Output - Top of Book

Fields

Ref	Field	Name	Data Type	Values	Usage	Description
1	header
2	→ messageType	Message Type	string	TOB (Top of Book)	ALWAYS	Denotes trade summary message.
3	→ sentTime	Sent Timestamp	timestamp		ALWAYS	CME MDP gateway sends the message (UTC).
4	→ sequenceNumber	sequence Number	string		ALWAYS	System generated per session. Message sequence will increment upwards as messages are published. Gaps in the sequence number may indicate that client applications are dropping messages due to slow consumption rates.
5	→ version	API Version	string	1.0 (1.0)	ALWAYS
6	payload
7	→ askLevel[]
8	→ → lastUpdateTime	Ask Level Last Update Timestamp	timestamp		ALWAYS	Last update time for ask price
9	→ → orderCnt	Ask Level Order Count	string		ALWAYS	Aggregate number of orders at the given price level.
10	→ → price	Ask Level Price	string		ALWAYS	Price of the entry
11	→ → qty	Ask Level Quantity	string		ALWAYS	Quantity of the entry
12	→ bidLevel[]
13	→ → lastUpdateTime	Bid Level Last Update Timestamp	timestamp		ALWAYS	Last update time for ask price
14	→ → orderCnt	Bid Level Order Count	string		ALWAYS	Aggregate number of orders at the given price level.
15	→ → price	Bid Level Price	string		ALWAYS	Price of the entry
16	→ → qty	Bid Level Quantity	string		ALWAYS	Quantity of the entry
17	→ instrument
18	→ → definitionSource	Instrument Definition Source	string	E (Exchange Defined) U (User Defined)	ALWAYS	Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined.
19	→ → exchangeMic	Exchange MIC	string	DUMX (Gulf Mercantile Exchange) XCBT (Chicago Board of Trade) XCEC (COMEX (Commodities Exchange Center)) XCME (Chicago Mercantile Exchange) XNYM (New York Mercantile Exchange)	ALWAYS	Exchange used to identify a security.
20	→ → id	Instrument ID	string		ALWAYS	Unique instrument ID as qualified by the exchange per market segment. The unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.
21	→ → marketSegmentId	Market Segment ID	string		ALWAYS	Identifies the market segment. Populated for all CME Globex instruments.
22	→ → periodCode	Instrument Period Code	string		ALWAYS	This field provides the calendar month reflected in the instrument symbol. Format `YYYYMM` (e.g., 201912) For futures spreads, this field contains the first leg's calendar month reflected in the instrument symbol.
23	→ → productCode	Instrument Product Code	string		ALWAYS	String field that indicates the underlying asset code (Product Code). Example: GE (Eurodollars), ES (E-Minis).
24	→ → productGroup	Product Group Code	string		ALWAYS
25	→ → productType	Product Type	string	FUT (Future) OOF (Option) OPT (Option)	ALWAYS
26	→ → symbol	Instrument Symbol	string		ALWAYS

CME Smart Stream Websockets - Top of Book

Output - Top of Book

Fields