| Tag | FIX Name | Type | Semantic Type | Valid Values | Description |
|---|
| 5799 | MatchEventIndicator | MatchEventIndicator | MultipleCharValue |
| Bitmap field of eight Boolean type indicators reflecting the end of updates for a given Globex event |
| 911 | TotNumReports | uInt32NULL | int |
| Total number of instruments in the Replay loop. Used on Replay Feed only. |
| 980 | SecurityUpdateAction | SecurityUpdateAction | char |
| Last Security update action on Incremental feed, 'D' or 'M' is used when a mid-week deletion or modification (i.e. extension) occurs. |
| 779 | LastUpdateTime | uInt64 | UTCTimestamp |
| Timestamp of when the instrument was last added, modified or deleted. Sent in number of nanoseconds since Unix epoch |
| 1682 | MDSecurityTradingStatus | SecurityTradingStatus | int | 2=Trading Halt 4=Close 17=Ready to trade (start of session) 18=Not available for trading | Identifies the current state of the instrument
|
| 1180 | ApplID | Int16 | int |
| The channel ID as defined in the XML Configuration file |
| 1300 | MarketSegmentID | uInt8 | int |
| Identifies the market segment for all CME Globex instruments |
| 462 | UnderlyingProduct | uInt8 | int |
| Product complex 2=Commodity/Agriculture
4=Currency
5=Equity
6=Government
10=Mortgage
12=Other
13=Financing
14=Interest Rate
15=FX Cash
16=Energy
17=Metals |
| 207 | SecurityExchange | SecurityExchange | Exchange |
| Exchange used to identify a security |
| 1151 | SecurityGroup | SecurityGroup | String |
| Security Group Code |
| 6937 | Asset | Asset | String |
| The underlying asset code also known as Product Code |
| 55 | Symbol | Symbol | String |
| Instrument Name or Symbol |
| 48 | SecurityID | Int32 | int |
| A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. |
| 22 | SecurityIDSource | SecurityIDSource | char |
| Identifies class or source of the SecurityID (Tag 48) value |
| 167 | SecurityType | SecurityType | String | REPO=REPO instruments | Security Type |
| 461 | CFICode | CFICode | String |
| ISO standard instrument categorization code. |
| 15 | Currency | Currency | Currency |
| Identifies the currency for the instrument traded |
| 120 | SettlCurrency | Currency | Currency |
| Identifies currency used for settlement |
| 1142 | Matchrithm | CHAR | char | F=First In, First Out (FIFO) | Matching Algorithm |
| 562 | MinTradeVol | uInt32 | Qty |
| The minimum trading volume for a security |
| 1140 | MaxTradeVol | uInt32 | Qty |
| The maximum trading volume for a security |
| 969 | MinPriceIncrement | PRICE9 | Price |
| Minimum constant tick for the instrument |
| 9787 | DisplayFactor | Decimal9 | float |
| Contains the multiplier to convert the CME Globex display price to the conventional price. |
| 996 | UnitOfMeasure | UnitOfMeasure | String |
| Unit of measure for the products' original contract size. This will be populated for all products listed on CME Globex |
| 1147 | UnitOfMeasureQty | Decimal9NULL | Qty |
| This field contains the contract size for each instrument. Use in combination with tag 996-UnitofMeasure |
| 1150 | TradingReferencePrice | PRICENULL9 | Price |
| Trading Reference price |
| 5796 | TradingReferenceDate | LocalMktDate | LocalMktDate |
| Indicates session date corresponding to the price in tag 1150-TradingReferencePrice |
| 1149 | HighLimitPrice | PRICENULL9 | Price |
| Allowable high limit price for the trading day |
| 1148 | LowLimitPrice | PRICENULL9 | Price |
| Allowable low limit price for the trading day |
| 1143 | MaxPriceVariation | PRICENULL9 | Price |
| Differential value for price banding |
| 2714 | FinancialInstrumentFullName | LongName | String |
| Long name of the instrument |
| 9736 | PartyRoleClearingOrg | String5 | String |
| Clearing organization |
| 916 | StartDate | LocalMktDate | LocalMktDate |
| Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral |
| 917 | EndDate | LocalMktDate | LocalMktDate |
| End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral |
| 788 | TerminationType | String8 | String |
| For Repos the timing or method for terminating the agreement. For US, there are 2 Terms - Cash and Reg. For those 2 term codes there can be multiple period code combinations - 1 Week, 2 Week or 2 Month, 3 Month, etc. For EU there are Overnight, Tomorrow, Spot and Corporate types. For those 4 term codes there can be multiple period code combinations - 1 Week, 2 Week or 2 Month, 3 Month, etc.
Type | Examples |
|---|
US - Overnight Cash | C |
| C-1W |
| C-1M |
| C-1Y | US - REG | REG |
| REG-1W |
| REG-1M |
| REG-1Y | US - Cash with repo end date as 12/31 | C-12/31 | EGB – Overnight | O |
| O-W |
| O-M |
| O-Y | EGB – Tomorrow | T-N |
| T-W |
| T-M |
| T-Y | EGB - Spot | S-N |
| S-W |
| S-M |
| S-Y | EGB - Spot with 12/31 end Date | S-12/31 | EGB – Corporate | C-N |
| C-W |
| C-M |
| C-Y |
|
| 762 | SecuritySubType | RepoSubType | int | 0=Special
1=GC
2=GCForDBV | Repo Sub Security Type
Special=Repo on a single underlying instrument for which we will generate start cash/end cash based on the underlying price and repo rate GC=Repo on a single or basket of eligible underlyings that will require allocation at BrokerTec GCForDBV=Repo on a single or basket of eligible underlyings that will require allocation outside of BrokerTec, such as at the clearer/triparty agent, etc |
| 37714 | MoneyOrPar | MoneyOrPar | int |
| Money or Par indicates if the GC is filled by par amount or by money amount |
| 37715 | MaxNoOfSubstitutions | uInt8 | int |
| Max number of substitutions allowed. The value of 0 indicates that substitutions are not allowed |
| 1196 | PriceQuoteMethod | String5 | String | | Price quotation method |
| 9779 | UserDefinedInstrument | UserDefinedInstrument | char | Y=User defined instrument
N=Not a user defined instrument | User-defined instrument flag |
37721 | RiskSet | String6 | String |
| Risk Set identifies the list of instruments sharing credit limits set up |
37722 | MarketSet | String6 | String |
| Market Set defines the bilateral relationship and Self Match Prevention configuration for eligible markets |
37513 | InstrumentGUID | uInt64NULL | int |
| Global unique instrument identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. Currently unavailable for futures and options instruments. |
| 37716 | TermCode | String20 | String |
| Full Repo Term Code |
| 6651 | BrokenDateTermType | uInt8NULL | int | Null = Not applicable
0 = Custom
1 = Quarterly
2 = Monthly | Optionally used in tailor-made repo contracts and defines the type of broken dates as requested by trader. Null = Not applicable, 0 = Custom, 1 = Quarterly, 2 = Monthly |
| Repeating Group 1 |
| 864 | NoEvents | NuminGroup |
|
| Number of repeating entries. |
| →865 | EventType | EventType | int | 5=Activation
7=Last eligible trade date | Code to represent the type of event |
| →1145 | EventTime | uInt64 | UTCTimestamp |
| Date and Time of Instrument Activation or Last Trade Datetime event sent as number of nanoseconds since Unix epoch |
| Repeating Group 2 |
| 1141 | NoMDFeedTypes | NuminGroup |
|
| Number of repeating entries. |
| →1022 | MDFeedType | MDFeedType | String |
| Describes a class of service for a given data feed. GBX- Real Book, GBI-Implied Book |
| →264 | MarketDepth | Int8 | int |
| Book depth |
| Repeating Group 3 |
| 870 | NoInstAttrib | NuminGroup |
|
| Number of repeating entries. |
| →871 | InstAttribType | InstAttribType | int | 24=Eligibility | Instrument eligibility attributes |
| →872 | InstAttribValue | InstAttribValue | MultipleCharValue |
| Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain. Bitmap field of 32 Boolean type indicators: 0 (least significant bit): Electronic Match Eligible 1: Order Cross Eligible 2: Block Trade Eligible 3: EFP Eligible 4: EBF Eligible 5: EFS Eligible 6: EFR Eligible 7: OTC Eligible 8: iLink Mass Quoting Eligible 9: Negative Strike Eligible 10: Negative Price Eligible 11: Is Fractional (indicates product has fractional display price) 13: RFQ Cross Eligible 14: Zero Price Eligible 15: Decaying Product Eligibility 16: Variable Quantity Product Eligibility 17: DailyProduct Eligibility 18: GT Orders Eligibility (Previously Tag 827) 19: Implied Matching Eligibility (Previously tag 1144) 21: Variable Cabinet Eligible 22: Inverted Book 23: All or None Instrument 24-31 – Reserved for future use |
| Repeating Group 4 |
| 1234 | NoLotTypeRules | NuminGroup |
|
| Number of repeating entries. |
| →1093 | LotType | Int8 | int | 2=minimum order entry quantity for an instrument
5=order quantity increment | This tag is required to interpret the value in tag 1231-MinLotSize. |
| →1231 | MinLotSize | DecimalQty | Qty |
| If tag 1093-LotType=2, this value is minimum quantity accepted for order entry.
If tag 1093-LotType=5, the 1231-MinLotSize is order quantity increment. For example, if 1093-LotType=2 & 1231-MinLotSize orders may be entered in increments of 2. Therefore, order sizes of 1, 3, 5, etc can be entered. |
| Repeating Group 5 |
| 711 | NoUnderlyings | NuminGroup |
|
| Number of repeating entries. |
| →311 | UnderlyingSymbol | UnderlyingSymbol | String |
| Underlying Instrument Symbol (Short Name). When the underlying is a Globex listed Fixed Income instrument this value will be the same as that contained in Security Definition Tag 55-Symbol of the underlying instrument |
| →309 | UnderlyingSecurityID | Int32NULL | int |
| Underlying Security ID as qualified by tag 305-UnderlyingSecurityIDSource. Provided only if the underlying is a Globex listed instrument, this value will be the same as that contained in Security Definition Tag 48-SecurityID. |
| →305 | UnderlyingSecurityIDSource | SecurityIDSource | char |
| Identifies the class or source of UnderlyingSecurityID Tag 309 value. Always '8' for CME assigned IDs |
| →458 | UnderlyingSecurityAltID | String12 | String |
| Underlying Alternate Security identifier value as qualified by Tag 305-UnderlyingSecuityAltIDSource (e.g. CUSIP, ISIN, etc). For Repo special will contain underlying CUSIP or ISIN. For GC Repo may contain a synthetic CUSIP or ISIN representing a basket |
| →459 | UnderlyingSecurityAltIDSource | SecurityAltIDSource | int | 1=CUSIP
4=ISIN | Identifies class or source of the UnderlyingSecurityAltID (458) value |
| →2720 | UnderlyingFinancialInstrumentFullName | LongName | String |
| Long Name of the Underlying Instrument. For the instruments listed on Globex this value will be the same as of that contained in Security Definition Tag 2714-FinancialInstrumentFullName |
| →310 | UnderlyingSecurityType | SecurityType | String | TBOND = US Treasury Bond TBILL = US Treasury Bill TNOTE = US Treasury Note TB = Non-US Treasury Bill SOV = UK Gilts EUSOV= EGB (Euro Government Bonds) EUSUP=Euro Supranational SUPRA= US Supranational FAC = Non-mortgaged backed Agency Securities FADN = Agency Discount Notes TIPS = Treasury Inflation-Protected Securities TINT = U.S. Treasury STRIPS CLBSKT = GC basket with mixed instrument types | Underlying Security Type |
| →592 | UnderlyingCountryOfIssue | CountryCode | String |
| Underlying Security's CountryOfIssue. See CountryOfIssue (470) field for description |
| →306 | UnderlyingIssuer | String25 | String |
| Underlying Security's Issuer. See Tag 106-Issuer field for description |
| →37717 | UnderlyingMaxLifeTime | uInt8NULL | int |
| Max life time of the underlying instruments qualifying for the GC basket in number of year. Will contain null value for Repo specials |
| →37718 | UnderlyingMinDaysToMaturity | uInt16NULL | int |
| Minimum days to maturity remaining of the underlying instruments to qualify for GC basket. Will contain null value for Repo specials |
| →37519 | UnderlyingInstrumentGUID | uInt64NULL | int |
| Underlying GUID. For Repo specials populated with individual instrument GUID of the underlying security. For GC Repo, will be populated with Basket GUID. |
| →542 | UnderlyingMaturityDate | LocalMktDate | LocalMktDate |
| Underlying Security's Maturity Date. Will be populated with Maturity Date of the underlying security instrument for Repo Specials only |
| Repeating Group 6 |
| 1647 | NoRelatedInstruments | NuminGroup |
|
| Number of repeating entries. |
→1650 | RelatedSecurityID | Int32 | int |
| Related Security ID.Used to correlate Repos and AON Repos. For regular Repo contract will contain SecurityID of AoN Repo for the same underlying product, term, start and end dates. And vice versa - for AoN Repo will contain the related regular Repo SecurityID |
→1651 | RelatedSecurityIDSource | SecurityIDSource | char |
| Related Security ID Source |
→1649 | RelatedSymbol | Symbol | String |
| Related Instrument Symbol |
→37724 | RelatedInstrumentGUID | uInt64NULL | int |
| Related Instrument GUID |
| Repeating Group 7 |
| 39026 | NoBrokenDates | NuminGroup |
|
| This group indicates the number of broken dates and references individual broken contracts in user defined tailor made repo. Applicable only to tailor made repos requested by traders with broken dates |
| →39031 | BrokenDateGUID | uInt64 | int |
| External unique broken date Instrument ID |
| →39027 | BrokenDateSecurityID | Int32 | char |
| Broken date Instrument Globex Security ID |
| →6748 | BrokenDateStart | LocalMktDate | LocalMktDate |
| Start date of a broken date period |
| →6741 | BrokenDateEnd | LocalMktDate | LocalMktDate |
| End date of a broken date period |