CME Data Insights is a suite of Simple of Simple Binary Encoding (SBE) market data channels. The The Settlements and Valuations channels provide robust market data across data across CME Globex, OTC and floor venues:

Futures and Options Settlements
Theoretical Valuations for Futures and Options instruments without volume or open interest
Fixing prices
Marker prices
End of day High/Low prices
Cleared volume and open interest
AIR TRF Funding Values
Eris B and C datasets
CME, CBOT, NYMEX and COMEX channel support

Theoretical valuations is a type of data produced by CME Group for futures and options products without volume, open interest or underlying pricing required for Clearing products. Theoretical valuations are the true asset values that can be used for margin modeling, compliance, risk management and firms' other specific needs where settlements are not generated. Sourcing Theoretical Valuations directly from CME Group provides customers with certainty as the data points are validated by the exchange.

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Certification is mandatory for Settlements and Valuations.

Settlements and Valuations Data Overview

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Settlements and Valuations Data

The following section provides information on the data provided on Settlements and Valuations.

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Settlements

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Final/Preliminary settlements
Settlement at Trading Tick
Settlement at Clearing Tick
Settlement at Cabinet Price

Info
For a settlement price overview, refer to the Settlement Prices topic.

Syntax for Settlement Prices

Tag

FIX Name

Format

Valid Values

Description

279

MDUpdateAction

Char

0 = New

Market data update action.

269

MDEntryType

Char

6 = Settlement/Theoretical Valuation Price

Identifies price as a settlement or valuation price.

9732

FormattedLastPx

Price

Price in Clearing decimal format.

270

MDEntryPx

Price

Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex

731

SettlPriceType

String

Bit 0: (least significant bit):

1=Final

0=Preliminary

Bit 1:

1=Actual

0=Theoretical Valuation

Bit 2:

1=Settlement at Trading Tick

0=Settlement at Clearing Tick

Bit 3:

1=Intraday

0=Undefined

Bit 4:

1=Settle At Cabinet

0=Undefined

Bit 5 :

1=FinalFinal

0=Undefined

Bit 6: Reserved for future use

Bit 7:

0=not NULL

1=entire set is a NULL

Bitmap field of eight Boolean type indicators representing settlement or valuation price type. Example values:

Binary Code value of 731	Description
00000110	Preliminary Actual Settlement at Trading Tick
00000010	Preliminary Actual Settlement at Clearing Tick
00000111	Final Actual Settlement at Trading Tick
00000011	Final Actual Settlement at Clearing Tick
00010011	Final Actual Cabinet Settlement at Clearing Tick

5796

TradingReferenceDate

LocalMktDate

Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.

Settlement at Trading Tick / Settlement at Clearing Tick

If no rounding occurs (the product is not subject to rounding and the CME Globex trading tick is the same as the settlement tick for the product), a single Market Data Incremental Refresh (tag 35-MsgType=X) message is sent on the incremental feed with:

tag 269-MDEntryType = 6 (Settlement Price)
tag 270-MDEntryPx = the CME Globex price value on the CME Clearing settlement tick
tag 9732-FormattedLastPx = Clearing price value
tag 731-SettlPriceType Bit 2 = 0 (Settlement at Clearing Tick)
tag 5796-TradingReferenceDate

If rounding occurs, two Market Data Incremental Refresh (tag 35-MsgType=X) messages are sent on the Incremental feed.

Message with unrounded price value:

tag 269-MDEntryType=6 (Settlement Price)
tag 270-MDEntryPX = the CME Globex price value on CME Clearing settlement tick
tag 9732-FormattedLastPx = Clearing price value
tag 731-SettlPriceType Bit 2 = 0 (Settlement at Clearing Tick)
tag 5796-TradingReferenceDate

Message with rounded price value:

tag 269-MDEntryType=6 (Settlement Price)
tag 270-MDEntryPX = CME Globex price value rounded to CME Globex trading tick
tag 9732-FormattedLastPx= Clearing price value
tag 731-SettlPriceType Bit 2 = 1 (Settlement at Trading Tick)
tag 5796-TradingReferenceDate

Theoretical Valuations

Theoretical valuations is a type of data produced by CME Group for futures and options products without volume, open interest, or underlying pricing required for Clearing products. Theoretical valuations are the true asset values that can be used for margin modeling, compliance, risk management and firms' other specific needs where settlements are not generated. Sourcing Theoretical Valuations directly from CME Group provides customers with certainty as the data points are validated by the exchange.

Theoretical Valuations - Futures

The following futures diagram illustrates how Settlements (blue) are complimented by Theoretical Valuations (orange) produced by CME Group:

Image Modified

Theoretical Valuations - Options

The following diagram illustrates how 5x-8x the number of option valuations are sent compared to settlements previously sent.

Image Modified

Syntax for Theoretical Valuations

Tag	FIX Name	Format	Valid Values	Description
279	MDUpdateAction	Char	0	New market data update action.
269	MDEntryType	Char	6 = Settlement/Theoretical Valuation Price	Settlement/Theoretical Valuation Price
731	SettlPriceType	uInt8	00000000	SettlPriceType Zero Bit = Preliminary (0) SettlPriceType One Bit = Theoretical Valuation (0)
9732	FormattedLastPx	Price		Price in Clearing decimal format.
270	MDEntryPx	Price		Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex
5796	TradingReferenceDate	LocalMktDate		Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.

End of Day Session High/Low

The end of day High-Low message is sent on Settlements and Valuations channels. They are a summary of the CME Globex and open outcry session. The value is based on prior day settlement and different than CME Globex, which is based on session activity.

Syntax for High/Low

Tag	FIX Name	Format	Valid Values	Description
279	MDUpdateAction	Char	0	New market data update action.
269	MDEntryType	Char	7 = High/Low	High/Low
333	LowPx			Low Price in Clearing price format. High/Low cabinet values will send a price of zero.
37525	LowPxInd		A = Ask B = Bid T = Trade	Low price origin indicator
332	HighPx			High Price in Clearing price format. High/Low cabinet values will send a price of zero.
37524	HighPxInd		A = Ask B = Bid T = Trade	High price origin indicator
5796	TradingReferenceDate	LocalMktDate		Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.

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Fixing prices are sent on Settlements and Valuations channels.

Syntax for Fixing/Marker Prices

Tag	FIX Name	Format	Valid Values	Description
279	MDUpdateAction	Char	0	Type of Market Data update action.
269	MDEntryType	Char	W = Fixing/Marker	Type of Market Data Entry.
270	MDEntryPx	Char		Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex
9732	FormattedLastPx	Price		Price in Clearing decimal format.
5796	TradingReferenceDate	LocalMktDate		Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.
2455	MDStatisticDesc	String		Description of the fixing price.

Fixing Price Examples

To determine fixing prices, client systems must utilize the Clearing product code (tag 37500-ClearingProductCode), fixing description (tag 2455-MDStatisticDesc) and exchange (tag 207-SecurityExchange) to determine the fixing and timing for FX and equity products. The table below provides examples.

Example Settlements and Valuations Fixing Name tag 2455-MDStatisticDesc	Clearing Product Code tag 37500-ClearingProductCode	Exchange tag 207-SecurityExchange
4 PM NYC	ES	CME
3 PM JPN	ES	CME
11 AM CHI	AD	CME
3 PM CHI	AD	CME

Marker Prices

Marker prices are sent on Settlements and Valuations channels. Marker prices are sent with the same tag attributes as either fixing prices (MDEntryType tag 269=W) or settlements (MDEntryType tag 269=6). Client systems can determine marker prices via the product codes. For example, CL1 (Singapore), CL2 (London) identify the marker prices. Marker price tickers can be obtained via CME Reference Data API.

Cleared Volume and Open Interest

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The Daily Financing Rate will be denoted as 269-MDEntryType=h and the Accrued Financing Rate will be denoted as 269-MDEntryType=i, via SBE template MDIncrementalRefreshSettle. The applicable trade date for the Values will be included in tag 5796-TradingReferenceDate.

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VALUE	SENDING TIME (CENTRAL TIME)	TAG 269-MDENTRYTYPE	TAG 731-SETTLPRICETYPE
Final Daily Funding Values for British Pound-denominated contracts	0430	h	00000001
Final Accrued Funding Value for British Pound-denominated contracts	0430	i	00000001
Final Daily Funding Values for USD-denominated contracts	0830	h	00000001
Final Accrued Funding Value for USD-denominated contracts	0830	i	00000001
Preliminary Daily Funding Value for GBP-denominated contracts	1045	h	00000000
Preliminary Accrued Funding Value for British Pound-denominated contracts	1045	i	00000000
Preliminary Daily Funding Values for USD-denominated contracts	1600 1640 (republish)	h	00000000
Preliminary Accrued Funding Value for USD-denominated contracts	1600 1640 (republish)	h	00000000

Settlements and Valuations Technology Overview

This section provides a technology overview of Settlements and Valuations.

Simple Binary Encoding (SBE)

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Eris B and C Datasets

Eris B&C datasets provide current pricing components, historical settlement and conversion data for Eris Swap Futures; an alternative to traditional Over the Counter Interest Rate Swaps (OTC IRS) currently offered by CME Group.

A - Swap NPV is excluded from this update
B - Past payments of fixed and floating coupons
C - Price alignment interest (accumulated daily SOFR interest on the sum of Swap NPV less today’s cash flows)

Updates are offered twice daily, approximately at 2:50 PM CT and 7:10 AM CT, during regular trading hours.

Settlements and Valuations Technology Overview

This section provides a technology overview of Settlements and Valuations.

Simple Binary Encoding (SBE)

Settlements and Valuations uses compact Simple Binary Encoding (SBE) optimized for low latency of encoding and decoding while minimizing bandwidth utilization. Concise message sizes are used but without the processing cost of compression. All FIX semantics are supported. The encoding standard is complimentary to other FIX standards for session protocol and application level behavior.

Channel Guide

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Name	Channel ID
CME Settlements and Valuations	251
CBOT Settlements and Valuations	252
NYMEX Settlements and Valuations	253
COMEX Settlements and Valuations	254

Recovery

The following section describes recovery services for Settlements and Valuations.

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UDP Feed A and UDP Feed B are used to disseminate CME Group incremental market data using SBE-encrypted FIX messages. All FIX message types are sent through both UDP Feed A and UDP Feed B applicable market data groups. This duality minimizes the chance of message loss due to UDP. Each SBE message is sent on both feeds.

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Client systems can recover specific messages that were missed using the sequence number and the TCP historical replay component. The TCP historical replay component allows systems to request a replay of a set of messages already published on the UDP Incremental Market Data Channel. The request specifies messages to replay. The request uses the SBE Market Data Request (tag 35-MsgType=V) message.

This type of request is sent through a new TCP connection established by client systems. The responses are sent by CME Group through this same connection and the connection is then closed by CME Group once the resend is complete. All responses are SBE-encoded (including the reject response).

The following restrictions apply when requesting messages via TCP Historical Replay:

A maximum of 2,000 messages can be requested per Market Data Request (35=V) message.
Only the current day's messages can be requested and resent.

SBE Channel Definitions

Settlements and Valuations has a separate schema and config.xml FTP location from CME Globex and streamlined market data.

Global TCP Recovery Schema

Settlements and Valuations utilizes a separate schema dedicated to TCP recovery templates.

Gliffy

name	MDP Global Schema
pagePin	7

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CME provides an FTP (https://www.cmegroup.com/ftp) and SFTP (sftpng.cmegroup.com) site to disseminate schema and market data configuration information. The FTP/SFTP site contains the schema and configuration files for all events. Schema and market data configuration details for the Production environment are only available to customers after the certification process is complete.

SBEFixNRCert/

Environment	Service	FTP/SFTP Site	Directory Location	Client System Update Schedule
New Release	Incremental Schema	(https://www.cmegroup.com/ftp) or (sftpng.cmegroup.com)	/SBEFix/NRCert/SettlementsValuations/Templates/	Sunday prior to market open
New Release	Configuration File	(https://www.cmegroup.com/ftp) or (sftpng.cmegroup.com)	/SBEFix/NRCert/SettlementsValuations/Configuration/
New Release	Global TCP Recovery Schema	(https:/	/	www.cmegroup.com/ftp) or (sftpng.cmegroup.com)	/SBEFix/NRCert/GlobalTCPRecovery/Templates/	Sunday prior to market open
Production	Incremental Schema	(https://www.cmegroup.com/ftp) or (sftpng.cmegroup.com)	/SBEFix/Production/SettlementsValuations/Templates/	Sunday prior to market open
Production	Configuration File	(https://www.cmegroup.com/ftp) or (sftpng.cmegroup.com)	/SBEFix/Production/SettlementsValuations/Configuration/
Production	Global TCP Recovery Schema	(https://www.cmegroup.com/ftp) or (sftpng.cmegroup.com)	/SBEFix/Production/GlobalTCPRecovery/Templates/	Sunday prior to market open

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This message is generated with Settlement, Theoretical Valuations, Marker, Fixing, and AIR TRF Funding Values prices.

Tag

FIX Name

Type

Valid Values

Description

60

TransactTime

uInt64

Start of event processing time in number of nanoseconds since Unix epoch

1683

MDSubFeedType

uInt16NULL

Describes a sub-class for a given class of service

Repeating Group 1

268

NoMDEntries

NumInGroup

→279

MDUpdateAction

0 = New

Indicates the type of Market Data update action

→269

MDEntryType

Char

6 = Settlement/Theoretical Valuation

W = Fixing Price

h = Daily Financing Rate

i = Accrued Financing Rate

Indicates the type of price

→7178

ProductGUID

uInt64NULL

Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields.

→37500

ClearingProductCode

String (12)

Clearing Product Code

→167

SecurityType

FUT = Future Outrights
OOF = Option on Future
OOC = Option on Combo
FWD = Forward

Identifies the type of instrument.

→207

SecurityExchange

String (8)

CBT = Chicago Board of Trade
CME = Chicago Mercantile Exchange
NYMEX = New York Mercantile Exchange
COMEX = COMEX (Commodities Exchange Center)

Security Exchange

→200

MaturityMonthYear

This tag provides the calendar month reflected in the instrument symbol (tag 55-Symbol). Format: YYYYMM (e.g. 201912)

For futures spreads and options spreads, this tag 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^thweek contracts, 2019124).

→201

PutOrCall

0=Put
1=Call

Indicates whether an option instrument is a put or call.

→202

StrikePrice

Decimal64

Option strike price in Clearing price format.

→37509

UnderlyingProductGUID

uInt64NULL

Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields.

→37510

UnderlyingClearingProductCode

String (12)

Underlying Clearing Product Code

→310

UnderlyingSecurityType

SecurityType

COMBO = Combo
FUT = Future Outrights
FWD = Forward

Identifies the type of the underlying instrument.

→308

UnderlyingSecurityExchange

String (8)

CBT = Chicago Board of Trade
CME = Chicago Mercantile Exchange
NYMEX = New York Mercantile Exchange
COMEX = COMEX (Commodities Exchange Center)

Underlying Security Exchange

→313

UnderlyingMaturityMonthYear

MaturityMonthYear

This tag 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 tag 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^thweek contracts, 2019124).

→55

Symbol

Contract name

→37513

InstrumentGUID

uInt64NULL

Global unique instrument identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields.

→48

SecurityID

uInt32NULL

Security ID. This value is only sent for CME Globex instruments. This field will be null for instruments not sent on CME Globex.

→9732

FormattedLastPx

Decimal64

Price in Clearing decimal format.

→270

MDEntryPx

PRICENULL9

Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex

→731

SettlPriceType

Bit 0:

1=Final Daily
0=Preliminary

Bit 1:

1=Actual
0=Theoretical Valuation

Bit 2:

1=Rounded
0=Unrounded

Bit 3

1=Intraday 0=Undefined

Bit 4:

1=SettleAtCab
0=Undefined

Bit 5:

1=FinalFinal
0=Undefined

Bit 6 is reserved

Bit 7

1=Entire set is NULL
0=not NULL

For Settlements, bitmap field of eight Boolean type indicators representing settlement or valuation price type. Example values:

Binary Code value of 731	Description
00000110	Preliminary Actual Settlement at Trading Tick
00000010	Preliminary Actual Settlement at Clearing Tick
00000111	Final Actual Settlement at Trading Tick
00000011	Final Actual Settlement at Clearing Tick
00010011	Final Actual Cabinet Settlement at Clearing Tick
00000000	Theoretical Valuation

Additionally a Bitmap indicator which specifies whether these are the final or preliminary air Funding Status values for the specified business date:

00000000 = Preliminary
00000001 = Final

→5796

TradingReferenceDate

LocalMktDate

Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.

→2455

MDStatisticDesc

String (40)

Description of the fixing price.

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Id	Field Name	Type	Valid Values	Description
60	TransactTime	uInt64		Start of event processing time in number of nanoseconds since Unix epoch
1683	MDSubFeedType	uInt16NULL		Describes a sub-class for a given class of service
Repeating Group 1
268	NoMDEntries	NumInGroup		Number of entries in Market Data message
→279	MDUpdateAction	MDUpdateActionNew	0 = New	Market Data update action
→269	MDEntryType	MDEntryCVOI	B = Cleared Volume and Open Interest	Market Data entry type
→7178	ProductGUID	uInt64NULL		Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields.
→37500	ClearingProductCode	String (12)		Clearing Product Code
→167	SecurityType	SecurityType	FUT = Future Outrights OOF = Option on Future OOC = Option on Combo FWD = Forward	Identifies the type of instrument.
→207	SecurityExchange	String (8)	CBT = Chicago Board of Trade CME = Chicago Mercantile Exchange NYMEX = New York Mercantile Exchange COMEX = COMEX (Commodities Exchange Center)	Security Exchange
→200	MaturityMonthYear	MaturityMonthYear		This tag 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^thweek contracts, 2019124).
→201	PutOrCall	PutOrCall	0=Put 1=Call	Indicates whether an option instrument is a put or call.
→202	StrikePrice	Decimal64		Option strike price in Clearing format
→37509	UnderlyingProductGUID	uInt64NULL		Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields.
→37510	UnderlyingClearingProductCode	String (12)		Underlying Clearing Product Code
→310	UnderlyingSecurityType	SecurityType	COMBO = Combo FUT = Future Outrights FWD = Forward	Identifies the type of the underlying instrument.
→308	UnderlyingSecurityExchange	String (8)	CBT = Chicago Board of Trade CME = Chicago Mercantile Exchange NYMEX = New York Mercantile Exchange COMEX = COMEX (Commodities Exchange Center)	Underlying Security Exchange
→313	UnderlyingMaturityMonthYear	MaturityMonthYear		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 tag 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^thweek contracts, 2019124).
→55	Symbol	Symbol		Contract name
→37513	InstrumentGUID	uInt64NULL		Global unique instrument identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields.
→48	SecurityID	uInt32NULL		Security ID. This value is only sent for CME Globex instruments. This field will be null for instruments not sent on CME Globex.
→5791	ClearedVolume	uInt32NULL		Cleared volume of the instrument reported for prior trading session referenced in tag 5796-TradingReferenceDate
→5792	OpenInterestQty	uInt32NULL		Open interest of the instrument reported for prior trading session referenced in tag 5796-TradingReferenceDate
→286	OpenCloseSettlFlag	CycleFlag	3 = Estimated 4 = Adjusted Actual	Estimated vs Actual flag
→5796	TradingReferenceDate	LocalMktDate		Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.

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High price origin indicator.

Id	Field Name	Type	Valid Values	Description
60	TransactTime	uInt64		Start of event processing time in number of nanoseconds since Unix epoch
1683	MDSubFeedType	uInt16NULL		Describes a sub-class for a given class of service
Repeating Group 1
268	NoMDEntries	NumInGroup		Number of entries in Market Data message
→279	MDUpdateAction	MDUpdateActionNew	0 = New	Indicates the type of Market Data update action
→269	MDEntryType	MDEntryTypeHighLow	7 = High/Low	Indicates the type of Market Data entry
→7178	ProductGUID	String (12)		Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields.
→37500	ClearingProductCode	String (12)		Clearing Product Code
→167	SecurityType	SecurityType	FUT = Future Outrights OOF = Option on Future OOC = Option on Combo FWD = Forward	Identifies the type of instrument.
→207	SecurityExchange	String (8)	CBT = Chicago Board of Trade CME = Chicago Mercantile Exchange NYMEX = New York Mercantile Exchange COMEX = COMEX (Commodities Exchange Center)	Security Exchange
→200	MaturityMonthYear	MaturityMonthYear		This tag 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 tag 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^thweek contracts, 2019124).
→201	PutOrCall	PutOrCall	0=Put 1=Call	Indicates whether an Option instrument is a put or call.
→202	StrikePrice	Decimal64		Option strike price in Clearing format.
→37509	UnderlyingProductGUID	uInt64NULL		Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields.
→37510	UnderlyingClearingProductCode	String (12)		Underlying Clearing Product Code.
→310	UnderlyingSecurityType	SecurityType	COMBO = Combo FUT = Future Outrights FWD = Forward	Identifies the type of the underlying instrument.
→308	UnderlyingSecurityExchange	String (8)	CBT = Chicago Board of Trade CME = Chicago Mercantile Exchange NYMEX = New York Mercantile Exchange COMEX = COMEX (Commodities Exchange Center)	Underlying Security Exchange.
→313	UnderlyingMaturityMonthYear	MaturityMonthYear		This tag 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 tag 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).	→37524	HighPxInd	PxInd	A = Ask B = Bid T = Trade

Info
High/ Low cabinet values will send a price of zero.

→5796TradingReferenceDateLocalMktDateDate of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.

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^thweek contracts, 2019124).

→55SymbolSymbolContract name.→37513InstrumentGUIDuInt64NULLGlobal unique instrument identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. →48SecurityIDuInt32NULLSecurity ID. This value is only sent for CME Globex instruments. This field will be null for instruments not sent on CME Globex.→333LowPxDecimal64

Lower price threshold for the instrument in Clearing decimal price format.

→37525LowPxIndPxInd

A = Ask
B = Bid
T = Trade

Low price origin indicator.

Info
High/ Low cabinet values will send a price of zero.

→332HighPxDecimal64Upper price threshold for the instrument in Clearing decimal price format.

4^thweek contracts, 2019124).

→55SymbolSymbol
Contract name.→37513InstrumentGUIDuInt64NULL
Global unique instrument identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. →48SecurityIDuInt32NULL
Security ID. This value is only sent for CME Globex instruments. This field will be null for instruments not sent on CME Globex.→333LowPxDecimal64

Lower price threshold for the instrument in Clearing decimal price format.

→37525LowPxIndPxInd

A = Ask
B = Bid
T = Trade

Low price origin indicator.

Info
High/ Low cabinet values will send a price of zero.

→332HighPxDecimal64
Upper price threshold for the instrument in Clearing decimal price format.→37524HighPxIndPxInd

A = Ask
B = Bid
T = Trade

High price origin indicator.

Info
High/ Low cabinet values will send a price of zero.

→5796TradingReferenceDateLocalMktDate
Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.

Eris B and C Dataset

For message type DP, the following table illustrates the MDStatisticsReport template in the S&V SBE schema.

Tag	FIX Name	Type	SemanticType	Valid Values	Description
60	TransactTime	uInt64	UTCTimestamp		Data processing time in UTC, sent in number of nanoseconds since Unix epoch
1683	MDSubFeedType	uInt16NULL	int	400	Describes a sub-class for a given class of service
207	SecurityExchange	Exchange	Exchange	XCBT=Chicago Board of Trade	Security Exchange
37500	ClearingProductCode	String12	String		Clearing Product Code
200	MaturityMonthYear	MaturityMonthYear	MonthYear		Instrument maturity
7178	ProductGUID	uInt64NULL	int		Product GUID - unique identifier of the Product
55	Symbol	Symbol	String		Product code/ticker
48	SecurityID	uInt32NULL	int		Unique instrument ID as referenced in Ilink3 and MDP3 SecurityID-Tag 48
37513	InstrumentGUID	uInt64NULL	int		External unique instrument ID
2731	FloatingRateIndexID	String8	String		Floating Rate Index, sent when applicable
5796	TradingReferenceDate	LocalMktDate	LocalMktDate		Trade session date corresponding to the analytics, sent in number of days since Unix epoch.
2455	MDStatisticDesc	String40	String	Eris_YYYYMMDD_Prices_TopDay_PAI_Rate Eris_YYYYMMDD_Prices_Prev_PAI_Rate	An optional textual description for a statistic report message Describes the type of file, including whether data is from the previous day or top of (current) day.
Repeating Group 1
2474	NoMDStatistics	groupSize	NumInGroup		Number of entries in Market Data message
→2478	MDStatisticValue	Decimal64NULL	float		Statistic value
→2479	MDStatisticValueType	StatisticValueType	int	1 = absolute value type 2 = percentage value type	Type of statistic value: 1 - absolute value type, 2 - percentage value type
→2454	MDStatisticName	String30	String	NPV Coupon FairCoupon PastFxdFltPmts ErisPAI UnpaidFixedAccrual UnpaidFloatingAccrual PV01 DV01 NextFloatingPaymentAmount NPVless_A_UnpaidAccruals PastPmts_B_plusUnpaidAccruals NetUnpaidFixedFloatingAccrual	Statistic short name or acronym
Repeating Group 2
864	NoEvents	groupSize	NumInGroup		Number of entries in Market Data message
→865	EventType	String30	String	EffectiveDate CashFlowAlignmentDate	Description of the EventDate
→866	EventDate	LocalMktDate	LocalMktDate		Event Business Date, sent in number of days since Unix epoch

TCP Replay Messages

The messages included below are used for Settlements and Valuations TCP Recovery.

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Versions Compared

Old Version 2

New Version Current

Key

Settlements and Valuations Data Overview

Settlements and Valuations Data

Settlements

Syntax for Settlement Prices

Settlement at Trading Tick / Settlement at Clearing Tick

Theoretical Valuations

Theoretical Valuations - Futures

Theoretical Valuations - Options

Syntax for Theoretical Valuations

End of Day Session High/Low

Syntax for High/Low

Syntax for Fixing/Marker Prices

Fixing Price Examples

Marker Prices

Cleared Volume and Open Interest

Settlements and Valuations Technology Overview

Simple Binary Encoding (SBE)

Eris B and C Datasets

Settlements and Valuations Technology Overview

Simple Binary Encoding (SBE)

Channel Guide

Recovery

SBE Channel Definitions

Global TCP Recovery Schema

Eris B and C Dataset

TCP Replay Messages

Page Comparison

Versions Compared

Old Version 2

New Version Current

Key

Settlements and Valuations Data Overview

Settlements and Valuations Data

Settlements

Syntax for Settlement Prices

Settlement at Trading Tick / Settlement at Clearing Tick

Theoretical Valuations

Theoretical Valuations - Futures

Theoretical Valuations - Options

Syntax for Theoretical Valuations

End of Day Session High/Low

Syntax for High/Low

Syntax for Fixing/Marker Prices

Fixing Price Examples

Marker Prices

Cleared Volume and Open Interest

Settlements and Valuations Technology Overview

Simple Binary Encoding (SBE)

Eris B and C Datasets

Settlements and Valuations Technology Overview

Simple Binary Encoding (SBE)

Channel Guide

Recovery

SBE Channel Definitions

Global TCP Recovery Schema

Eris B and C Dataset

TCP Replay Messages