CME STP FIXML Core

This topic describes the common and core rules of engagement for CME STP FIXML, which are applicable to all markets and venues of CME Group.

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Contents:

Connectivity

Clients can connect to CME STP FIXML API via the following options:

New Release 

Beginning Thursday, June 20, 2024 (New Release) clients should use the below New Service (GC) URL.

The Current Service (DC3) URL will be decommissioned; at a date to be announced.

Production

Beginning Sunday, July 28, 2024 (Production) clients should use the below New Service (GC) URL.

The Current Service (DC3) URL will be decommissioned; at a date to be announced.

Disaster Recovery Considerations

During a disaster recovery (DR) event clients will automatically be directed to the DR instance of CME STP. Clients do not need to make any connectivity changes.

In the event of a DR, client systems should ensure that they can restart their Subscriptions and/or Query for missing trades.

Session Layer Management

Client systems are required to use HTTP POST method to the URL https://{path}/cmestp/query endpoint, where the "path" is to be replaced with URLs provided in the connectivity section for a given environment.

The body of the POST method is the XML for Trade Capture Report Request message. All outbound and inbound FIXML messages are XML documents denoted by XML prolog <?xml version="1.0" encoding="UTF-8"?> with encoding being optional and defaults to "UTF-8" on requests. This will be the first line in requests and responses.

CME STP FIXML uses Basic Authorization over HTTPS for user authentications. Client systems create a secret key by Base64 encoding their "STP API ID:Password" and use the "Authentication" HTTP header parameter each time a POST method is called.

HTTP Header Parameters

Following section describes HTTP Header Parameters.

• Interaction with the CME STP FIXML API is stateless.

• The CME STP FIXML service will send a token in response to valid subscription requests and query requests where the response requires multiple pages.

• Client systems continue the subscription or request the next page(s) of the query by sending the token from the prior response, on subsequent POST requests.

• Both Client systems and CME STP FIXML will use the x-cme-token custom HTTP Request Header to transmit this token.

• Successful HTTP POST responses will have standard HTTP status of 200.

Optional Attributes in the FIXML Element

The following optional attributes can be included on the FIXML element of each message sent to CME STP FIXML and when present only valid values are accepted.

Responses from CME STP FIXML will have these attributes in the FIXML Element.

Standard FIXML Header

All FIXML request messages from the client systems must include a Standard Header with the following attributes. The following table indicates fields sent on messages from the Client system to CME STP FIXML.

In response, CME STP FIXML will swap values of:

• Hdr/@SID with Hdr/@TID

• Hdr/@SSub with Hdr/@TSub

XPath to HDR Element in the Client system requests: FIXML/TrdCaptRptReq/Hdr

XPath to HDR Element in CME STP FIXML Reponses:

• Successful response: FIXML/Batch/Hdr

• Failure response: FIXML/TrdCaptRptReqAck/Hdr

Trade Queries and Subscriptions

The following section outlines the trade queries and subscription functionality for CME STP FIXML.

Data Retrieval

CME STP FIXML supports data retrieval using subscriptions and queries: 

• Queries: Client systems can request a snapshot of trades with /TrdCptRepReq/ReqTyp=1 (Matched trades) and  /TrdCptRepReq/SubReqTyp=0 (Snapshot) limited by StartTm and optional EndTm attributes. 

• Subscriptions: Client systems can request a snapshot and initiate a continued subscription for trades with/TrdCptRepReq/ReqTyp=1 (Matched trades) and  /TrdCptRepReq/SubReqTyp=1 (Snapshot + Updates) with the optional StartTm Attribute.

For both Queries and Subscriptions client systems must supply a unique identifier with each request in /FIXML/TrdCaptRptReq/@ReqID which the FIXML API will echo back in /FIXML/Batch/TrdCaptRpt/@ReqID for successful requests, and in /FIXML/TrdCaptRptReqAck/@ReqID in case of errors. This enables the user to match the request with the resulting response message. When continuing a Subscription or a Query, client systems may reuse the original @ReqID or may send a new identifier. The API will respond with the @ReqID sent on the latest request.

Subscription and Query Parameters

The following general parameters are used to filter the query and/or subscription results. Omitting, changing, or adding filter criteria may cause undesired results.  Every continuation of a Subscription or Query must contain all of the filter criteria of the original subscription or query. Times below, e.g. Start Time and End Time, use the XML xs:dateTime syntax in ISO 8601 format. Time should be entered in UTC Timestamp format.

Batch Container

CME STP FIXML returns trades (FIXML Trade Capture Report messages) to clients by encapsulating a single Standard Header followed by zero or more Trade Capture Report messages within the /FIXML/Batch element. The Trade Capture Report messages themselves will not contain Hdr elements. CME STP FIXML may send an empty Batch, containing a Hdr but no TrdCaptRpt messages, either because a Query returned no results, or because no new activity occurred for a Subscription. However, in the case of an empty batch for a Subscription, the user must still extract the token and use it in subsequent requests. A batch can return a maximum of 250 Trade Capture Report messages. 

Example FIXML Batch

Subscription and Query requests (FIXML Trade Capture Report Request messages) sent by the client system to CME STP FIXML, as well as application level error messages (FIXML Trade Capture Report Request Ack messages) sent by the CME STP FIXML to the client systems, will not use the Batch container. The FIXML will contain the element for the message directly. The application level message itself will contain the Standard Header, e.g. /FIXML/TrdCaptRptReq/Hdr.

Queries

Client systems can request a snapshot of trades with /TrdCptRepReq/ReqTyp=1 (Matched trades) and  /TrdCptRepReq/SubReqTyp=0 (Snapshot) limited by the required  StartTm and optional EndTm attributes.

• If the query is valid and there are trades for the requested time frame, CME STP FIXML will respond with HTTP status of 200 (Success) and Batch of Trade Capture Reports.

  • The x-cme-token custom HTTP header parameter will be populated with a token value if there are more Trade capture reports for client systems to continue their query.

• If the query is valid and there are no trades for the requested time frame, an empty Batch is returned.

Subscriptions

Client systems can request a snapshot and initiate a continued subscription to trades with/TrdCptRepReq/ReqTyp=1 (Matched trades) and /TrdCptRepReq/SubReqTyp=1 (Snapshot + Updates) with optional StartTm Attribute. CME STP FIXML will respond with HTTP status of 200 (Success) and Batch of Trade Capture Reports if there are any available. An empty Batch will be returned if there are no trades to report.

• In response to a successful subscription request,  CME STP FIXML will return a token in the x-cme-token custom HTTP header parameter.

• If the optional StartTm Attribute isn't provided in the subscription request, CME STP FIXML will begin the subscription at the time the request was received.

Continuing a Subscription

To continue polling for trades after a successful subscription, client systems must POST Trade Capture Report requests with:

• /TrdCptRepReq/ReqTyp=3 (Unreported trades matching the criteria) and /TrdCptRepReq/SubReqTyp=1 (Snapshot + Updates)

• Populate the x-cme-token custom HTTP header parameter, in the POST, with the most recent token value received from CME STP FIXML.

• Must include the filter criteria of the original subscription.

Client systems should continue polling for new trades with request intervals no more frequently than every three seconds.

Restarting a Subscription

Client systems should follow the same process as starting a subscription as detailed above. It is recommended that client systems specify a value in /TrdCptRepReq/@StartTm Attribute with one or more minutes prior to the value of /FIXML/TrdCaptRpt/@LastUpdateTm from the last trade they received, to cover any missing trades.

Duplicate message detection

To detect duplicate trades, client systems can use /FIXML/TrdCaptRpt/@RptId, the unique message ID for the trade being reported.

Legs of certain spread trades can share the same message ID.  However, /FIXML/TrdCaptRpt/@TrdID2 and /FIXML/TrdCaptRpt/@RptID (together) will form a unique key.

Error handling

For new or ongoing subscriptions or queries, Trade Capture Report requests using HTTP POST may generate the following HTTP error codes: