CME Reference Data API Version 3

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The CME Reference Data APIv3, hosted on Google Cloud (GC) is a set of JSON RESTful web service APIs that provide real-time restricted access to product and instrument referential data using OAuth, an open protocol that supports secure authorization in a simple, standard method and decouples authentication from authorization. CME Reference Data APIv3 provides product and instrument reference data for all CME Group, BrokerTec, EBS, Hosted Partners and CME Group-cleared markets.  

Products contain all available products - BrokerTec, EBS, futures, options on futures, spreads and products - on an underlying asset or related index or related future.

Instruments are the individual traded and cleared contracts. 

Information includes:

  • Contract specifications

  • Product codes and symbols for all CME Group venues

  • Trade and order type eligibility

  • Instrument life cycle dates including first and last trade date, all notice dates, delivery dates and settlement dates.

Client systems can automate their product and instrument definitions by pulling the information from the CME Reference Data APIs, reducing the manual work involved in setting up new products. All customers are strongly encouraged to develop to the CME Reference Data APIs and integrate it into their product definition architecture.

BrokerTec and EBS product information is not supported in the Security Definition Flat File (secdef.dat) alongside CME Futures and Options products.

For pre-listed instruments with next day activation, clients should start polling CME Reference Data API version 3 for the instruments after 3:00 p.m. CST.

Contents

Testing and Certification

Certification is not required. Testing is strongly encouraged.

Restricted Access

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.

Authorization and Entitlement

A registered OAuth API ID is required to access the CME Reference Data API version 3 services.  API IDs for CME Group Logins are created and managed in the Customer Center under My Profile.

Complete the step(s) that are applicable to your account:

New Clients

Clients with Existing CME Group Logins

New Clients

Clients with Existing CME Group Logins

  1. Create a CME Group Login.

  2. After creating and activating a CME Group Login ID, login to CME Customer Center under My Profile and create an OAuth API ID.

  1. Login to CME Customer Center and under My Profile click API Management where clients can:

  2.  

    1.  

      • Create API ID

      • Claim API ID

      • Convert API ID from Basic Auth to Oauth (Note: The conversion from Basic Auth to Oauth is not reversible).

Requesting Entitlement

Client's API IDs must be entitled and registered by the Enterprise Access and Entitlements (EASE) team to view and consume the BrokerTec and EBS content. 

Default Entitlements

Entitlement registration is not required to access Futures and Options attributes; clients can simply log into the API with their API ID credentials.

Accessing CME Reference Data API Endpoints

To access CME Reference Data API version 3 endpoints in the New Release and Production environments, an OAuth API ID and access token are required.

The following endpoints are used by client applications to communicate with the OAuth Authorization Server to request and refresh access tokens.

Client systems are allowed to use any API tool of their choice to request and refresh access tokens to access CME Reference Data API version 3 endpoints using the OAuth protocol.

See Client API Service Adoption using OAuth 2.0 Protocol for an example of using a token.

OAuth 2.0 Authorization Server Access Token Retrieval Endpoints

The below endpoints are available to request and refresh access tokens in the New Release and Production environments. 

OAuth 2.0 Authorization Server Endpoints

OAuth 2.0 Authorization Server Endpoints

Detail

New Release

Production

OAuth Token Endpoint

https://authnr.cmegroup.com/as/token.oauth2

https://auth.cmegroup.com/as/token.oauth2

Authorized API ID's may access the endpoints in the New Release and Production environments:

New Release Endpoints by Market

Futures and Options

BrokerTec

EBS

Futures and Options

BrokerTec

EBS

refdata.api.uat.cmegroup.com/refdata/v3/products

refdata.api.uat.cmegroup.com/refdata/v3/products

refdata.api.uat.cmegroup.com/refdata/v3/products

refdata.api.uat.cmegroup.com/refdata/v3/instruments

refdata.api.uat.cmegroup.com/refdata/v3/instruments

refdata.api.uat.cmegroup.com/refdata/v3/instruments

refdata.api.uat.cmegroup.com/refdata/v3/tradingSchedules

refdata.api.uat.cmegroup.com/refdata/v3/displayGroups

refdata.api.uat.cmegroup.com/refdata/v3/tradingSessionValueDates

Production Endpoints by Market

Futures and Options

BrokerTec

EBS

Futures and Options

BrokerTec

EBS

refdata.api.cmegroup.com/refdata/v3/products

refdata.api.cmegroup.com/refdata/v3/products

refdata.api.cmegroup.com/refdata/v3/products

refdata.api.cmegroup.com/refdata/v3/instruments

refdata.api.cmegroup.com/refdata/v3/instruments

refdata.api.cmegroup.com/refdata/v3/instruments

refdata.api.cmegroup.com/refdata/v3/tradingSchedules

refdata.api.cmegroup.com/refdata/v3/displayGroups

 refdata.api.cmegroup.com/refdata/v3/tradingSessionValueDates

Network Connections

CME Reference Data product and instrument information is available over all CME Group network connections for EBS Market, eFix and BrokerTec.

New Release Network Connections by Customer Type

Accessing RD APIv3 in the New Release environment over Cert VPN and Cert Data Center connections. 

CME Group Network Connections

CME Group Network Connections

Environment

Customer Type 

IP

Port

New Release

EBS

eFix

164.74.124.119

443

BrokerTec

Futures and Options



Production Network Connections by Customer Type

Accessing RD APIv3 in the production environment over all CME Group connections enabled for EBS Market, eFix, and BrokerTec futures and options at:

CME Group Network Connections

CME Group Network Connections

Environment

Customer Type 

IP

Port

Production

BrokerTec

167.204.72.98

443

EBS

eFix

 

167.204.72.185

443

Futures and Options

167.204.71.195

443

Clients must have access to Internet-based DNS or resolve the original path name to the new IP at their side.

OWASP Compliance

RD APIv3 is hosted on Google Cloud and protected by Google Cloud Armor with preconfigured Web Application Firewall (WAF) rules leveraging the OWASP Top 10 rules.

CME Group recommends clients utilize the OWASP Top 10 rules when developing to RD APIv3.

Hours of Availability

The CME Reference Data APIs are real-time APIs available 24 hours a day, 7 days a week.

Data Refresh

Data will be updated every 7 minutes or less. Clients systems should consider all returned data to be accurate as of the time of the request submission. Since the products are updated dynamically, multiple requests may return different results.

Weekly Maintenance

There are weekly maintenance periods that occur on Friday from 10:00 pm CT to Saturday 4:00 am CT. During these times, data may be unavailable or unreliable.

Returned Attributes

All attributes for a product or instrument are always returned. Attributes that are undefined or have no value for a particular product or instrument will return "null."

Sorted Results

CME Reference Data API does not support sorted results.

Pagination

To make responses more manageable, CME Reference Data API returns results in pages.

By default, 1000 results per page are included, displayed results per page  can be requested (up to 2000) using the size parameter. 

CME Reference Data API also supports a page parameter to allow clients to view a specific page in the result set.

If pagination (page and size values) is passed in the URL explicitly, then the same will be used to retrieve data.

Name

Description

Additional Details

Name

Description

Additional Details

size

Number of results returned per page

Optional query parameter.

  • The maximum size value is 2000 and the minimum size value is 1.

  • If size is not specified, the default is 1000.

  • If size is specified but is less than 1 (e.g., size=0 or size=-9 ), the default of 1000 is used.

  • If size is specified but is greater than 2000 (e.g., 3000), 2000 will be used.

Pagination Links

Name

Description

Additional Details

Name

Description

Additional Details

self

href URL for the query.



prev

href URL for the previous page of query results.



first

href URL for the first page of query results.

Page=0 is the value for the first page.

next

href URL for the next page of query results.



last

href URL for the last page of query result.

The page value on this reference will be one less than the total Pages value.

Pagination Metadata

Name

Description

Additional Details

Name

Description

Additional Details

size

Number of results returned per page.

Optional query parameter. The maximum size value is 1000 and the minimum size value is 1. If size is not specified, the default is 20. If size is specified but is less than 1 (e.g., size=0 or size=-9 ), the default of 20 is used. If size is specified but is greater than 1000 (e.g., 2000), 1000 will be used.

totalElements

Total number of items returned by the query.



totalPages

Number of pages required to list all items.

Only included when results are paginated.

number

Current page number; numbering starts with 0.



type

Indicates if pagination is used for the data return.

Will return page for responses with less than 10,000 results.



These examples are based on a query of all products where size=1000 and page=1:

"_links": {

"first": {
"href":  "/v3/products/?page=0&size=1000"
},
"prev": {
"href": "/v3/products/?page=0&size=1000"
},
"self": {
"href":  "/v3/products/?size=1000&page=1"
},
"next": {
"href":  "/v3/products/?page=2&size=1000"
},
"last": {
"href":  "/v3/products/?page=6&size=1000"
}

},
"_metadata": {

"size": 1000,
"totalElements": 3674,
"totalPages": 4,
"number": 1,
"type": "page"
}

}

Collection Header

CME Reference Data API does not support attributes in collection headers.

Errors

CME Reference Data API uses standard HTTP response codes to indicate success or failure of an API request.

Codes in the 2xx range indicate success; codes in the 4xx range indicate success or failure of an API / query request; and codes in the 5xx range indicate an error with the CME Group servers.

Status Code

Explanation

Status Code

Explanation

200

OK

  • An empty result set and a 200 error code indicates a successful query that returned no results.

400

Request was missing required information or was malformed

401

Unauthorized

  • Indicates that the request requires user authentication information.

  • Returned when the particular HTTPS method is not allowed (e.g., POST, PATCH, PUT, DELETE...)

  • Failed to Decode Token

  • The Token has expired

  • No entitlement exists for the JWT Token

  • Failed to Resolve Variable due to API key or Token is invalid

403

Forbidden - returned when the particular HTTPS method is not allowed (e.g., POST, PATCH, PUT, DELETE...)

404

Requested item not found

5xx

There is a server error on the CME Group side

Searches

CME Reference Data API supports GET requests for all product or instrument records, using the following calls:

  • All product records: /v3/products

  • All instrument records: /v3/instruments

  • All display groups (BrokerTec): /v3/displayGroups

  • All trading session value dates (EBS): /v3/tradingSessionValueDates

Special Characters

There are certain characters (/ , # , \ , < , >, space) which are reserved and unsafe characters and should not be used in queries and if used should be encoded.

Note the + (plus) is not supported and the ? should be used as a substitute. The ? is one of the wildcard characters currently supported in RD API.

Characters

Encoding

Characters

Encoding

/

%2F

#

%23

\

%5C

< 

%3C

> 

%3E

space

%20

+

Not supported



Encoded Examples:

Query

Encoded Query

Query

Encoded Query

longName=8_11/21 09/03-10/20

longName=8_11%2F21%2009%2F03-10%2F20

longName=EUROGC+_LCR_MIN_SIZE_25MM

longName=EUROGC?_LCR_MIN_SIZE_25MM

longName=GC<10*

longName=GC%3C10*

globexGroupCode=#USBD

globexGroupCode=%23USBD

Query Searches

Query searches consist of one or more items that include an attribute, operator and value that are implemented as part of an HTTPS GET request.  

  • Only the "=" operator is currently supported.

  • A wildcard "*" can be included in the value to return all products or instruments that match a partial value.

  • Terms can be combined with question mark (?) for the first parameter, and an ampersand (&) for subsequent parameters to return only the results that match ALL of the search terms.

  • Query parameter values are case sensitive and must be in upper case or as values returned in JSON.

    Examples:

    refdata.api.cmegroup.com/refdata/v3/instruments?globexSymbol=ESU3 - Total elements returned 1

    refdata.api.cmegroup.com/refdata/v3/instruments?globexSymbol=eSU3 - Total elements returned 0

Query attributes are listed below.

 Query Samples

Query

Query Type

Description

Query

Query Type

Description

/v3/products

Product

Returns information on every product cleared or hosted at CME Group.

/v3/instruments

Instrument

Returns information on every instrument cleared or hosted at CME Group.

/v3/products?globexProductCode=GE

Product with Globex Product Code filter

Returns information on all products traded on CME Globex under the product code "GE".

/v3/instruments?globexSymbol=05*

/v3/instruments?globexSymbol=*05

/v3/instruments?globexSymbol=*05*



Instrument with Globex Symbol filter of
"05" and wildcard

* at the end of a string brings up all matches that start with the string.

* at the beginning of a string brings up all matches that end with the string.

* at both the beginning and end of a string brings up all matches that have that string in the middle.

/v3/instruments?cusip=912828XU9

Instrument with exact pattern match

Returns US & Canadian externally registered security identifier.

/v3/products?securityType=FUT

Product with securityType Filter

Returns information on all products traded or cleared as a Futures contract.

/v3/products?securityType=FUT&exchangeClearing=CME

Product with securityType and exchangeClearing filters

Returns information on all products cleared as a Futures contract and listed under the CME Rulebook

/v3/products?securityType=TBOND&globexEligible=Y

Product with securityType and globexEligible filters

Returns information on all US Treasury Bond products and eligible to trade on CME Globex

/v3/products?globexGroupCode=USBD& globexEligible=Y

Product with globexGroupCode and globexEligible filters

Returns information on all US Treasury Notes and Bonds products and eligible to trade on CME Globex

/v3/displayGroups?centralGroupName=BENCH/WI

Display Group central group name

Returns central group and list of instruments

/v3/instruments?lastTradedAfter=Tuesday, September 15, 2020 7:00:00 PM CST&lastTradedBefore=Wednesday, September 16, 2020 7:00:00 PM CST

/v3/instruments?lastTradedAfter=1600214400000&lastTradedBefore=1600300800000

Instrument with last trade date range

Returns all instruments with last trade date after a certain date and before a certain date.

/v3/tradingSessionValueDates?rbtEligibleInd=N

Trading Session Value Dates

Returns trade date to value date (date of settlement) mapping for EBS Markets on CME Globex.

/v3/tradingSessionValueDates?instrumentguidInt=
Unique instrument identifier in integer-only format.

Trading Session Value Dates

Returns trade date to value date (date of settlement) mapping for a specific instrument for EBS Direct or EBS Markets on CME Globex .

/v3/products?marketSegmentId=

Market Segment Id

Returns all products on Market Segment Id

  • 36 New York

  • 38 London

Record Relationships 

Product and instrument records are tied together by the following relationship definitions:

  • Product

    • Underlying

    • Overlying

    • Instruments

    • BTIC

    • TACO

    • TAS

    • TAM 

  • Instruments:

    • Underlying

    • Overlying

    • Product

Relationships function differently for different product and instrument types. The links will only appear in the results if applicable; for instance, a BTIC product that doesn't have any related overlying products will not return Overlying→Overlying. 

  • The BTIC+ on E-mini Standard and Poor's 500 Stock Price Index Futures

    • Underlying of the BTIC+ is the BTIC

      • bticUnderlying a BTIC on E-mini-Standard and Poor's 500 Stock Price Index Futures

        • underlying a E-mini-S&P 500 Futures

See Record Relationship Linkage Examples for examples of record relationship types and returned links. 

Product Relationships





Type

Underlying

Overlying

Instruments

BTIC Underlying

TAS Underlying

TAM Underlying

TACO Underlying

Type

Underlying

Overlying

Instruments

BTIC Underlying

TAS Underlying

TAM Underlying

TACO Underlying

Future Outright

Not present

References to all products related to the outright future

  • Underlying = original future outright

  • Overlying = all product records related to future outright, including spreads and options

All listed instruments on the outright future

Not present

Not present

Not present

Not present

Future Spread

Leg construction information for the future spread, with references to the outright future legs

  • Underlying = outright future or future spread leg records

  • Overlying = Original future spread

Only present for spreads that are used as legs for spread-of-spreads (e.g., Future Bundles as legs of Bundle Spreads)

Leg construction information, with references to the future spread legs

  • Underlying = original future spread

  • Overlying = other related futures spread records, including spreads and options

All listed instruments for the future spread

Not present

Not present

Not present

Not present

Option Outright

Relationship information for the option outright

  • Underlying = outright future or future spread underlying the option

  • Overlying = option product record

Not present

All listed instruments for the outright option

Not present

Not present

Not present

Not present

Basis Trade at Index Close (BTIC) Futures

Not present

References to all products related to the BTIC outright future

  • Underlying = original BTIC outright future

  • Overlying = spreads listed on the BTIC outright future

All listed instruments for the BTIC outright future

Underlying product for the BTIC (e.g., E-mini S&P 500 future for the BTIC on E-mini S&P 500)

Not present

Not present

Not present

Trade at Cash Open (TACO) Futures

Not present

References to all products related to the TACO outright future

  • Underlying = original TACO outright future

  • Overlying = spreads listed on the TACO outright future

All listed instruments for the TACO outright future

Not present

Not present



Underlying product for the TACO future (e.g., E-mini S&P 500 future for the TACO on E-mini S&P 500)

Trade at Settlement (TAS) Futures

Not present

References to all products related to the TAS outright future

  • Underlying = original TAS outright future

  • Overlying = spreads listed on the TAS outright future

All listed instruments for the TAS outright future

Not present

Underlying product for the TAS future (e.g., Sweet Crude Oil futures for the TAS Sweet Crude Oil)

Not present

Not present

Trade at Marker (TAM) Futures

Not present

References to all products related to the TAM outright future

  • Underlying = original TAM outright future

  • Overlying = spreads listed on the TAM outright future

All listed instruments for the TAM outright future

Not present

Not present

Underlying product for the TAM future (e.g., Sweet Crude Oil futures for the TAM London Sweet Crude Oil)

Not present

REPO

Underlying = Physical Collateral of the REPO (e.g. US Government Bonds)

Not present

All listed instruments for the REPO

Not present

Not present

Not present

Not present

US Treasury Actives and European Government Bonds



Not present

References to all products related to the US Actives Outrights

  • Underlying = original US Actives outright

  • Overlying = all product records related to US Actives outright, spreads and US and EU REPO

All listed instruments for the US Actives

Not present

Not present

Not present

Not present

eFix Matching Service Product

References to all products related to the eFix Matching Service Product

  • Underlying = FX Spot Currency Pair

Not present

All listed instruments for the eFix Matching Service products.

Not present

Not present

Not present

Not present

FX Spot Currency Pair Product

Not present

References to all products related to the FX Spot Currency Pair Product

  • Overlying = eFix Matching Service Product

All listed instruments for the FX Spot Currency Pair products.

Not present

Not present

Not present

Not present

Instrument Relationships

Type

Underlying Instruments

Overlying Instruments

Product

Type

Underlying Instruments

Overlying Instruments

Product

Future Outright

Not present

References to all related instruments

  • Underlying = original future outright

  • Overlying = all instrument records related to the future outright, including spreads and options

Product record

Future Spread

Leg construction information for the future spread, with references to the outright future legs

  • Underlying = outright future or future spread leg records

  • Overlying = Original future spread

Only present for spreads that are used as legs for spread-of-spreads (e.g., Future Bundles as legs of Bundle Spreads)

Leg construction information, with references to the future spread legs

  • Underlying = original future spread

  • Overlying = other related futures spread records, including spreads and options

Product record

Option Outright

Relationship information for the option outright

  • Underlying = outright future or future spread underlying the option

  • Overlying = option product record

Not present

Product record

US Treasury Actives and European Government Bonds Outright

Not present

References to all related instruments

  • Underlying = original US and EU government bond outright

  • Overlying = all instrument records related to the US and EU government bond outright, including spreads and REPO's

Product record

Spreads are defined as distinct products within the CME Reference Data API, separate from the outright products. To search for all related outright and spread products, use the wildcard character to expand your search parameters.

Spreads in the Product API

  • /v3/products?symbol=GE query will return outright futures, outright options and the calendar spread

  • /v3/products?symbol=GE* query will return outright futures, TAS, TAM, BTIC, TACO, outright options and all exchange-defined spreads


Query Parameters

The following parameters can be used to query product and instrument information. 

  • Either a direct match, or searches using the wildcard "*" can be used for queries.

  • Parameters can be used together by using ampersand (&) between search terms; however if the same parameter is used twice in the same GET request (for example, exchangeGlobex=XCME&exchangeGlobex=XNYM) only the last one will be used (in this case: exchangeGlobex=XNYM).

See: Product Parameter Specifications

See: Instrument Parameter Specifications

BrokerTec Display Groups

Display Groups contain Central Groups, which are customized combinations of associated instruments used for vendor front-end displays.



TYPE

QUERY PARAMETERS

DATA EXAMPLE

DESCRIPTIOIN



TYPE

QUERY PARAMETERS

DATA EXAMPLE

DESCRIPTIOIN

displayGroups

STRING



GC_SA_NETHER*
GC_BIL_NETH*
BIL_DTB_*
BIL_DSL_*

BENCH/WI

Lists all display groups

centralGroupName

STRING

Filter attribute



Returns quested Display Group

sortCriteria

STRING



C = Country+Maturity+Coupon = ISSUECOUNTRY+MATURITY+COUPON

M= Maturity+Coupon = MATURITY+COUPON

L=Leg = DEFAULT



legNumber

NUMBER



9



Sort order

The “leg number” is the listed position of the instrument in the Display Group 

Example of Display Group with instruments listed according to legNumber position.

Central Group    Leg#       Sort         Long_Name_Exp

BENCH/WI            1              L              2_YEAR

BENCH/WI            2              L              3_YEAR

BENCH/WI            3              L              5_YEAR

BENCH/WI            4              L              7_YEAR

BENCH/WI            5              L              10_YEAR

BENCH/WI            6              L              30_YEAR

BENCH/WI            7              L              W_7_YR

BENCH/WI            8              L              10_YEAR

BENCH/WI            9              L              30_YEAR

Product and Instrument Attribute Details

Information contained in the CME Reference Data API has been compiled by CME Group for the convenience of the user and is furnished without responsibility for accuracy or content. Although every attempt has been made to ensure the accuracy of this information, CME Group assumes no responsibility for any errors or omissions. It is accepted by the user on the condition that errors or omissions shall not be made the basis for any claim, demand or cause of action.

Spread Attributes

Spread attributes are applicable to both Product and Instrument, and define the leg construction for combos as well as links to the outright legs. These attributes are only applicable to spreads.

Attribute

Description

Type

Attribute

Description

Type

marketSide

Side (Buy/Sell) for each leg.

 String

legNumber

The relative position of each outright instrument within a spread

For example, for an SP calendar spread, the expiring first front leg will reflect legNumber=1 and the later expiring back leg will reflect legNumber=2

 String

ratio

The quantity multiplier for each leg traded as part of a spread.

 String

Product Attributes

The Product service contains information about all products traded and cleared at CME Group.

See: Product Attribute Specifications

Instrument Attributes

The Instrument service contains information in JSON formation based on customer queries. 

See: Instrument Attribute Specifications

CME Globex Trading Hours and Holiday Schedules

CME Globex Trading Hours and Holiday Schedules on CME Reference Data API is a separate API service, which provides clients the ability to programmatically integrate CME Globex Trading Hours and Holiday Schedules for futures and options products into their referential data systems.

The API service provides a repeating group of attributes that include the relevant information on the market state of futures and option products traded on CME Globex.

See: CME Globex Trading Hours and Holiday Schedules Message Specification

Product Retention Rules

The table below lists the instrument retention rules for expired, expired tradable and matured collateral available via CME Reference Data API version 3.

Product category

Instrument Retention Date

Available via CME Reference Data API Version 3 after the Retention Date

Product category

Instrument Retention Date

Available via CME Reference Data API Version 3 after the Retention Date

Futures and Options

Last delivery date for physically-delivered instruments.

Settlement date for other instruments.

5 days after the Last delivery date for physically-delivered instruments.

5 days after the Settlement date for other instruments.

US Repo

EU Repo

GC Allocations

Equal to Repo END DATE

14 days after End Date / Termination Date of the REPO.

EGB

Instrument maturity date

30 days after Trade Date or 14 days past maturity of the EGB (whichever is greater).

Active US Treasuries

Active → OFTR transition date

Active → OFTR transition date.

Note: Instrument will be maintained as non-tradeable collateral (OFTR) until 14 days after maturity

Non-Tradeable Collateral 

Instrument maturity date

14 days after maturity date.

CME Reference Data API Version 3 for EBS Market

For EBS on CME Group services, the product referential data is available on the CME Reference Data APIv3 for the following trading modes and platforms:

  • EBS Market on CME Globex

  • eFix Matching on CME Globex

  • EBS Direct

EBS Referential Data Solutions

RD APIv3 vs MDP3

RD APIv3 is an Out-of-Band solution for comprehensive referential information, whereas MDP3 is an In-Band solution for critical dynamic information for trading on CME Globex. RD APIv3 includes referential information for EBS Market, eFix Matching Service, and EBS Direct at both the product and instrument level, whereas MDP3 supports instrument-level information only for EBS Market and eFix Matching Service.

Service

RD APIv3

MDP3

Service

RD APIv3

MDP3

Trade Date to Settlement Date

Separate API with 10 business days of trade dates (full current week plus following week)

10 business days included on Security Definition messages (current week plus following week).

Ability to query for currency pairs across liquidity pools

Clients can query for currency pairs across:

  • EBS Markets on Globex (including eFix)

  • EBS Direct

Not Supported

Ability to query by venue type

Clients can query for currency pairs by venue type:

  • CLOB (Central Limit Order Book)

  • RBT (Relationship Based Trading)

Not Supported

Products and Instrument Information



Product and Instrument information

Relationship details (e.g., eFix to core currency pair)

Instrument information only

Includes relationship definitions:

  • Product to instrument

  • Products across trading liquidity pools EBS Market, eFix matching and EBS Direct.

  • Trade dates, Value dates and Fixing dates

EBS Market and eFix matching only - platform information includes:

  • Current market state (e.g., open, closed)

  • Trade dates, Value dates and Fixing dates

  • Provide real-time updates of out of band changes (e.g., change in value date or fixing date due to unscheduled holiday)

Ability to query for products by order duration eligibility is applicable

Good for session eligibility indicator

Boolean flag (“Y”,”N”) to identify GFS (Good For Session) TimeInForce eligibility on CME Globex.



Not Supported

Ability to identify the product Fixing Close Offset time

Fixing close offsets - Time duration before scheduled fixing time of the eFix Matching Service instrument.

e.g. 00:05:30 to denote the 6:24:30 PM ET close for the 6:30 PM ET Fix.

Not Supported

Availability to query for products by order duration

Good for session eligibility indicator

Boolean flag (“Y”,”N”) to identify GFS (Good For Session) TimeInForce eligibility on CME Globex.

Not Supported

Availability

Cloud service over the internet, available 24x7



MDP service over production connectivity; available whenever CME Globex platform is available

EBS Market Globex Group Code

Customers should note the Globex Group Code (globexGroupCode) at the Product level in the Reference Data API does not align with the Globex Group Code at the instrument level or in the MDP 3.0 Security Definition Message tag 1151-SecurityGroup.  



Example: Globex Product and Group Codes published in Reference Data API

Product Name

Instrument Symbol

Product Level

CME Globex Product Code

(MDP 3.0 tag 6937-Asset)

Product Level

CME Globex Group Code

(Only available in Reference Data API)

Instrument Level

CME Globex Group Code

MDP 3.0 tag 1151-Security Group

FXSPOT.USD/CAD WM_LN

USD/CAD WM 1600 LN

EW6EBP

ENW

NW160

FXSPOT.USD/SGD WM_LN

USD/SGD WM 1600 LN

EW6DSG

ELW

NW160



Globex Group Code - EBS eFix Matching Service Instruments: If the Globex Group Code value in the Product API service and Instrument API service are different, customers should use the value in the Instrument API service.

Product or Instrument

Attribute Name

Description

Type

Exchange

Product or Instrument

Attribute Name

Description

Type

Exchange

Product

globexGroupCode

CME Globex uses this group code to identify logical groupings of products. 



String

ALL

Instrument

globexGroupCode

CME Globex uses this group code to identify logical groupings of products.  



String

ALL

EBS Trading Session Value Dates

Trading Session Value Dates is a separate API service call which provides the trade date to value date (date of settlement) mapping in a repeating Trade Session Group. Any additional information which will change for each trade date and/or value date will be included in the repeating group, e.g., dsbIsin for OFF SEF/ON MTF NDFs, which is different for each different value date.

Sending Query Requests

The following request can be made using an OAOAuth authorized API IDuth authorized API ID and access token.

Client systems send Query Requests by invoking the HTTPS GET method to a URL of the form:  /v3/tradingSessionValueDates

EBS Trading Session Value Dates Attributes

Client systems can query the trading session value dates API service using any of the attribute query parameters noted as filter type. 

Attribute

Description

Type

Query Parameters

Query Description

Attribute

Description

Type

Query Parameters

Query Description

instrumentguidInt



Unique instrument identifier in integer-only format.

Integer

Filter Type

Query for trade date to value date (date of settlement) mapping for a specific instrument.

globexSymbol



CME Globex instrument symbol.

String

Filter Type

Query for trade date to value date (date of settlement) mapping for EBS Direct or EBS Markets on CME Globex for a specific CME Globex symbol.

rbtEligibleInd

Boolean flag to identify eligibility for EBS Direct ("Y","N").

String

Filter Type

Query for trade date to value date (date of settlement) mapping for EBS Direct.

globexSecurityId

A unique identifier for each CME Globex instrument; same value as in tag 48-SecurityID on iLink and MDP.

String

Filter Type

Query for instrument by Security ID (MDP 3.0 tag 48-SecurityID).

noTradingSessions 

Repeating group for trading session value and/or settlement dates. 

String





tradeDate

Date of the Trade.

Date





settlementDate



  • SPOT value/settlement date.

  • NDF settlement date.

Date





ndfFixingDate 

NDF fixing (maturity) date.

Date





dsbIsin

ISIN value as provided by ANNA, Association of National Numbering Agencies. This field is populated for MTF-Regulated NDFs and is unique for each Settle Date.

String





venueType



Venue Type

  • CLOB (Central Limit Order Book)

  • RBT (Relationship Based Trading) 

String

Filter Type

Query for all trade dates by venue type



ccyPair

Currency pair as listed in the instrument long name field.

e.g. longName: "FXSPOT.EUR/USD" (EUR/USD)

String

Filter Type

Query for trade dates by currency pair using currency pair as listed in the instrument long name field.

Example: Structure of Trading Session Value Dates Display.

tradingSessionValueDates

tradingSessionValueDates

instrumentguidInt

Unique instrument identifier in integer-only format.

globexSymbol

CME Globex instrument symbol.

rbtEligibleInd

Boolean flag to identify EBS Direct ("Y","N").

globexSecurityId

A unique identifier for each CME Globex instrument; same value as in tag 48-SecurityID on iLink and MDP.

venueType

CLOB

ccyPair

USD/DKK

noTradingSessions  

Repeating group for trading session value and/or settlement dates. 

tradeDate

Date of the Trade

Date of the Trade

Date of the Trade

Date of the Trade

Date of the Trade

settlementDate

  • SPOT value/settlement date

  • NDF settlement date

  • SPOT value/settlement date

  • NDF settlement date

  • SPOT value/settlement date

  • NDF settlement date

  • SPOT value/settlement date

  • NDF settlement date

  • SPOT value/settlement date

  • NDF settlement date

ndfFixingDate

NDF fixing (maturity) date

NDF fixing (maturity) date

NDF fixing (maturity) date

NDF fixing (maturity) date

NDF fixing (maturity) date

dsbIsin

ISIN value as provided by ANNA

ISIN value as provided by ANNA

ISIN value as provided by ANNA

ISIN value as provided by ANNA

ISIN value as provided by ANNA

Trade and Value Date Processing Examples

This section includes examples of how to obtain the trade date to settlement/value date for a variety of instrument types using the Trading Session Value Dates API service.



FXSPOT EUR/USD

In this example, there is a Trading Session Value Dates List for the current week starting on Sunday, March 21, 2021. A trading session list has been published for an FXSPOT EUR/USD instrument in Trading Session Value Dates API with the following information:

tradingSessionValueDates

tradingSessionValueDates

ccyPair

FXSPOT EUR/USD

Trade Session

tradeDate

2021-03-22

(Monday)

2021-03-23

(Tuesday)

2021-03-24

(Wednesday)

2021-03-25

(Thursday)

2021-03-26

(Friday)

settlementDate

2021-03-24

(Wednesday)

2021-03-25

(Thursday)

2021-03-26

(Friday)

2021-03-29

(Monday)

2021-03-30

(Tuesday)



eFix Matching Service FXSPOT EUR/USD WM 1500 LN

In this example, there is a Trading Session Value Dates List for the current week starting on Sunday, March 21, 2021. A trading session list has been published for an eFix Matching Service FXSPOT EUR/USD WM 1500 LN instrument in Trading Session Value Dates API with the following information:

tradingSessionValueDates

tradingSessionValueDates

ccyPair

eFIX Matching Service FXSPOT EUR/USD WM 1500 LN

Trade Session

tradeDate

2021-03-22

(Monday)

2021-03-23

(Tuesday)

2021-03-24

(Wednesday)

2021-03-25

(Thursday)

2021-03-26

(Friday)

settlementDate

2021-03-24

(Wednesday)

2021-03-25

(Thursday)

2021-03-26

(Friday)

2021-03-29

 (Monday)

2021-03-30

(Tuesday)



Rolling FXNDF USD/CLP 1M SEF

In this example, there is a Trading Session Value Dates List for the current week starting on Sunday, March 21, 2021. A trading session list has been published for a Rolling FXNDF USD/CLP 1M SEF instrument in the Trading Session Value Dates API with the following information:

The ISIN (dsbIsin) is populated for MTF-Regulated NDFs and is unique for each Settlement Date

tradingSessionValueDates

tradingSessionValueDates

ccyPair

Rolling FXNDF USD/CLP 1M SEF



Trade Session

tradeDate

2021-03-22

(Monday)

2021-03-23

(Tuesday)

2021-03-24

(Wednesday)

2021-03-25

(Thursday)

2021-03-26

(Friday)

settlementDate

2021-04-26

(Monday)

2021-04-26

(Monday)

2021-04-26

(Monday)

2021-04-29

(Friday)

2021-04-30

(Friday)

ndfFixingDate

2021-04-22

(Thursday)

2021-04-22

(Thursday)

2021-04-22

(Thursday)

2021-04-27

(Tuesday)

2021-04-28

(Tuesday)

dsbIsin

EXXXXXXXXX20

EXXXXXXXXX20

EXXXXXXXXX20

EXXXXXXXXX03

EXXXXXXXXX09



Fixed Date FXNDF USD/INR EOM

In this example, there is a Trading Session Value Dates List for the current week starting on Sunday, March 21, 2021. A trading session list has been published for a Fixed Date FXNDF USD/INR EOM instrument in the Trading Session Value Dates API with the following information:

For Fixed Date NDFs Settlement (Value) Date, Fixing (Maturity) Date, and ISIN (where applicable) remain constant for all Trade Dates.

tradingSessionValueDates

tradingSessionValueDates

ccyPair

Fixed Date FXNDF USD/INR EOM March 2021 OFF SEF

Trade Session

tradeDate

2021-03-22

(Monday)

2021-03-23

(Tuesday)

2021-03-24

(Wednesday)

2021-03-25

(Thursday)

2021-03-26

(Friday)

settlementDate

2021-03-31

(Wednesday)

2021-03-31

(Wednesday)

2021-03-31

(Wednesday)

2021-03-31

(Wednesday)

2021-03-31

(Wednesday)

ndfFixingDate

2021-03-29

(Friday)

2021-03-29

(Friday)

2021-03-29

(Friday)

2021-03-29

(Friday)

2021-03-29

(Friday)

dsbIsin

EXXXXXXXXX21

EXXXXXXXXX21

EXXXXXXXXX21

EXXXXXXXXX21

EXXXXXXXXX21

Available Days

RD APIv3 will maintain 10 business days (Monday - Friday) of trade date to value dates. The 10 business days consist of the current business week and the future business week. Clients should be aware if polling mid-week the results will contain past trade and settlement dates for the current week. 

Example: Mid-Week Query

In this example there is a Trading Session Value Dates List for the current week starting on Sunday, March 21, 2021. A trading session list has been published for an FXSPOT EUR/USD. The client system sends a GET request at 8:00 am (CT) on Wednesday, March 24, 2021. The results returned will contain all business days for the current trading week.

tradingSessionValueDates

tradingSessionValueDates

ccyPair

FXSPOT EUR/USD

Trade Session

tradeDate

2021-03-22

(Monday – Prior Trade Date)

2021-03-23

(Tuesday – Prior Trade Date)

2021-03-24

(Wednesday)

2021-03-25

(Thursday)

2021-03-26

(Friday)

settlementDate

2021-03-24

(Wednesday)

2021-03-25

(Thursday)

2021-03-26

(Friday)

2021-03-29

(Monday)

2021-03-30

(Tuesday)

Contact Information

For technical development support, contact Certification Support for Electronic Trading (CSET).

For production requests, please contact the Global Command Center (GCC).

For all other inquiries, please contact Global Account Management (GAM).



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