CME CF Cryptocurrency Indices and Daily Reference Price support the following message types.
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Streamlined Market Data Incremental Refresh (tag 35-MsgType=X)
This section describes the streamlined Market Data Incremental Refresh Message (35=X) for CME CF Real Time Index and the daily Reference Rate.
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| Header | ||||
|---|---|---|---|---|
| Tag | FIX Name | Format | Valid Values | Description |
35 | MsgType | String (2) | X=Market Data Incremental Refresh | Defines message type. |
34 | MsgSeqNum | SeqNum (9) | - | Integer message sequence number. |
52 | SendingTime | UTCTimeStamp (21) | - | Time of message transmission (always expressed in UTC) Format: YYYYMMDDHHMMSSsss. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy. |
| Body | ||||
60 | TransactTime | UTCTimeStamp (21) | - | Indicates time of trade referenced in this message Format: YYYYMMDDHHMMSSsss. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy. |
5799 | MatchEventIndicator | Boolean (1) | N – Not end of event Y – End of event | Boolean flag which indicates if the message denotes the start of an event or end of event. For CryptoFacilities this should be set to Y if there is no need to maintain continuity between messages to infer when a particular event started and ended. |
| →50001 | BatchTotalMessages | Int(3) | Total number of messages contained within batch | |
| →235 | YieldType | String | Reserved for future use. | |
| →9633 | ReferenceID | String | Reserved for future use. | |
1022 | MDFeedType | NULL | -- | Describes a class of service for a given data feed. |
268 | NoMDEntries | NumInGroup (5) | Number of FIX Market Data Incremental Refresh Data Blocks in the Market Data Incremental Refresh message. | |
| Repeating Group | ||||
→279 | MDUpdateAction | Char (1) | 0 = New | Indicates the type of Market Data update action. |
→269 | MDEntryType | Char (1) | 3 = Index Value 6 = Settlement Price | Indicates the type of market data entry. |
→83 | RptSeq | Int (3) | Sequence number per Instrument update or index. | |
→55 | Symbol | String (50) | Index identifier. | |
→270 | MDEntryPx | Price(20) | Price of the Market Data Entry | |
| →451 | NetChgPrevDay | PriceOffset(20) | Net change from previous day's closing price. Applies to BRR only. | |
| →6119 | NetPctChange | Percentage (20) | Index percentage change with respect to previous close Applies to BRR only. | |
| →7017 | PercentTrading | NULL | -- | Percent trading of the underlying index constituents. |
1022 | MDFeedType | NULL | -- | Describes a class of service for a given data feed. |
→286 | OpenCloseSettlFlag | Int(3) | 102 = Settlement Index value | Flag that identifies a market data entry. Indicates whether price is daily open/close/settle from current trading session or from previous trading session. |
| →235 | YieldType | String(50) | Reserved for future use. | |
| →9633 | ReferenceID | String(50) | Reserved for future use. | |
→9988 | MDEntryCode | MultipleValueString (2) | 5 = Close | List of conditions describing an index value. See Streamlined Market Data tag 9988-MDEntryCode Valid Values Description. |
→272 | MDEntryDate | UTC_DATE_ONLY (8) | -- | Date of the Market Data Entry. Value is the number of days since UNIX epoch. |
→273 | MDEntryTime | UTC_TIMEONLY (12) | -- | Timestamp of Market Data Entry. Value is the number of milliseconds since GMT midnight. |
Streamlined Market Data tag 9988-MDEntryCode Valid Values Description
| Value | Description |
|---|---|
1=Indicative | Index computed using alternate prices of the underlying constituents to provide an indicative index level. |
2=Pre-Market | Pre-market index data for certain key headline indices will be generated typically one hour prior to the actual start of trading day. The pre-market index data will contain: Index values flat-lined with previous day's index close levels. Index Bid & Ask values computed using real-time pre-market quotes of the underlying constituents. The pre-market index ticks should be considered as an initialization phase for the index before the start of the trading day. The pre-market index ticks serve the purpose of a system health check prior to the actual open of the index. All market data vendors are encouraged to distribute the pre-market index ticks with an appropriate pre-market indicator. The index values produced during pre-market do not contribute to the Daily Open, High and Low. Additionally, the Index Bid and Ask values computed using pre-market quotes provides an early indication of the index spread before the start of trading day. |
3=Preliminary Close | The index tick computed using real-time prices just before the official index close is published. |
4=Session Close | The index level computed using the mid-day close prices of the underlying constituents. |
5=Close | The index close value computed using the official close prices of the underlying constituents. |
Security Definition Request (tag 35-MsgType=c)
Tag | FIX Name | Format | Valid Values | Description |
|---|---|---|---|---|
1180 | ApplID | String (50) | The channel ID from the XML Configuration File for which this request is made. | |
| 320 | SecurityReqID | String (32) | Unique ID of a Security Definition Request. | |
321 | SecurityRequestType | String (1) | 8 = All Securities | Type of Security Definition Request. |
1301 | MarketID | Exchange | CRYP = Crypto Facilities | Identifies the Market. |
Security Definition (tag 35-MsgType=d)
Tag | Field Name | DataType | Valid Values | Comment |
|---|---|---|---|---|
55 | Symbol | String (50) | Index identifier. | |
460 | Product | Int (2) | 7 = Index | Identifies the type of product |
207 | SecurityExchange | Exchange (4) | CRYP | Market used to help identify a security/Index |
15 | Currency | Currency (3) | Identifies currency used for price | |
864 | NoEvents | NumInGroup (1) | Number of repeating EventType entries | |
865 | EventType | Int (3) | 5 = Activation | Code to represent the type of event |
→1145 | EventTime | UTC_TIMEONLY (8) | Time of event. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy. | |
870 | NoInstrAttrib | NumInGroup (2) | Number of repeating group InstrAttribType entries | |
→871 | InstrAttribType | Int (3) | Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain. See Tag 871-InstAttribType and Tag 872-InstAttribValue Table of Values. | |
→872 | InstrAttribValue | String (500) | Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain. Attribute value appropriate to the tag 871-InstrAttribType field. See Tag 871-InstAttribType and Tag 872-InstAttribValue Table of Values. | |
980 | SecurityUpdateAction | Char (1) | M = Modify | Included in the message on the incremental feed when a mid-week modification/deletion occurs. Not sent by default for new indices |
1180 | ApplID | String (50) | The channel ID as defined in the XML Configuration File | |
1022 | MDFeedType | NULL | -- | Describes a class of service for a given data feed. |
Tag 871-InstAttribType and Tag 872-InstAttribValue Table of Values
Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain. The following Index attributes may be included in the Security Definition Message:
Tag 871-InstrAttribType Valid Values | Description/Tag 872 Valid Values |
|---|---|
27 = Display Price Precision | Number of Decimals in Displayed Price |
117 = Index Long Name | Name of the Index |
118 = Index Key | Unique ID |
119 = Fee Code | When the preceding tag 871=119 (Fee Code), the following value is valid for tag 872:
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122 = Frequency | Publishing frequency
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123 = Start Publish Time | Time of calendar day that the message(s) will begin to be published. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy. |
124 = End Publish Time | Time of calendar day that the message(s) will no longer be published. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy. |
Heartbeat (tag 35-MsgType=0)
There is no body for this message.
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This message is sequenced like any other message.
TCP Replay Messages
The messages included below are used for streamlined SBE TCP Recovery.
Logon from Client System to MDP (tag 35-MsgType=A)
The Market Data Logon message is sent by the client system to CME Globex to initiate logon.
Required fields:
| Tag | FIX Name | Type | Valid Values | Description |
|---|---|---|---|---|
553 | Username | String | Userid or username. | |
554 | Password | String | Password or passphrase. |
Logon Acknowledgment from MDP to Client System (tag 35-MsgType=A)
The Market Data Logon (tag 35-MsgType=A) message is sent from CME Globex to the client system to confirm logon. This message is SBE encoded.
| Tag | FIX Name | Type | Valid Values | Description |
|---|---|---|---|---|
108 | HeartBtInt | Int | Heartbeat interval (seconds). |
Market Data Replay Request (tag 35-MsgType=V)
The Market Data - Replay Request (tag 35-MsgType=V) message is sent by the client system to request a range of messages for recovery.
Required fields:
| Tag | FIX Name | Type | Valid Values | Description |
|---|---|---|---|---|
1180 | ApplID | String | The channel ID from the XML Configuration File for which this request is made. | |
262 | MDReqID | String | Unique identifier for Market Data Request. | |
1182 | ApplBeginSeqNo | SeqNum | Message sequence number of first message in range to be re-sent. If the request is for a single message, ApplBeginSeqNo (tag 1182) and ApplEndSeqNo (tag 1183) are the same. | |
1183 | ApplEndSeqNo | SeqNum | Message sequence number of last message in range to be re-sent. If the request is for a single message, BeginSeqNo (tag 7) and EndSeqNo (tag 16) are the same. The maximum number of messages that can be requested is 2000. |
Logout (tag 35-MsgType=5)
The Market Data Logout (tag 35-MsgType=5) message is sent from CME Globex to confirm logout. This message is SBE encoded.
| Tag | FIX Name | Type | Valid Values | Description |
|---|---|---|---|---|
1180 | ApplID | String | REPLAY | Used to identify a replayed message. |
58 | Text | String | Free Format text string. May include logout confirmation or reason for logout. |
Message Layout per Pricing Data (tag 35-MsgType=x)
Tag | Field Name | Index Price (BRTI) | Settlement Index Price (BRR) |
|---|---|---|---|
60 | TransactTime | Y | Y |
5799 | MatchEventIndicator | Y | Y |
→→279 | MDUpdateAction | 0 | 0 |
→→269 | MDEntryType | 3 | 6 |
→→83 | RptSeq | Y | Y |
→→55 | Symbol | Y | Y |
→→270 | MDEntryPx | Y | Y |
→→271 | MDEntrySize | N/A | N/A |
→→451 | NetChgPrevDay | N | Y |
→→6119 | NetPctChange | N | Y |
→→286 | OpenCloseSettlFlag | N/A | 102 |
→→272 | MDEntryDate | Y | Y |
→→273 | MDEntryTime | Y | Y |
→→9988 | MDEntryCode | N/A | 5 |
Y = Required, C = Conditional, N/A = Not Applicable
Sample Messages
Settlement Index Price (BRR)
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