MDP 3.0 - Market Data Security Definition - Fixed Income

This Market Data Security Definition message is sent for Fixed Income markets. This message maps to the MDInstrumentDefinitionFixedIncome template in the SBE MDP Core schema.

Tag	FIX Name	Type	Semantic Type	Valid Values	Description
5799	MatchEventIndicator	MatchEventIndicator	MultipleCharValue	example: 10000000 – Security Definition message is the last message of the event example:00000000 – Security Definition is not the last message of the event	Bitmap field of eight Boolean type indicators reflecting the end of updates for a given CME Globex Event: Bit 0: (least significant bit) Last Trade Summary message for a given event Bit 1: Last electronic volume message for a given event Bit 2: Last customer order quote message for a given event Bit 3: Last statistic message for a given event Bit 4: Last implied quote message for a given event Bit 5: Message resent during recovery Bit 6: Reserved for future use Bit 7: (most significant bit) Last message for a given event
911	TotNumReports	uInt32NULL	int		Total number of instruments in the Replay loop. Used on Replay Feed only
980	SecurityUpdateAction	SecurityUpdateAction	char	A=Add D=Delete M=Modify	Included in the message on the Incremental feed when a mid-week deletion or modification (i.e. extension) occurs. Add represents Security Definition messages that are: Newly added during the current week Disseminated during the Sunday Startup period Resent by the system during the week Modify represents modifications to a Security Definition Delete represents deletions of a Security Definition
779	LastUpdateTime	uInt64	UTCTimestamp		Timestamp of when the instrument was last added, modified or deleted. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.
1682	MDSecurityTradingStatus	SecurityTradingStatus	int	2=Trading Halt 4=Close 17=Ready to trade (start of session) 18=Not available for trading 21=Pre Open	Identifies the current market state of the instrument
1180	ApplID	Int16	int		MD channel ID as defined in the XML Configuration file
1300	MarketSegmentID	uInt8	int		Identifies the market segment. Populated for all CME Globex instruments.
462	UnderlyingProduct	uInt8	int		Indicates the product complex 2=Commodity/Agriculture 4=Currency 5=Equity 6=Government 10=Mortgage 12=Other 13=Financing 14=Interest Rate 15=FX Cash 16=Energy 17=Metals
207	SecurityExchange	SecurityExchange	Exchange		Exchange used to identify a security XCBT=Chicago Board of Trade XCME=Chicago Mercantile Exchange XNYM=New York Mercantile Exchange XCEC=COMEX (Commodities Exchange Center) XMGE=Minneapolis Grain Exchange DUMX=Gulf Mercantile Exchange XKLS=Bursa Malaysia XKFE=Korea Exchange NYUM=XNYM-DUMX inter-exchange spread MGCB=XMGE-XCBT inter-exchange spread CBCM=XCME-XCBT inter-exchange spread XFXS=CME FX Link spread GLBX=FX Spot leg BTEC=BrokerTec US BTEE=BrokerTec EU (UK Gilts & Notes) BTAM=BrokerTec Amsterdam (All EU except UK Gilts & Notes)
1151	SecurityGroup	SecurityGroup	String		Security Group Code
6937	Asset	Asset	String		The underlying asset code also known as Product Code
55	Symbol	Symbol	String		Instrument Name or Symbol
48	SecurityID	Int32	int		A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.
22	SecurityIDSource	SecurityIDSource	char	8=Exchange symbol	Identifies class or source of Tag 48-SecurityID value
167	SecurityType	SecurityType	String	TBOND=US Treasury Bond TBILL=US Treasury Bill TNOTE=US Treasury Note TB=Non-US Treasury Bill SOV=UK Gilts Financing=EGB (Euro Government Bonds) EUSUP=Euro Supranational SUPRA=US Supranational REPO=REPO instruments TIPS=Treasury Inflation-Protected Securities TINT=U.S. Treasury STRIPS	Security Types
461	CFICode	CFICode	String		ISO standard instrument categorization code
15	Currency	Currency	Currency		Identifies the currency used for price
120	SettlCurrency	Currency	Currency		Identifies currency used for settlement, if different from trade price currency
1142	MatchAlgorithm	CHAR	char	F=First In, First Out (FIFO)	Matching Algorithm
562	MinTradeVol	uInt32	Qty		The minimum trading volume for a security The minimum order quantity for SPOT instruments
1140	MaxTradeVol	uInt32	Qty		The maximum trading volume for a security
969	MinPriceIncrement	PRICENULL9	Price		Minimum constant tick for the instrument. For VTT-eligible products, this tag will contain 'NULL' for Options and '0' for User Defined Spreads (UDS).
9787	DisplayFactor	Decimal9	float		Contains the multiplier to convert the CME Globex display price to the conventional price
37702	MainFraction	uInt8NULL	int		Price Denominator of Main Fraction
37703	SubFraction	uInt8NULL	int		Price Denominator of Sub Fraction
9800	PriceDisplayFormat	uInt8NULL	int		Number of Decimals in Displayed Price
996	UnitOfMeasure	UnitOfMeasure	String		Unit of measure for the products' original contract size. This will be populated for all products listed on CME Globex.
1147	UnitOfMeasureQty	Decimal9NULL	Qty		This field contains the contract size for each instrument. Use in combination with tag 996-UnitofMeasure. For example: SOFR futures -Tag 1147=1000000 -Tag 996=USD Live Cattle futures -Tag 1147=40000 -Tag 996=LBS For variable-quantity products, the contract size reflects the original contract size, before the application of the multiplier
1150	TradingReferencePrice	PRICENULL9	Price		Reference price for prelisted instruments or the last calculated Settlement whether it be Theoretical, Preliminary or a Final Settle of the session.
5796	TradingReferenceDate	LocalMktDate	LocalMktDate		Indicates session date corresponding to the reference price in tag 1150-TradingReferencePrice
1149	HighLimitPrice	PRICENULL9	Price		Allowable high limit price for the trading day. A key parameter in validating order price. Used as the upper band for validating order prices. Orders submitted with prices above the upper limit will be rejected. This price protects off prices for quoting. Note: This value is indicative only and may not reflect the actual real-time high limit price.
1148	LowLimitPrice	PRICENULL9	Price		Allowable low limit price for the trading day. A key parameter in validating order price. Used as the lower band for validating order prices. Orders submitted with prices below the lower limit will be rejected. This price protects off prices for quoting. Note: This value is indicative only and may not reflect the actual real-time low limit price.
1143	MaxPriceVariation	PRICENULL9	Price		Differential value for price banding
1146	MinPriceIncrementAmount	PRICENULL9	Price		Currently under development.
225	IssueDate	LocalMktDate	LocalMktDate		Issue Date. Value is number of days since Unix epoch.
873	DatedDate	LocalMktDate	LocalMktDate		Dated Date. Value is number of days since Unix epoch.
541	MaturityDate	LocalMktDate	LocalMktDate		Maturity Date. Value is number of days since Unix epoch.
223	CouponRate	Decimal9NULL	Percentage		The rate of interest that, when multiplied by the principal, par value, or face value of a bond, provides the currency amount of the periodic interest payment
37723	ParValue	PRICENULL9	Price		The par value of the bond.
1949	CouponFrequencyUnit	String3	String		Time unit associated with the frequency of the bond's coupon payment
1948	CouponFrequencyPeriod	uInt16NULL	int		Time unit multiplier for the frequency of the bond's coupon payment
1950	CouponDayCount	String20	String	US30360 30360BB ACTACT ACTAFB ACT360 ACT365 EU30360	The day count convention used in interest calculations for a bond or an interest bearing security
470	CountryOfIssue	CountryCode	String		Country of Origin, ISO alpha-2 country code
106	Issuer	String25	String		Name of security issuer or the Legal Entity Identifier (LEI - the International ISO standard 17442)
2714	FinancialInstrumentFullName	LongName	String		Long name of the instrument
455	SecurityAltID	String12	String		Expanded instrument description. Will contain either ISIN or CUSIP
456	SecurityAltIDSource	SecurityAltIDSource	int	1=CUSIP 4=ISIN	Identifies class or source of the SecurityAltID (455) value
1196	PriceQuoteMethod	String5	String	YIELD PRICE RATE	Price quotation method
9736	PartyRoleClearingOrg	String5	String		Clearing organization
9779	UserDefinedInstrument	UserDefinedInstrument	char	Y=User defined instrument N=Not a user defined instrument	User-defined Instrument flag
37721	RiskSet	String6	String		Risk Set identifies the list of instruments sharing credit limits set up
37722	MarketSet	String6	String		Market Set defines the bilateral relationship and Self Match Prevention configuration for eligible markets
37513	InstrumentGUID	uInt64NULL	int		Global unique instrument identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. Currently unavailable for futures and options instruments.
Repeating Group 1
864	NoEvents	NuminGroup			Number of repeating entries.
→865	EventType	EventType	int	5=Activation 7=Last eligible trade date	Code to represent the type of event
→1145	EventTime	uInt64	UTCTimestamp		Date and Time of instrument Activation or Last Trade Datetime event sent as number of nanoseconds since Unix epoch
Repeating Group 2
1141	NoMDFeedTypes				Number of repeating entries.
→1022	MDFeedType	MDFeedType	String		Describes a class of service for a given data feed. GBX- Real Book, GBI-Implied Book
→264	MarketDepth	Int8	int		Book depth
Repeating Group 3
870	NoInstAttrib	NuminGroup			Number of repeating entries.
→871	InstAttribType	InstAttribType	int	24=Eligibility	Instrument eligibility attributes
→872	InstAttribValue	InstAttribValue	MultipleCharValue		Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain. Bitmap field of 32 Boolean type indicators: 0 (least significant bit): Electronic Match Eligible 1: Order Cross Eligible 2: Block Trade Eligible 3: EFP Eligible 4: EBF Eligible 5: EFS Eligible 6: EFR Eligible 7: OTC Eligible 8: iLink Mass Quoting Eligible 9: Negative Strike Eligible 10: Negative Price Eligible 11: Is Fractional (indicates product has fractional display price) 13: RFQ Cross Eligible 14: Zero Price Eligible 15: Decaying Product Eligibility 16: Variable Quantity Product Eligibility 17: DailyProduct Eligibility 18: GT Orders Eligibility (Previously Tag 827) 19: Implied Matching Eligibility (Previously tag 1144) 21: Variable Cabinet Eligible 22: Inverted Book 23: All or None Instrument 24-31 – Reserved for future use
Repeating Group 4
1234	NoLotTypeRules	NuminGroup			Number of repeating entries.
→1093	LotType	Int8	int	2=minimum order entry quantity for an instrument 5=order quantity increment	This tag is required to interpret the value in tag 1231-MinLotSize.
→1231	MinLotSize	DecimalQty	Qty		If tag 1093-LotType=2, this value is minimum quantity accepted for order entry. If tag 1093-LotType=5, the 1231-MinLotSize is order quantity increment. For example, if 1093-LotType=2 & 1231-MinLotSize orders may be entered in increments of 2. Therefore, order sizes of 1, 3, 5, etc can be entered.