1

header

2

→ messageType

Message Type

String

• SUBSCRIBE (SUBSCRIBE)

• UNSUBSCRIBE (UNSUBSCRIBE)

Denotes login message

3

→ requestId

Request ID

Integer

Client-originated ID reflected in response message

4

→ sentTime

Sent Timestamp

Timestamp

CME MDP gateway sends the message (UTC).

5

→ version

API Version

String

• 1.0 (1.0)

6

payload

7

→ subscriptionMessageTypes[]

Subscription Message Types

String

• STAT (Statistics)

• TOB (Top of Book)

• TRD (Trade Summary)

8

→ subscriptions[]

9

→ → productCode

Instrument Product Code

String

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)

11

→ → periodCodes

Period codes

String

• YYYYMM

• YYYYMMw[1-5]

Subscription request filter. Used to target specific contract periods.

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

12

→ → spreadReportTypes

Spread Report Types

String

• OUTRIGHT

• SPREADS

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

1

header

2

→ messageType

Message Type

string

• SUBSCRIPTION_ERROR (Subscription Error)

• SUBSCRIPTION_STATUS (Subscription)

Denotes trade summary message.

3

→ requestId

Request ID

int32

Client-originated ID reflected in response message

4

→ sentTime

Sent Timestamp

timestamp

CME MDP gateway sends the message (UTC).

5

→ sequenceNumber

sequenceNumber

string

6

→ version

API Version

string

• 1.0 (1.0)

7

payload

8

→ status

payload status

string

• SUBSCRIBED (Subscribed)

• UNSUBSCRIBED (Unsubscribed)

denotes the subscription status

9

→ subscriptionMessageTypes[]

Subscription Message Types

string

• STAT (Statistics)

• TOB (Top of Book)

• TRD (Trade Summary)

10

→ subscriptions[]

11

→ → productCode

Instrument Product Code

string

String field that indicates the underlying asset code (Product Code). Example: SR1 (One-Month SOFR futures), ES (E-Mini S&P futures).

12

→ → productType

Product Type

string

• FUT (Future)

• OOF (Option)

• OPT (Option)

1

errors[]

2

→ code

Error Code

string

• ERROR_400 (ERROR_400)

• ERROR_401 (ERROR_401)

• ERROR_403 (ERROR_403)

3

→ message

Error Message

string

4

→ referenceIndex

Reference Index

int32

5

header

6

→ messageType

Message Type

string

• SUBSCRIPTION_ERROR (Login Status)

Denotes trade summary message.

7

→ requestId

Request ID

int32

Client-originated ID reflected in response message

8

→ sentTime

Sent Timestamp

timestamp

CME MDP gateway sends the message (UTC).

9

→ sequenceNumber

sequenceNumber

string

10

→ version

API Version

string

• 1.0 (1.0)

11

payload

12

→ subscriptionMessageTypes[]

Subscription Message Types

string

• STAT (Statistics)

• TOB (Top of Book)

• TRD (Trade Summary)