Position Reporting Under CFTC Part 17
- CME Group
Clearing members, FCMs, foreign brokers, and certain reporting markets (collectively called “reporting firms”) file daily Position reports with CME Group under Part 17 of the CFTC’s regulations, 17 CFR Part 17. The reports show futures and options positions of traders with positions at or above specific reporting levels as set by the CFTC.
In April 2024, the CFTC introduced a Position message format and content, replacing the current 80-character data submission standard in the CFTC’s regulations by a FIXML standard, as set out in the CFTC Part 17 Guidebook. Reporting firms must comply with these CFTC regulations within a two year period.
Reporting firms should refer to the CFTC Part 17 Guidebook for guidance on implementing the new FIXML Position message and associated reporting process. This topic provides complementary information for reporting positions to CME Group Large Trader Systems.
Reporting firms shall submit the new FIXML Position message to CME Group via SFTP.
An alternative manual option to submit individual positions will be offered on the Firm Regulatory Portal.
The new FIXML position message includes a large set of instrument characteristics as well as unique contract identifier. CME Group offers Reporting firms two methods to download this instrument information:
Firms query CME Reference Data for the individual instrument characteristics and the unique contract identifiers.
Firms download a CSV file via SFTP with the instrument characteristics and unique contract identifiers for active contracts.
This topic includes the following sections:
Obtaining Instrument Characteristics and Unique Codes for Position Reporting
Accessing Instrument Characteristics via Reference Data API - Preferred Method
This method allows users to retrieve all levels of underlying of the instrument.
Onboarding Process
CME Reference Data API Version 3 uses OAuth, an open protocol that supports secure authorization in a simple, standard method and decouples authentication from authorization.
A registered OAuth API ID is required to access the CME Reference API services. See instructions to obtain access to the CME Reference Data API.
Mapping of FIXML Fields to CME Reference Data API Fields
See full details about how to connect and use the CME Reference Data API.
The following table maps instrument fields relevant for Position reports to the corresponding Data Element available in the CME Reference Data API.
The options and underlying futures activation takes place at 4:30 p.m. CT.
Item | FIXML Field | Description | Additional Data Information | Reference Data API Attribute | Description | API Endpoint | Examples - Futures | Examples - Options | Examples - Event Options | Examples - Options on Combos |
|---|---|---|---|---|---|---|---|---|---|---|
54 | Unique Instrument Code | Exchange-assigned unique instrument identifier |
| guid | Unique instrument identifier | Instrument Attribute | 3UQXZP2E66IT | 22CQLQSQOE25 | 2GRDDHCHXMBN | 22CFKT32ZNIP |
12 | Exchange Indicator | The exchange where the contract is traded defined by ISO. | XCBT = Chicago Board of Trade XCME = Chicago Mercantile Exchange XCEC = COMEX (Commodities Exchange Center) XNYM = New York Mercantile Exchange | exchangeGlobex | Market Identifier Code | Instrument Attribute | XCME | XCME | XCME | XNYM |
13 | Commodity Clearing Code | The clearinghouse-assigned commodity code for the futures or options contract. |
| clrSymbol | Instrument Symbol used in CME Clearing for clearing reports. | Instrument Attribute | SR3 | SR3 | ECBT | 7A |
14 | Product Type | Instrument Type |
| instrumentType | Type of Derivatives | Instrument Attribute | FUT | OOF | OOF | OOC |
16 | Maturity Month Year | Month and year of the delivery or maturity of the product, as applicable. Day must be provided when necessary to characterize a product. | YYYYMM or YYYYMMDD | contractMonth | Maturity Month and Year of the contract. Some instruments such as daily options, will include the maturity day. | Instrument Attribute | 202412 | 202411 | 20240816 | 202609 |
19 | First Exercise Date | The earliest time at which notice of exercise can be given. | YYYY-MM-DD | American - firstTradeDate European - finalSettlementDate | American: Clearing first trade date (actual contract trade date) European: Final settlement date for futures | Instrument Attribute |
| 2024-05-13 | 2024-08-16 | 2020-11-20 |
20 | Strike Level | Numeric option moneyness criterion. For options only. |
| strikePX | Strike price of an option | Instrument Attribute |
| 97.125 | 53000.0 | -0.3 |
26 | Put or Call Indicator | Nature of the option exercise. Only for Options. | 0 = Put 1 = Call | PutCallIndicator | Indicates whether an option instrument is a put or call. | Instrument Attribute |
| P | C | C |
27 | Exercise Style | Type of exercise of an option. Only for Options. | 0 = European Style 1 = American Style | exerciseStyleAmericanEuropean | Indicator for American or European option exercise style. | Product Attribute |
| 0 | 1 | 1 |
28 | Payout Amount | Cash amount indicating the payout associated with the product. Only for Binary Options. |
| fixedPayout |
| Product Attribute |
| null | 20 | null |
29 | Payout Type | The type of valuation method or payout trigger. | 1 = Vanilla 3 = Digital Options | N/A | This value must be derived from the Payout Amount as follow: If Payout Amount is null, then Payout Type = 1 (Vanilla), otherwise Payout Type = 3 (Digital Options) | N/A |
| 1 | 3 | 1 |
30 | Underlying Contract ID | The instrument that forms the basis of an option. Only required for options for which the underlying is an exchange-traded instrument. |
|
| See instructions to access relative underlying information.
|
|
| 3UQXZP2E66IT | KV5BZY635ZBB | ZY65JXMATYYV (synthetic instrument) |
31 | Underlying Maturity Month Year | Underlying delivery year and month (and day where applicable). Only for options that reference a product with maturity month year. |
|
| See Instructions to access relative underlying information. |
|
| 202412 | 202408 | 202609 |
Accessing Instrument Characteristics via SFTP
The file contains the first level of underlying. To access further levels of underlying, use the Reference Data API method.
Onboarding Process
Reporting firms must have SFTP credentials to access the folder containing this file.
Onboarding to SFTP services is supported by CME Clearing Services at onboarding@cmegroup.com or call 1 312 338 7112.
CSV File Specifications
The CSV file will be located in a subfolder of the reporting firm's SFTP folder and will have the following naming convention: CME_UICPART17_[YYYYMMDD].csv
The file will be posted after the options and underlying futures activation, which takes place at 4:30 p.m. CT. The file will not be posted prior to non-trading days.
CSV Header/FIXML Field | Description | Values | Corresponding Item in Part 17 Guidebook |
|---|---|---|---|
unique_instrument_code | Exchange-assigned unique instrument identifier | Unique instrument code | 54 |
exchange_indicator | The exchange where the contract is traded defined by ISO. | XCBT = Chicago Board of Trade XCME = Chicago Mercantile Exchange XCEC = COMEX (Commodities Exchange Center) XNYM = New York Mercantile Exchange | 12 |
commodity_clearing_code | The clearinghouse-assigned commodity code for the futures or options contract. |
| 13 |
product_type | Type of product. |
| 14 |
maturity_month_year | Month and year of the delivery or maturity of the product, as applicable. Day must be provided when necessary to characterize a product. | YYYYMM or YYYYMMDD | 16 |
first_exercise_date | The earliest time at which notice of exercise can be given. | YYYY-MM-DD | 19 |
strike_level | Numeric option moneyness criterion. For options only. |
| 20 |
put_call_indicator | Nature of the option exercise. Only for Options. | 0 = Put 1 = Call | 26 |
exercise_style | Type of exercise of an option. Only for Options. | 0 = American Style 1 = European Style | 27 |
payout_amount | Cash amount indicating the payout associated with the product. Only for Binary Options. |
| 28 |
payout_type | The type of valuation method or payout trigger. Only for Options. | 1 = Vanilla 3 = Digital Options | 29 |
underlying_contract_id | The instrument that forms the basis of an option. Only required for options for which the underlying is an exchange-traded instrument. | Unique Instrument Identifier of the underlying contract. | 30 |
underlying_maturity_m onth_year | Underlying delivery year and month (and day where applicable). Only for options that reference a product with maturity month year. | Maturity Month of the underlying contract. | 31 |
underlying_contract_code | Instrument Description |
| N/A |
underlying_is_synthetic | Indicate if the underlying instrument is synthetic. | Y= Synthetic Instrument N= Non-Synthetic Instrument | N/A |
How was your Client Systems Wiki Experience? Submit Feedback
Copyright © 2024 CME Group Inc. All rights reserved.