CME Smart Stream Websockets - FX Tape
Output - FX Tape
These are fields for messages that clients receive:
Snapshot message sent upon subscription for all instruments.
Incremental message contains only the changes in the market for each instrument.
Field | Name | Data Type | Values | Presence | Description |
|---|---|---|---|---|---|
header |
| ||||
→ messageType | Message Type | string |
| ALWAYS | FX Tape message. |
→ sentTime | Sent Timestamp | timestamp |
| ALWAYS | Timestamp for when the CME gateway sends the message (UTC). |
→ 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. |
→ version | API Version | string |
| ALWAYS |
|
payload[] |
| ||||
→ | asset | string |
| ALWAYS | Denotes the currency pairs included in the calculation. |
→ | instrument[] |
|
| OPTIONAL | One currency pair per payload (both for snapshots or incrementals). |
→ → | exchangeMic | string |
| OPTIONAL | Exchange market identification code used to identify a security:
|
→ → | id | integer |
| OPTIONAL | 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. On EBS markets the ID is not changed. |
→ → | symbol | string |
| OPTIONAL | Instrument Name or Symbol i.e USD/MXN currency pair across the different markets would be displayed as below:
|
→ → | periodCode | string |
| OPTIONAL | This field provides the calendar month reflected in the instrument symbol. Format YYYYMM (e.g., 201912). Will not be provided for EBS markets, as the symbols do not expire. |
→ → | transactTime | timestamp |
| OPTIONAL | Timestamp of the transaction or event (UTC). |
→ | statistics[] |
|
| CONDITIONAL | Only published after 5pm ET daily. |
→ → | exchangeMic | string |
| CONDITIONAL | Exchange market identification code used to identify a security:
|
→→ | previousOpenAsk | number |
| CONDITIONAL | Previous daily open ask value. Only available in EBS markets. |
→ → | previousCloseAsk | number |
| CONDITIONAL | Previous daily close ask value. Only available in EBS markets. |
→ → | previousOpenBid | number |
| CONDITIONAL | Previous daily open bid value. Only available in EBS markets. |
→ → | previousCloseBid | number |
| CONDITIONAL | Previous daily close bid value. Only available in EBS markets. |
→ → | dailyOpenAsk | number |
| CONDITIONAL | Daily open ask value. Only available in EBS markets. |
→ → | dailyCloseAsk | number |
| CONDITIONAL | Daily close ask value. Only available in EBS markets. |
→ → | dailyOpenBid | number |
| CONDITIONAL | Daily open bid value. Only available in EBS markets. |
→ → | dailyCloseBid | number |
| CONDITIONAL | Daily close bid value. Only available in EBS markets. |
→ → | previousOpenPx | number |
| CONDITIONAL | Previous daily open price. Not available in EBS markets. |
→ → | dailyOpenPx | number |
| CONDITIONAL | Daily Open Price. Not available in EBS markets. |
→ → | previousTrueRange | number |
| CONDITIONAL | Previous days measure of price volatility. |
→ → | dailyTrueRange | number |
| CONDITIONAL | Measure of price volatility. |
→ → | transactTime | timestamp |
| OPTIONAL | Timestamp of the transaction or event (UTC). |
→ | orders[] |
|
| OPTIONAL |
|
→ → | exchangeMic | string |
| OPTIONAL | Exchange market identification code used to identify a security:
|
→ → | bestBid | number |
| OPTIONAL | Best Bid Price. |
→ → | bestAsk | number |
| OPTIONAL | Best Ask Price. |
→ → | midPx | number |
| OPTIONAL | Median Price between the bestBid and bestAsk for that market. |
→ → | transactTime | timestamp |
| OPTIONAL | Timestamp of the transaction or event (UTC). |
→ | calculations[] |
|
|
|
|
→ → | calcType | string | EBSC_XFXS_MIDPX | OPTIONAL | Denotes the blended mid price between Cash and Futures i.e., EBS_XFXS_MidPx is the mid price between EBS Market and FX Link. |
→ → | calcValue | number |
| OPTIONAL | Reflects the value of the calculation type that has occurred, i.e., the actual mid price calculation value of EBS markets and FX Link. |
→ → | transactTime | timestamp |
| OPTIONAL | Timestamp of the transaction or event (UTC). |
→ | tradeDetails[] | string |
| OPTIONAL |
|
→ → | exchangeMic | string |
| OPTIONAL | Exchange market identification code used to identify a security:
|
→ → | touchHigh | number |
| OPTIONAL | Session High Trade Price Sent when a trade occurs which results in the highest trade price for the current session. |
→ → | touchLow | number |
| OPTIONAL | Session Low Trade Price Sent when a trade occurs which results in the lowest trade price for the current session. |
→ → | transactTime | timestamp |
| OPTIONAL | Timestamp of the transaction or event (UTC). |
→ → | trades[] |
| |||