Settlement price is updated throughout the trading week for an instrument and disseminated by means of the Market Data Incremental Refresh (tag 35-MsgType=X) message on the incremental feed.
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| For a settlement price overview, refer to the Settlement Prices topic. |
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Market Data Incremental Refresh (tag 35-MsgType=X) Message - Settlement Price
CME Globex sends the following types of settlement prices in the Market Data Incremental Refresh (tag 35-MsgType=X) message:
- Final/Preliminary
- Actual/Theoretical
- Settlement at Trading Tick/Settlement at Clearing Tick (See example below)
FIX Syntax for Settlement Price
Tag | FIX Name | Format | Valid Values | Description | ||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 279 | MDUpdateAction | Char | 0 = New | Market data update action. | ||||||||||||||||||
269 | MDEntryType | Char | 6 = Settlement Price | Identifies price as a settlement price. | ||||||||||||||||||
| 48 | SecurityID | Int | Unique instrument ID. | |||||||||||||||||||
| 83 | ReptSeq | Int | MD Entry sequence number per instrument update. Reset weekly. | |||||||||||||||||||
| 270 | MDEntryPx | Price | Price of the MD Entry. | |||||||||||||||||||
731 | SettlPriceType | String | Examples
| Bitmap field of eight Boolean type indicators representing settlement price type: Bit 0: (least significant bit): 1=Final 0=Preliminary Bit 1: 1=Actual 0=Theoretical Bit 2: 1=Settlement at Trading Tick 0=Settlement at Clearing Tick Bit 3: 1=Intraday 0=Undefined Bit 4-6: Reserved for future use, set to 0 Bit 7: 0=not NULL 1=entire set is a NULL | ||||||||||||||||||
| 5796 | TradingReferenceDate | LocalMktDate | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. |
Settlement at Trading Tick / Settlement at Clearing Tick
If no rounding occurs (the product is not subject to rounding and the CME Globex trading tick is the same as the settlement tick for the product), a single Market Data Incremental Refresh (tag 35-MsgType=X) message is sent on the incremental feed with:
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- tag 269-MDEntryType=6 (Settlement Price)
- tag 270-MDEntryPX - price value rounded to CME Globex trading tick
- tag 731-SettlPriceType Bit 2 = 1 (Settlement at Trading Tick)
- tag 5796-TradingReferenceDate
Settlement at Trading Tick Example
Some CME Group products have a mini-sized product listed along with the full-sized product (e.g., e-mini, e-micro, and miNY products). In many cases, mini-sized products are marked to market and margined using their corresponding full-sized contract settlement.
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