Page Comparison

MultipleCharValue

examples:

• 10000000 – Security Definition message is the last message of the event
• 00000000 – Security Definition is not the last message of the even

int

Total number of instruments in the Replay loop.

Used on Replay Feed only.

char

• A=Add
• D=Delete
• M=Modify

Included in the message on the Incremental feed when a mid-week deletion or modification (i.e. extension) occurs.

Add represents Security Definition messages that are:

• Newly added during the current week
• Disseminated during the Sunday Startup period
• Resent by the system during the week

Modify represents modifications to a Security Definition

Delete represents deletions of a Security Definition

• A=Add
• D=Delete
• M=Modify

UTCTimestamp

int

• 2=Trading Halt
• 4=Close            
• 15=New Price Indication                       
• 17=Ready to trade
• 18= Not available for trading
• 20=Unknown or Invalid       
• 21=Pre Open  
• 24=Pre-Cross
• 25=Cross
• 26=Post Close             
• 103=No Change

int

int

Identifies the market segment.

Populated for all CME Globex instruments.

int

• 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

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

Exchange

• XCBT=Chicago Board of Trade 
• XCME=Chicago Mercantile Exchange 
• XNYM=New York Mercantile Exchange 
• XCEC= COMEX (Commodities Exchange Center) 
• XMGE=Minneapolis Grain Exchange 
• DUMX=Gulf Mercantile Exchange 
• XKLS=Bursa Malaysia 
• XKFE=Korea Exchange 
• NYUM=XNYM-DUMX inter-exchange spread 
• MGCB=XMGE-XCBT inter-exchange spread
• CBCM=XCME-XCBT inter-exchange spread
• XFXS=CME FX Link spread
• GLBX=FX Spot leg

Exchange used to identify a security:

• XCBT=Chicago Board of Trade 
• XCME=Chicago Mercantile Exchange 
• XNYM=New York Mercantile Exchange 
• XCEC= COMEX (Commodities Exchange Center) 
• XMGE=Minneapolis Grain Exchange 
• DUMX=Gulf Mercantile Exchange 
• XKLS=Bursa Malaysia 
• XKFE=Korea Exchange 
• NYUM=XNYM-DUMX inter-exchange spread 
• MGCB=XMGE-XCBT inter-exchange spread
• CBCM=XCME-XCBT inter-exchange spread
• XFXS=CME FX Link spread
• GLBX=FX Spot leg
• BTEC=BrokerTec US
• BTEE=BrokerTec EU (UK Gilts & Notes)
• BTAM=BrokerTec Amsterdam (All EU except UK Gilts & Notes)

String

String

String

int

Unique instrument ID as qualified by the exchange per tag 22-SecurityIDSource.

The unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.

char

Identifies source of tag 48-SecurityID value. This value is always 8 for CME is required if tag 48-SecurityID is specified.

String

Security Type:

• FUT=Future or Future Spread
• OOF=Options on Futures or Options on Futures Spread
• MLEG=Spread with mixed type leg
• IRS=Interest Rate Swaps
• FXSPOT=FX Spot
• TBOND=US Treasury Bond
• TBILL=US Treasury Bill
• TNOTE=US Treasury Note
• TB=Non-US Treasury Bill
• TBA=To Be Announced
• SOV=UK Gilts
• EUSOV= EGB (Euro Government Bonds)
• EUSUP=Euro Supranational
• SUPRA= US Supranational
• REPO=REPO instruments
• TIPS=Treasury Inflation-Protected Securities
• TINT=U.S. Treasury STRIPS

String

ISO standard instrument categorization code.

Currently not supported in futures and options markets. Consult CME Reference Data API Version 3 for CFI values.

MonthYear

This field 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 4^th week contracts, 2019124).

Currency

Currency

char

Matching algorithm

• F=First In, First Out (FIFO)
• K=Configurable
• C=Pro-Rata
• A=Allocation
• T=FIFO with LMM
• O=Threshold Pro-Rata
• S=FIFO with TOP and LMM
• Q=Threshold Pro-Rata with LMM
• Y=Eurodollar options

Qty

Qty

Price

Minimum constant tick for the instrument.

For VTT-eligible products, this tag will contain 'NULL' for Options and '0' for User Defined Spreads (UDS).

float

int

int

int

Number of digits to the right of tick mark; location of tick mark between whole and non-whole numbers.

Example: where tag 9800=3, display fractional price as: 112'200

String

Unit of measure for the products' original contract size. This will be populated for all products listed on CME Globex

Qty

This field contains the contract size for each instrument. Use in combination with tag 996-UnitofMeasure. 
For example:

Eurodollar futures 
-Tag 1147=2500
-Tag 996=USD 

Live Cattle futures 
-Tag 1147=40000 
-Tag 996=LBS 

For variable-quantity products, the contract size reflects the original contract size, before the application of the multiplier

Price

MultipleCharValue

Qty

Qty

Price

Allowable high limit price for the trading day.

A key parameter in validating order price.

Used as the upper band for validating order prices. Orders submitted with prices above the upper limit will be rejected.

This price protects off prices for quoting.

Note: This value is indicative only and may not reflect the actual real-time high limit price.

Price

Allowable low limit price for the trading day.

A key parameter in validating order price.

Used as the lower band for validating order prices. Orders submitted with prices below the lower limit will be rejected.

This price protects off prices for quoting.

Note: This value is indicative only and may not reflect the actual real-time low limit price.

Price

Qty

LocalMktDate

Qty

int

Number of deliverable units per instrument, e.g., peak days in expiration month or number of calendar days in expiration month.

The market data Security Definition (tag 35-MsgType=d) message for the variable quantity spread will be populated with the value '0' for tag 231-ContractMultiplier.

The market data Security Definition (tag 35-MsgType=d) message is populated with values for the outright legs for tag 231-ContractMultiplier and customers must extract this value.

int

Indicates the type of multiplier being applied to the product. Optionally used in combination with tag 231-ContractMultiplier.

• 1=multiplied by hour 
• 2=multiplied by day

int

The schedule according to which the electricity is delivered in a physical contract, or priced in a financial contract. Specifies whether the contract is defined according to the Easter Peak, Eastern Off-Peak, Western Peak or Western Off-Peak.

• 0=NERC Eastern Off-Peak 
• 1=NERC Western Off-Peak 
• 2=Calendar-All Days in month 
• 3=NERC Eastern Peak 
• 4=NERC Western Peak

Price

Currently under development.

char

Identifies user-defined instruments.

• Y=User defined instrument 
• N=Not a user defined instrument

LocalMktDate

Trading Session Date corresponding to the settlement price in tag 1150-TradingReferencePrice. Sent in number of days since Unix epoch.

May contain null value when Trading Reference Price is not available for the instrument.

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.

• 5=Activation
• 7=Last eligible trade date

Code to represent the type of event

• 5=Activation 
• 7=Last eligible trade date

Describes a class of service for a given data feed. 

• GBX=CME Globex Book Depth 
• GBI=CME Globex Implied Book Depth

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: SEFRegulated (1=ON-SEF, 0=OFF-SEF)
• 25: MTFRegulated (1=ON-MTF, 0=OFF-MTF)
• 26: eFixInstrument (1=eFix Instrument)
• 28-31 – Reserved for future use

This tag is required to interpret the value in tag 1231-MinLotSize

• 2=minimum order entry quantity for an instrument
• 3=the minimum qty required for a block trade
• 4=Round lot (Variable Quantity Products)