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Portfolio Margin Program and Optimizer Service

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To alleviate operational burdens and improve efficiency, in 2025 CME Group is offering a new optimization mechanism which is hosted on CME Group infrastructure and available to users exclusively over the CME CORE API Service. This new service will continue to leverage the capabilities available in the Optimizer software, but is available over the CME CORE API, a web-based API accessible over the internet.

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https://posttrade.api.uat.cmegroup.com/MarginServiceApi/

Please contact the CME post trade service team regarding the production environment URL after completion of testing.

Service endpoints are described in the User Interface section.

Expected Inputs

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Input File Name - Current State Workflow (Optimizer Software)

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Business Description

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Input - Future State Workflow (Hosted Optimizer service)

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Required, Optional or Deprecated in Hosted Optimizer Service

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Default Behavior, if Optional

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configuration.json

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Optimizer Configuration File

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Configuration json payload

See Optimizer Request Example.

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Optional

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Default Configuration will be applied.

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Positions.csv

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Positions CSV file
Contains F&O positions in users' F&O (SEG) or Portfolio Margin (PM) account.

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Positions CSV payload

See Optimizer Request Example.

Please note a header is required in this payload in the API request.

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Required

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IRSPNL . . . *

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IRS PNL File

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N/A

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Deprecated*

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cust.spn*

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SPAN(R) Risk Parameter file

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N/A

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Deprecated*

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cme.optimizer**

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Optimizer Market Data Archive (ZIP file)

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N/A

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Deprecated**

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IRSGammaLadder**

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IRS Gamma Ladder

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N/A

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Deprecated**

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IRSVegaLadder**

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IRS Vega Ladder

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N/A

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Deprecated**

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IRSSkewSensitivity**

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IRS Skew Sensitivity

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N/A

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Deprecated**

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IRSTimeValue**

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IRS Time Value

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N/A

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Deprecated**

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IRSDL . . .*

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IRS Delta Ladder File

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N/A

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Deprecated*

*These files will continue to be produced but are not required to be passed as inputs to the hosted Optimizer service.

**These files are no longer produced by CME.

Clearing Members are expected to continue producing the Optimizer’s input Positions.csv and Configuration.json files and to maintain the state of portfolios in their books and records. No format changes are expected for these file payloads, please see example request messages.

Aside from Positions payload(s) and configuration data, Clearing firms are not expected to supply any other Optimizer inputs (i.e. marketdata_optimizer_cme, IRSDL, IRSPNL). Firms that are currently consuming these files can discontinue consuming these files when live with the new service.

Expected Outputs

User Interface

The existing CME CORE API service has been expanded to support the hosted optimization process. The test URL can be found in the API URL section above. In conjunction with CME Group and wider industry standards only secure communication channels are used. 

The following new API endpoints support hosted Optimization:

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Endpoint

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Request Type

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Business Description/Use Case

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Notes

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{margin api URL}/optimize?complete=true 

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POST

User initiates Optimizer request.

Contains portfolio and configuration payloads.

See samples below.

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Please note this is not to be confused with the existing (margin API URL)/MarginServiceApi/optimize endpoint, which processes hypothetical optimization calculation requests.

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{margin api URL}/optimize/reports/fixmltransfers/(optimize id)

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GET

FIXML transfer report.

Retrieves FIXML transfers report for a given Optimize ID when Optimization is complete.

Users are expected to retry if the response is in ‘processing’ state.

See samples below.

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{margin api URL}/optimize/reports/estimatedsavingsreport/(optimize id)

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GET

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Estimated Savings Report Endpoint.

Retrieves FIXML transfers report for a given Optimize ID when Optimization is complete.

Users are expected to retry if the response is in ‘processing’ state.

See samples below.

Hosted Optimization User Workflow Diagram

Hosted Optimization User Workflow Examples

1. Submit Optimize Request

Request Endpoint

POST {{API_URL}}/optimize?complete=true

Sample Request

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Testing Expectations

• UT environment testing (expected testing: functional):

  • Testing may be available for a limited set of available dates and cycles. Users can interact with the ‘status’ endpoint, described below, which provides detail on which dates and cycles are available for Optimization. Users may experience errors when submitting requests for dates and cycles that are not available.

  • The UT environment is not a production copy. This is important because the service performs account validation from UT environment data and will flag accounts as invalid that are not set up in the test environment or have no IRS trades in the test environment. It is recommended that users build their positions data with test accounts matching CME Group test accounts. If that is not possible, please work with posttradeservices@cmegroup.com to ensure there are accounts enabled in the UT environment that match production identifiers and, as needed, contain IRS trades to limit account validation errors. Please request a maximum of five new test accounts.

  • The UT environment is not expected to be used for number matching against the deployable Optimizer software in production. Please see production environment testing below.

  • The UT environment is expected to be the sole environment for testing the ‘accept transfers’ endpoint (see below), since this workflow pushes live transfer records to the clearing system. All other upstream workflows prior to the transfers endpoint can also be tested in production, see production environment testing below.

• Production environment testing (expected testing: number matching):

  • Users can interact with the production environment for testing by simply eliminating the ‘accept transfers’ endpoint portion of the workflow - all upstream endpoints can be used for informational or testing purposes and do not impact cleared trades. This is consistent with legacy testing of the deployable Optimizer software where it was recommended to test with a combination of test and production inputs, depending on the use case and scope of release.

  • The production environment should be used for number matching against the deployable Optimizer software. UT environment data is independently produced and not validated against production, making it an unsuitable alternative. If number matching is only allowable in the UT environment, please validate against the UT environment IRSMR3 margin report or a run of deployable Optimizer with only test environment data to ensure consistency.

Expected Inputs

*These files will continue to be produced but are not required to be passed as inputs to the hosted Optimizer service.

**These files are no longer produced by CME Group.

Clearing Members are expected to continue producing the Optimizer’s input Positions.csv and Configuration.json files and to maintain the state of portfolios in their books and records. No format changes are expected for these file payloads, please see example request messages.

Aside from Positions payload(s) and configuration data, Clearing firms are not expected to supply any other Optimizer inputs (i.e. marketdata_optimizer_cme, IRSDL, IRSPNL). Firms that are currently consuming these files can discontinue consuming these files when live with the new service.

Expected Outputs

User Interface

The existing CME CORE API service has been expanded to support the hosted optimization process. The test URL can be found in the API URL section above. In conjunction with CME Group and wider industry standards only secure communication channels are used. 

The following new API endpoints support hosted Optimization:

Hosted Optimization User Workflow Diagram

Hosted Optimization User Workflow Examples

1. Submit Optimize Request

Request Endpoint

POST {{API_URL}}/optimize?complete=true

Sample Request

Sample Response

The report contains:

• The Optimizer id (id in the 'portfolio' block). 

  • Note: this id has a one-to-one relationship with the user input payload, not the Optimized account. There can be many accounts in a single Optimize request payload or one, depending on the users’ preference.

  • In the example below the ID is this string: 123456e1-12b3-123z-a0cf-12ee3ee5e56d

• The FIXML trade capture for all positions in the payload.

• Position-level errors, for instance validation errors.

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Sample Response

The report contains:

• The Optimizer id (id in the 'portfolio' block). 

  • Note: this id has a one-to-one relationship with the user input payload, not the Optimized account. There can be many accounts in a single Optimize request payload or one, depending on the users’ preference.

  • In the example below the ID is this string: 123456e1-12b3-123z-a0cf-12ee3ee5e56d

• The FIXML trade capture for all positions in the payload.

• Position-level errors, for instance validation errors.

<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:portfolioRpt xmlns:ns2="http://cmegroup.com/schema/core/1.2" status="SUCCESS">
    <portfolio id="123456e1-12b3-123z-a0cf-12ee3ee5e56d">
        <string>&lt;?xml version="1.0" encoding="UTF-8" standalone="yes"?&gt;&lt;FIXML xmlns="www.cmegroup.com/fixml50/1" v="5.0 SP2" xv="109" cv="CME.0001" s="20090815"&gt;&lt;TrdCaptRpt LastQty="50" SettlCcy="USD"&gt;&lt;Instrmt ID="SR3" Src="H" SecTyp="FUT" MMY="202512" Exch="CME"/&gt;&lt;RptSide Side="2" InptDev="API"&gt;&lt;Pty ID="123" R="4"/&gt;&lt;Pty <cycle date="2025-03-27" code="EOD"/>
        <entities clrMbrFirmId="123" pbAcctId="Test123"/>
        <transactions>
            <transaction id="900000">
                <payload encoding="STRING" format="FIXML">
                    <string>&lt;?xml version="1.0" encoding="UTF-8" standalone="yes"?&gt;&lt;FIXML xmlns="www.cmegroup.com/fixml50/1" v="5.0 SP2" xv="109" cv="CME.0001" s="20090815"&gt;&lt;TrdCaptRpt LastQty="50" SettlCcy="USD"&gt;&lt;Instrmt ID="SR3" Src="H" SecTyp="FUT" MMY="202512" Exch="CME"/&gt;&lt;RptSide Side="2" InptDev="API"&gt;&lt;Pty ID="123" R="4"/&gt;&lt;Pty ID="CME" R="21"/&gt;&lt;Pty ID="Test123" R="24"&gt;&lt;Sub ID="1" Typ="26"/&gt;&lt;/Pty&gt;&lt;/RptSide&gt;&lt;/TrdCaptRpt&gt;&lt;/FIXML&gt;</string>
                </payload>
            </transaction>
            <transaction id="900001">
                <payload encoding="STRING" format="FIXML">
                    <string>&lt;?xml version="1.0" encoding="UTF-8" standalone="yes"?&gt;&lt;FIXML xmlns="www.cmegroup.com/fixml50/1" v="5.0 SP2" xv="109" cv="CME.0001" s="20090815"&gt;&lt;TrdCaptRpt LastQty="3000" SettlCcy="USD"&gt;&lt;Instrmt ID="SR3" Src="H" SecTyp="OOF" MMY="202512" StrkPx="95.0" PutCall="1" Exch="CME"/&gt;&lt;Undly Src="H" SecTyp="FUT" MMY="202512"/&gt;&lt;RptSide Side="1" InptDev="API"&gt;&lt;Pty ID="123" R="4"/&gt;&lt;Pty ID="CME" R="21"/&gt;&lt;Pty ID="Test123" R="24"&gt;&lt;Sub ID="1" Typ="26"/&gt;&lt;/Pty&gt;&lt;/RptSide&gt;&lt;/TrdCaptRpt&gt;&lt;/FIXML&gt;</string>
                </payload>
            </transaction>
        </transactions>
    </portfolio>
</ns2:portfolioRpt>

2. Optimized Reports

As part of the hosted optimizer service, two reports represent the most commonly used deployed Optimizer software reports.

All Optimizer reports are requested via GET messages to report endpoints containing the Optimize ID provided in the Optimize POST response above.

Report 1: FIXML Transfer Report Request Endpoint

    <string>&lt;?xml version="1.0" encoding="UTF-8" standalone="yes"?&gt;&lt;FIXML xmlns="www.cmegroup.com/fixml50/1" v="5.0 SP2" xv="109" cv="CME.0001" s="20090815"&gt;&lt;TrdCaptRpt LastQty="3000" SettlCcy="USD"&gt;&lt;Instrmt ID="SR3" Src="H" SecTyp="OOF" MMY="202512" StrkPx="95.0" PutCall="1" Exch="CME"/&gt;&lt;Undly Src="H" SecTyp="FUT" MMY="202512"/&gt;&lt;RptSide Side="1" InptDev="API"&gt;&lt;Pty ID="123" R="4"/&gt;&lt;Pty ID="CME" R="21"/&gt;&lt;Pty ID="Test123" R="24"&gt;&lt;Sub ID="1" Typ="26"/&gt;&lt;/Pty&gt;&lt;/RptSide&gt;&lt;/TrdCaptRpt&gt;&lt;/FIXML&gt;</string>
                </payload>
            </transaction>
        </transactions>
    </portfolio>
</ns2:portfolioRpt>

2. Optimized Reports

As part of the hosted optimizer service, two reports represent the most commonly used deployed Optimizer software reports.

All Optimizer reports are requested via GET messages to report endpoints containing the Optimize ID provided in the Optimize POST response above.

Report 1: FIXML Transfer Report Request Endpoint

Sample Request

GET {{API_URL}}/optimize/reports/fixmltransfers/(optimize id)

Sample Response

The report contains a header with the following information: 

• Cycle date and cycle type

• Transfer records in FIXML format.

  • All transfer messages will be single-sided to comply with standard CME Clearing transfer message processing.

<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:portfolioRpt xmlns:ns2="http://cmegroup.com/schema/core/1.2" status="SUCCESS">
    <portfolio>
        <cycle date="2025-05-14" code="XXX"/>
        <entities clrMbrFirmId="123" pbAcctId="Test123"/>
        <transactions>
            <transaction>
                <payload encoding="STRING" format="FIXML">
                    <string>&lt;?xml version="1.0" encoding="UTF-8"?&gt;&lt;FIXML xmlns="www.cmegroup.com/fixml50/1" cv="CME.0001" s="20090815" v="5.0 SP2" xv="109"&gt;&lt;TrdCaptRpt LastQty="3000" MLegRptTyp="1" MsgEvtSrc="API" OrigTrdDt="2025-03-28" RptID="900001" RptTyp="0" SettlCcy="USD" TransTyp="0" TrdDt="2025-03-28" TrdHandlInst="5" TrdID="900001" TrdTyp="3" TxnTm="2025-04-09 13:03:46.143969903"&gt;&lt;Hdr SID="123" SSub="CME" Snt="2025-04-09 13:03:46.143969903" TID="123" TSub="CME"/&gt;&lt;Instrmt Exch="CME" ID="SR3" MMY="202512" PutCall="1" SecTyp="OOF" Src="H" StrkPx="95.0"/&gt;&lt;Undly MMY="202512" SecTyp="FUT" Src="H"/&gt;&lt;RptSide ClOrdID="PM001" CustCpcty="4" InptDev="API" OrdTyp="M" SesId="RTH" SesSub="X" Side="2"&gt;&lt;Pty ID="123" R="1"/&gt;&lt;Pty ID="CME" R="21"/&gt;&lt;Pty ID="CME" R="22"/&gt;&lt;Pty ID="1234" R="24"&gt;&lt;Sub ID="1" Typ="26"/&gt;&lt;/Pty&gt;&lt;Pty ID="123" R="17"/&gt;&lt;Pty ID="1234" R="48"&gt;&lt;Sub ID="1" Typ="26"/&gt;&lt;Sub ID="4" Typ="4000"/&gt;&lt;/Pty&gt;&lt;Pty ID="CME" R="22"/&gt;&lt;/RptSide&gt;&lt;/TrdCaptRpt&gt;&lt;/FIXML&gt;</string>
                </payload>
            </transaction>
            <transaction>
                <payload encoding="STRING" format="FIXML">
                    <string>&lt;?xml version="1.0" encoding="UTF-8"?&gt;&lt;FIXML xmlns="www.cmegroup.com/fixml50/1" cv="CME.0001" s="20090815" v="5.0 SP2" xv="109"&gt;&lt;TrdCaptRpt LastQty="50" MLegRptTyp="1" MsgEvtSrc="API" OrigTrdDt="2000-01-01" RptID="900000" RptTyp="0" SettlCcy="USD" TransTyp="0" TrdDt="2000-01-01" TrdHandlInst="5" TrdID="900000" TrdTyp="3" TxnTm="2025-04-09 13:03:46.143969903"&gt;&lt;Hdr SID="123" SSub="CME" Snt="2025-04-09 13:03:46.143969903" TID="123" TSub="CME"/&gt;&lt;Instrmt Exch="CME" ID="SR3" MMY="202512" SecTyp="FUT" Src="H"/&gt;&lt;RptSide ClOrdID="PM001" CustCpcty="4" InptDev="API" OrdTyp="M" SesId="RTH" SesSub="X" Side="2"&gt;&lt;Pty ID="123" R="1"/&gt;&lt;Pty ID="CME" R="21"/&gt;&lt;Pty ID="CME" R="22"/&gt;&lt;Pty ID="1234" R="24"&gt;&lt;Sub ID="1" Typ="26"/&gt;&lt;/Pty&gt;&lt;Pty ID="123" R="17"/&gt;&lt;Pty ID="1234" R="48"&gt;&lt;Sub ID="1" Typ="26"/&gt;&lt;Sub ID="4" Typ="4000"/&gt;&lt;/Pty&gt;&lt;Pty ID="CME" R="22"/&gt;&lt;/RptSide&gt;&lt;/TrdCaptRpt&gt;&lt;/FIXML&gt;</string>
                </payload>
            </transaction>
        </transactions>
    </portfolio>
</ns2:portfolioRpt>

Report 2: Estimated Savings Report Request Endpoint

Sample Request

GET {{API_URL}}/optimize/reports/estimatedsavingsreport/(optimize id)

Sample Response

The report contains:

• Three margin states for each portfolio, expressed for both the F&O account and the IRS account:

  • Pre-optimization state (all F&O positions in SEG).

  • Current state: before position netting.

  • Post-Optimization state.

• Change in margin (savings), in dollar and percentage terms.

• Margin account IDs (PbAcctId) for all optimized accounts

• Clearing firm ID (clrMbrFirmId)

Mapping table of Optimizer software Estimated Savings Report to API estimated savings report.

Note additional fields are present as compared to the csv version of the report and it is also, therefore, a suitable replacement for the Margin Summary csv report.

Sample Response

<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:marginRpt xmlns:ns2="http://cmegroup.com/schema/core/1.2">
<cycle date="2025-05-14" code="EOD"/>
<margin portfolioId="123456e1-12b3-123z-a0cf-12ee3ee5e56d">
<entities clrMbrFirmId="123" pbAcctId="Test123"/>
<amounts ccy="USD" init="471497443.52723697" maint="471497443.52723697">
<portfolio futCurrAmt="-5665000" futPreAmt="-5665000" futPostAmt="0" otcCurrAmt="475415991.04194366" otcPreAmt="475415991.04194366" otcPostAmt="471497443.52723697" diffAmt="1746452.48529331" futNovCurrAmt="8531250" futNovPreAmt="8531250" futNovPostAmt="0" otcNovCurrAmt="0" otcNovPreAmt="0" otcNovPostAmt="439844.82012504" totalPreAmt="469750991.04194366" totalPostAmt="471497443.52723697" diffPct="0.37"/>
</amounts>
</margin>
</ns2:marginRpt>

3. Submit Transfer Request

Users can optionally choose to submit a request to a transfers endpoint. When triggered, the Hosted Optimization platform will submit the transfer records to Front End Clearing system.

Sample Request

GET {{API_URL}}/optimize/reports/fixmltransfersaccepttransfers/(optimize id)

Sample Response

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<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:portfolioRpt xmlns:ns2="http://cmegroup.com/schema/core/1.2" status="SUCCESS">
     <portfolio><portfolio id="123456e1-12b3-123z-a0cf-12ee3ee5e56d">
        <cycle date="2025-0305-2714" code="XXXEOD"/>
        <entities clrMbrFirmId="123" pbAcctId="Test123"/>
        <transactions>
            <transaction>
                <payload encoding="STRING" format="FIXML">
                    <string>&lt;?xml version="1.0" encoding="UTF-8"?&gt;&lt;FIXML xmlns="www.cmegroup.com/fixml50/1" cv="CME.0001" s="20090815" v="5.0 SP2" xv="109"&gt;&lt;TrdCaptRpt LastPx="0" LastQty="3000" MLegRptTyp="1" MsgEvtSrc="API" OrigTrdDt="2025-03-28" RptID="900001" RptTyp="0" SettlCcy="USD" TransTyp="0" TrdDt="2025-03-28" TrdHandlInst="5" TrdID="900001" TrdTyp="3" TxnTm="2025-0406-0911 1322:0338:4601.143969903581627243"&gt;&lt;Hdr SID="123" SSub="CME" Snt="2025-0406-0911 1322:0338:4601.143969903581627243" TID="123" TSub="CME"/&gt;&lt;Instrmt Exch="CME" ID="SR3" MMY="202512" PutCall="1" PxQteCcy="USD" SecTyp="OOF" Src="H" StrkPx="95.0"/&gt;&lt;Undly ID="SR3" MMY="202512" SecTyp="FUT" Src="H"/&gt;&lt;RptSide ClOrdID="PM001" CustCpcty="4" InptDev="API" OrdTyp="M" SesId="RTH" SesSub="X" Side="2"&gt;&lt;Pty ID="123" R="1"/&gt;&lt;Pty ID="CME" R="21"/&gt;&lt;Pty ID="CME" R="22"/&gt;&lt;Pty ID="1234123" R="24"&gt;&lt;Sub ID="1" Typ="26"/&gt;&lt;/Pty&gt;&lt;Pty ID="123" R="17"/&gt;&lt;Pty ID="1234009HSESQ" R="48"&gt;&lt;Sub ID="1" Typ="26"/&gt;&lt;Sub ID="4" Typ="4000"/&gt;&lt;/Pty&gt;&lt;Pty ID="CME" R="22"/&gt;&lt;/RptSide&gt;&lt;/TrdCaptRpt&gt;&lt;/FIXML&gt;</string>
                </payload>
            </transaction>
            <transaction>
                <payload encoding="STRING" format="FIXML">
               
    <string>&lt;?xml version="1.0" encoding="UTF-8"?&gt;&lt;FIXML xmlns="www.cmegroup.com/fixml50/1" cv="CME.0001" s="20090815" v="5.0 SP2" xv="109"&gt;&lt;TrdCaptRpt LastQty="50" MLegRptTyp="1" MsgEvtSrc="API" OrigTrdDt="2000-01-01" RptID="900000" RptTyp="0" SettlCcy="USD" TransTyp="0" TrdDt="2000-01-01" TrdHandlInst="5" TrdID="900000" TrdTyp="3" TxnTm="2025-04-09 13:03:46.143969903"&gt;&lt;Hdr SID="123" SSub="CME" Snt="2025-04-09 13:03:46.143969903" TID="123" TSub="CME"/ <payload encoding="STRING" format="FIXML">
                    <string>&lt;?xml version="1.0" encoding="UTF-8"?&gt;&lt;InstrmtFIXML Exchxmlns="CMEwww.cmegroup.com/fixml50/1" IDcv="SR3CME.0001" MMYs="20251220090815" SecTypv="FUT5.0 SP2" Srcxv="H109"/&gt;&lt;RptSideTrdCaptRpt ClOrdIDLastPx="PM00195.93" CustCpctyLastQty="450" InptDevMLegRptTyp="API1" OrdTypMsgEvtSrc="M" SesId="RTH" SesSub="X" Side="2"&gt;&lt;Pty ID="123" R="1"/&gt;&lt;Pty ID="CME" R="21"/&gt;&lt;Pty ID="CME" R="22"/&gt;&lt;Pty ID="1234" R="24"&gt;&lt;Sub ID="1" Typ="26"/&gt;&lt;/Pty&gt;&lt;Pty ID="123" R="17"/&gt;&lt;Pty ID="1234" R="48"API" OrigTrdDt="2025-03-28" RptID="900000" RptTyp="0" SettlCcy="USD" TransTyp="0" TrdDt="2025-03-28" TrdHandlInst="5" TrdID="900000" TrdTyp="3" TxnTm="2025-06-11 22:38:01.581627243"&gt;&lt;Hdr SID="123" SSub="CME" Snt="2025-06-11 22:38:01.581627243" TID="123" TSub="CME"/&gt;&lt;SubInstrmt IDExch="1CME" TypID="26"/&gt;&lt;Sub ID="4" Typ="4000"/&gt;&lt;/Pty&gt;&lt;Pty ID="CME" R="22SR3" MMY="202509" PxQteCcy="USD" SecTyp="FUT" Src="H"/&gt;&lt;/RptSide&gt;&lt;/TrdCaptRpt&gt;&lt;/FIXML&gt;</string>
                </payload>
            </transaction>
        </transactions>
    </portfolio>
</ns2:portfolioRpt>

Report 2: Estimated Savings Report Request Endpoint

Sample Request

GET {{API_URL}}/optimize/reports/estimatedsavingsreport/(optimize id)

Sample Response

The report contains:

• Three margin states for each portfolio, expressed for both the F&O account and the IRS account:

  • Pre-optimization state (all F&O positions in SEG).

  • Current state: before position netting.

  • Post-Optimization state.

• Change in margin (savings), in dollar and percentage terms.

• Margin account IDs (PbAcctId) for all optimized accounts

• Clearing firm ID (clrMbrFirmId)

Mapping table of Optimizer software Estimated Savings Report to API estimated savings report.

Note additional fields are present as compared to the csv version of the report and it is also, therefore, a suitable replacement for the Margin Summary csv report.

...

Field in Optimizer Software Estimated Savings Report

...

Mapped Field in Estimated Savings Report API Result

...

Business Description of Field

...

N/A

...

FutCurrAmt

...

F&O account (SEG) margin computed on the current state before position netting.

...

SPAN Before

...

FutPreAmt

...

F&O account (SEG) margin computed pre-optimization (all positions in SPAN).

...

SPAN After

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FutPostAmt

...

F&O account (SEG) margin computed post-optimization.

...

N/A

...

OtcCurrAmt

...

OTC account margin computed on the current state (with existing F&O offsets).

...

Var Before

...

OtcPreAmt

...

OTC account margin computed pre-optimization (no F&O offsets).

...

Var After

...

OtcPostAmt

...

OTC account margin computed post-optimization.

...

Total Dollar Savings

...

DiffAmt

...

DiffAmt = TotalPreAmt - TotalPostAmt

...

N/A

...

FutNovCurrAmt

...

F&O account (SEG) net option value on the current state before position netting.

...

N/A

...

FutNovPreAmt

...

F&O account (SEG) net option value computed pre-optimization (all positions in SPAN).

...

N/A

...

FutNovPostAmt

...

F&O account (SEG) net option value computed post-optimization.

...

N/A

...

OctNovCurrAmt

...

OTC account net option value computed on the current state (with existing F&O offsets).

...

N/A

...

OctNovPreAmt

...

OTC account net option value computed pre-optimization (no F&O offsets).

...

N/A

...

OctNovPostAmt

...

OTC account net option value computed post-optimization.

...

Total Before

...

TotalPreAmt

...

TotalPreAmt = FutPreAmt + OtcPreAmt

...

Total After

...

TotalPostAmt

...

TotalPostAmt = FutPostAmt + OctNovPostAmt

...

Total Percent Savings

...

DiffPct

Percentage difference between TotalPreAmt and TotalPostAmt

Example Message:

<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<ns2:marginRpt xmlns:ns2="http://cmegroup.com/schema/core/1.2">
<cycle date="2025-03-28" code="EOD"/>
<margin portfolioId="123456e1-12b3-123z-a0cf-12ee3ee5e56d">
<entities clrMbrFirmId="123" pbAcctId="Test123"/>
<amounts ccy="USD" init="471497443.52723697" maint="471497443.52723697">
<portfolio futCurrAmt="-5665000" futPreAmt="-5665000" futPostAmt="0" otcCurrAmt="475415991.04194366" otcPreAmt="475415991.04194366" otcPostAmt="471497443.52723697" diffAmt="1746452.48529331" futNovCurrAmt="8531250" futNovPreAmt="8531250" futNovPostAmt="0" otcNovCurrAmt="0" otcNovPreAmt="0" otcNovPostAmt="439844.82012504" totalPreAmt="469750991.04194366" totalPostAmt="471497443.52723697" diffPct="0.37"/>
</amounts>
</margin>
</ns2:marginRpt>

3. Submit Transfer Request (Optional)

Users can optionally choose to submit a request to a transfers endpoint. When triggered, the Hosted Optimization platform will submit the transfer records to Front End Clearing More details will be provided when a test environment supports this flow (expected Q2 2025).

Error Handling

The Optimization workflow is asynchronous and can result in errors in response to user requests at all three steps of the workflow (shown in 7.1 above).

Here are examples of errors for all user requests:

Errors - Optimize All-in-One Request

All below errors can be observed in response to the Optimizer all-in-one endpoint above.

...

Error Code and/or Text

...

Business Description

...

Severity/Level

...

User Remediation Steps

400

Invalid Invalid Product Details !Only Valid Positions will be Optimized

...

Invalid or Expired trades in the payload

...

Informational

...

Remove invalid or expired trades from the request payload, else, only valid contracts are included in the Optimized result.

...

400

“No CmfId found for PbAccountId : [your acct number].”

...

The supplied PBAccountId does not match an account in the requested environment for the entitled clearing firm ID.

...

Informational

...

Check the positions input for incorrect PbAccountIds.

Note test environment accounts do not match production environment accounts.

400

No Valid Position found for Optimization.

...

There are no valid positions in the input file.

...

Fatal

...

Check the positions inputs for invalid trades or incorrect PbAccountIds.

...

401

Unauthorized

...

Authorization and Entitlement Issue

...

Fatal

...

Users should obtain access to the CORE API and/or obtain access to the appropriate clearing member firm ID in the request. See User Entitlements and Onboarding. 

...

404

not found

...

There is a problem with the destination URL

...

Fatal

...

Review and update the destination URL

Please note the use of schema numbers in the destination URL is not supported for this workflow.

...

500

internal server error

Error Detail: “Failed to execute the RegularExpressionProtection StepDefinition RegEx-protection. Reason”

...

Authorization Issue

...

Fatal

...

The CORE API requires Basic Authorization which is described here: Margin Service API - Authentication and Entitlement

...

The specified URL cannot be found

...

The application may be experiencing a maintenance window

...

Fatal

...

Please check back after the maintenance window. Maintenance windows are not expected to interfere with production EOD processing but can impact the test environment, standard maintenance windows are scheduled on Wednesdays in test.

Errors - Report Requests

The following table describes errors that may be encountered while interacting with report GET endpoints.

...

Endpoint

...

Error

...

Business Description

...

Severity

...

User Remediation Steps

...

FIXML Transfer Report and
Estimated Savings Report Request Endpoints

...

202

Error Message: “Optimization is still in progress”

...

User request has been received but is not completed.

...

Informational

...

Proceed to GET call and retry until results are received.

...

FIXML Transfer Report and
Estimated Savings Report Request Endpoints

404

Error Message: “Optimization result not found”

...

Optimize ID is incorrect or not found

...

Informational

...

Insert the correct Optimize ID and try again

Errors - Transfers Endpoint

...

 ClOrdID="PM001" CustCpcty="4" InptDev="API" OrdTyp="M" SesId="RTH" SesSub="X" Side="2"&gt;&lt;Pty ID="123" R="1"/&gt;&lt;Pty ID="CME" R="21"/&gt;&lt;Pty ID="CME" R="22"/&gt;&lt;Pty ID="123" R="24"&gt;&lt;Sub ID="1" Typ="26"/&gt;&lt;/Pty&gt;&lt;Pty ID="123" R="17"/&gt;&lt;Pty ID="009HSESQ" R="48"&gt;&lt;Sub ID="1" Typ="26"/&gt;&lt;Sub ID="4" Typ="4000"/&gt;&lt;/Pty&gt;&lt;Pty ID="CME" R="22"/&gt;&lt;/RptSide&gt;&lt;/TrdCaptRpt&gt;&lt;/FIXML&gt;</string>
                </payload>
            </transaction>
        </transactions>
    </portfolio>
</ns2:portfolioRpt>

4. Status Request

This endpoint checks for the available date and cycle for which user can submit optimization request.

Sample Request

GET {{API_URL}}/optimize/status

Sample Response

The response contains the following information all the available cycles:

• Code

• Date

[
    {
        "cycleCode": "EOD",
        "cycleDate": "2025-05-14"
    }
]

Error Handling

The Optimization workflow is asynchronous and can result in errors in response to user requests at all three steps of the workflow (shown in 7.1 above).

Here are examples of errors for all user requests:

Errors - Optimize All-in-One Request

All below errors can be observed in response to the Optimizer all-in-one endpoint above.

Errors - Report Requests

The following table describes errors that may be encountered while interacting with report GET endpoints.

Errors - Transfers Endpoint

The following table describes errors that may be encountered while interacting with the Transfer endpoint.

Operational Timeline

The below timeline highlights the expected period for nightly optimization via the hosted Optimizer service.

...