Instrument Attribute Specifications

leadMonthInd

Boolean flag to identify whether a contract is the lead month.

• "Y"

• "N"

N

N

String

Listed Derivatives

airDaysToMaturity  

The physical days to maturity. The number of calendar days to maturity for physical settlement counting from the current settle value date to the value date for maturity.

N

Number

Listed Derivatives

bilAccRejTimer

Bilateral accept reject timer - number of seconds.

Post trade attibute only available via CME Reference Data API version 3.

N

Integer

BrokerTec

clrAlias

CLR Alias: The instrument symbol used in CME Clearing for clearing reports like the Trade Register.

N

String

Listed Derivatives

cfiCode

CFI Codes in RD API match those used in clearing systems but will not necessarily match those used on Globex.

N

String

ALL

couponDayCount

The convention used for accruing interest. Values include:

• ACTACT = ACT/ACT (ICMA)

• ACTAFB = ACT/ACT (AFB)

• ACT365 = ACT/365 (FIXED)

• ACT360 = ACT/360

• US30360 = 30/360 (SIA)

• EU30360 = 30E/360 (EUROBOND BASIS)

N

String

BrokerTec

couponFreqPeriod

Number of periods in a year. Data example is for a Semiannual coupon frequency unit.

N

Integer

BrokerTec

couponFreqUnit

How often are there are coupon payments.

N

String

BrokerTec

couponRate

The fixed rate at which a bond or loan pays out on a periodic basis (rate of interest * principal).

N

Integer

ALL

couponType

Describes the type of interest payment such a discount, fixed, float, and variable.

N

String

BrokerTec

cusip

US & Canadian externally registered security identifier.

N

String

BrokerTec

datedDate

The date at which interest begins to accrue.

This will be the same as the issue date except when the issue date falls on a weekend or holiday.

N

Date

^Format:

^"YYYY-MM-DD"

BrokerTec

daysToMaturity

The number of calendar days between current exchange business day and the contract's final settlement date.

N

Number

Listed Derivatives

debtSecurityMaturity

The date the debt security matures.

N

Date

^Format:

^"YYYY-MM-DD"

BrokerTec

endDate

Date a repo ends

N

Date

BrokerTec

exchangeClearing

Query for all products by Exchange identifier used in the Post Trade Application.

Valid Values

• BTUS = BrokerTec US

• BTEU = BrokerTec Europe

• CBT = Chicago Board of Trade

• CME = Chicago Mercantile Exchange 

• COMEX = COMEX (Commodities Exchange Center) 

• DME = Gulf Mercantile Exchange 

• FEX=FEX Global

• FXS= Indicates the Exchange for the FX Spot side of a FX Link trade.

• MGE= Minneapolis Grain Exchange

• NYMEX = New York Mercantile Exchange

N

String

ALL

exchangeGlobex

Query for all products by the Market Identifier Code (MIC) as defined by the ISO.

For inter-exchange spreads, this field contains the hybrid value displayed in the Market Data Platform Security Definition (tag 35=d) message tag 207-SecurityExchange.

Valid Values

• BTAM = BrokerTec Amsterdam

• BTEC = BrokerTec US

• BTEE = BrokerTec Europe

• DUMX = Gulf Mercantile Exchange 

• EBSC=EBS Market for FX Spot/Spot Precious Metals (including eFix Matching)

• GLBX = Indicates the Exchange for the FX Spot side of a FX Link trade.

• MGCB = XMGE-XCBT inter-exchange spread

• NYUM = XNYM-DUMX inter-exchange spread 

• XCBT = Chicago Board of Trade 

• XCME = Chicago Mercantile Exchange 

• XCEC = COMEX (Commodities Exchange Center)

• XEBS = EBS Market for OFF SEF/ON-MTF NDFs

• XFXS = CME FX Link spread 

• XKLS = Bursa Malaysia 

• XMGE = Minneapolis Grain Exchange 

• XNYM = New York Mercantile Exchange

N

String

ALL

exchBusinessDate

Exchange business date.

• For polls before 4:00 PM CT current exchange business date.

• For polls after 4:00 PM CT this is the exchange next business date.

N

Date

Listed Derivatives

finalSettlementDate

Final settlement date:

Final settlement date for futures

Y

Settlement

Date

^Format:

^"YYYY-MM-DD"

Listed Derivatives

firstDeliveryDate

First delivery date. The first date that users will complete delivery.

Not applicable to financially settled instruments.

Y

First Delivery

Date

^Format:

^"YYYY-MM-DD"

Listed Derivatives

firstNoticeDate

First notice date. The first date that users will get notified that they have been assigned a delivery.

Not applicable to financially settled instruments.

Y

First Notice

Date

^Format:

^"YYYY-MM-DD"

Listed Derivatives

firstIntDate

First position date. 

The first date on which CME Clearing will accept intents and run assignments for deliverable contracts.

Not applicable to financially settled instruments.

Y

First Position

Date

^Format:

^"YYYY-MM-DD"

Listed Derivatives

firstTradeDate

Clearing first trade date (actual contract trade date)

Y

First Trade

Date

^Format:

^"YYYY-MM-DD"

ALL

fisn

Financial instrument short name. Used for MiFid reporting.

N

String

BrokerTec

flexIndicator

Y/N flag that indicates if instrument is Flex-defined.

N

String

Listed Derivatives

fnlInvDate

Final inventory date

N

Date

^Format:

^"YYYY-MM-DD"

Listed Derivatives

gbxAlias

CME Globex alias

N

String

ALL

globexLastTradeDate

Last date instrument is tradable on CME Globex CLOB.

N

Date Format is in Central Time 

YYYYMMDDHHMMSS

ALL

gcBasketIndentifier

Underlying cusip or isin for repo special

String

BrokerTec

globexFirstTradeDate

The calendar date when the instrument becomes tradable on CME Globex. 

• Only sent if instrument is eligible to be listed on CME Globex

N

Date Format is in Central Time 

YYYYMMDDHHMMSS

ALL

contractMonth

For monthly, quarterly and serial instruments identifies the named month and year in format YYYYMM.

For all other instruments, identifies the month, year and date in format YYYYMMDD.

Y

String

ALL

globexSecurityId

A unique identifier for each CME Globex instrument; same value as in tag 48-SecurityID on iLink and MDP.

N

String

ALL

globexSymbol

CME Globex instrument product symbol.

N

String

ALL

govBondType

Sub-category for government bonds.

String

BrokerTec

guid

Unique instrument identifier in alpha-numeric format.

N

String

ALL

guidInt

Unique instrument identifier in integer format.

N

Integer

ALL

initialInventoryDueDate

First inventory date also considered the First Holding Date. The date when CME Clearing will begin accepting position dates, where applicable, for deliverable contracts.

Not applicable to financially settled instruments.

N

Date

^Format:

^"YYYY-MM-DD"

Listed Derivatives

instrumentName

Human-readable instrument name for display purposes.

N

String

Listed Derivatives

isBticProduct

Boolean flag to identify whether the overlying product is a BTIC product ("Y", "N").

N

String

Listed Derivatives

isSyntheticInstrument

Boolean flag to identify Synthetic instruments ("Y", "N").

N

String

Listed Derivatives

isTamProduct

Boolean flag identifies whether the overlying product is a TAM product ("Y", "N").

N

String

Listed Derivatives

isTasProduct

Boolean flag to identifies whether the overlying product is a TAS product ("Y", "N").

N

String

Listed Derivatives

isin

European externally registered security identifier.

N

String

BrokerTec

issueDate

This is the issue date (which is the first settlement date with the issuing counterparty).

N

Date

^Format:

^"YYYY-MM-DD"

BrokerTec

issuerCountry

The country the issuer is domiciled in. The 2 character ISO code will be used.

N

String

BrokerTec

issuerLei

Issuers Legal Entity ID

N

String

BrokerTec

issuerLongName

The entity issuing the debt instrument.

N

String

BrokerTec

issuerSubType

Sub category for assets 

N

String

BrokerTec

issuerType

The bond type which will flag supra national debt securities. These values will be available on the collateral - thus the list includes non-tradeable instruments.

N

String

BrokerTec

isUserDefined

Identifies a Tailor-Made or UDI.

UDS instruments (Under Development)

N

String

ALL

itcAlias

ITC alias

N

String

ALL

lastDeliveryDate

Last delivery date. The last date that users will complete delivery.

Not applicable to financially settled instruments.

Y

Last Delivery

Date

^Format:

^"YYYY-MM-DD"

Listed Derivatives

lastEfpDate 

Last EFP Date

N

Date

^Format:

^"YYYY-MM-DD"

Listed Derivatives

lastInventoryDueDate

Last inventory date also considered the Last Holding Date. 

The date when CME Clearing will no longer require position dates, where applicable, for deliverable contracts.

Not applicable to financially settled instruments.

N

Date

^Format:

^"YYYY-MM-DD"

Listed Derivatives

lastIntDate

Last intent date

N

Date

^Format:

^"YYYY-MM-DD"

ALL

lastNoticeDate

Last notice date. The last date that users will get notified that they have been assigned a delivery.

Not applicable to financially settled instruments.

Y

Last Notice

Date

^Format:

^"YYYY-MM-DD"

Listed Derivatives

lastTradeDate

Last date instrument is tradable across all venues and trade types

Y

Last Trade

Date

^Format:

^"YYYY-MM-DD"

ALL

lastUpdated

Timestamp from last time the instrument definition / product was updated:

• first listed

• modified

N

Date and Timezone (CST)

Format: "YYYY-MM-DDThh:ss

All

longName

BrokerTec - Used to list the instrument for trading in the US. In EU, this plus the term code is used for the listing.

EBS - Used to identify individual NDFs because it is possible to have the same NDF listed with two different tenors.

N

String

BrokerTec

EBS

nonConsecutiveMonthSpreadTick

Used for instruments where there are both monthly and quarterly contracts (often used with FX spreads), and the quarterly product has monthly products in between. There will be 2 different spread ticks, one for consecutive-month spreads and one for non-consecutive month spreads.

Only applicable to ClearPort contracts.

N

Double

Listed Derivatives

originalContractSize

Sent for Decay-eligible instruments.

Indicates the contract size before decay begins.

N

String

Listed Derivatives

positionRemovalDate

Position removal date.

N

Date

^Format:

^"YYYY-MM-DD"

ALL

priceBand

Differential value for price bands on CME Globex.

N

String

Listed Derivatives

priceBandDl

Decimal locator for price band (priceBand).

N

String

Listed Derivatives

productGuidInt

Unique product identifier in integer-only format.

N

Integer

ALL

putCallIndicator

Indicates whether an option instrument is a put or call.

0 - Put
1 - Call

N

String

Listed Derivatives

pxUomCcy

Price unit of measure currency

N

String

Under development

repoTermCode

The overnight or term code used for determining the repo start date relative to the trade date, and end date if a fixed term (e.g. 1W, !M)

N

String

BrokerTec

settleDays

How many days after a trade the debt security settles.

N

Integer

BrokerTec

settlementTick

Used when instruments settle in a smaller tick than they are traded at; this field supports the settlement tick.

N

Double

ALL

spreadTick

N

Double

Listed Derivatives

startDate

Date a repo starts

N

Date

BrokerTec

strikePx

Strike price for an option.

The option strike price format in RD APIv3 is the Clearing format and does not align with the MDP 3.0 Security Definition message (FIX Tag 202-StrikePrice) price format. Additional information on CME Globex strike price format can be found in MDP 3.0 CME Globex Pricing.

Example: RD APIv3 Strike Price Format = 10.70 vs MDP 3.0 Security Definition Strike Price Format = 1070.

N

Double

Listed Derivatives

strikePxCcy

Strike pSpread tick. Used for any spread where there is no “non-consecutive-month” spread tick.
Only applicable to ClearPort contracts.rice currency for an option.

N

String

Listed Derivatives

tccAlias

TCC Alias: Instrument symbol used for trade reporting on CME ClearPort, CME STP and CME STP FIX.

N

String

ALL

tradeTick

Trade price tick. May differ from the settlementTick.

N

Double

ALL

uomCcy

Unit of measure currency

N

String

ALL

valuationMethod

Type of valuation method used

Valid values include but are not limited to:

• EQTY - Premium Style

• FUT - Futures Style

• FUTDA - Cash Adjusted Futures Style

• FUTER - Futures Style with Erosion

• FUTI - Futures Style Inverse

• FUTOP - Futures Style for Options

• FWD - Forward

• FWDC - Forward, Cash-Settled Daily, Standard Currency Convention

• BILL - Bills

• BOND - Cash Notes and bonds

• IRS - Interest Rate Swap

• SPOT - Spot

• RPO - Repo Specific

• RPOBS - Repo Specific / GC - Buy Sell Back (only Spain)

• RPOGC - Repo General Collateral

• RPOGF - Repo GCF / DBV / GC+

• RPOSC - Repo Specific / GC - EONIA bond

N

String

ALL

variableTickTable

Variable tick table for trading on CME Globex.

String

Listed Derivatives

vttHighTick

For some instruments, the tick is price dependent. This field defines the widest tick the instrument can trade at.

N

Double

Listed Derivatives

vttLowTick

For some instruments, the tick is price dependent. This field defines the smallest tick the instrument can trade at.

N

Double

Listed Derivatives

vttPriceThreshold

For some instruments, the tick is price dependent. This field defines the price threshold at which the minimum tick changes.

N

Double

Listed Derivatives

workupPrivateTimer

Where workup session are used, this would be the duration in seconds for the private phase.

0 (= Disabled)
> 0 (= Number of seconds)

N

Integer

BrokerTec

workupPublicTimer

Where workup session are used, this would be the duration in seconds for the publicphase.

0 (= Disabled)
> 0 (= Number of seconds)

N

Integer

BrokerTec

workupPublicTimerExt

Where workup session are used, this would be the duration in seconds for the extending the public phase.

0 (= Disabled)
> 0 (= Number of seconds)

N

Integer

BrokerTec

zeroPriceEligible

Y/N flag to indicate if instrument may be quoted and/or traded at a zero price.

N

String

ALL

maxSubstitionCnt

Number of substitutions allowed for the GC; 0 value will indicate the repo is not eligible for substitutions. Also called rights of substitution.

Integer

BrokerTec

instrumentType

Description of instrument type.

N

String

ALL

settleMethod

Query for all products by settlement method.

Y

Settlement Method

String

Listed Derivatives

priceRatio

Used for price calculation in spread and leg pricing for Implied Intercommodity Ratio

N

Number

Listed Derivatives

baseIndexType

Returned value represents base index name

N

Varchar (2)

BrokerTec

minGlobexOrdQty

Minimum order or quote size required on CME Globex.

• For BrokerTec orders, this will reflect the minimum initial order.

• For EBS this value will be in notional quantity.

N

String

ALL

maxGlobexOrdQty

Maximum value allowed for a single quote or order on CME Globex.

• For EBS this value will be in notional quantity.

N

String

ALL

minIncrementalOrder

Minimum incremental order quantity.

N

String

ALL

minIntraGlobexOrdQty

MidSession value allowed for a single order.

N

String

BrokerTec

maxIntraGlobexOrdQty

MidSession Maximum value allowed for a single order.

N

String

BrokerTec

minIntraIncrementalOrder

MidSession Minimum incremental order.

N

String

BrokerTec

minInitialOrder

Minimum initial order.

N

Integer

BrokerTec

parValue

The par value of the bond.

N

Number

BrokerTec

maxSubstitutionCnt

Number of substitutions allowed for the GC; 0 value will indicate the repo is not eligible for substitutions.

N

Integer

BrokerTec

isAONInstrument

Boolean flag to identify AON instrument ("Y", "N").

N

String

BrokerTec

relatedInstrumentGuidInt

This will be the GUID_INT for the related instrument to the AON.

AON markets on CME Globex are listed as separate instruments. The relatedInstrumentGuidInt field will contain the GUID Integer for the related CLOB instrument. For AON instruments that do not have a related CLOB instrument, relatedInstrumentGuidInt = null

N

Number

BrokerTec

firstCouponDate

The first coupon date of the debt maturity

N

Date

Format:

"YYYY-MM-DD"

BrokerTec

allocationDeadline

17:15:00 (for LCH German Special)

N

String

BrokerTec

airAccruedFunding 

The accrued funding value for this contract for the specified business date, to seven decimal places.

N

Number

airDailyFunding 

Today’s contribution to that aggregate Accrued Funding value, likewise to seven decimal places.

N

Number

airBusinessDate 

The business date to which these values pertain.

N

Date

airFundingStatus

An indicator which specifies whether these are the final or preliminary values for the specified business date.

Valid values:

• Prelim

• Final

N

VARCHAR2

floatOffset

The float offset (spread) is applied to the reference rate of the US FRN (the 13 week US T Bill) and is determined at the auction.

The spread will remain for the life of an US FRN. 

N

Decimal

exchangeGlobex

Market Identifier Code (MIC) as defined by the ISO. For inter-exchange spreads, this field contains the hybrid value displayed in the Market Data Platform Security Definition (tag 35=d) message tag 207-SecurityExchange.

N

String

ALL

exchangeClearing

Exchange identifier used in the CME Group Post Trade Application.

N

String

ALL

leadMonthInd

Boolean flag to identify whether a contract is the lead month.

• Y

• N

N

N

String

Listed Derivatives

isTmacProduct

Boolean flag identifies whether the overlying product is a TMAC product.

• Y

• N

N

N

String

Listed Derivatives

bookDepth

Globex market data book depth repeating group.

N

String

ALL

mdFeedType

Globex market data feed type. Describes a class of service for a given data feed.

• GBX=CME Globex Book Depth

• GBI=CME Globex Implied Book Depth (under development)

N

String

ALL

marketDepth

Identifies the depth of book of the Globex market data feed type.

N

String

ALL

clrSymbol 

CLR Symbol: The product code used in CME Clearing for clearing reports like the Trade Register.

Example: “L1”

N

String

Listed Derivatives

trdgUnitPeriodMult

Transaction Size

• For Peak products, this will reflect the number of days

• For Off-Peak products, this will reflect the number of hours

Example: 22, 392

N

Number

Listed Derivatives

transformationDate

Date of Transformation

Example: “2021-06-01”

N

Date

Listed Derivatives

peakType

Peak Type

Example: Peak, Off-Peak, Null

N

String

Listed Derivatives

transformedInstruments 

Repeating Group listing the instruments trades are transformed into, using the Clearing product code

Example: "JD 20210601”, “JD 20210602”... “JD 20210630"

N

String

Listed Derivatives

legID

Leg ID represents day of month

Example: 1 - 31 

N

String

Listed Derivatives

daysHours

1 Day or 1 - 24 Hours

Example: “1”, “8”

N

String

Listed Derivatives

swapEffDate

Swap start date

N

N

Date
Format:
"YYYY-MM-DD"

Listed Derivatives

maturityDate

Swap termination date

N

N

Date
Format:
"YYYY-MM-DD"

Listed Derivatives

notionalPerContract

Notional amount per contract

N

N

Number

Listed Derivatives

ctdCusip

Related treasury cusip

N

N

String

Listed Derivatives

isEfixInstrument

Boolean flag to identify eFix Matching Service (Y, N).

N

Boolean

EBS

minQuoteLife

Minimum Quote Life functionality defines the minimum duration, in number of microseconds, that a resting order must be exposed to the market before it can be cancelled or modified in number of microseconds.

N

Number

EBS

maxPriceDiscretionOffset

Maximum allowed discretionary offset from the Limit order price. When the value in this field = 0.0, discretionary price is not allowed to be submitted for the instrument.

N

Price Format

EBS

interveningDays 

For FX SPOT - Number of business days, as an offset from Trade Date which determines the instrument's Settlement Date.

For NDF - Number of business days (plus tenor) used to determine settlement date.

N

Integer

EBS

fixingName

Name that includes the fixing source, time and location.

e.g. WM 23:30 London

N

String

EBS

fixingSourceLocalTime

The local time of the fixing source.

N

String

EBS

tenorType

Indicates the settlement period or contract tenor type and duration.

Tenors may be fixed or expressed in a number of days/weeks/months/years; where where "x" is any integer > 0

• 0 = Regular / FX Spot settlement (T+0, T+1 or T+2)

• Dx = FX tenor expression for "days"

• Wx = FX tenor expression for "weeks"

• Mx = FX tenor expression for "months"

• Yx =  FX tenor expression for "years"

• B =  Fixed Date tenor for Fixed Date NDFs only. 

N

String

EBS

maxSweepQty

The maximum quantity a Sweepable order may be submitted for in units of the instrument’s unitOfMeasureQty

N

String

EBS

globexGroupCode

CME Globex uses this group code to identify logical groupings of products.

CME Globex group code is only populated for instruments listed for trading on CME Globex.

String

ALL

variableTickTable

Variable tick table for trading on CME Globex.

String

Listed Derivatives

goodForSession

Boolean flag (“Y”,”N”) to identify GFS (Good For Session) TimeInForce eligibility on CME Globex.

Boolean

EBS

isTacoProduct

Boolean flag to identify TACO products ("Y", "N").

Boolean

Listed Derivatives

rbtEligibleInd

Relationship Based Trading Eligibility Indicator. RBT eligible products are not eligible to trade on Globex.

Boolean

BrokerTec

calculatedContractSize

Displays the variable quantity product’s total calculated contract size.

String

Listed Derivatives