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CME Data Insights - Settlements and Valuations

CME Data Insights - Settlements and Valuations

Owned by Space Sync for Confluence
Last updated: Jan 10, 2025

CME Data Insights is a suite of Simple Binary Encoding (SBE) market data channels. The Settlements and Valuations channels provide robust market data across CME Globex, OTC and floor venues:  

  • Futures and Options Settlements Fixing prices

  • Marker prices

  • End of day High/Low prices

  • Cleared volume and open interest

  • AIR TRF Funding Values

  • Eris B and C datasets

  • CME, CBOT, NYMEX and COMEX channel support

Commercial Terms of use for Data Insights: Settlements and Valuations is available from Global Account Management (GAM).

Contents

Testing and Certification

Certification is mandatory for Settlements and Valuations.

Settlements and Valuations Data Overview

The following section is an overview of Settlements and Valuations.

Settlements and Valuations Data

The following section provides information on the data provided on Settlements and Valuations.

Instrument Types Support

The supported instrument types (tag 167-SecurityType) for Settlements and Valuations are:

  • Futures

  • Options on futures

  • Options on combos

  • Forwards

Price Format Support 

The Settlements and Valuations channels, for client system convenience, supports CME Globex and Clearing price formats. The Clearing price format is expressed in the "true dollar price" and CME Globex price format can be in either the true dollar price or cents. CME Globex prices are only sent for instruments that trade on CME Globex. 

For High/Low prices, only the Clearing price format is supported on Settlements and Valuations channels. 

Settlements

A settlement is an official CME Group price established for the instrument at a given point in the trading day. Settlements and Valuations sends the following types of settlement prices in the Market Data Incremental Refresh (tag 35-MsgType=X) message:  

  • Final/Preliminary settlements

  • Settlement at Trading Tick

  • Settlement at Clearing Tick 

  • Settlement at Cabinet Price

For a settlement price overview, refer to the Settlement Prices topic.

Syntax for Settlement Prices

Tag

FIX Name

Format

Valid Values

Description

Tag

FIX Name

Format

Valid Values

Description

279

MDUpdateAction

Char

0 = New

Market data update action.

269

MDEntryType

Char

6 = Settlement

Identifies price as a settlement or valuation price.

9732

FormattedLastPx

Price

 

Price in Clearing decimal format.

270

MDEntryPx

Price

 

Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex

731

SettlPriceType

String

Bit 0: (least significant bit):

1=Final

0=Preliminary

Bit 1:

1=Actual

Bit 2:

1=Settlement at Trading Tick

0=Settlement at Clearing Tick

Bit 3:

1=Intraday

0=Undefined

Bit 4:

1=Settle At Cabinet

0=Undefined

Bit 5 : 

1=FinalFinal

0=Undefined

Bit 6: Reserved for future use

Bit 7:

0=not NULL

1=entire set is a NULL

Bitmap field of eight Boolean type indicators representing settlement or valuation price type. Example values:

 

 

 

5796

TradingReferenceDate

LocalMktDate

 

Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.

Settlement at Trading Tick / Settlement at Clearing Tick

If no rounding occurs (the product is not subject to rounding and the CME Globex trading tick is the same as the settlement tick for the product), a single Market Data Incremental Refresh (tag 35-MsgType=X) message is sent on the incremental feed with:

  • tag 269-MDEntryType = 6 (Settlement Price)

  • tag 270-MDEntryPx = the CME Globex price value on the CME Clearing settlement tick

  • tag 9732-FormattedLastPx = Clearing price value

  • tag 731-SettlPriceType Bit 2 = 0 (Settlement at Clearing Tick)

  • tag 5796-TradingReferenceDate

If rounding occurs, two Market Data Incremental Refresh (tag 35-MsgType=X) messages are sent on the Incremental feed.

Message with unrounded price value:

  • tag 269-MDEntryType=6 (Settlement Price)

  • tag 270-MDEntryPX = the CME Globex price value on CME Clearing settlement tick

  • tag 9732-FormattedLastPx = Clearing price value

  • tag 731-SettlPriceType Bit 2 = 0 (Settlement at Clearing Tick)

  • tag 5796-TradingReferenceDate

Message with rounded price value:

  • tag 269-MDEntryType=6 (Settlement Price)

  • tag 270-MDEntryPX = CME Globex price value rounded to CME Globex trading tick

  • tag 9732-FormattedLastPx= Clearing price value

  • tag 731-SettlPriceType Bit 2 = 1 (Settlement at Trading Tick)

  • tag 5796-TradingReferenceDate 

End of Day Session High/Low

The end of day High-Low message is sent on Settlements and Valuations channels. They are a summary of the CME Globex and open outcry session. The value is based on prior day settlement and different than CME Globex, which is based on session activity. 

Syntax for High/Low

Tag

FIX Name

Format

Valid Values

Description

Tag

FIX Name

Format

Valid Values

Description

279

MDUpdateAction

Char

0

New market data update action.


269

MDEntryType

Char

7 = High/Low

High/Low

333

LowPx

 

 

Low Price in Clearing price format.

High/Low cabinet values will send a price of zero.

37525

LowPxInd

 

A = Ask

B = Bid

T = Trade

Low price origin indicator

332

HighPx

 

 

High Price in Clearing price format.

High/Low cabinet values will send a price of zero.

37524

HighPxInd

 

A = Ask

B = Bid

T = Trade

High price origin indicator

5796

TradingReferenceDate

LocalMktDate

 

Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.

Fixing Prices

Fixing prices are sent on Settlements and Valuations channels.  

Syntax for Fixing/Marker Prices

Tag

FIX Name

Format

Valid Values

Description

Tag

FIX Name

Format

Valid Values

Description

279

MDUpdateAction

Char

0

Type of Market Data update action.

269

MDEntryType

Char

W = Fixing/Marker

Type of Market Data Entry.

270

MDEntryPx

Char

 

Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex

9732

FormattedLastPx

Price

 

Price in Clearing decimal format.

5796

TradingReferenceDate

LocalMktDate

 

Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.

2455

MDStatisticDesc

String

 

Description of the fixing price.

Fixing Price Examples

To determine fixing prices, client systems must utilize the Clearing product code (tag 37500-ClearingProductCode), fixing description (tag 2455-MDStatisticDesc) and exchange (tag 207-SecurityExchange) to determine the fixing and timing for FX and equity products. The table below provides examples. 

Example Settlements and Valuations Fixing Name tag 2455-MDStatisticDesc

Clearing Product Code tag 37500-ClearingProductCode

Exchange tag 207-SecurityExchange

Example Settlements and Valuations Fixing Name tag 2455-MDStatisticDesc

Clearing Product Code tag 37500-ClearingProductCode

Exchange tag 207-SecurityExchange

4 PM NYC

ES

CME

3 PM JPN

ES

CME

11 AM CHI

AD

CME

3 PM CHI

AD

CME

Marker Prices 

Marker prices are sent on Settlements and Valuations channels. Marker prices are sent with the same tag attributes as either fixing prices (MDEntryType tag 269=W) or settlements (MDEntryType tag 269=6). Client systems can determine marker prices via the product codes. For example, CL1 (Singapore), CL2 (London) identify the marker prices. Marker price tickers can be obtained via CME Reference Data API.  

Cleared Volume and Open Interest

Cleared Volume contains the number of contracts that have been through the clearing process for an active instrument for the previous trading day. 

Open Interest is sent using Market Data Incremental Refresh (tag 35-MsgType=X) message data blocks which contain the total number of contracts per instrument that are not yet offset or fulfilled for the previous trading day.

Syntax for Cleared Volume and Open Interest

Tag

FIX Name

Format

Valid Values

Description

Tag

FIX Name

Format

Valid Values

Description

279

MDUpdateAction

Char

0 = New

Type of Market Data update action.
0 = New

269

MDEntryType

Char

B = Cleared Volume and Open Interest

Type of Market Data Entry.

5791

ClearedVolume

Qty

 

 

5792

OpenInterestQty

Qty

 

 

286

OpenCloseSettlFlag

Int

3 (Estimated) or 4 (Actual)

Estimated vs Actual flag

Estimated = 3
Actual = 4

5796

TradingReferenceDate

LocalMktDate

 

Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.

AIR TRF Funding Values

The Daily Financing Rate will be denoted as 269-MDEntryType=h and the Accrued Financing Rate will be denoted as 269-MDEntryType=i, via SBE template MDIncrementalRefreshSettle. The applicable trade date for the Values will be included in tag 5796-TradingReferenceDate.

TAG

FIX NAME

NEW VAILD VALUES

DESCRIPTION

TAG

FIX NAME

NEW VAILD VALUES

DESCRIPTION

269

MDEntryType

  • h = Daily Financing Rate

  • i = Accrued Financing Rate

Market Data Entry Type.

731

SettlPriceType

  • 00000000 = Preliminary

  • 00000001 = Final

A Bitmap indicator which specifies whether these are the final or preliminary air Funding Status values for the specified business date. Bit 0: (least significant bit):0=Preliminary 1=Final

The Funding Values will be sent according to the following approximate schedule:

VALUE

SENDING TIME (CENTRAL TIME)

TAG 269-MDENTRYTYPE

TAG 731-SETTLPRICETYPE

VALUE

SENDING TIME (CENTRAL TIME)

TAG 269-MDENTRYTYPE

TAG 731-SETTLPRICETYPE

Final Daily Funding Values for British Pound-denominated contracts

0430

h

00000001

Final Accrued Funding Value for British Pound-denominated contracts

0430

i

00000001

 

Final Daily Funding Values for USD-denominated contracts

0830

h

00000001

Final Accrued Funding Value for USD-denominated contracts

0830

i

00000001

Preliminary Daily Funding Value for GBP-denominated contracts

1045

h

00000000

 

Preliminary Accrued Funding Value for British Pound-denominated contracts

1045

i

00000000

 

Preliminary Daily Funding Values for USD-denominated contracts

1600
1640 (republish)

h

00000000

 

Preliminary Accrued Funding Value for USD-denominated contracts

1600
1640 (republish)

h

00000000

 

Eris B and C Datasets

Eris B&C datasets provide current pricing components, historical settlement and conversion data for Eris Swap Futures; an alternative to traditional Over the Counter Interest Rate Swaps (OTC IRS) currently offered by CME Group.

  • A - Swap NPV is excluded from this update

  • B - Past payments of fixed and floating coupons

  • C - Price alignment interest (accumulated daily SOFR interest on the sum of Swap NPV less today’s cash flows)

Updates are offered twice daily, approximately at 2:50 PM CT and 7:10 AM CT, during regular trading hours. 

Settlements and Valuations Technology Overview

This section provides a technology overview of Settlements and Valuations.

Simple Binary Encoding (SBE)

Settlements and Valuations uses compact Simple Binary Encoding (SBE) optimized for low latency of encoding and decoding while minimizing bandwidth utilization. Concise message sizes are used but without the processing cost of compression. All FIX semantics are supported. The encoding standard is complimentary to other FIX standards for session protocol and application level behavior.

Channel Guide

Below are the supported channels for Settlements and Valuations.  

Name

Channel ID

Name

Channel ID

CME Settlements and Valuations

251

CBOT Settlements and Valuations

252

NYMEX Settlements and Valuations

253

COMEX Settlements and Valuations

254

Recovery

The following section describes recovery services for Settlements and Valuations.

Incremental UDP Feed A and B

UDP Feed A and UDP Feed B are used to disseminate CME Group incremental market data using SBE-encrypted FIX messages. All FIX message types are sent through both UDP Feed A and UDP Feed B applicable market data groups. This duality minimizes the chance of message loss due to UDP. Each SBE message is sent on both feeds.  

TCP Replay Recovery

Client systems can recover specific messages that were missed using the sequence number and the TCP historical replay component. The TCP historical replay component allows systems to request a replay of a set of messages already published on the UDP Incremental Market Data Channel. The request specifies messages to replay. The request uses the SBE Market Data Request (tag 35-MsgType=V) message.

This type of request is sent through a new TCP connection established by client systems. The responses are sent by CME Group through this same connection and the connection is then closed by CME Group once the resend is complete. All responses are SBE-encoded (including the reject response).

The following restrictions apply when requesting messages via TCP Historical Replay:

  • A maximum of 2,000 messages can be requested per Market Data Request (35=V) message.

  • Only the current day's messages can be requested and resent.

SBE Channel Definitions

Settlements and Valuations has a separate schema and config.xml FTP location from CME Globex and streamlined market data.   

Global TCP Recovery Schema

Settlements and Valuations utilizes a separate schema dedicated to TCP recovery templates. 

FTP/SFTP Site Information

CME provides an FTP (https://www.cmegroup.com/ftp) and SFTP (sftpng.cmegroup.com) site to disseminate schema and market data configuration information. The FTP/SFTP site contains the schema and configuration files for all events. Schema and market data configuration details for the Production environment are only available to customers after the certification process is complete.

Environment

Service

FTP/SFTP Site

Directory Location

Client System Update Schedule

Environment

Service

FTP/SFTP Site

Directory Location

Client System Update Schedule

New Release

Incremental Schema

(https://www.cmegroup.com/ftp) or (sftpng.cmegroup.com)

/SBEFix/NRCert/SettlementsValuations/Templates/

Sunday prior to market open

New Release

Configuration File

(https://www.cmegroup.com/ftp) or (sftpng.cmegroup.com)

/SBEFix/NRCert/SettlementsValuations/Configuration/ 

 

New Release

Global TCP Recovery Schema

(https://www.cmegroup.com/ftp) or (sftpng.cmegroup.com)

/SBEFix/NRCert/GlobalTCPRecovery/Templates/

Sunday prior to market open

Production

Incremental Schema

(https://www.cmegroup.com/ftp) or (sftpng.cmegroup.com)

/SBEFix/Production/SettlementsValuations/Templates/

Sunday prior to market open

Production

Configuration File

(https://www.cmegroup.com/ftp) or (sftpng.cmegroup.com)

/SBEFix/Production/SettlementsValuations/Configuration/ 

 

Production

Global TCP Recovery Schema

(https://www.cmegroup.com/ftp) or (sftpng.cmegroup.com)

/SBEFix/Production/GlobalTCPRecovery/Templates/

Sunday prior to market open

Additional Product and Instrument Information

Additional product and instrument referential data can be gathered via CME Reference Data API. Client systems can link Settlements and Valuations product ProductGUID (tag 7178) to CME Reference Data API's fields. Additionally, client systems can link Settlements and Valuations InstrumentGUID (tag 37513) to CME Reference Data API's GUID fields.  

Full MDP 3.0 - Market Data Incremental Refresh Message Specification

The following section outlines the full message specification for Settlement and Valuation messages.

MDP 3.0 - Market Data Incremental Refresh Incremental Messages

The specifications included below are used for Settlements and Valuations incremental messages (tag 35-MsgType=X).

Tag

FIX Name

Type

Valid Values

Description

Tag

FIX Name

Type

Valid Values

Description

60

TransactTime

uInt64

 

Start of event processing time in number of nanoseconds since Unix epoch

1683

MDSubFeedType

uInt16NULL

 

Describes a sub-class for a given class of service

Repeating Group 1

268

NoMDEntries

NumInGroup

 

NumInGroup

→279

MDUpdateAction

MDUpdateAction

0 = New

Indicates the type of Market Data update action

→269

MDEntryType

Char

 

W = Fixing Price

h = Daily Financing Rate

i = Accrued Financing Rate

Indicates the type of price

→7178

ProductGUID

uInt64NULL

 

Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. 

→37500

ClearingProductCode

String (12)

 

Clearing Product Code

→167

SecurityType

SecurityType

FUT = Future Outrights
OOF = Option on Future
OOC = Option on Combo
FWD = Forward

Identifies the type of instrument.

→207

SecurityExchange

String (8)

CBT = Chicago Board of Trade 
CME = Chicago Mercantile Exchange 
NYMEX = New York Mercantile Exchange 
COMEX = COMEX (Commodities Exchange Center) 

Security Exchange

 

 

→200

MaturityMonthYear

MaturityMonthYear

 

This tag provides the calendar month reflected in the instrument symbol (tag 55-Symbol). Format: YYYYMM (e.g. 201912) 

For futures spreads and options spreads, this tag contains the first leg's calendar month reflected in the instrument symbol.

For packs and bundles, this value represents the quarterly contract reflected in the instrument symbol.

For daily products, this tag contains the full calendar date as reflected in the instrument symbol. Format: YYYYMMDD (e.g. 20191205).

For weekly options products, this tag contains the calendar month and week indicator reflected in the instrument symbol. Format: YYYYMMwW (e.g. for the 4thweek contracts, 2019124).

→201

PutOrCall

PutOrCall

0=Put
1=Call 

Indicates whether an option instrument is a put or call.

→202

StrikePrice

Decimal64

 

Option strike price in Clearing price format.

→37509

UnderlyingProductGUID

uInt64NULL

 

Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. 

→37510

UnderlyingClearingProductCode

String (12)

 

Underlying Clearing Product Code

→310

UnderlyingSecurityType

SecurityType

COMBO = Combo
FUT = Future Outrights
FWD = Forward

Identifies the type of the underlying instrument.

 

→308

UnderlyingSecurityExchange

String (8)

CBT = Chicago Board of Trade 
CME = Chicago Mercantile Exchange 
NYMEX = New York Mercantile Exchange 
COMEX = COMEX (Commodities Exchange Center) 

Underlying Security Exchange

 

→313

UnderlyingMaturityMonthYear

MaturityMonthYear

 



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