This Market Data Security Definition message is sent for options markets. This message maps to the MDInstrumentDefinitionOption template in the SBE MDP Core schema.
| Tag | FIX Name | Type | SemanticType | Valid Values | Description |
|---|---|---|---|---|---|
| 5799 | MatchEventIndicator | MatchEventIndicator | MultipleCharValue | Bitmap field of eight Boolean type indicators reflecting the end of updates for a given CME Globex Event: Bit 0: (least significant bit) Last Trade Summary message for a given event Bit 1: Last electronic volume message for a given event Bit 2: Last customer order quote message for a given event Bit 3: Last statistic message for a given event Bit 4: Last implied quote message for a given event Bit 5: Message resent during recovery Bit 6: Reserved for future use Bit 7: (most significant bit) Last message for a given event MatchEventIndicator is not supported on the Instrument Recovery feeds | |
| 911 | TotNumReports | uInt32NULL | int | Total number of instruments in the Replay loop. Used on Replay Feed only. | |
| 980 | SecurityUpdateAction | SecurityUpdateAction | char | 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:
Modify represents modifications to a Security Definition Delete represents deletions of a Security Definition A=Add D=Delete M=Modify | |
| 779 | LastUpdateTime | uInt64 | UTCTimestamp | Timestamp of when the instrument was last added, modified or deleted. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy. | |
| 1682 | MDSecurityTradingStatus | SecurityTradingStatus | int | Identifies the current state of the instrument. The data is available in the Instrument Replay feed only 2=Trading Halt 4=Close 15=New Price Indication 17=Ready to trade (start of session) 18= Not available for trading 20=Unknown or Invalid 21=Pre Open 24=Pre-Cross 25=Cross 26=Post Close 103=No Change 201=PrivateWorkup 202=PublicWorkup | |
| 1180 | ApplID | Int16 | int | The channel ID as defined in the XML Configuration file | |
| 1300 | MarketSegmentID | uInt8 | int | Identifies the market segment. Populated for all CME Globex instruments. | |
| 462 | UnderlyingProduct | uInt8 | int | Indicates the product complex 2=Commodity/Agriculture | |
| 207 | SecurityExchange | SecurityExchange | Exchange | 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) | |
| 1151 | SecurityGroup | SecurityGroup | String | Security Group Code | |
| 6937 | Asset | Asset | String | The underlying asset code also known as Product Code | |
| 55 | Symbol | Symbol | String | Instrument Name or Symbol. Previously used as Instrument Group Code | |
| 48 | SecurityID | Int32 | 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. | |
| 22 | SecurityIDSource | SecurityIDSource | char | Identifies source of tag 48-SecurityID value. This value is always 8 for CME is required if tag 48-SecurityID is specified. | |
| 167 | SecurityType | SecurityType | String | Security Type FUT=Future or Future Spread OOF=Options on Futures or Options on Futures Spread MLEG=Spread with mixed type legs IRS=Interest Rate Swaps FXSPOT=FX Spot 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 | |
| 461 | CFICode | CFICode | String | ISO standard instrument categorization code. Currently not supported in futures and options markets. Consult CME Reference Data API Version 3 for CFI values. | |
| 201 | PutOrCall | PutOrCall | int | Indicates whether an option instrument is a put or call 0=Put | |
| 200 | MaturityMonthYear | MaturityMonthYear | 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 4th week contracts, 2019124). | |
| 15 | Currency | Currency | Currency | Identifies currency used for price | |
| 202 | StrikePrice | PRICENULL9 | Price | Strike Price for an option instrument | |
| 947 | StrikeCurrency | Currency | Currency | Currency in which the StrikePrice is denominated | |
| 120 | SettlCurrency | Currency | Currency | Identifies currency used for settlement, if different from trade price currency | |
| 9850 | MinCabPrice | PRICENULL9 | Price | Defines cabinet price for outright options products | |
| 1142 | MatchAlgorithm | CHAR | 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=SOFR options | |
| 562 | MinTradeVol | uInt32 | Qty | The minimum trading volume for a security. | |
| 1140 | MaxTradeVol | uInt32 | Qty | The maximum trading volume for a security. | |
| 969 | MinPriceIncrement | PRICENULL9 | 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). | |
| 1146 | MinPriceIncrementAmount | PRICENULL9 | Price | Currently under development. | |
| 9787 | DisplayFactor | Decimal9 | float | Contains the multiplier to convert the CME Globex display price to the conventional price | |
| 6350 | TickRule | Int8NULL | int | VTT code referencing variable tick table | |
| 37702 | MainFraction | uInt8NULL | int | Price Denominator of Main Fraction | |
| 37703 | SubFraction | uInt8NULL | int | Price Denominator of Sub Fraction | |
| 9800 | PriceDisplayFormat | uInt8NULL | int | Number of decimals in fractional display price | |
| 996 | UnitOfMeasure | UnitOfMeasure | String | Unit of measure for the products' original contract size. This will be populated for all products listed on CME Globex | |
| 1147 | UnitOfMeasureQty | Decimal9NULL | Qty | This field contains the contract size for each instrument. Used in combination with tag 996-UnitofMeasure | |
| 1150 | TradingReferencePrice | PRICENULL9 | Price | Reference price - the most recently available Settlement whether it be Theoretical, Preliminary or a Final Settle of the session | |
| 731 | SettlPriceType | SettlPriceType | MultipleCharValue | Bitmap field of eight Boolean type indicators representing settlement price type: Bit 0: (least significant bit): 1=Final 0=Preliminary Bit 1: 1=Actual 0=Theoretical or Undefined Note: Typically, there are two rounds of preliminary settlement prices disseminated. The early round of preliminary settlement prices will have Bit 1 set to 0 (Undefined). Bit 2: 1=Settlement at Trading Tick 0=Settlement at Clearing Tick Bit 3: 1=Intraday 0=Undefined Bit 4-6: Reserved for future use, set to 0 Bit 7: 0=not NULL 1=entire set is a NULL Settlements are not supported on BrokerTec markets. | |
| 5791 | ClearedVolume | Int32NULL | Qty | The total cleared volume of instrument traded during the prior trading session | |
| 5792 | OpenInterestQty | Int32NULL | Qty | The total open interest for the market at the close of the prior trading session. | |
| 1148 | LowLimitPrice | PRICENULL9 | Price | Allowable low limit price for the trading day | |
| 1149 | HighLimitPrice | PRICENULL9 | Price | Allowable high limit price for the trading day | |
| 9779 | UserDefinedInstrument | UserDefinedInstrument | char | Identifies user-defined instruments. Y=User defined instrument | |
| 5796 | TradingReferenceDate | LocalMktDate | LocalMktDate | Indicates session date corresponding to the settlement price in tag 1150-TradingReferencePrice | |
| 37513 | InstrumentGUID | uInt64NULL | int | 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. | |
| Repeating Group 1 | |||||
| 864 | NoEvents | NumInGroup | Number of EventType entries | ||
| →865 | EventType | EventType | int | Code to represent the type of event 5=Activation | |
| →1145 | EventTime | uInt64 | UTCTimestamp | Date and Time of instrument Activation or Last Trade Datetime event sent as number of nanoseconds since Unix epoch | |
| Repeating Group 2 | |||||
| 1141 | NoMDFeedTypes | NumInGroup | Number of FeedType entries | ||
| →1022 | MDFeedType | MDFeedType | String | Describes a class of service for a given data feed. GBX- Real Book, GBI-Implied Book GBX=CME Globex Book Depth | |
| →264 | MarketDepth | Int8 | int | Book depth | |
| Repeating Group 3 | |||||
| 870 | NoInstAttrib | NumInGroup | Number of InstrAttribType entries | ||
| →871 | InstAttribType | InstAttribType | int | Instrument Eligibility Attributes | |
| →872 | InstAttribValue | InstAttribValue | MultipleCharValue | Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain. 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 | |
| Repeating Group 4 | |||||
| 1234 | NoLotTypeRules | NumInGroup | Number of entries | ||
| →1093 | LotType | Int8 | int | This tag is required to interpret the value in tag 1231-MinLotSize | |
| →1231 | MinLotSize | DecimalQty | Qty | Minimum quantity accepted for order entry. If tag 1093-LotType=4, this value is the minimum quantity for order entry expressed in the applicable units, specified in tag 996-UnitOfMeasure, e.g. megawatts 2=minimum order entry quantity for an instrument 3=the minimum qty required for a block trade 4=Round lot (Variable Quantity Products) | |
| Repeating Group 5 | |||||
| 771 | NoUnderlyings | NumInGroup | Number of underlying instruments | ||
| →309 | UnderlyingSecurityID | Int32 | int | Underlying instrument ID. This value will be the same as that contained in underlying instrument’s Security Definition tag 48-SecurityID. It is recommended this tag be used to identify the underlying tradable futures instrument of the option. This method will not work for options on futures spreads (Calendar Spread Options), since the underlying future is synthetic and non-tradable. To identify the underlying tradable future, customers should contact GCC. | |
| →305 | UnderlyingSecurityIDSource | SecurityIDSource | char | This value is always '8' for CME | |
| →311 | UnderlyingSymbol | UnderlyingSymbol | String | Underlying instrument symbol (Contract Name). This value will be the same as that contained in underlying instrument’s Security Definition Tag 55-Symbol and may be used to identify the underlying future instrument of the option. CME Group recommends to identify the underlying futures instrument of the option, it is recommended customers use tag 309-UnderlyingSecurityID, which maps to the tag 48-SecurityID of the underlying futures instrument. This tag is available for option Instruments. It is not available for UDS or Futures Instrument | |
| Repeating Group 6 | |||||
| 1647 | NoRelatedInstruments | NumInGroup | Number of related instruments group | ||
| →1650 | RelatedSecurityID | Int32 | Int | Related Security ID | |
| →1650 | RelatedSecurityIDSource | SecurityIDSource | char | Related Security ID source | |
| →1649 | RelatedSymbol | Symbol | String | Related instrument Symbol | |