1

header

2

→ messageType

Message Type

string

• STAT (Trade Statistics)

ALWAYS

Denotes trade summary message.

3

→ sentTime

Sent Timestamp

timestamp

ALWAYS

CME MDP gateway sends the message (UTC).

4

→ sequenceNumber

sequence Number

string

ALWAYS

System generated per session. Message sequence will increment upwards as messages are published. Gaps in the sequence number may indicate that client applications are dropping messages due to slow consumption rates.

5

→ version

API Version

string

• 1.0 (1.0)

ALWAYS

6

payload

7

→ instrument

8

→ → definitionSource

Instrument Definition Source

string

• E (Exchange Defined)

• U (User Defined)

ALWAYS

Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined.

9

→ → exchangeMic

Exchange MIC

string

• DUMX (Gulf Mercantile Exchange)

• XCBT (Chicago Board of Trade)

• XCEC (COMEX (Commodities Exchange Center))

• XCME (Chicago Mercantile Exchange)

• XNYM (New York Mercantile Exchange)

ALWAYS

Exchange used to identify a security.

10

→ → id

Instrument ID

string

ALWAYS

Unique instrument ID as qualified by the exchange per market segment. The unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.

11

→ → marketSegmentId

Market Segment ID

string

ALWAYS

Identifies the market segment. Populated for all CME Globex instruments.

12

→ → periodCode

Instrument Period Code

string

ALWAYS

This field provides the calendar month reflected in the instrument symbol. Format YYYYMM (e.g., 201912) 

For futures spreads, this field contains the first leg's calendar month reflected in the instrument symbol.

13

→ → productCode

Instrument Product Code

string

ALWAYS

String field that indicates the underlying asset code (Product Code). Example: GE (Eurodollars), ES (E-Minis).

14

→ → productGroup

Product Group Code

string

ALWAYS

15

→ → productType

Product Type

string

• FUT (Future)

• OOF (Option)

• OPT (Option)

ALWAYS

16

→ → symbol

Instrument Symbol

string

ALWAYS

17

→ lastUpdateTime

Last Update Timestamp

timestamp

ALWAYS

18

→ tradeStatistics

19

→ → clearedVolume

Open Interest Quantity

int32

OPTIONAL

20

→ → clearedVolumeDate

Settlement Price Date

string

OPTIONAL

21

→ → clearedVolumeTimestamp

Settlement Price Timestamp

int32

OPTIONAL

22

→ → openInterest

Open Interest Quantity

int32

OPTIONAL

23

→ → openInterestDate

Settlement Price Date

string

OPTIONAL

24

→ → openInterestTimestamp

Settlement Price Timestamp

int32

OPTIONAL

25

→ → settlementActual

Settlement Actual Indicator

boolean

OPTIONAL

26

→ → settlementFinal

Settlement Final Indicator

boolean

OPTIONAL

27

→ → settlementPrice

Settlement Price

double

OPTIONAL

28

→ → settlementPriceDate

Settlement Price Date

string

OPTIONAL

29

→ → settlementPriceTimestamp

Settlement Price Timestamp

timestamp

OPTIONAL

30

→ → settlementRounded

Settlement Rounded Indicator

boolean

OPTIONAL