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MBO FIX

MBO FIX

Market By Order (MBO) files provide all market data messages required to recreate the book.  The consumer can see every level of every order in the book, as well as trade data for all CME Globex- traded products.  MBO FIX data is available order by order, time stamped to the millisecond, and is in FIX format.

Dates Available

MBO FIX data is available on four exchanges from January 2017 to present and all files are in FIX format.

By Exchange

Exchange

Open Date

Close Date

Exchange

Open Date

Close Date

CME (Electronic)

5/13/2017

Present

CBOT (Electronic)

4/1/2017

Present

NYMEX (Electronic)

1/7/2017

Present

COMEX (Electronic)

1/7/2017

Present

*Please note that the MBO rollout was staged over the first half of 2017.  For more information on release dates, please visit the MBO FIX Availability section below.

 

 

 

 

Security Definition Files

Tag Usage by Security Type

Tag

FIX Name

Future Outright

NYMEX Decay/Variable Future

Future Spread

Option Outright

Option Spread

UDS Combo

UDS Covered

Tag

FIX Name

Future Outright

NYMEX Decay/Variable Future

Future Spread

Option Outright

Option Spread

UDS Combo

UDS Covered

Application Sequence Control

5799

MatchEventIndicator

X

X

X

X

X

X

X

911

TotNumReports

c

c

c

c

c

c

c

980

SecurityUpdateAction

X

X

X

X

X

X

X

779

LastUpdateTime

X

X

X

X

X

X

X

1180

ApplID

X

X

X

X

X

X

X

Instrument Data

1300

MarketSegmentID

X

X

X

X

X

X

X

55

Symbol

X

X

X

X

X

X

X

48

SecurityID

X

X

X

X

X

X

X

22

SecurityIDSource

X

X

X

X

X

X

X

200

MaturityMonthYear

X

X

X

X

X

X

X

1151

SecurityGroup

X

X

X

X

X

X

X

6937

Asset

X

X

X

X

X

X

X

167

SecurityType

FUT

FUT

FUT

OOF

OOF

OOF

MLEG

762

SecuritySubType

–

–

X

–

X

X

X

461

CFI Code

X

X

X

X

X

X

X

201

PutOrCall

–

–

–

X

–

–

–

462

UnderlyingProduct

X

X

X

X

–

–

–

207

SecurityExchange

X

X

X

X

X

X

X

1682

MDSecurityTradingStatus

c

c

c

c

c

c

c

202

StrikePrice

–

–

–

X

–

–

–

947

StrikeCurrency

–

–

–

X

–

–

–

15

Currency

X

X

X

X

X

X

X

120

SettlCurrency

 

 –

 -

c

–

–

–

9850

MinCabPrice

–

–

–

c

–

–

–

9779

UserDefinedInstrument

–

–

–

–

–

Y

Y

Underlying (options only)

711

NoUnderlyings

-

-

-

X

-

-

-

→311

UnderlyingSymbol

-

-

-

X

-

-

-

→309

UnderlyingSecurityID

-

-

-

X

-

-

-

→305

UnderlyingSecurityIDSource

-

-

-

X

-

-

-

Leg Group (spreads only)

555

NoLegs

-

-

X

-

X

X

X

→602

LegSecurityID

-

-

X

-

X

X

X

→624

LegSide

-

-

X

-

X

X

X

→623

LegRatioQty

-

-

X

-

X

X

X

→566

LegPrice

-

-

-

-

-

-

X

→1017

LegOptionDelta

-

-

-

-

-

-

X

Trading Rules

1141

NoMdFeedTypes

X

X

X

X

X

X

X

→1022

MDFeedType

X

X

X

X

X

X

X

→264

MarketDepth

X

X

X

X

X

X

X

864

NoEvents

2

2

2

2

2

2

2

→865

EventType

X

X

X

X

X

X

X

→1145

EventTime

X

X

X

X

X

X

X

1142

MatchAlgorithm

X

X

X

X

X

X

X

1234

NoLotTypeRules

X

X

X

X

X

X

X

→1093

LotType

X

X

X

X

X

X

X

→1231

MinLotSize

X

X

X

X

X

X

X

562

MinTradeVol

X

X

X

X

X



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