circuit breakers which might apply.

Links to a human-readable source.

Denominator of main fraction for products priced in fractional terms, as detailed in the Fractional Pricing topic.

E.g., a product that trades in 1/64ths will have "64" in this field.

Will be sent with "null" for non-fractional products.

maxBidAskConstraint

maxGlobexOrdQty

Minimum tick that applies to both CME ClearPort and trading floor.

minGlobexOrdQty

Minimum order or quote size required on CME Globex.

For BrokerTec orders, this will reflect the minimum initial order.

Style of option: Future or Equity

• FUTOP
• EQTY

Price range enabled for order entry on CME Globex F&O futures and options as defined in thein the GCC Price Banding topic.

Returns in a 19 character CME Globex format string.

First character denotes the decimal by which value needs to move left. For example, 2000000000000001000 converts to 10.00.

Unique product identifier

F&OListed Derivatives

BrokerTec (Under Development)

Sector associated with product.

For example:

Product E-mini S&P futures are in sector "US INDEX."

For some products, such as combos, and products with a Btic underlying, the sector will be found at the underlying product level.

Synthetic products will not have sector information.

Type of derivative, e.g. FUT for future

Methodology used to determine settlement.

Links to a human-readable source.

Settlement Method. Indicates if product is financially or physically settled.

Note: For Security type COMBO or OOC (Options On Combos) the settleMethod is defined on the underlying product and will be null for the spread or OOC.

Valid values:

• Financially Settled.
• Deliverable - Product is physically settled.

Type of settlement:

• FUT
• CASH

Boolean flag to identify whether settled using fixed price ("Y", "N").

Describes the strike price interval.

Links to a human-readable source.

Denominator of sub fraction for products priced in fractional terms, as detailed in the Fractional Pricing topic.

E.g., a product that trades in 1/2 1/64ths will have "2" in this field.

Will be sent with "null" for non-fractional products and for fractional products that do not have a sub-fraction.

Sub-sector associated with product.

For example:

E-Mini S&P 500 futures are in sub-sector "SMALL CAP INDEX."

Product sub type

Note: Not all products will have subtype populated.

Termination of trading rules on the CME Globex venue.

Termination of trading rules which are applicable on the last trade date.

Termination of trading rules for quarterly products.

The currency for the trade price.

String

Samples:

•  "05:00:00 - QUARTERLY /16:00:00 - NON-QUARTERLY , 05:00:00"
• "13:20:00"

Unit of measure for the product. 

For example, "IPNT" (Index Points) for E-mini S&P Futures.

Unit of measure values are defined in the MDP 3.0 - Tag 996-UnitOfMeasure Table of Values.

Type of valuation method used

Valid values include but are not limited to:

EQTY - Premium Style

FUT - Futures Style

FUTDA - Cash Adjusted Futures Style

FUTER - Futures Style with Erosion

FUTI - Futures Style Inverse

FUTOP - Futures Style for Options

FWD - Forward

FWDC - Forward, Cash-Settled Daily, Standard Currency Convention

BILL - Bills

BOND - Cash Notes and bonds

IRS - Interest Rate Swap

SPOT - Spot

RPO - Repo Specific

RPOBS - Repo Specific / GC - Buy Sell Back (only Spain)

RPOGC - Repo General Collateral

RPOGF - Repo GCF / DBV / GC+

RPOSC - Repo Specific / GC - EONIA bond

For non-CME Globex trades, option products may be negotiated in pure dollar terms between $1 and the varCabPxHigh value.  The high price is always less than the premium value equivalent of the lowest standard tick.

Lowest premium cabinet price the product is eligible to be traded at.

The number of days in year used in REPO consideration calculations.

360

365

BrokerTec

This is the tick for the dirty price (price + accrued interest). Dirty price is used to value repo collateral.

Numerical codes to indicate rounding type.

0 (nearest)

1 (rounds up)

2 (rounds down)

globexMatchAlgo

Match algorithm indicator for CME Globex markets.

• V=Institutional Prioritization (EBS eFix Matching Service)

Note: All other EBS Markets on CME Globex will use FIFO (F) match algorithm

String

ALL

gcBasketIdentifier

CUSIP or ISIN of Repo Basket

String

BrokerTec

Spread Pricing Convention

Valid Values:

Common - the contract would only be priced on a date when both legs are priced

Non-Common - individual legs would continue to take the price for every applicable day, regardless if the other one did not have a good price for that day.

Indicates if the instrument is SEF regulated.

• Y = ON SEF
• N= OFF SEF

onMtf

Indicates if the instrument is MTF regulated.

• Y = ON MTF
• N= OFF MTF

Boolean

EBS

tradeCloseOffSet

Fixing close offsets - Time duration before scheduled fixing time of the eFix Matching Service instrument.

e.g. 00:05:30 to denote the 6:24:30 PM ET close for the 6:30 PM ET Fix.

HH:MM:SS

EBS

pricePrecision

Integer

EBS

settlementLocale

String

EBS

fixingTimeZone

The region/time zone associated with the fixing time. 

Char

EBS

fixingSource

Fixing Rate Source.

e.g. ABS

String

EBS

goodForSession

Boolean flag (“Y”,”N”) to identify GFS (Good For Session) TimeInForce eligibility on CME Globex.

Boolean

EBS

settlCcy

The base currency for the settlement price when different from local currency. The local currency price can be found in the settlePxCcy field.

String

EBS

isEfixProduct 

Boolean flag to identify eFix Matching Service (Y, N).

String

EBS

isTmacProduct

Boolean flag identifies whether the overlying product is a TMAC product.

• Y
• N

StringF

&OListed Derivatives

altGlobexMinTick

New sub-tick which is only available for order entry when certain conditions are met.

String

EBS

altGlobexTickConstraint

Minimum amount better than the best Standard Tick order for an order to be allowed into the market.

String

EBS

maxBidAskConstraint

Maximum bid/ask spread for which sub-tick orders will be accepted.

String

EBS

altMinQuoteLife

MQL duration for orders at the alternative tick, in microseconds.

String

EBS

marketData

String

EBS

feedID

Globex market data feed id.

String

EBS

channelID

Globex market data channel id.

String

EBS

transport

Globex market data transport protocol (UDP or TCP).

String

EBS