variable_tick_idx

STRING

NULLABLE

Variable Tick Table (VTT) indicator.

x

variable_qty_ind

STRING

NULLABLE

Indicates if product is subject to Variable Quantity processing.

x

var_cab_low_px

NUMERIC

NULLABLE

Low price for variable cabinet trades.

x

var_cab_high_px

NUMERIC

NULLABLE

High price for variable cabinet trades.

x

valuation_mthd

STRING

NULLABLE

Type of valuation method used
Valid values include but are not limited to:
EQTY - Premium Style

FUT - Futures Style
FUTDA - Cash Adjusted Futures Style
FUTER - Futures Style with Erosion
FUTI - Futures Style Inverse
FUTOP - Futures Style for Options

FWD - Forward
FWDC - Forward, Cash-Settled Daily, Standard Currency Convention

BILL - Bills

BOND - Cash Notes and bonds

IRS - Interest Rate Swap

SPOT - Spot

RPO - Repo Specific
RPOBS - Repo Specific / GC - Buy Sell Back (only Spain)
RPOGC - Repo General Collateral
RPOGF - Repo GCF / DBV / GC+
RPOSC - Repo Specific / GC - EONIA bond

x

x

unit_of_measure_qty

NUMERIC

NULLABLE

Unit of measure quantity for the product.

x

unit_of_measure

STRING

NULLABLE

Unit of measure for the product.
Unit of measure values are defined in the MDP 3.0 - Tag 996-UnitOfMeasure Table of Values.

x

trading_cutoff_time

STRING

NULLABLE

Cut off time for trading.

x

tcc_sym

STRING

NULLABLE

Product code used for trade reporting on CME ClearPort, --CME STP FIXML and --CME STP FIX.

x

tas_ind

STRING

NULLABLE

Indicates if product is TAS

x

x

tam_ind

STRING

NULLABLE

Indicates if product is TAM

x

x

taco_ind

STRING

NULLABLE

Indicates if product is TACO

x

synthetic_ind

STRING

NULLABLE

Indicates if product is synthetic.

x

x

strategy_type

STRING

NULLABLE

Spread type code; used to understand spread construction, pricing, and leg price assignment.

x

spread_px_conv

STRING

NULLABLE

Spread Pricing Convention
Valid Values:
Common - the contract would only be priced on a date when both legs are priced
Non-Common - individual legs would continue to take the price for every applicable day, regardless if the other one did not have a good price for that day.

x

settle_using_fixing_px_ind

STRING

NULLABLE

Indicates if instrument is settled using a fixing price.

x

settle_mthd

STRING

NULLABLE

Settlement Method. Indicates if product is financially or physically settled.
Note: For Security type COMBO ,the settle_method is defined on the outright product and will be null for the spread.

x

x

settle_ccy

STRING

NULLABLE

The base currency for the settlement price when different from local currency. The local currency price can be found in the settlePxCcy field.

x

sec_type

STRING

NULLABLE

Type of derivative, e.g. FUT for outright future.

x

x

sec_sub_type

STRING

NULLABLE

Instrument sub type
Note: Not all instruments will have subtype populated.

x

x

run_date

DATE

NULLABLE

Date when record was captured.

x

x

x

x

rfq_cross_elig_ind

STRING

NULLABLE

Indicates if product is Cross eligible on CME Globex and requires an RFQ prior to Cross submission.

x

px_unit_of_measure_unit

STRING

NULLABLE

Defines the unit of measure of the price if different from the product.

x

px_unit_of_measure_qty

NUMERIC

NULLABLE

Defines the unit of measure quantity of the price if different from the product.

x

px_quote_mthd

STRING

NULLABLE

Defines the method for price quotes.

x

px_quote_ccy

STRING

NULLABLE

The currency for the trade price.

x

px_mult

NUMERIC

NULLABLE

Multiplier to convert price to actual economic value.

x

px_band

STRING

NULLABLE

Differential value for price bands on CME Globex.

x

posttrade_cutoff_time

TIME

NULLABLE

Cutoff time for post-trade instructions.

x

otc_elig_ind

STRING

NULLABLE

Indicates if product is eligible for OTC trading.

x

opt_exercise_style

STRING

NULLABLE

Human-readable options exercise instructions.

x

negative_strike_elig_ind

STRING

NULLABLE

Indicates if instrument is eligible for negative strike prices.

x

negative_px_elig_ind

STRING

NULLABLE

Indicates if product may use negative book and trade prices.

x

md_channel_id

STRING

NULLABLE

Market Data Platform channel for CME Globex order book and trades.

x

master_sym

STRING

NULLABLE

This code is only used to associate outright instruments (futures and options) with the product-level spreads/combos. It is not a meaningful attribute of the product itself.

x

mass_quote_elig_ind

STRING

NULLABLE

Indicates if product is eligible for Mass Quote messages on CME Globex.

x

market_segment_id

NUMERIC

NULLABLE

Numeric value for CME Globex Market Segment on which the product is traded.

x

ltd_cutoff_time

TIME

NULLABLE

Cutoff time for the last trade date.

x

last_updated_ts

TIMESTAMP

NULLABLE

Timestamp reflecting the last time the record was updated in the source system.

x

x

itm_otm_ind

STRING

NULLABLE

Describes treatment of At the Money (ATM) option strikes at time of exercise and assignment.
Please see http://cmegroup.com for more information on options exercise and assignment.
Values include:
CALL-ITM: ATM Call strikes are treated as In the Money (ITM)
PUT-ITM: ATM Put strikes are treated as In the Money (ITM)
PUT/CALL-ITM: All ATM strikes are treated as ITM
OTM: ATM strikes are treated as Out of the Money

x