1

header

2

→ messageType

Message Type

string

• TOB (Top of Book)

Denotes trade summary message.

3

→ sentTime

Sent Timestamp

timestamp

CME MDP gateway sends the message (UTC).

4

→ sequenceNumber

sequence Number

string

System generated per session. Message sequence will increment upwards as messages are published. Gaps in the sequence number may indicate that client applications are dropping messages due to slow consumption rates.

5

→ version

API Version

string

• 1.0 (1.0)

6

payload

7

→ askLevel[]

8

→ → lastUpdateTime

Ask Level Last Update Timestamp

timestamp

Last update time for ask price

9

→ → orderCnt

Ask Level Order Count

string

Aggregate number of orders at the given price level.

10

→ → price

Ask Level Price

string

Price of the entry

11

→ → qty

Ask Level Quantity

string

Quantity of the entry

12

→ bidLevel[]

13

→ → lastUpdateTime

Bid Level Last Update Timestamp

timestamp

Last update time for ask price

14

→ → orderCnt

Bid Level Order Count

string

Aggregate number of orders at the given price level.

15

→ → price

Bid Level Price

string

Price of the entry

16

→ → qty

Bid Level Quantity

string

Quantity of the entry

17

→ instrument

18

→ → definitionSource

Instrument Definition Source

string

• E (Exchange Defined)

• U (User Defined)

Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined.

19

→ → exchangeMic

Exchange MIC

string

• DUMX (Gulf Mercantile Exchange)

• XCBT (Chicago Board of Trade)

• XCEC (COMEX (Commodities Exchange Center))

• XCME (Chicago Mercantile Exchange)

• XNYM (New York Mercantile Exchange)

Exchange used to identify a security.

20

→ → id

Instrument ID

string

Unique instrument ID as qualified by the exchange per market segment. The unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.

21

→ → marketSegmentId

Market Segment ID

string

Identifies the market segment. Populated for all CME Globex instruments.

22

→ → periodCode

Instrument Period Code

string

This field provides the calendar month reflected in the instrument symbol. Format YYYYMM (e.g., 201912) 

For futures spreads, this field contains the first leg's calendar month reflected in the instrument symbol.

23

→ → productCode

Instrument Product Code

string

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

24

→ → productGroup

Product Group Code

string

25

→ → productType

Product Type

string

• FUT (Future)

• OOF (Option)

• OPT (Option)

26

→ → symbol

Instrument Symbol

string