Contract Specifications messages may be sent, at the option of the exchange: 1) on the day trading is announced in the contract (before effective date); 2) whenever one (1) or more elements of the message is changed; or, 3) routinely a, such as daily, the first day of the month, or the last day of the month.
Valid Type Codes for Contract Specifications messages are as follows:
| Type Code | Message |
|---|---|
O | Option |
S | Session |
Quote vendors should note that certain data in the messages is subject to change over the life of the contract. For example, the closing time for some contracts is changed on the last day of trading.
The following conditions apply for the Category Code Z - Contract Specifications message:
- Where Category Code Z (position 7) AND Session ID " " (position 24), CME Group will not send the message.
Options
The following sample message contains the Contract Specifications - type code O (Options):
aM OZO500213070630360 b CJ H12C 03 010100000+0145000+50
c
Position | Name | Length | Sample Values | Description | Type |
|---|---|---|---|---|---|
1 | SOH control character | (1) | Binary representation of the number 1 | Control Character | Message Header |
2 - 3 | Exchange ID | (2) | ‘M ‘ | Exchange | Message Header |
4 - 5 | Vendor ID | (2) | ‘ ‘ | Vendor | Message Header |
6 | Product Classification Code | (1) | O | Product type | Message Header |
7 | Category Code | (1) | Z | Message type | Message Header |
8 | Type Code | (1) | O | Message sub-type | Message Header |
9 | Message Day Code | (1) | 5 | Day of month | Message Header |
10 - 16 | Message Sequence Number | (7) | 0021307 | Sequence number | Message Header |
17 - 23 | Message Time Stamp | (7) | 0630360 | Time will be represented as ‘HHMMSST’ for the time zone in which the exchange is located | Message Header |
24 | Session ID | (1) | ‘ ‘ | Session ID Blank = ETH & RTH | Message Header |
25 | STX control character | (1) | Binary representation of the number 2 | Control Character | Message Header |
26 | Product Classification Type | (1) | ‘ ‘ | Space = No further definition included | Message Body |
27 - 29 | Option Commodity Code | (3) | ‘CJ ‘ | ITC 2.1 product code | Message Body |
30 | Option Day Code | (1) | ‘ ‘ | Option maturity date | Message Body |
32 | Option Month Code | (1) | ‘H’ | Option maturity month | Message Body |
33-34 | Option Year Code | (2) | 12 | Option maturity year | Message Body |
34 | Put/Call Code | (1) | C | Identify put or call options
| Message Body |
35 - 54 | Space | (20) | ‘ ‘ | Blank | Message Body |
55 -56 | Strike Price Fractional Indicator | (2) | 03 | All fractions are expressed as fractions or in decimals as is customary for the particular commodity. | Message Body |
57 | Strike Price Indicator | (1) | ‘ ‘ | Identify the manner in which the Strike Prices are coded. | Message Body |
58 - 59 | Number of Intervals | (2) | 01 | Number of intervals | Message Body |
60 - 66 | Low Strike Price | (7) | 0100000 | Lowest value Strike Price | Message Body |
67 | Low Strike Sign | (1) | + | Lowest value Strike Sign | Message Body |
68 - 74 | High Strike Price | (7) | 0145000 | Highest value Strike Price | Message Body |
75 | High Strike Sign | (1) | + | Highest value Strike Sign | Message Body |
76-77 | Strike Price Interval | (2) | 50 | Used to calculate Strike Prices | Message Body |
78 - 89 | Space | (12) | ‘ ‘ | Blank | Message Body |
90 | ETX | (1) | Binary representation of the number 3 | Control character | Message Body |
Sessions
The following sample message contains the Contract Specifications - type code S (Sessions):
aM FZS500129000630090 b BR 2G1700 1600 R0720 1400 c
| Position | Name | Length | Sample Values | Description | Type |
|---|---|---|---|---|---|
1 | SOH control character | (1) | Binary representation of the number 1 | Control Character | Message Header |
2 - 3 | Exchange ID | (2) | ‘M ‘ | Exchange | Message Header |
4 - 5 | Vendor ID | (2) | ‘ ‘ | Vendor | Message Header |
6 | Product Classification Code | (1) | F | Product type | Message Header |
7 | Category Code | (1) | Z | Message type | Message Header |
8 | Type Code | (1) | S | Message sub-type | Message Header |
9 | Message Day Code | (1) | 5 | Day of month | Message Header |
10 - 16 | Message Sequence Number | (7) | 0012900 | Sequence number | Message Header |
17 - 23 | Message Time Stamp | (7) | 0630090 | Time will be represented as ‘HHMMSST’ for the time zone in which the exchange is located | Message Header |
24 | Session ID | (1) | ‘ ‘ | Session ID Blank = ETH & RTH | Message Header |
25 | STX control character | (1) | Binary representation of the number 2 | Control Character | Message Header |
26 | Product Classification Type | (1) | ‘ ‘ | Space = No further definition included | Message Body |
27 - 29 | Commodity Code | (3) | ‘BR ‘ | ITC 2.1 product code | Message Body |
30 - 37 | Space | (8) | ‘ ‘ | Blank | Message Body |
38 | Number of Sessions | (1) | 2 | Number of trading sessions | Message Body |
39 | Session ID | (1) | G | Session ID | Message Body |
40 - 43 | Session Opening Time | (4) | 1700 | Opening Time in HHMM Format | Message Body |
44 | Space | (1) | ‘ ‘ | Blank | Message Body |
45 - 48 | Session Closing Time | (4) | 1600 | Closing Time in HHMM Format | Message Body |
50 | Session ID | (1) | R | Session ID | Message Body |
51 - 54 | Session Opening Time | (4) | 0720 | Opening Time in HHMM Format | Message Body |
55 | Space | (1) | ‘ ‘ | Blank | Message Body |
56 - 59 | Session Closing Time | (4) | 1400 | Closing Time in HHMM Format | Message Body |
60 | Space | (1) | ‘ ‘ | Blank | Message Body |
61 | ETX | (1) | Binary representation of the number 3 | Control character | Message Body |
The following sample message contains the Contract Specifications - type code S (Sessions for option commodity codes).
aM OZS500139540630110 b ND 2G1530 0815 R0830 1515 c
| Position | Name | Length | Sample Values | Description |
|---|---|---|---|---|
1 | SOH control character | (1) | Binary representation of the number 1 | Control Character |
2 - 3 | Exchange ID | (2) | ‘M ‘ | Exchange |
4 - 5 | Vendor ID | (2) | ‘ ‘ | Vendor |
6 | Product Classification Code | (1) | O | Product type |
7 | Category Code | (1) | Z | Message type |
8 | Type Code | (1) | S | Message sub-type |
9 | Message Day Code | (1) | 5 | Day of month |
10 - 16 | Message Sequence Number | (7) | 0013954 | Sequence number |
17 - 23 | Message Time Stamp | (7) | 0630110 | Time will be represented as ‘HHMMSST’ for the time zone in which the exchange is located |
24 | Session ID | (1) | ‘ ‘ | Session ID which the data pertains, not necessarily the current session Blank = ETH & RTH |
25 | STX control character | (1) | Binary representation of the number 2 | Control Character |
26 | Product Classification Type | (1) | ‘ ‘ | Space = No further definition included |
27 - 29 | Commodity Code | (3) | ND | ITC 2.1 product code |
30 - 57 | Space | (28) | ‘ ‘ | Blank |
58 | Number of Sessions | (1) | 2 | Number of trading sessions |
59 | Session ID | (1) | G | Session ID |
60 - 63 | Session Opening Time | (4) | 1530 | Opening Time in HHMM Format |
64 | Space | (1) | ‘ ‘ | Blank |
65 - 68 | Session Closing Time | (4) | 0815 | Closing Time in HHMM Format |
| 69 | Space | (1) | ' ' | Blank |
70 | Session ID | (1) | Session ID | |
71 - 74 | Session Opening Time | (4) | 0830 | Opening Time in HHMM Format |
75 | Space | (1) | ‘ ‘ | Blank |
76 - 79 | Session Closing Time | (4) | 1515 | Closing Time in HHMM Format |
80 | Space | (1) | ‘ ‘ | Blank |
81 | ETX | (1) | Binary representation of the number 3 | Control character |
The following sample message contains the Contract Specifications - type code S (Sessions with Commodity Code, Month and Year):
aM FZS500219270630430 b VFF G14 0c
| Position | Name | Length | Sample Values | Description |
|---|---|---|---|---|
1 | SOH control character | (1) | a | Control Character |
2 - 3 | Exchange ID | (2) | M | Exchange |
6 | Product Classification Code | (1) | F | Product type |
7 | Category Code | (1) | Z | Message type |
8 | Type Code | (1) | S | Message sub-type |
9 | Message Day Code | (1) | 5 | Day of month |
10 - 16 | Message Sequence Number | (7) | 0021927 | Sequence number |
17 - 23 | Message Time Stamp | (7) | 0630430 | Time will be represented as ‘HHMMSST’ for the time zone in which the exchange is located |
25 | STX control character | (1) | b | Control Character |
27 - 29 | Commodity Code | (3) | VFF | ITC 2.1 product code |
31 | Month Code | (1) | G | Maturity Month |
32 - 33 | Future Year Code | (1) | 14 | Maturity Year |
38 | Number of Sessions | (1) | 0 | Number of trading sessions Note - This position will be populated with the value of ‘0’. |
39 | ETX | (1) | c | Control character |