This message specification provides the message layout for each FIX message type supported by the applicable SBE schema for the CME Benchmark Administration Premium market data group.
Contents
| Table of Contents |
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| Date | Description |
|---|---|
| 12/27/2023 | Added "RFR Benchmarks" section. |
| 9/14/2022 | Incorporated Streaming CVOL Index Launch and SBE Template Migration client impact assessment.
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| 12/14/2021 | Added "MDP 3.0 - SBE Message Header" section |
| 11/22/2021 |
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| 10/7/2021 | updated version removed extraneous tag values |
| 9/2/2021 | updated version |
Message Specification
The following section outlines the full message specification for CME Benchmark Administration Premium Specification messages.
Binary Packet Headers
A standard technical header sent in a packet.
Binary Packet Header for UDP Connections
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- The messages for SOFR and Petrol pricing map to the MDIncrementalRefreshSettle template in the Settlements and Valuations schema.
- The messages for CVOL indicator map to the MDIncrementalRefreshCVOLIndex template in the Settlements and Valuations SBE schema
SOFR
Tag | FIX Name | Type | Valid Values | Description |
|---|---|---|---|---|
60 | TransactTime | uInt64 |
| Start of event processing time in number of nanoseconds since Unix epoch |
1683 | MDSubFeedType | uInt16NULL | Describes a sub-class for a given class of service | |
| Repeating Group 1 | ||||
| 268 | NoMDEntries | NumInGroup |
| Number of entries in Market Data message |
| →279 | MDUpdateAction | MDUpdateAction | 0 = New | Indicates the type of Market Data update action |
| →269 | MDEntryType | Char | W = Fixing Price | Indicates the type of price |
| →7178 | ProductGUID | uInt64NULL | Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |
| →37500 | ClearingProductCode | String (12) | TR1 - 1-MTH SOFR SYNTHETIC FUT TR3 - 3-MTH SOFR SYNTHETIC FUT TR6 - 6-MTH SOFR SYNTHETIC FUT T1Y – 12 MTH SOFR SYNTHETIC FUT | Clearing Product Code |
| →167 | SecurityType | SecurityType | FUT = Future Outrights | Identifies the type of instrument. |
| →207 | SecurityExchange | String (8) | CME = Chicago Mercantile Exchange | Security Exchange |
| →200 | MaturityMonthYear | MaturityMonthYear | This tag provides the calendar month reflected in the instrument symbol (tag 55-Symbol). Format: YYYYMM (e.g. 201912) For futures spreads and options spreads, this tag contains the first leg's calendar month reflected in the instrument symbol. For packs and bundles, this value represents the quarterly contract reflected in the instrument symbol. For daily products, this tag contains the full calendar date as reflected in the instrument symbol. Format: YYYYMMDD (e.g. 20191205). For weekly options products, this tag contains the calendar month and week indicator reflected in the instrument symbol. Format: YYYYMMwW (e.g. for the 4thweek contracts, 2019124). | |
| →201 | PutOrCall | PutOrCall | Indicates whether an option instrument is a put or call. Will be null or empty in SOFR messages. | |
| →202 | StrikePrice | Decimal64 | Option strike price in Clearing price format. Will be null or empty in SOFR messages. | |
| →37509 | UnderlyingProductGUID | uInt64NULL | Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. Will be null or empty in SOFR messages. | |
| →37510 | UnderlyingClearingProductCode | String (12) | Underlying Clearing Product Code Will be null or empty in SOFR messages. Will be null or empty in SOFR messages. | |
| →310 | UnderlyingSecurityType | SecurityType | Identifies the type of the underlying instrument. Will be null or empty in SOFR messages. | |
| →308 | UnderlyingSecurityExchange | String (8) | Underlying Security Exchange Will be null or empty in SOFR messages. | |
| →313 | UnderlyingMaturityMonthYear | MaturityMonthYear | This tag provides the calendar month reflected in the instrument symbol (tag 55-Symbol in MDP 3.0; tag 107-SecurityDesc in iLink). Format: YYYYMM (e.g. 201912) For futures spreads and options spreads, this tag contains the first leg's calendar month reflected in the instrument symbol. For packs and bundles, this value represents the quarterly contract reflected in the instrument symbol. For daily products, this tag contains the full calendar date as reflected in the instrument symbol. Format: YYYYMMDD (e.g. 20191205). For weekly options products, this tag contains the calendar month and week indicator reflected in the instrument symbol. Format: YYYYMMwW (e.g. for the 4thweek contracts, 2019124). Will be null or empty in SOFR messages. | |
| →55 | Symbol | Symbol | Contract name | |
| →37513 | InstrumentGUID | uInt64NULL | Global unique instrument identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |
| →48 | SecurityID | uInt32NULL | Security ID. This value is only sent for CME Globex instruments. This field will be null for instruments not sent on CME Globex. | |
| →9732 | FormattedLastPx | Decimal64 | Price in Clearing decimal format. | |
| →270 | MDEntryPx | PRICENULL9 | Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex | |
| →731 | SettlPriceType | SettlPriceType | 10000000 = null | Bitmap field of eight Boolean type indicators representing settlement or valuation price type. |
| →5796 | TradingReferenceDate | LocalMktDate | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. | |
| →2455 | MDStatisticDesc | String (40) | empty | Description of the fixing price. |
Petroleum Indexes
Tag | FIX Name | Type | Valid Values | Description | ||||||
|---|---|---|---|---|---|---|---|---|---|---|
60 | TransactTime | uInt64 |
| Start of event processing time in number of nanoseconds since Unix epoch | ||||||
1683 | MDSubFeedType | uInt16NULL | Describes a sub-class for a given class of service | |||||||
| Repeating Group 1 | ||||||||||
| 268 | NoMDEntries | NumInGroup |
| Number of entries in Market Data message | ||||||
| →279 | MDUpdateAction | MDUpdateAction | 0 = New | Indicates the type of Market Data update action | ||||||
| →269 | MDEntryType | Char | 3 = Index Value | Indicates the type of price | ||||||
| →7178 | ProductGUID | uInt64NULL | Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |||||||
| →37500 | ClearingProductCode | String (12) | CPX = Petroleum Index CVX = Indicative Petroleum Index | Clearing Product Code | ||||||
| →167 | SecurityType | SecurityType | INDEX | Identifies the type of instrument. | ||||||
| →207 | SecurityExchange | String (8) | NYMEX | Security Exchange | ||||||
| →200 | MaturityMonthYear | MaturityMonthYear | null | A value of zero denotes null | ||||||
| →201 | PutOrCall | PutOrCall | null | Indicates whether an option instrument is a put or call. A value of zero denotes null Will be null or empty in SOFR messages. | ||||||
| →202 | StrikePrice | Decimal64 | null | Option strike price in Clearing price format. A value of zero denotes null Will be null or empty in SOFR messages. | ||||||
| →37509 | UnderlyingProductGUID | uInt64NULL | null | Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. A value of zero denotes null Will be null or empty in SOFR messages. | ||||||
| →37510 | UnderlyingClearingProductCode | String (12) | null | Underlying Clearing Product Code Will be null or empty in SOFR messages. | ||||||
| →310 | UnderlyingSecurityType | SecurityType | null | Identifies the type of the underlying instrument. | ||||||
| →308 | UnderlyingSecurityExchange | String (8) | null | Underlying Security Exchange Will be null or empty in SOFR messages. | ||||||
| →313 | UnderlyingMaturityMonthYear | MaturityMonthYear | null | This tag provides the calendar month reflected in the instrument symbol (tag 55-Symbol in MDP 3.0; tag 107-SecurityDesc in iLink). Format: YYYYMM (e.g. 201912) For futures spreads and options spreads, this tag contains the first leg's calendar month reflected in the instrument symbol. For packs and bundles, this value represents the quarterly contract reflected in the instrument symbol. For daily products, this tag contains the full calendar date as reflected in the instrument symbol. Format: YYYYMMDD (e.g. 20191205). For weekly options products, this tag contains the calendar month and week indicator reflected in the instrument symbol. Format: YYYYMMwW (e.g. for the 4thweek contracts, 2019124). Will be null or empty in SOFR messages. | ||||||
| →55 | Symbol | Symbol | CPX = Petroleum Index CVX = Indicative Petroleum Index | Contract name | ||||||
| →37513 | InstrumentGUID | uInt64NULL | Global unique instrument identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |||||||
| →48 | SecurityID | uInt32NULL | Security ID. This value is only sent for CME Globex instruments. This field will be null for instruments not sent on CME Globex. | |||||||
| →9732 | FormattedLastPx | Decimal64 | Price in Clearing decimal format. | |||||||
| →270 | MDEntryPx | PRICENULL9 | Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex | |||||||
| →731 | SettlPriceType | SettlPriceType | Bit 0:
| Bitmap field of eight Boolean type indicators representing settlement or valuation price type. Example values:
| ||||||
| →5796 | TradingReferenceDate | LocalMktDate | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. | |||||||
| →2455 | MDStatisticDesc | String (40) | empty | Description of the fixing price. | ||||||
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| Tag | Name | Streaming Index Values | Final Daily Index Values | Preliminary Daily Index Value | Resend of Previous Index Values when no updates are available | Highest Index value of the daily session | Lowest Index value of the daily session |
|---|---|---|---|---|---|---|---|
| 286 | OpenCloseSettlFlag | 107=RealTime | 108=FinalDaily | 109 = PreliminaryDaily | 110 = ReprintPrevious | 107=RealTime | 107=RealTime |
| Repeating Group 1 | |||||||
| 268 | NoMDEntries | required, provided for all indicators | required, provided for indicators | required, provided for indicators | required, provided for indicators | required, provided for main indicator | required, provided for main indicator |
| →269 | MDEntryType | 3 = IndexValue | 3 = IndexValue | 3 = IndexValue | 3 = IndexValue | 7 = SessionHighPrice | 8 = SessionLowPrice |
| →270 | MDEntryPx | Streaming Index value | Final Daily Index Value
| Preliminary Daily Index Value | Resent Index Value | Highest Index value of the daily session | Lowest Index value of the daily session |
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The message is sent for RFR benchmarks. It maps to the MDIncrementalRefreshBenchmark template in the Settlements and Valuations schema.
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For technical development support, contact Certification Support for Electronic Trading (CSET).
For production requests, please contact the Global Command Center (GCC).
For all other inquiries, please contact Global Account Management (GAM).