This page provides the following CME STP message samples:
Use this search bar to search topics within CME STP.
Inbound Samples
Trading Firm Initial Subscription
This is the most basic Subscription as it contains no parameters except for the trading firm. It does not contain any dates or times.
<?xml version="1.0" encoding="UTF-8"?>
<FIXML v="5.0 SP2" s="20090815" xv="109" cv="CME.0001">
<!-- ReqTyp = Matched trades matching criteria provided on request-->
<!-- SubReqTyp = Subscribe -->
<!-- No times are given, including a start time. Use system default. -->
<!-- No BizDt or TrdDt given, so all trades. -->
<!-- MLegRptTyp = Prefer Spreads, not Legs. -->
<TrdCaptRptReq ReqID="ABC123" ReqTyp="1" SubReqTyp="1" MLegRptTyp="3">
<Hdr SID="RYAN" TID="CME" SSub="RYAN123" TSub="STP"/>
<!-- Query is for Trading Firm: RYANTF -->
<Pty ID="RYANTF" R="7"/>
<Pty ID="RYANTF1" R="7"/>
</TrdCaptRptReq>
</FIXML>
Trading Firm Continued Subscription
This is a continuation of the Subscription above. All query parameters (at present, only trading firm) must be repeated. The token will be sent in x-cme-token (a CME custom HTTP header) to continue the Subscription.
The ReqID may either be the same as the original query, or it may be different. The resulting message sent in response must echo it back.
<?xml version="1.0" encoding="UTF-8"?>
<FIXML v="5.0 SP2" s="20090815" xv="109" cv="CME.0001">
<!-- ReqTyp = Unreported trades that match criteria. Indicates that this is a continuation of a prior subscription. -->
<!-- Note that token is passed in the x-cme-token HTTP header. -->
<!-- SubReqTyp = Subscribe -->
<!-- No times are given, including a start time. Use system default. -->
<!-- No BizDt or TrdDt given, so all trades. -->
<!-- MLegRptTyp = Prefer Spreads, not Legs. -->
<TrdCaptRptReq ReqID="ABC123" ReqTyp="3" SubReqTyp="1" MLegRptTyp="3">
<Hdr SID="RYAN" TID="CME" SSub="RYAN123" TSub="STP"/>
<!-- Query is for Trading Firm: RYANTF -->
<Pty ID="RYANTF" R="7"/>
<Pty ID="RYANTF1" R="7"/>
</TrdCaptRptReq>
</FIXML>
Trading Firm Initial Subscription for a Product
In this example, the Trading Firm is subscribing by product and clearing business date. It includes an 11:00 AM start time. Records prior to that time are not returned.
<?xml version="1.0" encoding="UTF-8"?>
<FIXML v="5.0 SP2" s="20090815" xv="109" cv="CME.0001">
<!-- ReqTyp = Matched trades matching criteria provided on request-->
<!-- SubReqTyp = Subscribe -->
<!-- This is a subscription from 11:00 AM onwards -->
<!-- BizDt given as query parameter, but no TrdDt. -->
<!-- MLegRptTyp = Prefer Spreads, not Legs. -->
<TrdCaptRptReq ReqID="ABC124" ReqTyp="1" SubReqTyp="1" StartTm="2013-10-22T11:00:00-05:00" BizDt="2013-10-22" MLegRptTyp="3">
<Hdr SID="RYAN" TID="CME" SSub="RYAN123" TSub="STP"/>
<!-- Query is for Trading Firm: RYANTF -->
<Pty ID="RYANTF" R="7"/>
<Pty ID="RYANTF1" R="7"/>
<!-- NYMEX Crude Oil futures only -->
<Instrmt ID="CL" SecTyp="FUT" Exch="NYMEX"/>
</TrdCaptRptReq>
</FIXML>
Broker Initial Query for Specific Order
<?xml version="1.0" encoding="UTF-8"?>
<FIXML v="5.0 SP2" s="20090815" xv="109" cv="CME.0001">
<!-- ReqTyp = Matched trades matching criteria provided on request-->
<!-- SubReqTyp = Snapshot -->
<!-- StartTm is required for queries. -->
<!-- MLegRptTyp = Prefer Legs, not Spreads. -->
<!-- Note TrdID2 as query parameter. -->
<TrdCaptRptReq ReqID="ABC125" ReqTyp="1" SubReqTyp="0" StartTm="2013-10-21T00:00:00-05:00" MLegRptTyp="2" TrdID2="141DED17BACAP0001CCA">
<Hdr SID="RYAN" TID="CME" SSub="RYAN123" TSub="STP"/>
<!-- Query is for Broker Firm: RYANBF -->
<Pty ID="RYANBF" R="30"/>
<!-- Trade date query parameter -->
<TrdCapDt TrdDt="2013-10-21"/>
</TrdCaptRptReq>
</FIXML>
Broker Initial Query for Specific Order - Search for Historic Trade
- End Time (EndTm) is used to search for earlier trades
<?xml version="1.0" encoding="UTF-8"?> <FIXML v="5.0 SP2" s="20090815" xv="109" cv="CME.0001"> <!-- ReqTyp = Matched trades matching criteria provided on request--> <!-- SubReqTyp = Snapshot --> <!-- StartTm is required for queries. --> <!-- MLegRptTyp = Prefer Legs, not Spreads. --> <!-- Note EndTm is an optional parameter and used to limit the timeperiod of a search; enabling earlier delivered versions of a trade to be retrieved--> <TrdCaptRptReq ReqID="ABC125" ReqTyp="1" SubReqTyp="0" StartTm="2013-10-21T00:00:00-05:00" EndTm="2013-10-21T17:00:00-05:00" MLegRptTyp="2" > <Hdr SID="RYAN" TID="CME" SSub="RYAN123" TSub="STP"/> <!-- Query is for Broker Firm: RYANBF --> <Pty ID="RYANBF" R="30"/> <!-- Trade date query parameter --> </TrdCaptRptReq> </FIXML>
Outbound Samples
Outrights
Future Sample - Pit
<?xml version="1.0" encoding="UTF-8"?>
<FIXML v="5.0 SP2" s="20090815" xv="109" cv="CME.0001">
<Batch>
<Hdr SID="CME" TID="RYAN" SSub="STP" TSub="RYAN123" />
<TrdCaptRpt LastUpdateTm="2019-08-12T15:28:34.310-05:00" TxnTm="2019-08-12T15:28:33-05:00"
MLegRptTyp="1" BizDt="2019-08-12" TrdDt="2019-08-12" LastPx="130.5" LastQty="15" VenuTyp="P"
PxTyp="2" MtchID="16C81B4741D0003D2CDA" TrdTyp="0" ReqID="123456" TrdRptStat="0" RptTyp="101" TransTyp="2"
TrdID2="16C81B4741D0003D2CD4" TrdID="100071" RptID="16C81B4741D0003D2CD41152833014">
<Instrmt PxQteCcy="USD" Desc="10-Year T-Note Futures" Exch="CBT"
SettlMeth="P" UOMQty="100000.0" UOMCcy="USD" UOM="Ccy" Mult="1000" MatDt="2019-09-19"
MMY="201909" SecTyp="FUT" CFI="FFDPSO" Src="H" ID="21" Sym="ZNU9" />
<RptSide CustCpcty="1" InptSrc="FIRM" ClOrdID="123" Side="1">
<Pty R="1" ID="666" />
<Pty R="4" ID="666" />
<Pty R="7" Src="C" ID="test_firm1">
<Sub Typ="5" ID="Test Firm 1" />
</Pty>
<Pty R="12" ID="ANT" />
<Pty R="21" Src="C" ID="CME" />
<Pty R="22" Src="C" ID="CBT" />
<Pty R="24" Src="C" ID="TESTACCT3">
<Sub Typ="26" ID="1" />
</Pty>
<Pty R="24" Src="H" ID="A-777776" />
<RegTrdID Typ="0" Evnt="2" Src="1010000023" ID="FECC16C81B4741D0003D2CD4" />
</RptSide>
</TrdCaptRpt>
</Batch>
</FIXML>
Option on Future Sample - CME Globex
<?xml version="1.0" encoding="UTF-8"?>
<FIXML v="5.0 SP2" s="20090815" xv="109" cv="CME.0001">
<Batch>
<Hdr SID="CME" TID="RYAN" SSub="STP" TSub="RYAN123"/>
<TrdCaptRpt RptID="14202D947A8AP0002C3C096173519393"
ExecID="05788720131029173519TN0000156"
TrdID2="14202D947A8AP0002C3C096"
TrdID="102761" MtchID="14202D947A8AP0002C3C098" LastPx="0.0013"
TxnTm="2013-10-29T17:35:19-05:00"
LastUpdateTm="2013-10-29T17:35:19-05:00" TrdDt="2013-10-30" BizDt="2013-10-30"
TransTyp="0" RptTyp="101" TrdRptStat="0" MLegRptTyp="1" ReqID="ABC123"
LastQty="9" TrdTyp="0" VenuTyp="E">
<Instrmt ID="1D" Src="H" Sym="XD1X3 P0820" SecTyp="OPT"
CFI="OPEXPS" MMY="20131100" MatDt="2013-11-01" Exch="CME"
Mult="100000" StrkPx="0.82" PutCall="0" PxQteCcy="USD"/>
<Undly MMY="201312" SecTyp="FUT"/>
<Amt Typ="PREM" Amt="1170.00" Ccy="USD"/>
<RptSide Side="2" ClOrdID="E0AB" InptSrc="GBX" CustCpcty="4">
<Pty ID="898" R="1"/>
<Pty ID="898" R="4"/>
<Pty ID="RYANTF" R="7">
<Sub ID="Ryan Trading Firm" Typ="5"/>
</Pty>
<Pty ID="8I2L" R="12"/>
<Pty ID="CME" R="21"/>
<Pty ID="CME" R="22"/>
<Pty ID="RYANACCOUNT" R="24">
<Sub ID="1" Typ="26"/>
</Pty>
<TrdRegTS TS="2013-10-29T17:35:19-05:00" Typ="1"/>
</RptSide>
</TrdCaptRpt>
</Batch>
</FIXML>
OTC FX Sample - CME ClearPort
<?xml version="1.0" encoding="UTF-8"?>
<FIXML v="5.0 SP2" s="20090815" xv="109" cv="CME.0001">
<Batch>
<Hdr SID="CME" TID="RYAN" SSub="STP" TSub="RYAN123"/>
<TrdCaptRpt RptID="141FACBFC880002C53F62142431950" ExecID="1842230"
ExecID2="GIT:20131028:3789:15:293" TrdID2="141FACBFC880002C53D6"
TrdID="100020" MtchID="141FACBFC880002C53BE"
LastPx="2.36" TxnTm="2013-10-28T14:24:31-05:00"
LastUpdateTm="2013-10-28T14:24:31-05:00" TrdDt="2014-01-10"
BizDt="2014-01-10" TransTyp="2" RptTyp="101" TrdRptStat="0" MLegRptTyp="1"
ReqID="ABC123" LastQty="1000000" TrdTyp="22" PxTyp="2" PxNeg="5"
VenuTyp="X">
<Instrmt ID="USDBRL" Src="H" Sym="USDBRLF502" SecTyp="FWD"
SubTyp="I" CFI="FFXCNO" MMY="20150102" MatDt="2015-01-05" Exch="CME"
Mult="1" UOM="Ccy" UOMCcy="USD" PxQteCcy="BRL">
<Evnt EventTyp="121" Dt="2015-01-02"/>
<Evnt EventTyp="13" Dt="2015-01-06"/>
</Instrmt>
<RptSide Side="2" ClOrdID="526EB9EC14640042" InptSrc="CPC"
CustCpcty="4">
<Pty ID="7V4" R="1"/>
<Pty ID="020" R="4"/>
<Pty ID="RYANTF" R="7">
<Sub ID="Ryan Trading Firm" Typ="5"/>
</Pty>
<Pty ID="RDP" R="16"/>
<Pty ID="CME" R="21"/>
<Pty ID="CME" R="22"/>
<Pty ID="RYANACCOUNT" R="24">
<Sub ID="1" Typ="26"/>
</Pty>
<RegTrdID ID="CPC000001852335BN0001"
Src="1010000023" Typ="0" Evnt="2"/>
<TrdRegTS TS="2014-01-10T14:24:29-05:00" Typ="1"/>
</RptSide>
</TrdCaptRpt>
</Batch>
</FIXML>
Interest Rate Swaps
IRS with embedded FpML
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<FIXML v="5.0 SP2" xv="109" cv="CME.0001" s="20090815">
<Batch>
<Hdr SID="CME" TID="092" SSub="STP" TSub="API_STP_092"/>
<TrdCaptRpt RptID="0921972408" TrdID2="1972408" TransTyp="0" RptTyp="101" TrdRptStat="0" ReqID="ABC124" TrdTyp="22"
ExecID="BASAUD5" ExecID2="140904072027561:AUTOGEN:1413887318039" BlckID="BASAUD5" VenuTyp="X" QtyTyp="0" LastQty="100000.00"
TrdDt="2014-09-04" BizDt="2014-10-21" MLegRptTyp="1" LastUpdateTm="2014-10-21T05:28:39.000-05:00">
<Instrmt ID="BSPAUD" Src="H" SecTyp="IRS" Exch="CME">
<SecXML>
<cme:FpML xmlns:cme="http://www.cmegroup.com/otc-clearing/confirmation"
xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
xsi:schemaLocation="http://www.cmegroup.com/otc-clearing/confirmation http://www.cmegroup.com/otc-clearing/confirmation/cme-conf-ext-1-12-STP.xsd">
<cme:originatingEvent>NEW_TRADE</cme:originatingEvent>
<swap>
<swapStream id="floatingLeg0">
<payerPartyReference href="trading_firm_account"/>
<receiverPartyReference href="clearing_service"/>
<calculationPeriodDates id="floatingCalcDates0">
<effectiveDate>
<unadjustedDate>2014-09-04</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>2015-09-04</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>AUSY</businessCenter>
</businessCenters>
</dateAdjustments>
</terminationDate>
<calculationPeriodDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>AUSY</businessCenter>
</businessCenters>
</calculationPeriodDatesAdjustments>
<calculationPeriodFrequency>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
<rollConvention>4</rollConvention>
</calculationPeriodFrequency>
</calculationPeriodDates>
<paymentDates>
<calculationPeriodDatesReference href="floatingCalcDates0"/>
<paymentFrequency>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</paymentFrequency>
<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
<paymentDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>AUSY</businessCenter>
</businessCenters>
</paymentDatesAdjustments>
</paymentDates>
<resetDates id="floatingResetDates0">
<calculationPeriodDatesReference href="floatingCalcDates0"/>
<resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
<fixingDates>
<periodMultiplier>-2</periodMultiplier>
<period>D</period>
<dayType>Business</dayType>
<businessDayConvention>PRECEDING</businessDayConvention>
<businessCenters>
<businessCenter>AUSY</businessCenter>
</businessCenters>
<dateRelativeTo href="floatingResetDates0"/>
</fixingDates>
<resetFrequency>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</resetFrequency>
<resetDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>AUSY</businessCenter>
</businessCenters>
</resetDatesAdjustments>
</resetDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<notionalStepSchedule>
<initialValue>100000.00</initialValue>
<currency>AUD</currency>
</notionalStepSchedule>
</notionalSchedule>
<floatingRateCalculation>
<floatingRateIndex>AUD-BBR-BBSW</floatingRateIndex>
<indexTenor>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</indexTenor>
</floatingRateCalculation>
<dayCountFraction>ACT/360</dayCountFraction>
<compoundingMethod>None</compoundingMethod>
</calculation>
</calculationPeriodAmount>
</swapStream>
<swapStream id="floatingLeg1">
<payerPartyReference href="clearing_service"/>
<receiverPartyReference href="trading_firm_account"/>
<calculationPeriodDates id="floatingCalcDates1">
<effectiveDate>
<unadjustedDate>2014-09-04</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>2015-09-04</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>AUSY</businessCenter>
</businessCenters>
</dateAdjustments>
</terminationDate>
<calculationPeriodDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>AUSY</businessCenter>
</businessCenters>
</calculationPeriodDatesAdjustments>
<calculationPeriodFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
<rollConvention>4</rollConvention>
</calculationPeriodFrequency>
</calculationPeriodDates>
<paymentDates>
<calculationPeriodDatesReference href="floatingCalcDates1"/>
<paymentFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
</paymentFrequency>
<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
<paymentDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>AUSY</businessCenter>
</businessCenters>
</paymentDatesAdjustments>
</paymentDates>
<resetDates id="floatingResetDates1">
<calculationPeriodDatesReference href="floatingCalcDates1"/>
<resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
<fixingDates>
<periodMultiplier>-2</periodMultiplier>
<period>D</period>
<dayType>Business</dayType>
<businessDayConvention>PRECEDING</businessDayConvention>
<businessCenters>
<businessCenter>AUSY</businessCenter>
</businessCenters>
<dateRelativeTo href="floatingResetDates1"/>
</fixingDates>
<resetFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
</resetFrequency>
<resetDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>AUSY</businessCenter>
</businessCenters>
</resetDatesAdjustments>
</resetDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<notionalStepSchedule>
<initialValue>100000.00</initialValue>
<currency>AUD</currency>
</notionalStepSchedule>
</notionalSchedule>
<floatingRateCalculation>
<floatingRateIndex>AUD-BBR-BBSW</floatingRateIndex>
<indexTenor>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
</indexTenor>
</floatingRateCalculation>
<dayCountFraction>ACT/360</dayCountFraction>
<compoundingMethod>None</compoundingMethod>
</calculation>
</calculationPeriodAmount>
</swapStream>
</swap>
<party id="trading_firm_account">
<partyId>A-50925</partyId>
</party>
<party id="clearing_service">
<partyId>CME</partyId>
</party>
</cme:FpML>
</SecXML>
</Instrmt>
<RptSide Side="2" ClOrdID="BASISAUD2" InptSrc="TSEF">
<Pty ID="092" R="1"/>
<Pty ID="092" R="4"/>
<Pty ID="092" R="7"/>
<Pty ID="CME" R="21"/>
<Pty ID="CME" R="22"/>
<Pty ID="SHBDAIRS2" Src="C" R="24">
<Sub ID="1" Typ="26"/>
</Pty>
<Pty ID="A-50925" Src="H" R="24"/>
<RegTrdID ID="CCCIRS1972408" Src="1010000023" Typ="0" Evnt="2"/>
</RptSide>
</TrdCaptRpt>
</Batch>
</FIXML>
Spreads
Future (Globex) - Spread (MLegRptTyp=3)
<TrdCaptRpt MDTrdEntrID = "1118445" Clrd = "1" LastUpdateTm = "2019-12-23T20:16:25.663000000Z" TxnTm = "2019-12-23T20:16:25.000000000Z" MLegRptTyp = "3" BizDt = "2019-12-23" TrdDt = "2019-12-23" LastPx = "0.43" LastQty = "5" VenuTyp = "E" PxTyp = "2" ExecID = "80609:M:51533TN0000019" MtchID = "16F2ED1284E0004D1D44F8" TrdSubTyp = "7" TrdTyp = "0" ReqID = "1POST1" TrdRptStat = "0" RptTyp = "101" TransTyp = "0" TrdID2 = "16F2ED1284E0004D1D44FC" TrdID = "106788" RptID = "16F2ED1284E0004D1D44FC3141625493">
<Instrmt PxQteCcy = "USD" Exch = "NYMEX" Mult = "1000" MatDt = "2020-02-20" MMY = "20200300" SubTyp = "CAL" SecTyp = "MLEG" CFI = "FCEPSX" Src = "H" ID = "CL" Sym = "CLH0-CLJ0"></Instrmt>
<TrdLeg PxTyp = "2" LastPx = "60.25" RefID = "106789" LegNo = "1" RptID = "16F2ED1284E0004D1D44FE" Qty = "5">
<Leg SettlMeth = "P" Side = "2" Desc = "Light Sweet Crude Oil Futures" Exch = "NYMEX" UOMQty = "1000.0" UOM = "Bbl" Mult = "1000" Mat = "2020-02-20" MMY = "202003" SecTyp = "FUT" CFI = "FCEPSX" Src = "H" ID = "CL" Sym = "CLH0"></Leg>
</TrdLeg>
<TrdLeg PxTyp = "2" LastPx = "59.82" RefID = "106790" LegNo = "2" RptID = "16F2ED1284E0004D1D4500" Qty = "5">
<Leg SettlMeth = "P" Side = "1" Desc = "Light Sweet Crude Oil Futures" Exch = "NYMEX" UOMQty = "1000.0" UOM = "Bbl" Mult = "1000" Mat = "2020-03-20" MMY = "202004" SecTyp = "FUT" CFI = "FCEPSX" Src = "H" ID = "CL" Sym = "CLJ0"></Leg>
</TrdLeg>
<RptSide OrdID = "801037839207" CustOrdHdlInst = "Y" StrategyLinkID = "8010378392072019122319" CustCpcty = "4" InptSrc = "GLBX" ClOrdID = "605030" Side = "2">
<Pty R = "1" Src = "D" ID = "666"></Pty>
<Pty R = "4" ID = "666"></Pty>
<Pty R = "7" Src = "C" ID = "ABC123_BROTHERS_ARBITRAGE">
<Sub Typ = "5" ID = "ABC123 Brothers Arbitrage"></Sub>
</Pty>
<Pty R = "12" ID = "6F6L"></Pty>
<Pty R = "21" Src = "C" ID = "CME"></Pty>
<Pty R = "22" Src = "C" ID = "NYMEX"></Pty>
<Pty R = "24" Src = "C" ID = "ABC1236">
<Sub Typ = "26" ID = "1"></Sub>
</Pty>
<Pty R = "24" Src = "H" ID = "A-56969"></Pty>
<Pty R = "44" ID = "CME_CMEDCSETUSER3"></Pty>
<Pty R = "55" ID = "R37666"></Pty>
<Pty R = "1001" Src = "D" ID = "666"></Pty>
<RegTrdID LegRefID = "1" Typ = "0" Evnt = "2" Src = "1010000023" ID = "FECC16F2ED1284E0004D1D44FE"></RegTrdID>
<RegTrdID LegRefID = "2" Typ = "0" Evnt = "2" Src = "1010000023" ID = "FECC16F2ED1284E0004D1D4500"></RegTrdID>
<TrdRegTS Typ = "1" TS = "2019-12-23T20:16:25.000000000Z"></TrdRegTS>
</RptSide>
</TrdCaptRpt>
Future (Globex) - Spread Leg 1 (MLegRptTyp=2)
<TrdCaptRpt MDTrdEntrID = "1118445" Clrd = "1" LastUpdateTm = "2019-12-23T20:16:25.911000000Z" TxnTm = "2019-12-23T20:16:25.000000000Z" MLegRptTyp = "2" BizDt = "2019-12-23" TrdDt = "2019-12-23" LastPx = "60.25" LastQty = "5" VenuTyp = "E" PxTyp = "2" ExecID = "80609:M:51533TN0000019" MtchID = "16F2ED1284E0004D1D44F8" TrdSubTyp = "7" TrdTyp = "0" ReqID = "1POST1" TrdRptStat = "0" RptTyp = "101" TransTyp = "0" TrdID2 = "16F2ED1284E0004D1D44FE" TrdID = "106789" RptID = "16F2ED1284E0004D1D44FC1141625493">
<Instrmt PxQteCcy = "USD" Desc = "Light Sweet Crude Oil Futures" Exch = "NYMEX" SettlMeth = "P" UOMQty = "1000.0" UOM = "Bbl" Mult = "1000" MatDt = "2020-02-20" MMY = "202003" SubTyp = "CAL" SecTyp = "FUT" CFI = "FCEPSX" Src = "H" ID = "CL" Sym = "CLH0"></Instrmt>
<RptSide OrdID = "801037839207" CustOrdHdlInst = "Y" StrategyLinkID = "8010378392072019122319" CustCpcty = "4" InptSrc = "GLBX" ClOrdID = "605030" Side = "2">
<Pty R = "1" Src = "D" ID = "666"></Pty>
<Pty R = "4" ID = "666"></Pty>
<Pty R = "7" Src = "C" ID = "ABC123_BROTHERS_ARBITRAGE">
<Sub Typ = "5" ID = "ABC123 Brothers Arbitrage"></Sub>
</Pty>
<Pty R = "12" ID = "6F6L"></Pty>
<Pty R = "21" Src = "C" ID = "CME"></Pty>
<Pty R = "22" Src = "C" ID = "NYMEX"></Pty>
<Pty R = "24" Src = "C" ID = "ABC1236">
<Sub Typ = "26" ID = "1"></Sub>
</Pty>
<Pty R = "24" Src = "H" ID = "A-56969"></Pty>
<Pty R = "44" ID = "CME_CMEDCSETUSER3"></Pty>
<Pty R = "55" ID = "R37666"></Pty>
<Pty R = "1001" Src = "D" ID = "666"></Pty>
<RegTrdID Typ = "0" Evnt = "2" Src = "1010000023" ID = "FECC16F2ED1284E0004D1D44FE"></RegTrdID>
<TrdRegTS Typ = "1" TS = "2019-12-23T20:16:25.000000000Z"></TrdRegTS>
</RptSide>
</TrdCaptRpt>
Future (Globex) - Spread Leg 2 (MLegRptTyp=2)
<TrdCaptRpt MDTrdEntrID = "1118445" Clrd = "1" LastUpdateTm = "2019-12-23T20:16:25.911000000Z" TxnTm = "2019-12-23T20:16:25.000000000Z" MLegRptTyp = "2" BizDt = "2019-12-23" TrdDt = "2019-12-23" LastPx = "59.82" LastQty = "5" VenuTyp = "E" PxTyp = "2" ExecID = "80609:M:51533TN0000019" MtchID = "16F2ED1284E0004D1D44F8" TrdSubTyp = "7" TrdTyp = "0" ReqID = "1POST1" TrdRptStat = "0" RptTyp = "101" TransTyp = "0" TrdID2 = "16F2ED1284E0004D1D4500" TrdID = "106790" RptID = "16F2ED1284E0004D1D44FC2141625493">
<Instrmt PxQteCcy = "USD" Desc = "Light Sweet Crude Oil Futures" Exch = "NYMEX" SettlMeth = "P" UOMQty = "1000.0" UOM = "Bbl" Mult = "1000" MatDt = "2020-03-20" MMY = "202004" SubTyp = "CAL" SecTyp = "FUT" CFI = "FCEPSX" Src = "H" ID = "CL" Sym = "CLJ0"></Instrmt>
<RptSide OrdID = "801037839207" CustOrdHdlInst = "Y" StrategyLinkID = "8010378392072019122319" CustCpcty = "4" InptSrc = "GLBX" ClOrdID = "605030" Side = "1">
<Pty R = "1" Src = "D" ID = "666"></Pty>
<Pty R = "4" ID = "666"></Pty>
<Pty R = "7" Src = "C" ID = "ABC123_BROTHERS_ARBITRAGE">
<Sub Typ = "5" ID = "ABC123 Brothers Arbitrage"></Sub>
</Pty>
<Pty R = "12" ID = "6F6L"></Pty>
<Pty R = "21" Src = "C" ID = "CME"></Pty>
<Pty R = "22" Src = "C" ID = "NYMEX"></Pty>
<Pty R = "24" Src = "C" ID = "ABC1236">
<Sub Typ = "26" ID = "1"></Sub>
</Pty>
<Pty R = "24" Src = "H" ID = "A-56969"></Pty>
<Pty R = "44" ID = "CME_CMEDCSETUSER3"></Pty>
<Pty R = "55" ID = "R37666"></Pty>
<Pty R = "1001" Src = "D" ID = "666"></Pty>
<RegTrdID Typ = "0" Evnt = "2" Src = "1010000023" ID = "FECC16F2ED1284E0004D1D4500"></RegTrdID>
<TrdRegTS Typ = "1" TS = "2019-12-23T20:16:25.000000000Z"></TrdRegTS>
</RptSide>
</TrdCaptRpt>
Future (ClearPort) - Spread (MLegRptTyp=3)
<TrdCaptRpt Clrd = "1" LastUpdateTm = "2019-12-23T20:16:34.116000000Z" TxnTm = "2019-12-23T20:16:33.000000000Z" MLegRptTyp = "3" BizDt = "2019-12-23" TrdDt = "2019-12-23" LastPx = "60.00" LastQty = "10" VenuTyp = "X" PxTyp = "2" ExecID = "5817253" MtchID = "16F2ED130970004DD5BB" TrdTyp = "2" ReqID = "1POST1" TrdRptStat = "0" RptTyp = "101" TransTyp = "0" TrdID2 = "16F2ED130970004DD5BF" TrdID = "106791" RptID = "16F2ED130970004DD5BF3141633981">
<Instrmt PxQteCcy = "USD" Exch = "NYMEX" Mult = "1000" MatDt = "2020-02-20" MMY = "20200300" SubTyp = "SA" SecTyp = "MLEG" CFI = "FCEPSX" Src = "H" ID = "CL" Sym = "CL:SA"></Instrmt>
<TrdLeg TrdgQty = "10000" OrigTmUnit = "Mo" PxTyp = "2" LastPx = "60.00" RefID = "106792" LegNo = "1" RptID = "16F2ED130970004DD5C1" Qty = "10">
<Leg SettlMeth = "P" Side = "1" Desc = "Light Sweet Crude Oil Futures" Exch = "NYMEX" UOMQty = "1000.0" UOM = "Bbl" Mult = "1000" Mat = "2020-02-20" MMY = "202003" SecTyp = "FUT" CFI = "FCEPSX" Src = "H" ID = "CL" Sym = "CLH0"></Leg>
</TrdLeg>
<TrdLeg TrdgQty = "10000" OrigTmUnit = "Mo" PxTyp = "2" LastPx = "60.00" RefID = "106793" LegNo = "2" RptID = "16F2ED130970004DD5C3" Qty = "10">
<Leg SettlMeth = "P" Side = "1" Desc = "Light Sweet Crude Oil Futures" Exch = "NYMEX" UOMQty = "1000.0" UOM = "Bbl" Mult = "1000" Mat = "2020-03-20" MMY = "202004" SecTyp = "FUT" CFI = "FCEPSX" Src = "H" ID = "CL" Sym = "CLJ0"></Leg>
</TrdLeg>
<RptSide StrategyLinkID = "16F2ED130970004DD5BF" CustCpcty = "4" InptSrc = "CPC" ClOrdID = "C5817253" Side = "1">
<Pty R = "4" ID = "666"></Pty>
<Pty R = "7" Src = "C" ID = "ABC123_BROTHERS_ARBITRAGE">
<Sub Typ = "5" ID = "ABC123 Brothers Arbitrage"></Sub>
</Pty>
<Pty R = "21" Src = "C" ID = "CME"></Pty>
<Pty R = "22" Src = "C" ID = "NYMEX"></Pty>
<Pty R = "24" Src = "C" ID = "ABC1236">
<Sub Typ = "26" ID = "1"></Sub>
</Pty>
<Pty R = "24" Src = "H" ID = "A-56969"></Pty>
<Pty R = "30" ID = "CMEG">
<Sub Typ = "5" ID = "CME Group Inc. GCC"></Sub>
</Pty>
<Pty R = "36" ID = "fiddev1">
<Sub Typ = "9" ID = "Alon Lupu"></Sub>
</Pty>
<Pty R = "62" ID = "MABC123">
<Sub Typ = "9" ID = "MICHAEL ABC123"></Sub>
</Pty>
<Pty R = "1001" Src = "D" ID = "666"></Pty>
<RegTrdID LegRefID = "1" Typ = "0" Evnt = "2" Src = "1010000023" ID = "CPC000005817253BN0001"></RegTrdID>
<RegTrdID LegRefID = "2" Typ = "0" Evnt = "2" Src = "1010000023" ID = "CPC001005817253BN0001"></RegTrdID>
<TrdRegTS Typ = "1" TS = "2019-12-23T20:14:00.000000000Z"></TrdRegTS>
</RptSide>
</TrdCaptRpt>
Future (ClearPort) - Spread Leg 1 (MLegRptTyp=2)
Future (ClearPort) - Spread Leg 2 (MLegRptTyp=2)
Allocations
Trade Marked for Allocation
<?xml version="1.0" encoding="UTF-8"?>
<FIXML v="5.0 SP2" s="20090815" xv="109" cv="CME.0001">
<Batch>
<Hdr SID="CME" TID="RYAN" SSub="STP" TSub="RYAN123"/>
<TrdCaptRpt OrigTmUnit="D" TxnTm="2014-02-21T08:15:54-06:00"
LastUpdateTm="2014-02-21T08:17:54-06:00" MLegRptTyp="1"
BizDt="2014-02-21" TrdDt="2014-02-21" LastPx="4.279" LastQty="775"
VenuTyp="X" PxTyp="2" ExecID="5983527" MtchID="14453818D222155C3C"
TrdTyp="1" ReqID="ABC123" TrdRptStat="0" RptTyp="101" TransTyp="2"
TrdID2="14453818D222155C44" TrdID="100006"
RptID="14453818D222155C442081554039">
<Instrmt PxQteCcy="USD" Exch="NYMEX" UOM="MMBtu" Mult="2500"
MatDt="2014-02-26" MMY="201403" SecTyp="FUT" CFI="FCECSO"
Src="H" ID="NN" Sym="NNH4"/>
<RptSide GrpID2="14453818D222155C5C" AllocInd="1" CustCpcty="4"
InptSrc="CPC" ClOrdID="C5983527" Side="2">
<Pty R="1" ID="072"/>
<Pty R="4" ID="350"/>
<Pty R="7" ID="activetrd1"/>
<Pty R="21" ID="CME"/>
<Pty R="22" ID="NYMEX"/>
<Pty R="24" ID="ACT1">
<Sub Typ="26" ID="2"/>
</Pty>
<Pty R="49" ID="assetman1"/>
<RegTrdID Scope="1" Typ="0" Evnt="2" Src="1010000023"
ID="CPC000005983527SN0001"/>
<TrdRegTS Typ="1" TS="2014-02-21T08:09:53-06:00"/>
</RptSide>
</TrdCaptRpt>
</Batch>
</FIXML>
Offset Trade to Executing Firm
<?xml version="1.0" encoding="UTF-8"?>
<FIXML v="5.0 SP2" s="20090815" xv="109" cv="CME.0001">
<Batch>
<Hdr SID="CME" TID="RYAN" SSub="STP" TSub="RYAN123"/>
<TrdCaptRpt TxnTm="2014-02-21T08:18:38-06:00"
LastUpdateTm="2014-02-21T08:18:38-06:00" MLegRptTyp="1" AvgPx="4.279"
BizDt="2014-02-21" TrdDt="2014-02-21" LastPx="4.279" LastQty="100" VenuTyp="X"
PxTyp="2" MtchID="14453818D222155C7A" OfstInst="0" TrdTyp="1" ReqID="ABC123"
TrdRptStat="0" RptTyp="101" TransTyp="1" TrdID2="14453818D222155C7E"
TrdID="100010" RptID="14453818D222155C7E1081855616">
<Instrmt PxQteCcy="USD" Exch="NYMEX" UOM="MMBtu" Mult="2500"
MatDt="2014-02-26" MMY="201403" SecTyp="FUT" CFI="FCECSO" Src="H"
ID="NN" Sym="NNH4"/>
<RptSide GrpID2="14453818D222155C5C" CustCpcty="4" InptSrc="FIRM"
Ccy="USD" ClOrdID="C5983527" Side="1">
<Pty R="1" ID="072"/>
<Pty R="4" ID="350"/>
<Pty R="7" ID="activetrd1"/>
<Pty R="21" ID="CME"/>
<Pty R="22" ID="NYMEX"/>
<Pty R="24" ID="ACT1"/>
<Pty R="49" ID="assetman1"/>
</RptSide>
</TrdCaptRpt>
</Batch>
</FIXML>
Onset Trade to Claiming Firm
<?xml version="1.0" encoding="UTF-8"?>
<FIXML v="5.0 SP2" s="20090815" xv="109" cv="CME.0001">
<Batch>
<Hdr SID="CME" TID="RYAN" SSub="STP" TSub="RYAN123"/>
<TrdCaptRpt TxnTm="2014-02-21T08:18:38-06:00"
LastUpdateTm="2014-02-21T08:18:38-06:00" MLegRptTyp="1" AvgPx="4.279"
BizDt="2014-02-21" TrdDt="2014-02-21" LastPx="4.279" LastQty="100" VenuTyp="X"
PxTyp="2" MtchID="14453818D222155C7A" OfstInst="1" TrdTyp="1" ReqID="ABC123"
TrdRptStat="0" RptTyp="101" TransTyp="1" TrdID2="14453818D222155C82"
TrdID="101002" RptID="14453818D222155C821081855617">
<Instrmt PxQteCcy="USD" Exch="NYMEX" UOM="MMBtu" Mult="2500"
MatDt="2014-02-26" MMY="201403" SecTyp="FUT" CFI="FCECSO" Src="H"
ID="NN" Sym="NNH4"/>
<RptSide CustCpcty="4" InptSrc="FIRM" Ccy="USD" ClOrdID="C5983527" Side="2">
<Pty R="1" ID="090"/>
<Pty R="4" ID="020"/>
<Pty R="7" ID="090"/>
<Pty R="21" ID="CME"/>
<Pty R="22" ID="NYMEX"/>
<Pty R="24" ID="CP866ACT1"/>
</RptSide>
</TrdCaptRpt>
</Batch>
</FIXML>
Bilateral Trades
Delivery Fixed Commodity Swap
Delivery Float Commodity Swap
Fixed Float Commodity Index
Option Delivery Fixed
Cleared Elsewhere (Non-CME)
Future
Option Underlying Commodity Swap
FX Link
FX Spot Side 1
- Exch =" FXS"
- SecType= "FXSPOT"
- TrdType="54"
- StrategyLinkID="8813364457201711013"
FX Future Side 2
- Exch =" CME"
- SecType= "FUT"
- TrdType="0"
- StrategyLinkID="8813364457201711013"
FX Future Side 1
- Exch =" CME"
- SecType= "FUT"
- TrdType="0"
- StrategyLinkID="8813364457201711013"
FX Spot Side 2
- Exch =" FXS"
- SecType= "FXSPOT"
- TrdType="54"
- StrategyLinkID="8813364456201711013"