The market data Security Definition (tag 35-MsgType=d) message identifies the instrument and provides instrument attributes such as expiration, currency, etc.
This Market Data Security Definition message is sent for spreads. This message maps to the MDInstrumentDefinitionSpread template in the SBE MDP Core schema.
| Tag | FIX Name | Type | Semantic Type | Valid Values | Description |
|---|---|---|---|---|---|
| 5799 | MatchEventIndicator | MatchEventIndicator | MultipleCharValue | example: 10000000 – Security Definition message is the last message of the event example:00000000 – Security Definition is not the last message of the even | 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 |
| 911 | TotNumReports | uInt32NULL | int | Total number of instruments in the Replay loop. Used on Replay Feed only | |
| 980 | SecurityUpdateAction | SecurityUpdateAction | char | A=Add D=Delete M=Modify | 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 |
| 779 | LastUpdateTime | uInt64 | UTCTimestamp | Timestamp of when the instrument was last added, modified or deleted | |
| 1682 | MDSecurityTradingStatus | SecurityTradingStatus | int | 2=Trading Halt 4=Close 17=Ready to trade (start of session) 18=Not available for trading 21=Pre Open 103= No Change | Identifies the current state of the instrument. The data is available in the Instrument Replay feed only |
| 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 | uInt8NULL | int | Product complex | |
| 207 | SecurityExchange | SecurityExchange | Exchange | Exchange used to identify a security | |
| 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 Group Code | |
| 48 | SecurityID | Int32 | int | Unique instrument ID | |
| 22 | SecurityIDSource | SecurityIDSource | char | 8=Exchange symbol | Identifies class or source of the security ID (Tag 48) value |
| 167 | SecurityType | SecurityType | String | Security Type | |
| 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. | |
| 200 | MaturityMonthYear | MaturityMonthYear | MonthYear | This field provides the actual calendar date for contract maturity | |
| 15 | Currency | Currency | Currency | Identifies currency used for price | |
| 762 | SecuritySubType | SecuritySubType | String | Strategy type | |
| 9779 | UserDefinedInstrument | UserDefinedInstrument | char | Y=User defined instrument N=Not a user defined instrument | User-defined instruments flag |
| 1142 | MatchAlgorithm | CHAR | char | F=First In, First Out (FIFO) | Matching algorithm |
| 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, sent only if instrument is non-VTT (Variable Tick table) eligible | |
| 9787 | DisplayFactor | Decimal9 | float | Contains the multiplier to convert the CME Globex display price to the conventional price | |
| 9800 | PriceDisplayFormat | uInt8NULL | int | Number of decimals in fractional display price | |
| 5770 | PriceRatio | PRICENULL9 | Price | Used for price calculation in spread and leg pricing | |
| 6350 | TickRule | Int8NULL | int | Tick Rule | |
| 996 | UnitOfMeasure | UnitOfMeasure | String | Unit of measure for the products' original contract size | |
| 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 | |
| 5792 | OpenInterestQty | Int32NULL | Qty | The total open interest for the market at the close of the prior trading session. The field will be null for Brokertec instruments, Settlements are not supported on BrokerTec markets. | |
| 5791 | ClearedVolume | Int32NULL | Qty | The total cleared volume of instrument traded during the prior trading session | |
| 1149 | HighLimitPrice | PRICENULL9 | Price | Allowable high limit price for the trading day | |
| 1148 | LowLimitPrice | PRICENULL9 | Price | Allowable low limit price for the trading day | |
| 1143 | MaxPriceVariation | PRICENULL9 | Price | Differential value for price banding | |
| 37702 | MainFraction | uInt8NULL | int | Price Denominator of Main Fraction | |
| 37703 | SubFraction | uInt8NULL | int | Price Denominator of Sub Fraction | |
| 5796 | TradingReferenceDate | LocalMktDate | LocalMktDate | Indicates session date corresponding to the settlement price in tag 1150-TradingReferencePrice | |
| 1196 | PriceQuoteMethod | String5 | String | Price quotation method | |
| 37721 | RiskSet | String6 | String | Risk Set identifies the list of instruments sharing credit limits set up | |
| 37722 | MarketSet | String6 | String | Market Set defines the bilateral relationship and Self Match Prevention configuration for eligible markets | |
| 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. | |
| 2714 | FinancialInstrumentFullName | LongName | String | Long name of the instrument | |
| Repeating Group 1 | |||||
| 864 | NoEvents | NuminGroup | Number of repeating entries. | ||
| →865 | EventType | EventType | int | 5=Activation 7=Last eligible trade date | Code to represent the type of event |
| →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 repeating entries. | ||
| →1022 | MDFeedType | MDFeedType | String | Describes a class of service for a given data feed. GBX- Real Book, GBI-Implied Book | |
| →264 | MarketDepth | Int8 | int | Identifies the depth of book | |
| Repeating Group 3 | |||||
| 870 | NoInstAttrib | NuminGroup | Number of repeating entries. | ||
| →871 | InstAttribType | InstAttribType | int | 24=Eligibility | 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 24-31 – Reserved for future use | |
| Repeating Group 4 | |||||
| 1234 | NoLotTypeRules | NuminGroup | Number of repeating entries. | ||
| →1093 | LotType | Int8 | int | 2=minimum order entry quantity for an instrument | This tag is required to interpret the value in tag 1231-MinLotSize |
| →1231 | MinLotSize | DecimalQty | Qty | If tag 1093-LotType=2, this value is minimum quantity accepted for order entry. | |
| Repeating Group 5 | |||||
| 555 | NoLegs | NuminGroup | Number of repeating entries. | ||
| →602 | LegSecurityID | Int32 | int | Leg Security ID | |
| →603 | LegSecurityIDSource | SecurityIDSource | char | Identifies source of tag 602-LegSecurityID value | |
| →624 | LegSide | LegSide | int | Leg side | |
| →623 | LegRatioQty | Int8 | Qty | Leg ratio of quantity for this individual leg relative to the entire multi-leg instrument | |
| →566 | LegPrice | PRICENULL9 | Price | Price for the future leg of a UDS Covered instrument | |
| →1017 | LegOptionDelta | DecimalQty | Qty | Delta used to calculate the quantity of futures used to cover the option or option strategy | |