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The CME Cross Currency API is a REST API that provides access to EUR/USD Cross Currency data, which measures the basis point deviation from the covered interest rate parity implied forward FX price.

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Additional Resources

EUR/USD Cross Currency Basis Index

Onboarding

CME Cross Currency API uses OAuth authentication, an open protocol that supports secure authorization in a simple, standard method and decouples authentication from authorization.

See also: 

More details about OAuth API ID authorization and authentication are available in Client API Service Adoption using OAuth 2.0 Protocol

Authorization and Entitlement

A registered AnchoroauthoauthOAuth API ID is required to access the CME Cross Currency  API services. API IDs for CME Group Logins are created and managed in the CME Customer Center - My Profile menu. Client API IDs must also be entitled prior to accessing CME Cross Currency API.

Complete the step(s) that are applicable to your account:

New Clients

Clients with Existing CME Group Logins

  1. Create a CME Group Login.

  2. After creating and activating a CME Group Login ID, login to CME Customer Center under My Profile and create an OAuth API ID.

  1. Login to CME Customer Center and under My Profile create an OAuth API ID.

InfoClient API IDs must be entitled to access the CME Cross Currency API. To request access to the CME Cross Currency API client can use self-service onboarding

.

To access the CME Cross Currency API, client API IDs must be entitled. Request access from the CME Group Market Data API self-service onboarding page or contact Global Account Management (GAM).

 Testing

Testing and Certification

Certification for CME Cross Currency API is not required. 

Access CME Cross Currency API

To access the CME Cross Currency API endpoints in the Production environment, an OAuth API ID and access token are required.

OAuth 2.0 Authorization Server Access Token Retrieval Endpoints

The below OAuth 2.0 authorization server endpoint is available to request and refresh access tokens in the Production environment:

Detail

Production

OAuth Token Endpoint

https://auth.cmegroup.com/as/token.oauth2

Info

Tokens will expire after 30 minutes.

Base URL for Cross Currency API

Below are the base URLs to access the CME Cross Currency API endpoints:

Environment

Base URL

Production

https://markets.api.cmegroup.com/xccy/v1/

Availability

The CME Cross Currency API is available 24 hours a day, 7 days a week. Clients systems should consider all returned data to be accurate at the time of the request submission.

The latest index rates will publish and be available at approximately 3:10 PM UTC daily, Monday through Friday with exceptions based on the CME holiday calendar. The data should arrive on the REST API within about 5 seconds of print.

Accessing CME Cross Currency API

This section describes the message specifications and URLs to access CME Cross Currency API.

CME Cross Currency API URLs

Below are the base URLs to access the CME Cross Currency API endpoints:

Environment

Base URL

Production

https://markets.api.cmegroup.com/xccy/v1/

Message Specifications

The business message specifications for

CME Cross Currency API business message specifications are available below.

  • The Path value, prefixed with Base URL, will be a specific end point for the HTTPS GET request.

  • Each HTTPS GET call must have the header parameter "Authorization" with value "Bearer" pre-pended to the OAuth token (including a space separator).
    example: "Bearer <Oauth Access token>" 

Name

Path

Method

Description

Cross Currency API - Latest

/latest

GET

Gets the Latest Cross Currency Index Value for the current date. 

Accepts the below requests/inputs: 

  1. If no arguments / parameters are provided -> Returns Cross Currency Index Value the current date.

  2. If the Product (productCode) is provided -> Returns the requested product with the latest Cross Currency Index Value.

Cross Currency API - History

/history

GET

Gets historical Cross Currency Index Value based on a single date or range of dates provided by the customer. By default returns all historical Cross Currency Index Values.

Accepts the below requests/inputs:

  1. If both (startDate) and (endDate) fields are provided -> Returns an inclusive range between customer-provided (startDate) and (endDate).

  2. If (startDate) field is provided but no (endDate) field -> The (endDate) field will be defaulted to today/current-date. Returns Cross Currency Index Value between the range of the specified (startDate) and today/current-date.

  3. If (endDate) field provided but no (startDate) field -> Returns all Cross Currency Index Value up to customer-provided (endDate).

  4. If no Date fields are provided -> Returns all historical Cross Currency Index Value based on the customer-provided product codes leading up to today/current-date.

  5. If no arguments / parameters are provided -> Returns all historical Cross Currency Index Value leading up to today/current-date.

  6. If only (date) field is provided -> Returns the Cross Currency Index Value for the customer-provided date.

  7. If date (field) is provided with (startDate) or (endDate) -> The date field takes precedence. Returns the Cross Currency Index Value for the customer-provided date.

  8. If all 3 Date fields are provided -> The (date) field takes precedence. Returns the Cross Currency Index Value for the customer-provided date.

Pagination

To make responses more manageable, CME Cross Currency API returns results in pages.
The metadata "type" will return page.

By default, 1000 results per page are included, displayed results per page can be requested (up to 2000) using the pagesize parameter. 

CME Cross Currency API also supports a pagenumber parameter to allow clients to view a specific page in the result set.

If pagination (page and size values) is passed in the URL explicitly, then the same will be used to retrieve data.

Name

Description

Additional Details

pagesize

Number of results returned per page

Optional query parameter.

  • The maximum size value is 2000 and the minimum size value is 1.

  • If size is not specified, the default is 1000.

  • If size is specified but is less than 1 (e.g., size=0 or size=-9 ), the default of 1000 is used.

    • If size is specified but is greater than 2000 (e.g., 3000), 2000 will be used.

    Response Metadata fields

    The following information describes the metadata JSON element on the response payload to client systems.

    Field

    Description

    Usage

    pageSize

    Maximum number of data elements in the JSON result set or page.

    Defaults to 1000 with a maximum of 2000.

    Can be used as a query parameter to limit the number of elements returned per request.

    E.g. /history?pageSize=500

    totalPages

    Total number of pages in the full result set.

     

    pageNumber

    The current page in the set of pages.

    If totalPages is greater than 1, pageNumber is used to navigate to the next page of the result set.

    E.g. /history?pageNumber=2 (retrieve the second page in the data set)

    totalElements

    Value indicates the total Elements in the full data set.

     

    type

    Type of JSON data set

    Always set to value “page”

    elementsInReponse

    Number of data elements in the JSON result set or page.

     

    Contact Information

    For production requests, contact the Global Command Center (GCC).

    For other inquiries, contact Global Account Management (GAM).