1

header

2

→ messageType

Message Type

string

• TRD (Trade Summary)

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

→ tradeSummary

19

→ → aggressorSide

Aggressor Side

string

• BUY (Buy)

• NO_AGGRESSOR (No aggressor)

• NULL (Null)

• SELL (Sell)

ALWAYS

Indicates which side is aggressor of the trade. If there is a zero value present, then there is no aggressor. Trades without aggressors occur:

• At Market Open

• after a Pre-Open or after a Pause

• When the event includes customer order participation in a trade with a CME Globex-generated implied bid or offer.

20

→ → mdTradeEntryId

Market Data Trade Entry ID

string

ALWAYS

Common Trade ID that links each trade execution.

21

→ → orderQty

22

→ → → lastOrdQty

Order Quantity

string

ALWAYS

Quantity of order

23

→ → → orderId

Venue Order ID

string

ALWAYS

Unique ID assigned by CME Globex to identify orders.

24

→ → tradeOrderCount

Trade Order Count

string

ALWAYS

Identifies the total number of non-implied orders per instrument that participated in a match event.

25

→ → tradePrice

Trade Price

string

ALWAYS

26

→ → tradeQty

Trade Quantity

string

ALWAYS

Quantity of trade

27

→ → tradeUpdateAction

Trade Update Action

string

• DELETE (Delete)

• NEW (New)

• UPDATE (Update)

ALWAYS