Transactions executed on CME Globex, BrokerTec Direct, and registered external deals are available for consumption on CME STP in both FIX and FIXML formats.
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Users requiring a continuous record of all trading activity may continue a subscription from one business day to the next. The user ceases sending HTTP requests and, on the next business day, continues the subscription with an HTTP request using the last token received on the previous day. This method ensures that the API will send the user any trading activity that occurred during the time period that the user made no HTTP requests. BrokerTec exchanges, security types, and input sources will be supported on the subscription.
Alternately, users may begin a new subscription each day, specifying a Start Time encompassing any time the user did not send HTTP requests following the end of the prior business day's subscription. Users should exercise caution with this method to ensure they do not miss trading activity by sending too narrow a time window, and that they do not process duplicate trades should the window overlap trades already received on the prior business day.
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| Info |
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Cash trades will be available from CME STP for 31 calendar days, based on the trade date. Repo trades and collateral allocations will be available from CME STP for 31 calendar days or the term of trade plus 7 calendar days, whichever is greater. If a trade is corrected during this cycle, that trade will reflect the most recent information with a new transaction date and time. |
Continuing a Subscription or Query
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| API Input | API Output |
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Subscription / Query Request: FIXML Trade Capture Report Request
| Successful Subscription / Query Response: FIXML Trade Capture Report Successful Subscription / Query Response: FIXML Collateral Report |
| Subscription / Query Error Response: FIXML Trade Capture Report Request Ack |
Tokens
API input messages continuing prior Subscription or Query Requests must send the token in the custom x-cme-token HTTP header. API output messages will contain the token in the x-cme-token HTTP header.
Each successful response from the API may return a different token. The user must send that new token in the next continued Subscription or Query Request.
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- On MDP 3.0, a Repo AON instrument is identified in the Security Definition (tag 35-MsgType=d) message by tag 872=InstAttribValue bit 23=1 (All or None instrument).
- For related AON and parent instruments, the counterpart instrument is identified in the Security Definition message repeating group tag 1650-RelatedSecurityID.
- In RD API for Brokertec, the attribute relatedInstrumentGuidInt at the instrument level will identify relationship between AON and parent AON instruments
In CME STP, the TradeCaptureReport for AON Repo reflects the Non-AON instrument SecurityID & GUID.
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