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CME Smart Stream Websockets - Subscription

CME Smart Stream Websockets - Subscription

Owned by Space Sync for Confluence
Last updated: Dec 24, 2024
2 min read

 

 

Contents

Input - Subscription Request

Initiated by authenticated customer. Request to subscribe to a product (multiple products) or filter subscriptions by providing a list of related instrument symbols.

Fields

Ref

Field

Name

Data Type

Values

Usage

Description

Ref

Field

Name

Data Type

Values

Usage

Description

1

header

 

2

→ messageType

Message Type

String

  • SUBSCRIBE (SUBSCRIBE)

  • UNSUBSCRIBE (UNSUBSCRIBE)

REQUIRED

Denotes login message

3

→ requestId

Request ID

Integer

 

OPTIONAL

Client-originated ID reflected in response message

4

→ sentTime

Sent Timestamp

Timestamp

 

OPTIONAL

CME MDP gateway sends the message (UTC).

5

→ version

API Version

String

  • 1.0 (1.0)

OPTIONAL

 

6

payload

 

7

→ subscriptionMessageTypes[]

Subscription Message Types

String

  • STAT (Statistics)

  • TOB (Top of Book)

  • TRD (Trade Summary)

REQUIRED

 

8

→ subscriptions[]

 

9

→ → productCode

Instrument Product Code

String

 

REQUIRED

String field that indicates the underlying asset code (Product Code). Example: GE (Eurodollars), ES (E-Minis).

10

→ → productType

Product Type

String

  • FUT (Future)

  • OOF (Option)

REQUIRED

 

11

→ → periodCodes

Period codes

String

  • YYYYMM

  • YYYYMMw[1-5]

OPTIONAL

Subscription request filter. Used to target specific contract periods.

Monthly (YYYYMM), weekly (YYYYMMw[1-5)

Please note the lowercase w for weeklies.

12

→ → spreadReportTypes

Spread Report Types

String

  • OUTRIGHT

  • SPREADS

OPTIONAL

Subscription request filter. Used to target specific spread report types.

Output - Subscription Status

SmartStream response to customer Subscribe and Unsubscribe requests

Fields

Ref

Field

Name

Data Type

Values

Usage

Description

Ref

Field

Name

Data Type

Values

Usage

Description

1

header

 

2

→ messageType

Message Type

string

  • SUBSCRIPTION_ERROR (Subscription Error)

  • SUBSCRIPTION_STATUS (Subscription)

ALWAYS

Denotes trade summary message.

3

→ requestId

Request ID

int32