CME Data Insights is a suite of Simple Binary Encoding (SBE) market data channels. The Settlements and Valuations channels provide robust market data across CME Globex, OTC and floor venues:
Futures and Options Settlements
Theoretical Valuations for Futures and Options instruments without volume or open interest
Fixing prices
Marker prices
End of day High/Low prices
Cleared volume and open interest
AIR TRF Funding Values
- Eris B and C datasets
CME, CBOT, NYMEX and COMEX channel support
Theoretical valuations is a type of data produced by CME Group for futures and options products without volume, open interest or underlying pricing required for Clearing products. Theoretical valuations are the true asset values that can be used for margin modeling, compliance, risk management and firms' other specific needs where settlements are not generated. Sourcing Theoretical Valuations directly from CME Group provides customers with certainty as the data points are validated by the exchange.
Info |
---|
Commercial Terms of use for Data Insights: Settlements and Valuations is available from Global Account Management (GAM). |
Contents
Table of Contents |
---|
Testing and Certification
Certification is mandatory for Settlements and Valuations.
Settlements and Valuations Data Overview
The following section is an overview of Settlements and Valuations.
Settlements and Valuations Data
The following section provides information on the data provided on Settlements and Valuations.
Instrument Types Support
The supported instrument types (tag 167-SecurityType) for Settlements and Valuations are:
- Futures
- Options on futures
- Options on combos
- Forwards
Price Format Support
The Settlements and Valuations channels, for client system convenience, supports CME Globex and Clearing price formats. The Clearing price format is expressed in the "true dollar price" and CME Globex price format can be in either the true dollar price or cents. CME Globex prices are only sent for instruments that trade on CME Globex.
Info |
---|
For High/Low prices, only the Clearing price format is supported on Settlements and Valuations channels. |
Settlements
A settlement is an official CME Group price established for the instrument at a given point in the trading day. Settlements and Valuations sends the following types of settlement prices in the Market Data Incremental Refresh (tag 35-MsgType=X) message:
- Final/Preliminary settlements
- Settlement at Trading Tick
- Settlement at Clearing Tick
- Settlement at Cabinet Price
Info |
---|
For a settlement price overview, refer to the Settlement Prices topic. |
Syntax for Settlement Prices
...
279
...
MDUpdateAction
...
Char
...
0 = New
...
Market data update action.
...
269
...
MDEntryType
...
Char
...
6 = Settlement/Theoretical Valuation Price
...
Identifies price as a settlement or valuation price.
...
9732
...
FormattedLastPx
...
Price
...
Price in Clearing decimal format.
...
270
...
MDEntryPx
...
Price
...
Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex
...
731
...
SettlPriceType
...
String
...
Bit 0: (least significant bit):
1=Final
0=Preliminary
Bit 1:
1=Actual
0=Theoretical Valuation
Bit 2:
1=Settlement at Trading Tick
0=Settlement at Clearing Tick
Bit 3:
1=Intraday
0=Undefined
Bit 4:
1=Settle At Cabinet
0=Undefined
Bit 5 :
1=FinalFinal
0=Undefined
Bit 6: Reserved for future use
Bit 7:
0=not NULL
1=entire set is a NULL
Bitmap field of eight Boolean type indicators representing settlement or valuation price type. Example values:
Binary Code value of 731 | Description |
---|---|
00000110 | Preliminary Actual Settlement at Trading Tick |
00000010 | Preliminary Actual Settlement at Clearing Tick |
00000111 | Final Actual Settlement at Trading Tick |
00000011 | Final Actual Settlement at Clearing Tick |
00010011 | Final Actual Cabinet Settlement at Clearing Tick |
...
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:
- tag 269-MDEntryType = 6 (Settlement Price)
- tag 270-MDEntryPx = the CME Globex price value on the CME Clearing settlement tick
- tag 9732-FormattedLastPx = Clearing price value
- tag 731-SettlPriceType Bit 2 = 0 (Settlement at Clearing Tick)
- tag 5796-TradingReferenceDate
If rounding occurs, two Market Data Incremental Refresh (tag 35-MsgType=X) messages are sent on the Incremental feed.
Message with unrounded price value:
- tag 269-MDEntryType=6 (Settlement Price)
- tag 270-MDEntryPX = the CME Globex price value on CME Clearing settlement tick
- tag 9732-FormattedLastPx = Clearing price value
- tag 731-SettlPriceType Bit 2 = 0 (Settlement at Clearing Tick)
- tag 5796-TradingReferenceDate
Message with rounded price value:
- tag 269-MDEntryType=6 (Settlement Price)
- tag 270-MDEntryPX = CME Globex price value rounded to CME Globex trading tick
- tag 9732-FormattedLastPx= Clearing price value
- tag 731-SettlPriceType Bit 2 = 1 (Settlement at Trading Tick)
- tag 5796-TradingReferenceDate
Theoretical Valuations
Theoretical valuations is a type of data produced by CME Group for futures and options products without volume, open interest, or underlying pricing required for Clearing products. Theoretical valuations are the true asset values that can be used for margin modeling, compliance, risk management and firms' other specific needs where settlements are not generated. Sourcing Theoretical Valuations directly from CME Group provides customers with certainty as the data points are validated by the exchange.
Theoretical Valuations - Futures
The following futures diagram illustrates how Settlements (blue) are complimented by Theoretical Valuations (orange) produced by CME Group:
Theoretical Valuations - Options
The following diagram illustrates how 5x-8x the number of option valuations are sent compared to settlements previously sent.
Syntax for Theoretical Valuations
...
Tag
...
FIX Name
...
Format
...
Valid Values
...
Description
...
uInt8
...
00000000
...
SettlPriceType Zero Bit = Preliminary (0)
SettlPriceType One Bit = Theoretical Valuation (0)
...
CME Data Insights is a suite of Simple Binary Encoding (SBE) market data channels. The Settlements and Valuations channels provide robust market data across CME Globex, OTC and floor venues:
Futures and Options Settlements Fixing prices
Marker prices
End of day High/Low prices
Cleared volume and open interest
AIR TRF Funding Values
- Eris B and C datasets
CME, CBOT, NYMEX and COMEX channel support
Info |
---|
Commercial Terms of use for Data Insights: Settlements and Valuations is available from Global Account Management (GAM). |
Contents
Table of Contents |
---|
Testing and Certification
Certification is mandatory for Settlements and Valuations.
Settlements and Valuations Data Overview
The following section is an overview of Settlements and Valuations.
Settlements and Valuations Data
The following section provides information on the data provided on Settlements and Valuations.
Instrument Types Support
The supported instrument types (tag 167-SecurityType) for Settlements and Valuations are:
- Futures
- Options on futures
- Options on combos
- Forwards
Price Format Support
The Settlements and Valuations channels, for client system convenience, supports CME Globex and Clearing price formats. The Clearing price format is expressed in the "true dollar price" and CME Globex price format can be in either the true dollar price or cents. CME Globex prices are only sent for instruments that trade on CME Globex.
Info |
---|
For High/Low prices, only the Clearing price format is supported on Settlements and Valuations channels. |
Settlements
A settlement is an official CME Group price established for the instrument at a given point in the trading day. Settlements and Valuations sends the following types of settlement prices in the Market Data Incremental Refresh (tag 35-MsgType=X) message:
- Final/Preliminary settlements
- Settlement at Trading Tick
- Settlement at Clearing Tick
- Settlement at Cabinet Price
Info |
---|
For a settlement price overview, refer to the Settlement Prices topic. |
Syntax for Settlement Prices
Tag | FIX Name | Format | Valid Values | Description | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
279 | MDUpdateAction | Char | 0 = New | Market data update action. | ||||||||||||
269 | MDEntryType | Char | 6 = Settlement | Identifies price as a settlement or valuation price. | ||||||||||||
9732 | FormattedLastPx | Price | Price in Clearing decimal format. | |||||||||||||
270 | MDEntryPx | Price | Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex | |||||||||||||
731 | SettlPriceType | String | Bit 0: (least significant bit): 1=Final 0=Preliminary Bit 1: 1=Actual Bit 2: 1=Settlement at Trading Tick 0=Settlement at Clearing Tick Bit 3: 1=Intraday 0=Undefined Bit 4: 1=Settle At Cabinet 0=Undefined Bit 5 : 1=FinalFinal 0=Undefined Bit 6: Reserved for future use Bit 7: 0=not NULL 1=entire set is a NULL | 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. |
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:
- tag 269-MDEntryType = 6 (Settlement Price)
- tag 270-MDEntryPx = the CME Globex price value on the CME Clearing settlement tick
- tag 9732-FormattedLastPx = Clearing price value
- tag 731-SettlPriceType Bit 2 = 0 (Settlement at Clearing Tick)
- tag 5796-TradingReferenceDate
If rounding occurs, two Market Data Incremental Refresh (tag 35-MsgType=X) messages are sent on the Incremental feed.
Message with unrounded price value:
- tag 269-MDEntryType=6 (Settlement Price)
- tag 270-MDEntryPX = the CME Globex price value on CME Clearing settlement tick
- tag 9732-FormattedLastPx = Clearing price value
- tag 731-SettlPriceType Bit 2 = 0 (Settlement at Clearing Tick)
- tag 5796-TradingReferenceDate
Message with rounded price value:
- tag 269-MDEntryType=6 (Settlement Price)
- tag 270-MDEntryPX = CME Globex price value rounded to CME Globex trading tick
- tag 9732-FormattedLastPx= Clearing price value
- tag 731-SettlPriceType Bit 2 = 1 (Settlement at Trading Tick)
- tag 5796-TradingReferenceDate
End of Day Session High/Low
The end of day High-Low message is sent on Settlements and Valuations channels. They are a summary of the CME Globex and open outcry session. The value is based on prior day settlement and different than CME Globex, which is based on session activity.
Syntax for High/Low
Tag | FIX Name | Format | Valid Values | Description |
---|---|---|---|---|
279 | MDUpdateAction | Char | 0 | New market data update action. |
269 | MDEntryType | Char | 7 = High/Low | High/Low |
333 | LowPx | Low Price in Clearing price format. High/Low cabinet values will send a price of zero. | ||
37525 | LowPxInd | A = Ask B = Bid T = Trade | Low price origin indicator | |
332 | HighPx | High Price in Clearing price format. High/Low cabinet values will send a price of zero. | ||
37524 | HighPxInd | A = Ask B = Bid T = Trade | High price origin indicator | |
5796 | TradingReferenceDate | LocalMktDate | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. |
...
Fixing prices are sent on Settlements and Valuations channels.
Syntax for Fixing/Marker Prices
Tag | FIX Name | Format | Valid Values | Description |
---|---|---|---|---|
279 | MDUpdateAction | Char | 0 | Type of Market Data update action. |
269 | MDEntryType | Char | W = Fixing/Marker | Type of Market Data Entry. |
270 | MDEntryPx | Char | Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex | |
9732 | FormattedLastPx | Price | Price in Clearing decimal format. | |
5796 | TradingReferenceDate | LocalMktDate | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. | |
2455 | MDStatisticDesc | String | Description of the fixing price. |
Fixing Price Examples
To determine fixing prices, client systems must utilize the Clearing product code (tag 37500-ClearingProductCode), fixing description (tag 2455-MDStatisticDesc) and exchange (tag 207-SecurityExchange) to determine the fixing and timing for FX and equity products. The table below provides examples.
Example Settlements and Valuations Fixing Name tag 2455-MDStatisticDesc | Clearing Product Code tag 37500-ClearingProductCode | Exchange tag 207-SecurityExchange |
---|---|---|
4 PM NYC | ES | CME |
3 PM JPN | ES | CME |
11 AM CHI | AD | CME |
3 PM CHI | AD | CME |
Marker Prices
Marker prices are sent on Settlements and Valuations channels. Marker prices are sent with the same tag attributes as either fixing prices (MDEntryType tag 269=W) or settlements (MDEntryType tag 269=6). Client systems can determine marker prices via the product codes. For example, CL1 (Singapore), CL2 (London) identify the marker prices. Marker price tickers can be obtained via CME Reference Data API.
Cleared Volume and Open Interest
...
The Daily Financing Rate will be denoted as 269-MDEntryType=h and the Accrued Financing Rate will be denoted as 269-MDEntryType=i, via SBE template MDIncrementalRefreshSettle. The applicable trade date for the Values will be included in tag 5796-TradingReferenceDate.
...
Settlements and Valuations Technology Overview
...
Channel Guide
...
Name | Channel ID |
---|---|
CME Settlements and Valuations | 251 |
CBOT Settlements and Valuations | 252 |
NYMEX Settlements and Valuations | 253 |
COMEX Settlements and Valuations | 254 |
Recovery
The following section describes recovery services for Settlements and Valuations.
...
UDP Feed A and UDP Feed B are used to disseminate CME Group incremental market data using SBE-encrypted FIX messages. All FIX message types are sent through both UDP Feed A and UDP Feed B applicable market data groups. This duality minimizes the chance of message loss due to UDP. Each SBE message is sent on both feeds.
...
Client systems can recover specific messages that were missed using the sequence number and the TCP historical replay component. The TCP historical replay component allows systems to request a replay of a set of messages already published on the UDP Incremental Market Data Channel. The request specifies messages to replay. The request uses the SBE Market Data Request (tag 35-MsgType=V) message.
This type of request is sent through a new TCP connection established by client systems. The responses are sent by CME Group through this same connection and the connection is then closed by CME Group once the resend is complete. All responses are SBE-encoded (including the reject response).
The following restrictions apply when requesting messages via TCP Historical Replay:
- A maximum of 2,000 messages can be requested per Market Data Request (35=V) message.
- Only the current day's messages can be requested and resent.
SBE Channel Definitions
Settlements and Valuations has a separate schema and config.xml FTP location from CME Globex and streamlined market data.
Global TCP Recovery Schema
Settlements and Valuations utilizes a separate schema dedicated to TCP recovery templates.
Gliffy | ||||
---|---|---|---|---|
|
...
The specifications included below are used for Settlements and Valuations incremental messages (tag 35-MsgType=X).
Settlement/Theoretical Valuation/Fixing/Marker/AIR TRF Funding Message
This message is generated with Settlement, Theoretical Valuations, Marker, Fixing, and AIR TRF Funding Values prices.
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 |
| NumInGroup | ||||||||||||||
→279 | MDUpdateAction | MDUpdateAction | 0 = New | Indicates the type of Market Data update action | ||||||||||||||
→269 | MDEntryType | Char | 6 = Settlement/Theoretical Valuation W = Fixing Price h = Daily Financing Rate i = Accrued Financing Rate | 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) | Clearing Product Code | |||||||||||||||
→167 | SecurityType | SecurityType | FUT = Future Outrights | Identifies the type of instrument. | ||||||||||||||
→207 | SecurityExchange | String (8) | CBT = Chicago Board of Trade CME = Chicago Mercantile Exchange NYMEX = New York Mercantile Exchange COMEX = COMEX (Commodities Exchange Center) | 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 | 0=Put 1=Call | Indicates whether an option instrument is a put or call. | ||||||||||||||
→202 | StrikePrice | Decimal64 | Option strike price in Clearing price format. | |||||||||||||||
→37509 | UnderlyingProductGUID | uInt64NULL | Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |||||||||||||||
→37510 | UnderlyingClearingProductCode | String (12) | Underlying Clearing Product Code | |||||||||||||||
→310 | UnderlyingSecurityType | SecurityType | COMBO = Combo FUT = Future Outrights FWD = Forward | Identifies the type of the underlying instrument. | ||||||||||||||
→308 | UnderlyingSecurityExchange | String (8) | CBT = Chicago Board of Trade | Underlying Security Exchange | ||||||||||||||
→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). | |||||||||||||||
→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 | Bit 0:
Bit 1:
Bit 2:
Bit 3
Bit 4:
Bit 5:
Bit 6 is reserved Bit 7
| For Settlements, bitmap field of eight Boolean type indicators representing settlement or valuation price type. Example values:
Additionally a Bitmap indicator which specifies whether these are the final or preliminary air Funding Status values for the specified business date:
| ||||||||||||||
→5796 | TradingReferenceDate | LocalMktDate | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. | |||||||||||||||
→2455 | MDStatisticDesc | String (40) | Description of the fixing price. |
...
Id | Field 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 | MDUpdateActionNew | 0 = New | Market Data update action |
→269 | MDEntryType | MDEntryCVOI | B = Cleared Volume and Open Interest | Market Data entry type |
→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) | Clearing Product Code | |
→167 | SecurityType | SecurityType | FUT = Future Outrights | Identifies the type of instrument. |
→207 | SecurityExchange | String (8) | CBT = Chicago Board of Trade CME = Chicago Mercantile Exchange NYMEX = New York Mercantile Exchange COMEX = COMEX (Commodities Exchange Center) | Security Exchange |
→200 | MaturityMonthYear | 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 field 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 | 0=Put 1=Call | Indicates whether an option instrument is a put or call. |
→202 | StrikePrice | Decimal64 | Option strike price in Clearing format | |
→37509 | UnderlyingProductGUID | uInt64NULL | Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |
→37510 | UnderlyingClearingProductCode | String (12) | Underlying Clearing Product Code | |
→310 | UnderlyingSecurityType | SecurityType | COMBO = Combo FUT = Future Outrights FWD = Forward | Identifies the type of the underlying instrument. |
→308 | UnderlyingSecurityExchange | String (8) | CBT = Chicago Board of Trade CME = Chicago Mercantile Exchange NYMEX = New York Mercantile Exchange COMEX = COMEX (Commodities Exchange Center) | Underlying Security Exchange |
→313 | UnderlyingMaturityMonthYear | MaturityMonthYear | 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). | |
→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. | |
→5791 | ClearedVolume | uInt32NULL | Cleared volume of the instrument reported for prior trading session referenced in tag 5796-TradingReferenceDate | |
→5792 | OpenInterestQty | uInt32NULL | Open interest of the instrument reported for prior trading session referenced in tag 5796-TradingReferenceDate | |
→286 | OpenCloseSettlFlag | CycleFlag | 3 = Estimated | Estimated vs Actual flag |
→5796 | TradingReferenceDate | LocalMktDate | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. |
...
Id | Field 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 | MDUpdateActionNew | 0 = New | Indicates the type of Market Data update action | ||
→269 | MDEntryType | MDEntryTypeHighLow | 7 = High/Low | Indicates the type of Market Data entry | ||
→7178 | ProductGUID | String (12) | 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) | Clearing Product Code | |||
→167 | SecurityType | SecurityType | FUT = Future Outrights | Identifies the type of instrument. | ||
→207 | SecurityExchange | String (8) | CBT = Chicago Board of Trade CME = Chicago Mercantile Exchange NYMEX = New York Mercantile Exchange COMEX = COMEX (Commodities Exchange Center) | Security Exchange | ||
→200 | MaturityMonthYear | 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). | |||
→201 | PutOrCall | PutOrCall | 0=Put 1=Call | Indicates whether an Option instrument is a put or call. | ||
→202 | StrikePrice | Decimal64 | Option strike price in Clearing format. | |||
→37509 | UnderlyingProductGUID | uInt64NULL | Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |||
→37510 | UnderlyingClearingProductCode | String (12) | Underlying Clearing Product Code. | |||
→310 | UnderlyingSecurityType | SecurityType | COMBO = Combo FUT = Future Outrights FWD = Forward | Identifies the type of the underlying instrument. | ||
→308 | UnderlyingSecurityExchange | String (8) | CBT = Chicago Board of Trade CME = Chicago Mercantile Exchange NYMEX = New York Mercantile Exchange COMEX = COMEX (Commodities Exchange Center) | Underlying Security Exchange. | ||
→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). | |||
→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. | |||
→333 | LowPx | Decimal64 | Lower price threshold for the instrument in Clearing decimal price format. | |||
→37525 | LowPxInd | PxInd | A = Ask | Low price origin indicator.
| ||
→332 | HighPx | Decimal64 | Upper price threshold for the instrument in Clearing decimal price format. | |||
→37524 | HighPxInd | PxInd | A = Ask | High price origin indicator.
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→5796 | TradingReferenceDate | LocalMktDate | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. |
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