CME CF Cryptocurrency Indices and Daily Reference Price support the following message types.
Streamlined Market Data Incremental Refresh (tag 35-MsgType=X)
This section describes the streamlined Market Data Incremental Refresh Message (35=X) for CME CF Real Time Index and the daily Reference Rate.
The → symbol indicates a repeating group tag.
| Header | ||||
|---|---|---|---|---|
| Tag | FIX Name | Format | Valid Values | Description |
35 | MsgType | String (2) | X=Market Data Incremental Refresh | Defines message type. |
34 | MsgSeqNum | SeqNum (9) | - | Integer message sequence number. |
52 | SendingTime | UTCTimeStamp (21) | - | Time of message transmission (always expressed in UTC) Format: YYYYMMDDHHMMSSsss. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy. |
| Body | ||||
60 | TransactTime | UTCTimeStamp (21) | - | Indicates time of trade referenced in this message Format: YYYYMMDDHHMMSSsss. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy. |
5799 | MatchEventIndicator | Boolean (1) | N – Not end of event Y – End of event | Boolean flag which indicates if the message denotes the start of an event or end of event. For CryptoFacilities this should be set to Y if there is no need to maintain continuity between messages to infer when a particular event started and ended. |
| →50001 | BatchTotalMessages | Int(3) | Total number of messages contained within batch | |
| →235 | YieldType | String | Reserved for future use. | |
| →9633 | ReferenceID | String | Reserved for future use. | |
1022 | MDFeedType | NULL | -- | Describes a class of service for a given data feed. |
268 | NoMDEntries | NumInGroup (5) | Number of FIX Market Data Incremental Refresh Data Blocks in the Market Data Incremental Refresh message. | |
| Repeating Group | ||||
→279 | MDUpdateAction | Char (1) | 0 = New | Indicates the type of Market Data update action. |
→269 | MDEntryType | Char (1) | 3 = Index Value 6 = Settlement Price | Indicates the type of market data entry. |
→83 | RptSeq | Int (3) | Sequence number per Instrument update or index. | |
→55 | Symbol | String (50) | Index identifier. | |
→270 | MDEntryPx | Price(20) | Price of the Market Data Entry | |
| →451 | NetChgPrevDay | PriceOffset(20) | Net change from previous day's closing price. Applies to BRR only. | |
| →6119 | NetPctChange | Percentage (20) | Index percentage change with respect to previous close Applies to BRR only. | |
| →7017 | PercentTrading | NULL | -- | Percent trading of the underlying index constituents. |
1022 | MDFeedType | NULL | -- | Describes a class of service for a given data feed. |
→286 | OpenCloseSettlFlag | Int(3) | 102 = Settlement Index value | Flag that identifies a market data entry. Indicates whether price is daily open/close/settle from current trading session or from previous trading session. |
| →235 | YieldType | String(50) | Reserved for future use. | |
| →9633 | ReferenceID | String(50) | Reserved for future use. | |
→9988 | MDEntryCode | MultipleValueString (2) | 5 = Close | List of conditions describing an index value. See Streamlined Market Data tag 9988-MDEntryCode Valid Values Description. |
→272 | MDEntryDate | UTC_DATE_ONLY (8) | -- | Date of the Market Data Entry. Value is the number of days since UNIX epoch. |
→273 | MDEntryTime | UTC_TIMEONLY (12) | -- | Timestamp of Market Data Entry. Value is the number of milliseconds since GMT midnight. |
Streamlined Market Data tag 9988-MDEntryCode Valid Values Description
| Value | Description |
|---|---|
1=Indicative | Index computed using alternate prices of the underlying constituents to provide an indicative index level. |
2=Pre-Market | Pre-market index data for certain key headline indices will be generated typically one hour prior to the actual start of trading day. The pre-market index data will contain: Index values flat-lined with previous day's index close levels. Index Bid & Ask values computed using real-time pre-market quotes of the underlying constituents. The pre-market index ticks should be considered as an initialization phase for the index before the start of the trading day. The pre-market index ticks serve the purpose of a system health check prior to the actual open of the index. All market data vendors are encouraged to distribute the pre-market index ticks with an appropriate pre-market indicator. The index values produced during pre-market do not contribute to the Daily Open, High and Low. Additionally, the Index Bid and Ask values computed using pre-market quotes provides an early indication of the index spread before the start of trading day. |
3=Preliminary Close | The index tick computed using real-time prices just before the official index close is published. |
4=Session Close | The index level computed using the mid-day close prices of the underlying constituents. |
5=Close | The index close value computed using the official close prices of the underlying constituents. |
Security Definition Request (tag 35-MsgType=c)
Tag | FIX Name | Format | Valid Values | Description |
|---|---|---|---|---|
1180 | ApplID | String (50) | The channel ID from the XML Configuration File for which this request is made. | |
| 320 | SecurityReqID | String (32) | Unique ID of a Security Definition Request. | |
321 | SecurityRequestType | String (1) | 8 = All Securities | Type of Security Definition Request. |
1301 | MarketID | Exchange | CRYP = Crypto Facilities | Identifies the Market. |
Security Definition (tag 35-MsgType=d)
Tag | Field Name | DataType | Valid Values | Comment |
|---|---|---|---|---|
55 | Symbol | String (50) | Index identifier. | |
460 | Product | Int (2) | 7 = Index | Identifies the type of product |
207 | SecurityExchange | Exchange (4) | CRYP | Market used to help identify a security/Index |
15 | Currency | Currency (3) | Identifies currency used for price | |
864 | NoEvents | NumInGroup (1) | Number of repeating EventType entries | |
865 | EventType | Int (3) | 5 = Activation | Code to represent the type of event |
→1145 | EventTime | UTC_TIMEONLY (8) | Time of event. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy. | |
870 | NoInstrAttrib | NumInGroup (2) | Number of repeating group InstrAttribType entries | |
→871 | InstrAttribType | Int (3) | Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain. See Tag 871-InstAttribType and Tag 872-InstAttribValue Table of Values. | |
→872 | InstrAttribValue | String (500) | Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain. Attribute value appropriate to the tag 871-InstrAttribType field. See Tag 871-InstAttribType and Tag 872-InstAttribValue Table of Values. | |
980 | SecurityUpdateAction | Char (1) | M = Modify | Included in the message on the incremental feed when a mid-week modification/deletion occurs. Not sent by default for new indices |
1180 | ApplID | String (50) | The channel ID as defined in the XML Configuration File | |
1022 | MDFeedType | NULL | -- | Describes a class of service for a given data feed. |
Tag 871-InstAttribType and Tag 872-InstAttribValue Table of Values
Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain. The following Index attributes may be included in the Security Definition Message:
Tag 871-InstrAttribType Valid Values | Description/Tag 872 Valid Values |
|---|---|
27 = Display Price Precision | Number of Decimals in Displayed Price |
117 = Index Long Name | Name of the Index |
118 = Index Key | Unique ID |
119 = Fee Code | When the preceding tag 871=119 (Fee Code), the following value is valid for tag 872:
|
122 = Frequency | Publishing frequency
|
123 = Start Publish Time | Time of calendar day that the message(s) will begin to be published. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy. |
124 = End Publish Time | Time of calendar day that the message(s) will no longer be published. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy. |
Heartbeat (tag 35-MsgType=0)
There is no body for this message.
This message is only the header with the message type 0.
This message is sequenced like any other message.
TCP Replay Messages
The messages included below are used for streamlined SBE TCP Recovery.
Logon from Client System to MDP (tag 35-MsgType=A)
The Market Data Logon message is sent by the client system to CME Globex to initiate logon.
Required fields:
| Tag | FIX Name | Type | Valid Values | Description |
|---|---|---|---|---|
553 | Username | String | Userid or username. | |
554 | Password | String | Password or passphrase. |
Logon Acknowledgment from MDP to Client System (tag 35-MsgType=A)
The Market Data Logon (tag 35-MsgType=A) message is sent from CME Globex to the client system to confirm logon. This message is SBE encoded.
| Tag | FIX Name | Type | Valid Values | Description |
|---|---|---|---|---|
108 | HeartBtInt | Int | Heartbeat interval (seconds). |
Market Data Replay Request (tag 35-MsgType=V)
The Market Data - Replay Request (tag 35-MsgType=V) message is sent by the client system to request a range of messages for recovery.
Required fields:
| Tag | FIX Name | Type | Valid Values | Description |
|---|---|---|---|---|
1180 | ApplID | String | The channel ID from the XML Configuration File for which this request is made. | |
262 | MDReqID | String | Unique identifier for Market Data Request. | |
1182 | ApplBeginSeqNo | SeqNum | Message sequence number of first message in range to be re-sent. If the request is for a single message, ApplBeginSeqNo (tag 1182) and ApplEndSeqNo (tag 1183) are the same. | |
1183 | ApplEndSeqNo | SeqNum | Message sequence number of last message in range to be re-sent. If the request is for a single message, BeginSeqNo (tag 7) and EndSeqNo (tag 16) are the same. The maximum number of messages that can be requested is 2000. |
Logout (tag 35-MsgType=5)
The Market Data Logout (tag 35-MsgType=5) message is sent from CME Globex to confirm logout. This message is SBE encoded.
| Tag | FIX Name | Type | Valid Values | Description |
|---|---|---|---|---|
1180 | ApplID | String | REPLAY | Used to identify a replayed message. |
58 | Text | String | Free Format text string. May include logout confirmation or reason for logout. |
Message Layout per Pricing Data (tag 35-MsgType=x)
Tag | Field Name | Index Price (BRTI) | Settlement Index Price (BRR) |
|---|---|---|---|
60 | TransactTime | Y | Y |
5799 | MatchEventIndicator | Y | Y |
→→279 | MDUpdateAction | 0 | 0 |
→→269 | MDEntryType | 3 | 6 |
→→83 | RptSeq | Y | Y |
→→55 | Symbol | Y | Y |
→→270 | MDEntryPx | Y | Y |
→→271 | MDEntrySize | N/A | N/A |
→→451 | NetChgPrevDay | N | Y |
→→6119 | NetPctChange | N | Y |
→→286 | OpenCloseSettlFlag | N/A | 102 |
→→272 | MDEntryDate | Y | Y |
→→273 | MDEntryTime | Y | Y |
→→9988 | MDEntryCode | N/A | 5 |
Y = Required, C = Conditional, N/A = Not Applicable
Sample Messages
Settlement Index Price (BRR)
8=FIXT.1.1| 9=273 | 35=d | 55=BRR | 460=7 | 207=CRYP | 15=USD | 1022= | 1180=213 | 870=7
| 871=27 | 872=2
| 871=117 | 872=Crypto Facilities Limited Daily BRR Index
| 871=118 | 872=BRR
| 871=119 | 872=XW
| 871=122 | 872=1
| 871=123 | 872=160000000
| 871=124 | 872=160000000 | 864=1 | 865=5 | 1145=17554 | 34=5741 | 52=20180123-04:11:13.059246614 | 10=000 |
BRR - Market Data Incremental Refresh (35=X)
35=X | 60=20180329-15:01:00.094000000| 268=1 | 55=BRR | 83=5 | 235= | 236= | 269=6 | 270=738991 | 271= | 272=17619 | 273=54000000 | 279=0 |
286=102 | 451=-10311 | 6119=-138 | 7017= | 9633= | 9988=5 | 1022= | 5799=136 | 52=20180329-15:01:00.094944715 | 50001=1 | 10=202 |
Index Price (BRTI)
8=FIXT.1.1 | 9=273 | 35=d | 55=BRTI | 460=7 | 207=CRYP | 15=USD | 1022= | 1180=213 | 870=7
| 871=27 | 872=2
| 871=117 | 872=Crypto Facilities Limited RT BRTI Index
| 871=118 | 872=BRTI
| 871=119 | 872=XW
| 871=122 | 872=1
| 871=123 | 872=000000001
| 871=124 | 872=235959999 | 864=1 | 865=5 | 1145=17554 | 34=5742 | 52=20180123-04:11:13.062036353 | 10=000 |
BRTI - Market Data Incremental Refresh (35=X)
35=X | 60=20180329-18:45:07.648000000 | 268=1 | 55=BRTI | 83=401069 | 235= | 236= | 269=3 | 270=743403 | 271= | 272=17619 | 273=67507000 | 279=0 |
286= | 451= | 6119= | 7017= | 9633= | 9988= | 1022= | 5799=136 | 34=401078 | 52=20180329-18:45:07.649485664 | 50001=1 | 10=202 |