Page:

MDP 3.0 - Admin Heartbeat —
Tag
FIX Name
Type
Valid Values
Description
35
MsgType
Int8
0=Heartbeat
FIX Message Type

Page:

MDP 3.0 - Market Data Incremental Refresh - Channel Reset —

Tag	FIX Name	Type	Semantic Type	Valid Values	Description
60	TransactTime	uInt64	UTCTimestamp		Start of event processing time in number of nanoseconds since Unix epoch
5799	MatchEventIndicator	MatchEventIndicator	MultipleCharValue	example: 10000000 - last message in the event example: 00000000 - not last message in 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
Repeating Group 1
268	NoMDEntries	NumInGroup			Number of entries in Market Data message
→279	MDUpdateAction	MDUpdateTypeNew	int	0=New	Market Data update action
→269	MDEntryType	MDEntryTypeChannelReset	char	J=Empty Book	Market Data Entry Type
→1180	ApplID	Int16	int		Indicates the channel ID as defined in the XML configuration file

Page:

MDP 3.0 - Market Data Incremental Refresh - Collateral Market Value —

Tag	FIX Name	Type	Semantic Type	Valid Values	Description
60	TransactTime	uInt64	UTCTimestamp		Time of execution/order creation; expressed in UTC.
5799	MatchEventIndicator	MatchEventIndicator	MultipleCharValue	10000000 - all collateral messages will have this value	Bitmap field of eight Boolean type indicators reflecting the end of updates for a given 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
Repeating Group 1
268	NoMDEntries	NumInGroup			Number of entries in Market Data message
→458	UnderlyingSecurityAltID	String12	String		Will contain either CUSIP or ISIN value identifying REPO collateral security
→459	UnderlyingSecurityAltIDSource	SecurityAltIDSource	int	1=CUSIP 4=ISIN	Identifies class or source of the UnderlyingSecurityAltID (458) value
→2689	CollateralMarketPrice	PRICE9	Price		Market price of the collateral, either from external market sources or a result of trading activity on the platform. Clean price
→37001	DirtyPrice	PRICE9	Price		Dirty Price
→37519	UnderlyingInstrumentGUID	uInt64	int		Underlying Instrument GUID. Collateral security identifier in Reference Data API services
→1500	MDStreamID	PriceSource	int		Source of the Clean Price

Page:

MDP 3.0 - Market Data Incremental Refresh - Daily Statistics —

Tag	FIX Name	Type	SemanticType	Valid Value	Description
60	TransactTime	uInt64	UTCTimestamp		Start of event processing time in number of nanoseconds since Unix epoch
5799	MatchEventIndicator	MatchEventIndicator	MultipleCharValue	example: 00000000=not end of event example: 10000000=end of 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
Repeating Group 1
268	NoMDEntries	NumInGroup			Number of entries in Market Data message
→270	MDEntryPx	PRICENULL9	Price		Market Data entry price
→271	MDEntrySize	Int32NULL	Qty		Market Data entry size
→48	SecurityID	Int32	int		A unique instrument ID value across markets will not be reused until the next trade date following an instrument expiration or deletion.
→83	RptSeq	uInt32	int		Market Data entry sequence number per instrument update
→5796	TradingReferenceDate	LocalMktDate	LocalMktDate		Indicates trade session date corresponding to a statistic entry
→731	SettlPriceType	SettlPriceType	MultipleCharValue		Bitmap field of eight Boolean type indicators representing settlement price type: Bit 0: (least significant bit): 1=Final 0=Preliminary Bit 1: 1=Actual 0=Theoretical Bit 2: 1=Settlement at Trading Tick 0=Settlement at Clearing Tick Bit 3: 1=Intraday 0=Undefined Bit 4-6: Reserved for future use, set to 0 Bit 7: 0=not NULL 1=entire set is a NULL
→279	MDUpdateAction	MDUpdateAction	int	0=New	Market Data update action
→269	MDEntryType	MDEntryTypeDailyStatistics	char	6=Settlement Price B=Trade Volume C=Open Interest W=Fixing Price	Market Data entry type. 0=Bid 1=Offer E=Implied Bid F=Implied Offer 2=Trade Summary 4=Opening Price 6=Settlement Price 7=Trading Session High Price 8=Trading Session Low Price 9=VWAP N=Session High Bid O=Session Low Offer B=Trade Volume C=Open Interest W=Fixing Price J=Empty Book e=Electronic Volume g =Threshold Limits and Price Band Variation

Page:

MDP 3.0 - Market Data Incremental Refresh - LimitsBanding —

Tag	FIX Name	Type	Semantic Type	Valid Values for EBS	Description
60	TransactTime	uInt64	UTCTimestamp		Start of event processing time in number of nanoseconds since Unix epoch
5799	MatchEventIndicator	MatchEventIndicator	MultipleCharValue	example: 10000000 - last message in the event example: 00000000 - not last message in 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 5: Message resent during recovery Bit 6: Reserved for future use Bit 7: (most significant bit) Last message for a given event
Repeating Group 1
268	NoMDEntries	NumInGroup			Number of entries in Market Data message
→1149	HighLimitPrice	PRICENULL9	Price		Upper price threshold for the instrument
→1148	LowLimitPrice	PRICENULL9	Price		Lower price threshold for the instrument
→1143	MaxPriceVariation	PRICENULL9	Price		Differential static value for price banding
→48	SecurityID	Int32	int		A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.
→83	RptSeq	uInt32	int		MD Entry sequence number per instrument update. The MDP Conflated TCP market data group sends a RptSeq value of zero.
→279	MDUpdateAction	MDUpdateActionNew	int	0=New	Market Data update action
→269	MDEntryType	MDEntryTypeLimits	char	g=Threshold Limits and Price Band Variation	Market Data entry type.

Page:

MDP 3.0 - Market Data Incremental Refresh - MBOFD —

Tag	FIX Name	Type	Semantic Type	Valid Values for BrokerTec	Description
60	TransactTime	uInt64	UTCTimestamp		Start of event processing time in number of nanoseconds since Unix epoch
5799	MatchEventIndicator	MatchEventIndicator	MultipleCharValue	example: 00000100 – end of quotes, not end of event example: 10010000 – end of implied quotes, end of 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
Repeating Group 1
268	NoMDEntries	NumInGroup			Number of entries in Market Data message
→37	OrderID	uInt64NULL	int		Unique ID assigned by CME Globex to identify orders.
→37707	MDOrderPriority	uInt64NULL	int		Order priority for execution on the order book. A lower value is a higher priority. Value is unique for all orders within a market segment and assigned for all orders.
→270	MDEntryPx	PRICENULL9	Price		Order price
→37706	MDDisplayQty	Int32NULL	Qty		Visible quantity of an order to the market. Orders may have additional hidden display quantity.
→48	SecurityID	Int32	int		A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.
→279	MDUpdateAction	MDUpdateAction	int	0=New 1=Change 2=Delete	Order book update action to be applied to the order referenced by OrderID.
→269	MDEntryType	MDEntryTypeBook	char	0=Bid 1=Offer	Market Data entry type

Page:

MDP 3.0 - Market Data Incremental Refresh - MBP - LongQty —

Tag	FIX Name	Type	Semantic Type	Valid Value for EBS	Description
60	TransactTime	uInt64	UTCTimestamp		Start of event processing time in number of nanoseconds since Unix epoch
5799	MatchEventIndicator	MatchEventIndicator	MultipleCharValue	example: 00000100 – end of quotes, not end of event example: 10010000 – end of implied quotes, end of 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. Note: EBS Market does not support implied functionality. Bit 5: Message resent during recovery Bit 6: Reserved for future use Bit 7: (most significant bit) Last message for a given event
Repeating Group 1
268	NoMDEntries	NumInGroup			Number of entries in Market Data message
→270	MDEntryPx	PRICENULL9	Price		Market Data entry price
→271	MDEntrySize	uInt64NULL	Qty		Market Data entry quantity This field is in a notional format
→48	SecurityID	Int32	int		A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.
→83	RptSeq	uInt32	int		Market Data entry sequence number per instrument update. The MDP Conflated TCP market data group sends a RptSeq value of zero.
→346	NumberOfOrders	Int32NULL	int		In Book entry - aggregate number of orders at given price level
→1023	MDPriceLevel	uInt8	int		Aggregate book level
→279	MDUpdateAction	MDUpdateAction	int	0=New 1=Change 2=Delete 5=Overlay	Market Data update action
→269	MDEntryType	MDEntryTypeBook	char	0=Bid 1=Offer w=MarketBestOffer x=MarketBestBid	Market Data entry type
Repeating Group 2
37705	NoOrderIDEntries	NoOrderIDEntries		0	Not used for EBS markets. Repeating group of MBO book updates included in an event. Repeating group used for MBP and MBO combined updates.
→37	OrderID	uInt64	int		Unique ID assigned by CME Globex to identify orders.
→37707	MDOrderPriority	uInt64NULL	int		Order priority for execution on the order book
→37706	MDDisplayQty	Int32NULL	Qty		Visible quantity of an order to the market. Orders may have additional hidden display quantity.
→9633	ReferenceID	uInt8NULL	int		Reference to corresponding Price and Security ID, sequence of MD entry in the message
→37708	OrderUpdateAction	OrderUpdateAction	int	0=New 1=Change 2=Delete	Order book update action to be applied to the order referenced by OrderID

Page:

MDP 3.0 - Market Data Incremental Refresh - MBP and MBOFD —

Tag	FIX Name	Type	Semantic Type	Valid Value	Description
60	TransactTime	uInt64	UTCTimestamp		Start of event processing time in number of nanoseconds since Unix epoch
5799	MatchEventIndicator	MatchEventIndicator	MultipleCharValue	example: 00000100 – end of quotes, not end of event example: 10010000 – end of implied quotes, end of 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
Repeating Group 1
268	NoMDEntries	NumInGroup			Number of entries in Market Data message
→270	MDEntryPx	PRICENULL9	Price		Market Data entry price
→271	MDEntrySize	Int32NULL	Qty		Market Data entry size
→48	SecurityID	Int32	int		A unique instrument ID value across markets will not be reused until the next trade date following an instrument expiration or deletion.
→83	RptSeq	uInt32	int		Market Data entry sequence number per instrument update. The MDP Conflated TCP market data group sends a RptSeq value of zero.
→346	NumberOfOrders	Int32NULL	int		In Book entry - aggregate number of orders at given price level
→1023	MDPriceLevel	uInt8	int		Aggregate book level
→279	MDUpdateAction	MDUpdateAction	int	0=New 1=Change 2=Delete	Market Data update action
→269	MDEntryType	MDEntryTypeBook	char	0=Bid 1=Offer E=Implied Bid F=Implied Offer	Market Data entry type.
→37719	TradeableSize	Int32NULL	Qty		Bilateral product tradeable quantity specific to a firm
Repeating Group 2
37705	NoOrderIDEntries	NoOrderIDEntries			Repeating group of MBO book updates included in an event. Repeating group used for MBP and MBOFD combined updates.
→37	OrderID	uInt64	int		Unique ID assigned by CME Globex to identify orders.
→37707	MDOrderPriority	uInt64NULL	int		Order priority for execution on the order book
→37706	MDDisplayQty	Int32NULL	Qty		Visible quantity of an order to the market. Orders may have additional hidden display quantity.
→9633	ReferenceID	uInt8NULL	int		Reference to corresponding Price and Security ID, sequence of MD entry in the message
→37708	OrderUpdateAction	OrderUpdateAction	int	0=New 1=Change 2=Delete	Order book update action to be applied to the order referenced by OrderID

Page:

MDP 3.0 - Market Data Incremental Refresh - Session Statistics —

Tag	FIX Name	Type	Semantic Type	Valid Values	Description
60	TransactTime	uInt64	UTCTimestamp		Start of event processing time in number of nanoseconds since Unix epoch
5799	MatchEventIndicator	MatchEventIndicator	MultipleCharValue	example: 00001000 – end of statistics, not end of event example: 10001000 – end of statistics, end of event	Bitmap field of eight Boolean type indicators reflecting the end of updates for a given CME Globex event
Repeating Group 1
268	NoMDEntries	NumInGroup			Number of entries in Market Data message
→270	MDEntryPx	PRICE9	Price		Market Data entry price
→48	SecurityID	Int32	int		A unique instrument ID value across markets will not be reused until the next trade date following an instrument expiration or deletion.
→83	RptSeq	uInt32	int		MD Entry sequence number per instrument update. The MDP Conflated TCP market data group sends a RptSeq value of zero.
→286	OpenCloseSettlFlag	OpenCloseSettlFlag	int	0=DailyOpenPrice 5=IndicativeOpeningPrice 100=IntradayVWAP 101=RepoAverage8_30AM 102=RepoAverage10AM 103=PrevSessionAverage10AM	Flag describing entry type VWAP and Repo values are BrokerTec only.
→279	MDUpdateAction	MDUpdateAction	int	0=New 2=Delete (trading session prices only)	Market Data update action
→269	MDEntryType	MDEntryTypeStatistics	char	4=Opening Price 7=Trading Session High Price 8=Trading Session Low Price 9=VWAP N=Highest Bid O=Lowest Offer	Market Data entry type VWAP value are BrokerTec only.
→271	MDEntrySize	Int32NULL	Qty		Indicative Opening Quantity

Page:

MDP 3.0 - Market Data Incremental Refresh - Trade Summary —

Tag	FIX Name	Type	Semantic Type	Valid Values	Description
60	TransactTime	uInt64	UTCTimestamp		Start of event processing time in number of nanoseconds since Unix epoch
5799	MatchEventIndicator	MatchEventIndicator	MultipleCharValue	example: 00000001 – end of trades, not end of 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 For conflated TCP MDP channels, end of trades (Bit 0) will be one for each trade summary message. 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
Repeating Group 1
268	NoMDEntries	NumInGroup			Number of entries in Market Data message
→270	MDEntryPx	PRICE9	Price		Trade price
→271	MDEntrySize	Int32	Qty		Consolidated trade quantity
→48	SecurityID	Int32	int		A unique instrument ID value across markets will not be reused until the next trade date following an instrument expiration or deletion.
→83	RptSeq	uInt32	int		Sequence number per instrument update. The MDP Conflated TCP market data group sends a RptSeq value of zero.
→346	NumberOfOrders	Int32	int		The total number of real orders per instrument that participated in a match step within a match event
→5797	AggressorSide	AggressorSide	int	0=No aggressor 1=Buy 2=Sell	Indicates which side is aggressor of the trade. If there is a zero value present, then there is no aggressor. Note: Trades without aggressors occur at Market Open, after a Pre-Open or after a Pause, and also when the event includes customer order participation in a trade with a CME Globex-generated implied bid or offer.
→279	MDUpdateAction	MDUpdateAction	int	0=New (new trade) 1=Change (adjustment) 2=Delete (cancel)	Market Data update action
→269	MDEntryType	MDEntryTypeTrade	char	2=Trade Summary	Market Data entry type.
→37711	MDTradeEntryID	uInt32NULL	int		Market Data Trade entry ID
Repeating Group 2
37705	NoOrderIDEntries	NoOrderIDEntries			Number of OrderID entries
→37	OrderID	uInt64	int		Unique ID assigned by CME Globex to identify orders.
→32	LastQty	Int32	Qty		Quantity bought or sold on this last fill

Page:

MDP 3.0 - Market Data Incremental Refresh - Trade Summary - LongQty —

Tag	FIX Name	Type	Semantic Type	Valid Values for EBS	Description
60	TransactTime	uInt64	UTCTimestamp		Start of event processing time in number of nanoseconds since Unix epoch
5799	MatchEventIndicator	MatchEventIndicator	MultipleCharValue	example: 00000001 – end of trades, not end of 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 For conflated TCP MDP channels, end of trades (Bit 0) will be one for each trade summary message. 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 5: Message resent during recovery Bit 6: Reserved for future use Bit 7: (most significant bit) Last message for a given event
Repeating Group 1
268	NoMDEntries	NumInGroup			Number of entries in Market Data message
→270	MDEntryPx	PRICE9	Price		Trade price
→271	MDEntrySize	uInt64	Qty	0	Always set to zero This field is in a notional format
→48	SecurityID	Int32	int		A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.
→83	RptSeq	uInt32	int		Sequence number per instrument update. The MDP Conflated TCP market data group sends a RptSeq value of zero.
→346	NumberOfOrders	Int32	int	0	Always set to zero.
→37711	MDTradeEntryID	uInt32	int		Market Data Trade Entry ID.
→5797	AggressorSide	AggressorSide	int	0=No aggressor 1=Buy 2=Sell	Indicates which side is aggressor of the trade. If there is a zero value present, then there is no aggressor. Note: Trades without aggressors occur at Market Open, after a Pre-Open or after a Pause, and also when the event includes customer order participation in a trade with a CME Globex-generated implied bid or offer. Note: EBS Market does not support implied functionality.
→279	MDUpdateAction	MDUpdateAction	int	0=New (new trade) 1=Change (adjustment) 2=Delete (cancel)	Market Data update action
→269	MDEntryType	MDEntryTypeTrade	char	2=Trade Summary	Market Data entry type.
Repeating Group 2
37705	NoOrderIDEntries	NoOrderIDEntries		0	Number of OrderID entries
→37	OrderID	uInt64	int		Unique ID assigned by CME Globex to identify orders.
→32	LastQty	Int32	Qty		Quantity bought or sold on this last fill

Page:

MDP 3.0 - Market Data Incremental Refresh - Volume —

Tag	FIX Name	Type	Semantic Type	Valid Values	Description
60	TransactTime	uInt64	UTCTimestamp		Start of event processing time in number of nanoseconds since Unix epoch
5799	MatchEventIndicator	MatchEventIndicator	MultipleCharValue	example: 00000010 – end of volume, not the end of 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
Repeating Group 1
268	NoMDEntries	NumInGroup			Number of entries in Market Data message
→271	MDEntrySize	Int32	Qty		Cumulative traded volume
→48	SecurityID	Int32	int		A unique instrument ID value across markets will not be reused until the next trade date following an instrument expiration or deletion.
→83	RptSeq	uInt32	int		Market Data entry sequence number per instrument update. The The MDP Conflated TCP market data group sends a RptSeq value of zero.
→279	MDUpdateAction	MDUpdateAction	int	0=New	Market Data update action.
→269	MDEntryType	MDEntryTypeVol	char	e=Electronic Volume	Electronic Volume entry provides cumulative session trade volume updated with the event

Page:

MDP 3.0 - Market Data Logon from Client System to MDP for Futures and Options —
Tag
FIX Name
Valid Values
Format
Description
35
MsgType
A
Char (1)
Message Type
553
Username

String (100)
User ID or username.
554
Password

String (100)
Password or pass phrase.
Page:

MDP 3.0 - Market Data Logon from MDP to Client System for Futures and Options —
Tag
FIX Name
Valid Values
Fromat
Description
35
MsgType
A
Char (1)
Message Type.
108
HeartBtlnt

Int (3)
Heartbeat interval (seconds).
Page:

MDP 3.0 - Market Data Logout for Futures and Options —
Tag
FIX Name
Valid Values
Format
Description
35
MsgType
5
Char (1)
Message Type.
58
Text

String (180)
Free format text string. May include logout confirmation or reason for the request reject and logout.

Page:

MDP 3.0 - Market Data Replay Request for Futures and Options —

Tag	FIX Name	Valid Values	Format	Description
35	MsgType	V	Char (1)	Message Type.
1180	AppIID		String (5)	The channel ID from the XML Configuation file for which this request is made.
262	MDReqID		String (32)	Unique identifier for Market Data Request.
1182	ApplBeginSeqNo		SeqNum (9)	Message sequence number of the first message in range to be re-sent. If the request is for a single message, tag 1182-ApplBeginSeqNo and tag 1183-ApplEndSeqNo are the same.
1183	ApplEndSeqNo		SeqNum (9)	Message sequence number of last message in range to be re-sent. The maximum number of messages that can be requested in a given request is 2000.

Page:

MDP 3.0 - Market Data Request —

Tag	FIX Name	Type	Semantic Type	Valid Values	Description
262	MDReqID	uInt32	int		Unique identifier for Market Data Request. Must be unique per session so it can be referenced in Request Ack or Request Reject responses from the exchange
263	SubscriptionReqType	SubscriptionReqType	int	0=Snapshot 1=Snapshot and updates 2=Disable previous subscription	Subscription Request Type indicates to the type of response expected
Repeating Group 1
37022	NoSecurityGroups	NuminGroup			Number of SecurityGroups specified in subscription request. Should be equal 0, when subscription is requested for all groups on the segment or individual Security IDs are listed in the criteria for subscription
→1151	SecurityGroup	SecurityGroup	String		Security Group
Repeating Group 2
146	NoRelatedSym	NuminGroup			Number of instruments requested. When NoSecurityGroups > 0 specified in the request, the NoRelatedSym should be equal 0
→48	SecurityID	Int32	int		Security ID

Page:

MDP 3.0 - Market Data Security Definition - Fixed Income —

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.

Page:

MDP 3.0 - Market Data Security Definition - Futures —

Tag	FIX Name	Type	SemanticType	Valid Values	Description
5799	MatchEventIndicator	MatchEventIndicator	MultipleCharValue	examples: 10000000 – Security Definition message is the last message of the event 00000000 – Security Definition is not the last message of the even	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 MatchEventIndicator is not supported on the Instrument Recovery feeds
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 A=Add D=Delete M=Modify
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 15=New Price Indication 17=Ready to trade 18= Not available for trading 20=Unknown or Invalid 21=Pre Open 24=Pre-Cross 25=Cross 26=Post Close 103=No Change	Identifies the current state of the instrument. In Security Definition message this tag is available in the Instrument Replay feed only. 2=Trading Halt 4=Close 15=New Price Indication 17=Ready to trade (start of session) 18= Not available for trading 20=Unknown or Invalid 21=Pre Open 24=Pre-Cross 25=Cross 26=Post Close 103=No Change 201=PrivateWorkup 202=PublicWorkup
1180	ApplID	Int16	int		The 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	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	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	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	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		Unique instrument ID as qualified by the exchange per tag 22-SecurityIDSource. The 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 source of tag 48-SecurityID value. This value is always 8 for CME is required if tag 48-SecurityID is specified.
167	SecurityType	SecurityType	String		Security Type: FUT=Future or Future Spread OOF=Options on Futures or Options on Futures Spread MLEG=Spread with mixed type leg IRS=Interest Rate Swaps FXSPOT=FX Spot TBOND=US Treasury Bond TBILL=US Treasury Bill TNOTE=US Treasury Note TB=Non-US Treasury Bill TBA=To Be Announced SOV=UK Gilts EUSOV= EGB (Euro Government Bonds) EUSUP=Euro Supranational SUPRA= US Supranational REPO=REPO instruments TIPS=Treasury Inflation-Protected Securities TINT=U.S. Treasury STRIPS
461	CFICode	CFICode	String		ISO standard instrument categorization code. Currently not supported in futures and options markets. Consult CME Reference Data API Version 3 for CFI values.
200	MaturityMonthYear	MaturityMonthYear	MonthYear		This field provides the calendar month reflected in the instrument symbol (tag 55-Symbol in MDP 3.0; tag 107-SecurityDesc in iLink). Format YYYYMM (e.g., 201912) For futures spreads and options spreads, this field 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 4^th week contracts, 2019124).
15	Currency	Currency	Currency		Identifies currency used for price
120	SettlCurrency	Currency	Currency		Identifies currency used for settlement, if different from trading currency
1142	MatchAlgorithm	CHAR	char		Matching algorithm F=First In, First Out (FIFO) K=Configurable C=Pro-Rata A=Allocation T=FIFO with LMM O=Threshold Pro-Rata S=FIFO with TOP and LMM Q=Threshold Pro-Rata with LMM Y=Eurodollar options
562	MinTradeVol	uInt32	Qty		The minimum trading volume for a security
1140	MaxTradeVol	uInt32	Qty		The maximum trading volume for a security
969	MinPriceIncrement	PRICE9	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 digits to the right of tick mark; location of tick mark between whole and non-whole numbers. Example: where tag 9800=3, display fractional price as: 112'200
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: Eurodollar futures -Tag 1147=2500 -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.
731	SettlPriceType	SettlPriceType	MultipleCharValue		Bitmap field of eight Boolean type indicators representing settlement price type: Bit 0: (least significant bit): 1=Final 0=Preliminary Bit 1: 1=Actual 0=Theoretical or Undefined Note: Typically, there are two rounds of preliminary settlement prices disseminated. The early round of preliminary settlement prices will have Bit 1 set to 0 (Undefined). Bit 2: 1=Settlement at Trading Tick 0=Settlement at Clearing Tick Bit 3: 1=Intraday 0=Undefined Bit 4-6: Reserved for future use, set to 0 Bit 7: 0=not NULL 1=entire set is a NULL Settlements are not supported on BrokerTec markets.
5792	OpenInterestQty	Int32NULL	Qty		The total open interest for the market at the close of the prior trading session.
5791	ClearedVolume	Int32NULL	Qty		The total cleared volume of instrument traded during the prior trading session.
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.
5818	DecayQuantity	Int32NULL	Qty		Indicates the quantity that a contract will decay daily by once the decay start date is reached
5819	DecayStartDate	LocalMktDate	LocalMktDate		Indicates the date at which a decaying contract will begin to decay
5849	OriginalContractSize	Int32NULL	Qty		Fixed contract value assigned to each product
231	ContractMultiplier	Int32NULL	int		Number of deliverable units per instrument, e.g., peak days in expiration month or number of calendar days in expiration month. The market data Security Definition (tag 35-MsgType=d) message for the variable quantity spread will be populated with the value '0' for tag 231-ContractMultiplier. The market data Security Definition (tag 35-MsgType=d) message is populated with values for the outright legs for tag 231-ContractMultiplier and customers must extract this value.
1435	ContractMultiplierUnit	Int8NULL	int		Indicates the type of multiplier being applied to the product. Optionally used in combination with tag 231-ContractMultiplier. 1=multiplied by hour 2=multiplied by day
1439	FlowScheduleType	Int8NULL	int		The schedule according to which the electricity is delivered in a physical contract, or priced in a financial contract. Specifies whether the contract is defined according to the Easter Peak, Eastern Off-Peak, Western Peak or Western Off-Peak. 0=NERC Eastern Off-Peak 1=NERC Western Off-Peak 2=Calendar-All Days in month 3=NERC Eastern Peak 4=NERC Western Peak
1146	MinPriceIncrementAmount	PRICENULL9	Price		Currently under development.
9779	UserDefinedInstrument	UserDefinedInstrument	char		Identifies user-defined instruments. Y=User defined instrument N=Not a user defined instrument
5796	TradingReferenceDate	LocalMktDate	LocalMktDate		Trading Session Date corresponding to the settlement price in tag 1150-TradingReferencePrice. Sent in number of days since Unix epoch. May contain null value when Trading Reference Price is not available for the instrument.
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				Number of repeating EventType entries
→865	EventType	EventType	int	5=Activation 7=Last eligible trade date	Code to represent the type of event 5=Activation 7=Last eligible trade date
→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 FeedType entries
→1022	MDFeedType	MDFeedType	String		Describes a class of service for a given data feed. GBX=CME Globex Book Depth GBI=CME Globex Implied Book Depth
→264	MarketDepth	Int8	int		Book depth
Repeating Group 3
870	NoInstAttrib				Number of repeating InstrAttribType entries
→871	InstAttribType	InstAttribType	int	24=Eligibility	Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain.
→872	InstAttribValue	InstAttribValue	MultipleCharValue		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: SEFRegulated (0=OFF-SEF) 25: MTFRegulated (1=ON-MTF, 0=OFF-MTF) 26: eFixInstrument (1=eFix Instrument) 28-31 – Reserved for future use
Repeating Group 4
1234	NoLotTypeRules				Number of entries
→1093	LotType	Int8	int	2=minimum order entry quantity for an instrument 3=the minimum qty required for a block trade 4=Round lot (Variable Quantity Products)	This tag is required to interpret the value in tag 1231-MinLotSize.
→1231	MinLotSize	DecimalQty	Qty		Minimum quantity accepted for order entry. If tag 1093-LotType=2, this value is minimum quantity accepted for order entry. If tag 1093-LotType=3, this value is minimum quantity accepted for order entry for a block trade. If tag 1093-LotType=4, this value is the minimum quantity for order entry expressed in the applicable units, specified in tag 996-UnitOfMeasure, e.g. megawatts.

Page:

MDP 3.0 - Market Data Security Definition - FX —

Tag	FIX Name	Type	Semantic Type	Valid Values for EBS	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 even	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 Note: EBS Market does not support implied functionality. 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
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 state of the instrument. The data is available in the Instrument Replay feed only
1180	ApplID	Int16	int		The 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	uInt8NULL	int		Product complex
207	SecurityExchange	SecurityExchange	Exchange	EBSC = EBS and eFix Markets XEBS = EBS Market for OFF SEF/ON-MTF NDFs	Exchange or market used to identify a security
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. Previously used as Group Code
48	SecurityID	Int32	int		Unique instrument ID
22	SecurityIDSource	SecurityIDSource	char	8=Exchange symbol	Identifies class or source of the security ID (Tag 48) value
167	SecurityType	SecurityType	String		Security Type
461	CFICode	CFICode	String		ISO standard instrument categorization code
15	Currency	Currency	Currency		Identifies currency used for price e.g. for EUR/USD spot this field will contain EUR
120	SettlCurrency	Currency	Currency		Currency used for settlement, which may be different from Local currency specified in Tag 1524 PriceQuoteCurrency. Example - Local currency is different from SettlCurrency for NDF (always settle in USD).
1524	PriceQuoteCurrency	Currency	Currency		Local (counter) currency. For EUR/USD spot this field will contain USD.
1142	MatchAlgorithm	CHAR	char	F=First In, First Out (FIFO) V=Institutional Prioritization P=Size Priority	Matching algorithm
562	MinTradeVol	uInt32	Qty		The minimum trading volume for a security
1140	MaxTradeVol	uInt32	Qty		The maximum trading volume for a security
969	MinPriceIncrement	PRICENULL9	Price		Minimum constant tick for the instrument, sent only if instrument is non-VTT (Variable Tick table) eligible
9787	DisplayFactor	Decimal9	float		Contains the multiplier to convert the CME Globex display price to the conventional price
2349	PricePrecision	uInt8	int		Specifies price decimal precision for EBS instrument
996	UnitOfMeasure	UnitOfMeasure	String		Unit of measure for the products' original contract size
1147	UnitOfMeasureQty	Decimal9NULL	Qty		This field contains the contract size for each instrument. Used in combination with tag 996-UnitofMeasure
1149	HighLimitPrice	PRICENULL9	Price		Allowable high limit price for the trading day
1148	LowLimitPrice	PRICENULL9	Price		Allowable low limit price for the trading day
1143	MaxPriceVariation	PRICENULL9	Price		Differential value for price banding
9779	UserDefinedInstrument	UserDefinedInstrument	char	Y=User defined instrument N=Not a user defined instrument	User-defined instruments flag
2714	FinancialInstrumentFullName	LongName	String		Long name of the instrument
37725	FXCurrencySymbol	String7	String		Base/Local. Denotes the currency pair in CCY1/CCY2 convention
63	SettlType	String3	String		For SPOTs will contain 0. For Fixed date NDFs will contain the value 'B'. For the standard NDFs tenors expressed using Dx, Mx, Wx, and Yx values, where 'x' does not denote business days, but calendar days
37730	InterveningDays	uInt16	int		For SPOT, number of business days between trade date and value (settlement) date. For NDF, number of business days between NDF valuation (fixing) and settlement
2796	FXBenchmarkRateFix	String20	String		Fixing Rate Description
1446	RateSource	String12	String		Fixing Rate Source
37726	FixRateLocalTime	String8	String		Fixing Rate Local Time, denoted in HH:MM:SS format
37727	FixRateLocalTimeZone	String20	String		Fixing Rate Local Time Zone corresponding to Fixing Local Time.
37731	MinQuoteLife	uInt32	int		Minimum Quote Life in number of microseconds
37728	MaxPriceDiscretionOffset	PRICE9	Price		Max allowed discretionary offset from Limit order price. When the value in this field = 0, discretionary price cannot be submitted for the instrument
37513	InstrumentGUID	uInt64NULL	int		External unique instrument ID
200	MaturityMonthYear	MaturityMonthYear	MonthYear		Fixed Date NDF Maturity
37734	SettlementLocale	String8	String		Settlement Locale. Optionally used to differentiate settlement location
37739	AltMinPriceIncrement	PRICENULL9	Price		New sub-tick, which is only available for order entry when certain conditions are met, tick value that corresponds to the Alt Min Quote Life" offset="309" sinceVersion="13
37738	AltMinQuoteLife	uInt32NULL	int		MQL duration in number of microseconds applied to orders at AltMinPriceIncrement
37742	AltPriceIncrementConstraint	PRICENULL9	Price		Minimum price offset better than the best Standard Tick order for an order to be allowed into the market
37743	MaxBidAskConstraint	PRICENULL9	Price		Maximum bid/ask spread for which sub-tick orders will be accepted (Sub tick orders will be rejected if bid/ask spread is greater than this value)
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	NuminGroup			Number of repeating entries.
→1022	MDFeedType	MDFeedType	String		Describes a class of service for a given data feed. GBX=Real Book.
→264	MarketDepth	Int8	int		Identifies the depth of book
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) Note: EBS Market does not support implied functionality. 21: Variable Cabinet Eligible 22: Inverted Book 23: All or None Instrument 24: SEFRegulated (1=ON-SEF, 0=OFF-SEF) 25: MTFRegulated (1=ON-MTF, 0=OFF-MTF) 26: eFixInstrument (1=eFix Instrument) 28-31 – 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 6=minimum order size quantity that improves order priority for execution	This tag is required to interpret the value in tag 1231-MinLotSize
→1231	MinLotSize	uInt64	Qty		If tag 1093-LotType=2, this value is minimum quantity accepted for order entry. For FX contracts, if tag 1093-LotType=2, this value is a Regular Amount used as default order quantity on the Workstation screen. 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. If tag 1093-LotType=6, the 1231-MinLotSize is the minimum order size quantity that improves order priority for execution
Repeating Group 5
386	NoTradingSessions	NuminGroup			Number of scheduled Trading Dates
→75	TradeDate	LocalMktDate			Trade Date
→64	SettlDate	LocalMktDate			Settle (Value) Date corresponding to Trade Date
→541	MaturityDate	LocalMktDate			For Spot instruments will not contain the value. For NDFs, the valuation (fixing) date of the NDF. For Fixed Date NDFs Value Date and Maturity Date remain constant for all Trade Dates
→455	SecurityAltID	String12			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
→456	SecurityAltIDSource	SecurityAltIDSourceISIN			Identifies class or source of the SecurityAltID (455) value

Page:

MDP 3.0 - Market Data Security Definition - Options —

Tag	FIX Name	Type	SemanticType	Valid Values	Description
5799	MatchEventIndicator	MatchEventIndicator	MultipleCharValue	Examples: 10000000 – Security Definition message is the last message of the event 00000000 – Security Definition is not the last message of the even	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 MatchEventIndicator is not supported on the Instrument Recovery feeds
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 A=Add D=Delete M=Modify
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 15=New Price Indication 17=Ready to trade 18= Not available for trading 20=Unknown or Invalid 21=Pre Open 24=Pre-Cross 25=Cross 26=Post Close 103=No Change	Identifies the current state of the instrument. The data is available in the Instrument Replay feed only 2=Trading Halt 4=Close 15=New Price Indication 17=Ready to trade (start of session) 18= Not available for trading 20=Unknown or Invalid 21=Pre Open 24=Pre-Cross 25=Cross 26=Post Close 103=No Change 201=PrivateWorkup 202=PublicWorkup
1180	ApplID	Int16	int		The 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	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	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	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	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. Previously used as Instrument Group Code
48	SecurityID	Int32	int		Unique instrument ID as qualified by the exchange per tag 22-SecurityIDSource. The 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 source of tag 48-SecurityID value. This value is always 8 for CME is required if tag 48-SecurityID is specified.
167	SecurityType	SecurityType	String		Security Type: FUT=Future or Future Spread OOF=Options on Futures or Options on Futures Spread MLEG=Spread with mixed type legs IRS=Interest Rate Swaps FXSPOT=FX Spot FUT=Future or Future Spread OOF=Options on Futures or Options on Futures Spread MLEG=Spread with mixed type leg IRS=Interest Rate Swaps FXSPOT=FX Spot TBOND=US Treasury Bond TBILL=US Treasury Bill TNOTE=US Treasury Note TB=Non-US Treasury Bill TBA=To Be Announced SOV=UK Gilts EUSOV= EGB (Euro Government Bonds) EUSUP=Euro Supranational SUPRA= US Supranational REPO=REPO instruments TIPS=Treasury Inflation-Protected Securities TINT=U.S. Treasury STRIPS
461	CFICode	CFICode	String		ISO standard instrument categorization code. Currently not supported in futures and options markets. Consult CME Reference Data API Version 3 for CFI values.
201	PutOrCall	PutOrCall	int		Indicates whether an option instrument is a put or call 0=Put 1=Call
200	MaturityMonthYear	MaturityMonthYear	MonthYear		This field provides the calendar month reflected in the instrument symbol (tag 55-Symbol in MDP 3.0; tag 107-SecurityDesc in iLink). Format YYYYMM (e.g., 201912) For futures spreads and options spreads, this field 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 4^th week contracts, 2019124).
15	Currency	Currency	Currency		Identifies currency used for price
202	StrikePrice	PRICENULL9	Price		Strike Price for an option instrument
947	StrikeCurrency	Currency	Currency		Currency in which the StrikePrice is denominated
120	SettlCurrency	Currency	Currency		Identifies currency used for settlement, if different from trade price currency
9850	MinCabPrice	PRICENULL9	Price		Defines cabinet price for outright options products
1142	MatchAlgorithm	CHAR	char		Matching algorithm: F=First In, First Out (FIFO) K=Configurable C=Pro-Rata A=Allocation T=FIFO with LMM O=Threshold Pro-Rata S=FIFO with TOP and LMM Q=Threshold Pro-Rata with LMM Y=SOFR options
562	MinTradeVol	uInt32	Qty		The minimum trading volume for a security.
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).
1146	MinPriceIncrementAmount	PRICENULL9	Price		Currently under development.
9787	DisplayFactor	Decimal9	float		Contains the multiplier to convert the CME Globex display price to the conventional price
6350	TickRule	Int8NULL	int		VTT code referencing variable tick table
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 fractional display 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. Used in combination with tag 996-UnitofMeasure
1150	TradingReferencePrice	PRICENULL9	Price		Reference price - the most recently available Settlement whether it be Theoretical, Preliminary or a Final Settle of the session
731	SettlPriceType	SettlPriceType	MultipleCharValue		Bitmap field of eight Boolean type indicators representing settlement price type: Bit 0: (least significant bit): 1=Final 0=Preliminary Bit 1: 1=Actual 0=Theoretical or Undefined Note: Typically, there are two rounds of preliminary settlement prices disseminated. The early round of preliminary settlement prices will have Bit 1 set to 0 (Undefined). Bit 2: 1=Settlement at Trading Tick 0=Settlement at Clearing Tick Bit 3: 1=Intraday 0=Undefined Bit 4-6: Reserved for future use, set to 0 Bit 7: 0=not NULL 1=entire set is a NULL Settlements are not supported on BrokerTec markets.
5791	ClearedVolume	Int32NULL	Qty		The total cleared volume of instrument traded during the prior trading session
5792	OpenInterestQty	Int32NULL	Qty		The total open interest for the market at the close of the prior trading session.
1148	LowLimitPrice	PRICENULL9	Price		Allowable low limit price for the trading day
1149	HighLimitPrice	PRICENULL9	Price		Allowable high limit price for the trading day
9779	UserDefinedInstrument	UserDefinedInstrument	char	Y=User defined instrument N=Not a user defined instrument	Identifies user-defined instruments. Y=User defined instrument N=Not a user defined instrument
5796	TradingReferenceDate	LocalMktDate	LocalMktDate		Indicates session date corresponding to the settlement price in tag 1150-TradingReferencePrice
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 EventType entries
→865	EventType	EventType	int	5=Activation 7=Last eligible trade date	Code to represent the type of event 5=Activation 7=Last eligible trade date
→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	NumInGroup			Number of FeedType entries
→1022	MDFeedType	MDFeedType	String		Describes a class of service for a given data feed. GBX- Real Book, GBI-Implied Book GBX=CME Globex Book Depth GBI=CME Globex Implied Book Depth
→264	MarketDepth	Int8	int		Book depth
Repeating Group 3
870	NoInstAttrib	NumInGroup			Number of InstrAttribType 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: SEFRegulated (0=OFF-SEF) 25: MTFRegulated (1=ON-MTF, 0=OFF-MTF) 26: eFixInstrument (1=eFix Instrument) 28-31 – Reserved for future use
Repeating Group 4
1234	NoLotTypeRules	NumInGroup			Number of entries
→1093	LotType	Int8	int	2=minimum order entry quantity for an instrument 3=the minimum qty required for a block trade 4=Round lot (Variable Quantity Products)	This tag is required to interpret the value in tag 1231-MinLotSize
→1231	MinLotSize	DecimalQty	Qty		Minimum quantity accepted for order entry. If tag 1093-LotType=2, this value is minimum quantity accepted for order entry. If tag 1093-LotType=3, this value is minimum quantity accepted for order entry for a block trade. If tag 1093-LotType=4, this value is the minimum quantity for order entry expressed in the applicable units, specified in tag 996-UnitOfMeasure, e.g. megawatts.
Repeating Group 5
771	NoUnderlyings	NumInGroup			Number of underlying instruments
→309	UnderlyingSecurityID	Int32	int		Underlying instrument ID. This value will be the same as that contained in underlying instrument’s Security Definition tag 48-SecurityID. It is recommended this tag be used to identify the underlying tradable futures instrument of the option. This method will not work for options on futures spreads (Calendar Spread Options), since the underlying future is synthetic and non-tradable. To identify the underlying tradable future, customers should contact GCC.
→305	UnderlyingSecurityIDSource	SecurityIDSource	char		This value is always '8' for CME
→311	UnderlyingSymbol	UnderlyingSymbol	String		Underlying instrument symbol (Contract Name). This value will be the same as that contained in underlying instrument’s Security Definition Tag 55-Symbol and may be used to identify the underlying future instrument of the option. CME Group recommends to identify the underlying futures instrument of the option, it is recommended customers use tag 309-UnderlyingSecurityID, which maps to the tag 48-SecurityID of the underlying futures instrument. This tag is available for option Instruments. It is not available for UDS or Futures Instrument
Repeating Group 6
1647	NoRelatedInstruments	NumInGroup			Number of related instruments group Under development. At this time, information is not sent for this template.
→1650	RelatedSecurityID	Int32	Int		Related Security ID Under development. At this time, information is not sent for this template.
→1650	RelatedSecurityIDSource	SecurityIDSource	char		Related Security ID source Under development. At this time, information is not sent for this template.
→1649	RelatedSymbol	Symbol	String		Related instrument Symbol Under development. At this time, information is not sent for this template.

Page:

MDP 3.0 - Market Data Security Definition - Repo —

Tag

FIX Name

Type

Semantic Type

Valid Values

Description

5799

MatchEventIndicator

MatchEventIndicator

MultipleCharValue

Bitmap field of eight Boolean type indicators reflecting the end of updates for a given Globex event

911

TotNumReports

uInt32NULL

int

Total number of instruments in the Replay loop. Used on Replay Feed only.

980

SecurityUpdateAction

SecurityUpdateAction

char

Last Security update action on Incremental feed, 'D' or 'M' is used when a mid-week deletion or modification (i.e. extension) occurs.

779

LastUpdateTime

uInt64

UTCTimestamp

Timestamp of when the instrument was last added, modified or deleted. Sent in number of nanoseconds since Unix epoch

1682

MDSecurityTradingStatus

SecurityTradingStatus

int

2=Trading Halt

4=Close

17=Ready to trade (start of session)

18=Not available for trading

Identifies the current state of the instrument

1180

ApplID

Int16

int

The channel ID as defined in the XML Configuration file

1300

MarketSegmentID

uInt8

int

Identifies the market segment for all CME Globex instruments

462

UnderlyingProduct

uInt8

int

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

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

Identifies class or source of the SecurityID (Tag 48) value

167

SecurityType

SecurityType

String

REPO=REPO instruments

Security Type

461

CFICode

CFICode

String

ISO standard instrument categorization code.

15

Currency

Currency

Currency

Identifies the currency for the instrument traded

120

SettlCurrency

Currency

Currency

Identifies currency used for settlement

1142

Matchrithm

CHAR

char

F=First In, First Out (FIFO)

Matching Algorithm

562

MinTradeVol

uInt32

Qty

The minimum trading volume for a security

1140

MaxTradeVol

uInt32

Qty

The maximum trading volume for a security

969

MinPriceIncrement

PRICE9

Price

Minimum constant tick for the instrument

9787

DisplayFactor

Decimal9

float

Contains the multiplier to convert the CME Globex display price to the conventional 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

1150

TradingReferencePrice

PRICENULL9

Price

Trading Reference price

5796

TradingReferenceDate

LocalMktDate

LocalMktDate

Indicates session date corresponding to the price in tag 1150-TradingReferencePrice

1149

HighLimitPrice

PRICENULL9

Price

Allowable high limit price for the trading day

1148

LowLimitPrice

PRICENULL9

Price

Allowable low limit price for the trading day

1143

MaxPriceVariation

PRICENULL9

Price

Differential value for price banding

2714

FinancialInstrumentFullName

LongName

String

Long name of the instrument

9736

PartyRoleClearingOrg

String5

String

Clearing organization

916

StartDate

LocalMktDate

LocalMktDate

Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral

917

EndDate

LocalMktDate

LocalMktDate

End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral

788

TerminationType

String8

String

For Repos the timing or method for terminating the agreement. For US, there are 2 Terms - Cash and Reg. For those 2 term codes there can be multiple period code combinations - 1 Week, 2 Week or 2 Month, 3 Month, etc. For EU there are Overnight, Tomorrow, Spot and Corporate types. For those 4 term codes there can be multiple period code combinations - 1 Week, 2 Week or 2 Month, 3 Month, etc.

Type	Examples
US - Overnight Cash	C
	C-1W
	C-1M
	C-1Y
US - REG	REG
	REG-1W
	REG-1M
	REG-1Y
US - Cash with repo end date as 12/31	C-12/31
EGB – Overnight	O
	O-W
	O-M
	O-Y
EGB – Tomorrow	T-N
	T-W
	T-M
	T-Y
EGB - Spot	S-N
	S-W
	S-M
	S-Y
EGB - Spot with 12/31 end Date	S-12/31
EGB – Corporate	C-N
	C-W
	C-M
	C-Y

762

SecuritySubType

RepoSubType

int

0=Special
1=GC
2=GCForDBV

Repo Sub Security Type

Special=Repo on a single underlying instrument for which we will generate start cash/end cash based on the underlying price and repo rate

GC=Repo on a single or basket of eligible underlyings that will require allocation at BrokerTec

GCForDBV=Repo on a single or basket of eligible underlyings that will require allocation outside of BrokerTec, such as at the clearer/triparty agent, etc

37714

MoneyOrPar

MoneyOrPar

int

Money or Par indicates if the GC is filled by par amount or by money amount

37715

MaxNoOfSubstitutions

uInt8

int

Max number of substitutions allowed. The value of 0 indicates that substitutions are not allowed

1196

PriceQuoteMethod

String5

String

YIELD
PRICE
RATE

Price quotation method

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.

37716

TermCode

String20

String

Full Repo Term Code

6651

BrokenDateTermType

uInt8NULL

int

Null = Not applicable

0 = Custom

1 = Quarterly

2 = Monthly

Optionally used in tailor-made repo contracts and defines the type of broken dates as requested by trader. Null = Not applicable, 0 = Custom, 1 = Quarterly, 2 = Monthly

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

NuminGroup

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.

Repeating Group 5

711

NoUnderlyings

NuminGroup

Number of repeating entries.

→311

UnderlyingSymbol

UnderlyingSymbol

String

Underlying Instrument Symbol (Short Name). When the underlying is a Globex listed Fixed Income instrument this value will be the same as that contained in Security Definition Tag 55-Symbol of the underlying instrument

→309

UnderlyingSecurityID

Int32NULL

int

Underlying Security ID as qualified by tag 305-UnderlyingSecurityIDSource. Provided only if the underlying is a Globex listed instrument, this value will be the same as that contained in Security Definition Tag 48-SecurityID.

→305

UnderlyingSecurityIDSource

SecurityIDSource

char

Identifies the class or source of UnderlyingSecurityID Tag 309 value. Always '8' for CME assigned IDs

→458

UnderlyingSecurityAltID

String12

String

Underlying Alternate Security identifier value as qualified by Tag 305-UnderlyingSecuityAltIDSource (e.g. CUSIP, ISIN, etc). For Repo special will contain underlying CUSIP or ISIN. For GC Repo may contain a synthetic CUSIP or ISIN representing a basket

→459

UnderlyingSecurityAltIDSource

SecurityAltIDSource

int

1=CUSIP
4=ISIN

Identifies class or source of the UnderlyingSecurityAltID (458) value

→2720

UnderlyingFinancialInstrumentFullName

LongName

String

Long Name of the Underlying Instrument. For the instruments listed on Globex this value will be the same as of that contained in Security Definition Tag 2714-FinancialInstrumentFullName

→310

UnderlyingSecurityType

SecurityType

String

TBOND = US Treasury Bond

TBILL = US Treasury Bill

TNOTE = US Treasury Note

TB = Non-US Treasury Bill

SOV = UK Gilts

EUSOV= EGB (Euro Government Bonds)

EUSUP=Euro Supranational

SUPRA= US Supranational

FAC = Non-mortgaged backed Agency Securities

FADN = Agency Discount Notes

TIPS = Treasury Inflation-Protected Securities

TINT = U.S. Treasury STRIPS

CLBSKT = GC basket with mixed instrument types

Underlying Security Type

→592

UnderlyingCountryOfIssue

CountryCode

String

Underlying Security's CountryOfIssue. See CountryOfIssue (470) field for description

→306

UnderlyingIssuer

String25

String

Underlying Security's Issuer. See Tag 106-Issuer field for description

→37717

UnderlyingMaxLifeTime

uInt8NULL

int

Max life time of the underlying instruments qualifying for the GC basket in number of year. Will contain null value for Repo specials

→37718

UnderlyingMinDaysToMaturity

uInt16NULL

int

Minimum days to maturity remaining of the underlying instruments to qualify for GC basket. Will contain null value for Repo specials

→37519

UnderlyingInstrumentGUID

uInt64NULL

int

Underlying GUID. For Repo specials populated with individual instrument GUID of the underlying security. For GC Repo, will be populated with Basket GUID.

→542

UnderlyingMaturityDate

LocalMktDate

LocalMktDate

Underlying Security's Maturity Date. Will be populated with Maturity Date of the underlying security instrument for Repo Specials only

Repeating Group 6

1647

NoRelatedInstruments

NuminGroup

Number of repeating entries.

→1650

RelatedSecurityID

Int32

int

Related Security ID. Used to correlate Repos and AON Repos.

For regular Repo contract will contain SecurityID of AoN Repo for the same underlying product, term, start and end dates. And vice versa - for AoN Repo will contain the related regular Repo SecurityID

→1651

RelatedSecurityIDSource

SecurityIDSource

char

Related Security ID Source

→1649

RelatedSymbol

Symbol

String

Related Instrument Symbol

→37724

RelatedInstrumentGUID

uInt64NULL

int

Related Instrument GUID

Repeating Group 7

39026

NoBrokenDates

NuminGroup

This group indicates the number of broken dates and references individual broken contracts in user defined tailor made repo. Applicable only to tailor made repos requested by traders with broken dates

→39031

BrokenDateGUID

uInt64

int

External unique broken date Instrument ID

→39027

BrokenDateSecurityID

Int32

char

Broken date Instrument Globex Security ID

→6748

BrokenDateStart

LocalMktDate

LocalMktDate

Start date of a broken date period

→6741

BrokenDateEnd

LocalMktDate

LocalMktDate

End date of a broken date period

Page:

MDP 3.0 - Market Data Security Definition - Spreads —

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 even	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
1682	MDSecurityTradingStatus	SecurityTradingStatus	int	2=Trading Halt 4=Close 17=Ready to trade (start of session) 18=Not available for trading 21=Pre Open 103= No Change	Identifies the current state of the instrument. The data is available in the Instrument Replay feed only
1180	ApplID	Int16	int		The 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	uInt8NULL	int		Product complex
207	SecurityExchange	SecurityExchange	Exchange		Exchange used to identify a security
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. Previously used as Group Code
48	SecurityID	Int32	int		Unique instrument ID
22	SecurityIDSource	SecurityIDSource	char	8=Exchange symbol	Identifies class or source of the security ID (Tag 48) value
167	SecurityType	SecurityType	String		Security Type
461	CFICode	CFICode	String		ISO standard instrument categorization code. Currently not supported in futures and options markets. Consult CME Reference Data API Version 3 for CFI values.
200	MaturityMonthYear	MaturityMonthYear	MonthYear		This field provides the actual calendar date for contract maturity
15	Currency	Currency	Currency		Identifies currency used for price
762	SecuritySubType	SecuritySubType	String		Strategy type
9779	UserDefinedInstrument	UserDefinedInstrument	char	Y=User defined instrument N=Not a user defined instrument	User-defined instruments flag
1142	MatchAlgorithm	CHAR	char	F=First In, First Out (FIFO)	Matching algorithm
562	MinTradeVol	uInt32	Qty		The minimum trading volume for a security
1140	MaxTradeVol	uInt32	Qty		The maximum trading volume for a security
969	MinPriceIncrement	PRICENULL9	Price		Minimum constant tick for the instrument, sent only if instrument is non-VTT (Variable Tick table) eligible
9787	DisplayFactor	Decimal9	float		Contains the multiplier to convert the CME Globex display price to the conventional price
9800	PriceDisplayFormat	uInt8NULL	int		Number of decimals in fractional display price
5770	PriceRatio	PRICENULL9	Price		Used for price calculation in spread and leg pricing
6350	TickRule	Int8NULL	int		Tick Rule
996	UnitOfMeasure	UnitOfMeasure	String		Unit of measure for the products' original contract size
1150	TradingReferencePrice	PRICENULL9	Price		Reference price - the most recently available Settlement whether it be Theoretical, Preliminary or a Final Settle of the session
731	SettlPriceType	SettlPriceType	MultipleCharValue		Bitmap field of eight Boolean type indicators representing settlement price type
5792	OpenInterestQty	Int32NULL	Qty		The total open interest for the market at the close of the prior trading session. The field will be null for Brokertec instruments, Settlements are not supported on BrokerTec markets.
5791	ClearedVolume	Int32NULL	Qty		The total cleared volume of instrument traded during the prior trading session
1149	HighLimitPrice	PRICENULL9	Price		Allowable high limit price for the trading day
1148	LowLimitPrice	PRICENULL9	Price		Allowable low limit price for the trading day
1143	MaxPriceVariation	PRICENULL9	Price		Differential value for price banding
37702	MainFraction	uInt8NULL	int		Price Denominator of Main Fraction
37703	SubFraction	uInt8NULL	int		Price Denominator of Sub Fraction
5796	TradingReferenceDate	LocalMktDate	LocalMktDate		Indicates session date corresponding to the settlement price in tag 1150-TradingReferencePrice
1196	PriceQuoteMethod	String5	String		Price quotation method
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.
2714	FinancialInstrumentFullName	LongName	String		Long name of the instrument
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	NuminGroup			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		Identifies the depth of book
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.
Repeating Group 5
555	NoLegs	NuminGroup			Number of repeating entries.
→602	LegSecurityID	Int32	int		Leg Security ID
→603	LegSecurityIDSource	SecurityIDSource	char		Identifies source of tag 602-LegSecurityID value
→624	LegSide	LegSide	int		Leg side
→623	LegRatioQty	Int8	Qty		Leg ratio of quantity for this individual leg relative to the entire multi-leg instrument
→566	LegPrice	PRICENULL9	Price		Price for the future leg of a UDS Covered instrument
→1017	LegOptionDelta	DecimalQty	Qty		Delta used to calculate the quantity of futures used to cover the option or option strategy

Page:

MDP 3.0 - Market Data Security Status —

Tag	FIX Name	Type	Semantic Type	Valid Values	Description
60	TransactTime	uInt64	UTCTimestamp		Start of event processing time in number of nanoseconds since Unix epoch.
1151	SecurityGroup	SecurityGroup	String		If this tag is present, 35=f message is sent for the Product Code.
6937	Asset	Asset	String		Product Code within Security Group specified.
48	SecurityID	Int32NULL	int		A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. If this tag is present, 35=f message is sent for an instrument
75	TradeDate	LocalMktDate	LocalMktDate		Trade Session Date
5799	MatchEventIndicator	MatchEventIndicator	MultipleCharValue	example: 10000000 - last message in the event example: 00000000 - not last message in 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
326	SecurityTradingStatus	SecurityTradingStatus	int	2=Trading Halt 4=Close 15=New Price Indication 17=Ready To Trade (start of session) 18=Not Available For Trading 20=Unknown or Invalid 21=Pre Open 24=Pre Cross 25=Cross 26=Post Close 103=No Change	Identifies the trading status applicable to the instrument or Security Group
327	HaltReason	HaltReason	int	0=Group schedule (default) 1=Surveillance intervention 2=Market event 3=Instrument activation 4=Instrument expiration 5=Unknown 6=Recovery in Process	Identifies the reason for the status change
1174	SecurityTradingEvent	SecurityTradingEvent	int	0=No Event (default) 1=No Cancel 4=Change of Trading Session (reset statistics) 5=Implied matching ON 6=Implied matching OFF	Identifies an additional event or a rule related to the status

Page:

MDP 3.0 - Market Data Security Status - Workup —

Tag	FIX Name	Type	Semantic Type	Valid Values	Description
60	TransactTime	uInt64	UTCTimestamp		Time of execution/order creation; expressed in UTC.
270	MDEntryPx	PRICENULL9	Price		Workup price
48	SecurityID	Int32	int		A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.
75	TradeDate	LocalMktDate	LocalMktDate		Trade Date
820	TradeLinkID	uInt32	int		Contains the workup ID; unique per instrument per day. TradeLinkID is also available on the iLink execution report for workups.
5799	MatchEventIndicator	MatchEventIndicator	MultipleCharValue		Bitmap field of eight Boolean type indicators reflecting the end of updates for a given Globex event
326	SecurityTradingStatus	WorkupTradingStatus	int	17=Ready to trade (start of session) 18=Not available for trading 201=PrivateWorkup 202=PublicWorkup	Identifies the trading status applicable to the instrument
327	HaltReason	HaltReason	int	0=Group schedule (default) 2=Market event	Indicates halt reason status due to surveillance activity
1174	SecurityTradingEvent	SecurityTradingEvent	int	0=No Event (default) 7=End Of Workup	Indicates the trading status applicable to the transaction
Repeating Group 1
37705	NoOrderIDEntries	NuminGroup			Number of repeating entries.
→37	OrderID	uInt64	int		Unique ID assigned by CME Globex to identify orders.
→54	Side	Side	int	1=Buy 2=Sell	Side of order
→1057	AggressorIndicator	AggressorFlag	int	0=Not Aggressor 1=Aggressor	Aggressor Indicator

Page:

MDP 3.0 - Negotiate —

Tag	FIX Name	Type	Semantic Type	Valid Values	Description
39003	HMACVersion	HMACVersion	String	CME-1-SHA-256	Constant value representing CME HMAC version
39005	HMACSignature	String32Req	String		Contains the HMAC signature.
39004	AccessKeyID	String20Req	String		Contains the AccessKeyID assigned to this session on this port.
39001	UUID	uInt64	int		Session Identifier defined as type long (uInt64); recommended to use timestamp as number of microseconds since epoch (Jan 1, 1970)
39002	RequestTimestamp	uInt64	UTCTimestamp		Time of request (UTC) recommended to use timestamp as number of nanoseconds since epoch (Jan 1, 1970)
39006	Session	String5	String		Session ID
39007	Firm	String5	String		Firm ID

Page:

MDP 3.0 - Negotiation Reject —

Tag	FIX Name	Type	Semantic Type	Valid Values	Description
39011	Reason	String48	String		Reject reason details
39001	UUID	uInt64	int		Matches Negotiate.UUID
39002	RequestTimestamp	uInt64	UTCTimestamp		Matches Negotiate.RequestTimestamp
39012	ErrorCodes	ErrorCodes	int	0=Unknown Security 1=Unknown or Invalid Message 2=Unsupported Scope 3=Other	Error code for reject reason

Page:

MDP 3.0 - Negotiation Response —

Tag	FIX Name	Type	Semantic Type	Description
39001	UUID	uInt64	int	Matches Negotiate.UUID
39002	RequestTimestamp	uInt64	UTCTimestamp	Matches Negotiate.RequestTimestamp
39022	SecretKeySecureIDExpiration	uInt16NULL	int	This indicates in how many days the HMAC secret key will expire

Page:

MDP 3.0 - Request Acknowledgement —

Tag	FIX Name	Type	Semantic Type	Valid Values	Description
262	MDReqID	uInt32	int		Unique identifier for Market Data Request.
263	SubscriptionReqType	SubscriptionReqType	int	0=Snapshot 1=Snapshot and updates 2=Disable previous subscription	Subscription ReqType
37720	MDReqIDStatus	RequestIDStatus	int	0=Requested subscription scope is fully acknowledged 1=Requested subscription scope is partially acknowledged	Status of the request acknowledgment
Repeating Group 1
37022	NoSecurityGroups	NuminGroup			Number of SecurityGroups acknowledged
→1151	SecurityGroup	SecurityGroup	String		Security Group
Repeating Group 2
146	NoRelatedSym	NuminGroup			Number of securities acknowledged
→48	SecurityID	Int32	int		Security ID

Page:

MDP 3.0 - Request for Quote —

Tag	FIX Name	Type	Semantic Type	Valid Values	Description
60	TransactTime	uInt64	UTCTimestamp		Start of event processing time in number of nanoseconds since Unix epoch
131	QuoteReqID	QuoteReqId	String		Quote Request ID defined by the exchange
5799	MatchEventIndicator	MatchEventIndicator	MultipleCharValue	example: 10000000 - last message in the event example: 00000000 - not last message in 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
Repeating Group 1
146	NoRelatedSym	NuminGroup			Number of repeating entries.
→55	Symbol	Symbol	String		Instrument Name or Symbol
→48	SecurityID	Int32	int		A unique instrument ID value across markets will not be reused until the next trade date following an instrument expiration or deletion.
→38	OrderQty	Int32NULL	Qty		Quantity requested
→537	QuoteType	Int8	int	1=Tradable	Type of quote requested. A tradable quote can trade against other orders and quotes upon acceptance
→54	Side	Int8NULL	int	1=Buy 2=Sell 8=Cross	Side requested

Page:

MDP 3.0 - Request Reject —

Tag

FIX Name

Type

Semantic Type

Valid Values

Description

262

MDReqID

uInt32NULL

int

Unique identifier for Market Data Request.

281

MDReqRejReason

MDReqRejReason

int

0=Unknown Security

1=Unknown or Invalid Message

2=Unsupported Scope

3=Other

Market Data Request Reject reason code

58

Text

String100

String

Reject reason details

Page:

MDP 3.0 - Security List Request —

Tag	FIX Name	Type	Semantic Type	Valid Values	Description
262	MDReqID	uInt32	int		Unique identifier of the Request. Must be unique per session so it can be referenced in Request Acknowledgment or Request Reject responses from the exchange
263	SubscriptionReqType	SubscriptionReqType	int	0=Snapshot 1=Snapshot and updates 2=Disable previous subscription	Subscription Request Type indicates to the type of response expected
Repeating Group 1
37022	NoSecurityGroups	NuminGroup			Number of SecurityGroups specified in subscription request. Should be equal 0, when subscription is requested for all groups on the segment or individual Security IDs are listed in the criteria for subscription
→1151	SecurityGroup	SecurityGroup	String		Security Group
Repeating Group 2
146	NoRelatedSym	NuminGroup			Number of instruments requested. When NoSecurityGroups > 0 specified in the request, the NoRelatedSym should be equal 0
→48	SecurityID	Int32	int		Security ID

Page:

MDP 3.0 - Security Status Request —

Tag	FIX Name	Type	Semantic Type	Valid Values	Description
262	MDReqID	uInt32	int		Unique identifier of the Request. Must be unique per session so it can be referenced in Request Acknowledgment or Request Reject responses from the exchange.
263	SubscriptionReqType	SubscriptionReqType	int	0=Snapshot 1=Snapshot and updates 2=Disable previous subscription	Subscription Request Type indicates to the type of response expected.
Repeating Group 1
37022	NoSecurityGroups	NuminGroup			Number of SecurityGroups specified in subscription request. Should be equal 0, when subscription is requested for all groups on the segment or individual Security IDs are listed in the criteria for subscription.
→1151	SecurityGroup	SecurityGroup	String		Security Group
Repeating Group 2
146	NoRelatedSym	NuminGroup			Number of instruments requested. When NoSecurityGroups > 0 specified in the request, the NoRelatedSym should be equal 0.
→48	SecurityID	Int32	int		Security ID

Page:

MDP 3.0 - Subscriber Heartbeat —
Tag
FIX Name
Type
Semantic Type
Valid Values
Description

Page:

MDP 3.0 - TCP Market Data Replay Request —

Tag	FIX Name	Valid Values	Format	Description
35	MsgType	V	Char (1)	Message Type.
1180	AppIID		String (5)	The channel ID from the XML Configuation file for which this request is made.
262	MDReqID		String (32)	Unique identifier for Market Data Request.
1182	ApplBeginSeqNo		SeqNum (9)	Message sequence number of the first message in range to be re-sent. If the request is for a single message, tag 1182-ApplBeginSeqNo and tag 1183-ApplEndSeqNo are the same.
1183	ApplEndSeqNo		SeqNum (9)	Message sequence number of last message in range to be re-sent. The maximum number of messages that can be requested in a given request is 2000.

Page:

MDP 3.0 - TCP Recovery Logon from Client System to MDP —
Tag
FIX Name
Valid Values
Format
Description
35
MsgType
A
Char (1)
Message Type
553
Username

String (100)
User ID or username.
554
Password

String (100)
Password or pass phrase.
Page:

MDP 3.0 - TCP Recovery Logon from MDP to Client System —
Tag
FIX Name
Valid Values
Format
Description
35
MsgType
A
Char (1)
Message Type.
108
HeartBtlnt

Int (3)
Heartbeat interval (seconds).
Page:

MDP 3.0 - TCP Recovery Market Data Logout —
Tag
FIX Name
Valid Values
Format
Description
35
MsgType
5
Char (1)
Message Type.
58
Text

String (180)
Free format text string. May include logout confirmation or reason for the request reject and logout.
Page:

MDP 3.0 - TCP Recovery Market Data Logout for Futures and Options —
Tag FIX Name Valid Values Format Description
35
MsgType
5
Char (1)
Message Type.
58
Text

String (180)
Free format text string. May include logout confirmation or reason for the request reject and logout.

Page:

MDP 3.0 - Terminate —

Tag	FIX Name	Type	Semantic Type	Valid Values	Description
39011	Reason	String48	String		Reject reason details
39001	UUID	uInt64	int		Matches Negotiate.UUID used to establish the connection
39002	RequestTimestamp	uInt64	UTCTimestamp		Time of request; recommended to use timestamp as number of nanoseconds since Unix epoch (Jan 1, 1970)
39012	ErrorCodes	ErrorCodes	int	0=Unknown Security 1=Unknown or Invalid Message 2=Unsupported Scope 3=Other	Error code for reject reason

MDP 3.0 - Message Tag Library

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