CME STP - FIXML Message Samples

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yesterday at 11:02 AM
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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

Broker Initial Query for Specific Order - Search for Historic Trade

  • End Time (EndTm) is used to search for earlier trades

Outbound Samples

Outrights

Future Sample - Pit
Option on Future Sample - CME Globex
OTC FX Sample - CME ClearPort

Interest Rate Swaps

IRS with embedded FpML

Spreads

Future (Globex) - Spread (MLegRptTyp=3)
Future (Globex) - Spread Leg 1 (MLegRptTyp=2)
Future (Globex) - Spread Leg 2 (MLegRptTyp=2)
Future (ClearPort) - Spread  (MLegRptTyp=3)
Future (ClearPort) - Spread Leg 1 (MLegRptTyp=2)
Future (ClearPort) - Spread Leg 2 (MLegRptTyp=2)

Allocations

Trade Marked for Allocation
Offset Trade to Executing Firm
Onset Trade to Claiming Firm

Bilateral Trades

Delivery Fixed Commodity Swap





Delivery Float Commodity Swap



Depending on input, certain tags may not be present.





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"

Trade at Settlement (TAS)

Original Trade

Trade Update



Trade at Marker (TAM)

Original Trade

Trade Update



Trade at Cash Open (TACO)

Original Trade

Trade Update





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