Futures Maturities with Product Family Information
- Space Sync for Confluence
Contents
Sample Sec Def for a Regular Future
<FIXML> | |
<Batch> | |
<Hdr | |
SID="CME" | |
SSub="CPAPI " | |
TID="BRKR" | |
TSub="user123"/> | |
<SecDef | |
RspTyp="103" | // Echo back Type of Request that was made |
ReqID="1234567" | // Echo Request ID from the SecDefReq |
RptID="3400001" | // unique response identifier |
BizDt="2009-10-19"> | // Current Clearing Date |
<Instrmt | |
ID="CL" | // Clearing symbol (qualified by Exch) |
Src="H" | // Accompanies ID and is always ‘H’ |
MMY="200910" | // Contract Maturity Month and Year |
Desc="CRUDE OIL" | // Product Description. |
SecTyp="FUT" | // Security Type: FUT |
Exch="NYMEX" | // The product exchange |
ProdCmplx="ENRGY" | // Product Complex |
ProdTerm="3" | // 3 means product expires Monthly |
TmUnit="Mo" | // Time unit is month |
UOM="Bbl" | // Unit of Measure is Barrels |
UOMQty="1000" | // Contract Size is 1000 Barrels. |
PxUOM="Bbl" | // Price Unit of Measure is Barrels |
PxUOMQty="1" | // Min Quantity Increment |
PxQteMeth="STD" | // Standard Price Quote Method |
PxQteCcy="USD" | // Prices are quoted in USD |
MinPxIncr="0.01" | // The minimum price increment |
Mult="1000" | // Contract Multiplier |
SettlMeth="P" | // Physically delivered |
ValMeth="FUT" | // Futures Style mark-to-market |
ListMeth="0" | // Prelisted only |
Status="1" | // Contract is Active |
MatDt="2009-06-22"> | // Last Settlement Date |
<Evnt EventTyp="5" Dt="2006-02-09"/> | // First Trading Day |
<Evnt EventTyp="7" Dt="2009-06-22"/> | // Last Trading Day |
<Evnt EventTyp="105" Dt="2009-06-23"/> | // Last EFP Day |
<Evnt EventTyp="106" Dt="2009-03-23"/> | // First (Block) TAS Date |
<Evnt EventTyp="107" Dt="2009-06-19"/> | // Last (Block) TAS Date |
</Instrmt> | |
<InstrmtExt> | |
<Attrb Typ="29" Val="Y"/> | // Yes, this product is tradable |
<Attrb Typ="25" Val="1"/> | // Denominator = 1 (Non-fractional product) |
<Attrb Typ="24" Val="1"/> | // Product is eligible for Block Trades |
<Attrb Typ="24" Val="2"/> | // Product is eligible for EFP |
<Attrb Typ="24" Val="12"/> | // Product is eligible for EFS |
<Attrb Typ="30" Val="1"/> | // New value to express TAS on a trade type, |
</InstrmtExt> | 1 = Block so the product supports Block TAS |
<ProdClsfnGrp> | |
<ProdClsfn Rsn="7" Val="Crude Oil"/> | // Product Group is Crude Oil |
</ProdClsfnGrp> | |
</SecDef> | |
<SecDef> | // Repeat SecDef for each contract that |
meets the selection criteria. | |
</SecDef> | |
</Batch> | |
</FIXML> |
Sample Sec Def for a Fractional Product (Treasury/Grains)
<FIXML> | |
<Batch> | |
<Hdr | |
SID="CME" | |
SSub="CPAPI " | |
TID="BRKR" | |
TSub="user123"/> | |
<SecDef | |
RspTyp="103" | // Echo back Type of Request that was made |
ReqID="1234567" | // Echo Request ID from the SecDefReq |
RptID="3400001" | // Unique response identifier |
BizDt="2009-10-19"> | // Current Clearing Date |
<Instrmt | |
ID="3YR" | // Clearing symbol (qualified by Exch) |
Src="H" | // Accompanies ID and is always ‘H’ |
MMY="200910" | |
Desc="3 YEAR TREASURY NOTE FUTURE" | // Product Description. |
SecTyp="FUT" | // Security Type: FUT |
Exch="CBT" | // The product exchange |
ProdCmplx="FIN" | // Product Complex |
ProdTerm="3" | // 3 means product expires Monthly |
TmUnit="Mo" | // Time unit is month |
UOM="Ccy" | // Unit of Measure is Currency |
UOMCcy="USD" | // Unit of Measure Currency is Dollars |
UOMQty="200000" | // Contract Size is 200,000 (notional) |
PxUOM="IPNT" | // Index Point |
PxUOMQty="100" | // Min Quantity Increment |
PxQteMeth="STD" | // Standard Price Quote Method |
PxQteCcy="USD" | // Prices are quoted in USD |
MinPxIncr="0.0078125" | // The minimum price increment |
Mult="2000" | // Contract Multiplier |
SettlMeth="P" | // Physically delivered |
ValMeth="FUT" | // Futures Style mark-to-market |
ListMeth="0" | // Prelisted Only |
Status="1" | // Contract is Active |
MatDt="2009-06-30"> | // Last Settlement Date |
<Evnt EventTyp="5" Dt="2009-03-05"/> | // First Trading Day |
<Evnt EventTyp="7" Dt="2009-07-30"/> | // Last Trading Day |
</Instrmt> | |
<InstrmtExt> | |
<Attrb Typ="29" Val="Y"/> | // Yes, this product is tradable |
<Attrb Typ="25" Val="32"/> | // Denominator > 1 (fractional product) |
<Attrb Typ="26" Val="4"/> | // The fractional Numerator |
<Attrb Typ="24" Val="1"/> | // Product is eligible for Block Trades |
<Attrb Typ="24" Val="2"/> | // Product is eligible for EFP |
<Attrb Typ="24" Val="12"/> | // Product is eligible for EFS |
</InstrmtExt> | |
<ProdClsfnGrp> | |
<ProdClsfn Rsn="7" Val="Interest Rates"/> | // Product Group is Interest Rate |
</ProdClsfnGrp> | |
</SecDef> | |
<SecDef> | // Repeat SecDef for each contract that |
| meets the selection criteria. |
| |
| |
</SecDef> | |
</Batch> | |
</FIXML> |
Sample Sec Def for a Daily Forward
<FIXML> | |
<Batch> | |
<Hdr | |
SID="CME" | |
SSub="CPAPI " | |
TID="BRKR" | |
TSub="user123"/> | |
<SecDef | |
RspTyp="103" | // Echo back Type of Request that was made |
ReqID="1234567" | // Echo Request ID from the SecDefReq |
RptID="3400001" | // Unique response identifier |
BizDt="2009-10-19"> | // Current Clearing Date |
<Instrmt | |
ID="GB" | // Clearing symbol (qualified by Exch) |
Src="H" | // Accompanies ID and is always ‘H’ |
MMY="20091001" | // Contract Maturity Month, Year, Day |
Desc=" London Gold Forwards" | // Product Description. |
SecTyp="FWD" | // Security Type: FWD (Forward) |
Exch="COMEX" | // The product exchange |
ProdCmplx="METAL" | // Product Complex |
ProdTerm="1" | // 1 means product expires Daily |
TmUnit="D" | // Time unit is day |
UOM="oz_tr" | // Unit of Measure is Troy Ounces |
UOMQty="100" | // Contract Size is 100 Troy Ounces. |
PxUOM=" oz_tr" | // Price Unit of Measure is Troy Ounces |
PxUOMQty="1" | // Min Quantity Increment |
PxQteMeth="STD" | // Standard Price Quote Method |
PxQteCcy="USD" | // Prices are quoted in USD |
MinPxIncr="0.001" | // The minimum price increment |
Mult="100" | // Contract Multiplier |
SettlMeth="P" | // Physically delivered |
ValMeth="FUT" | // Futures Style mark-to-market |
ListMeth="0" | // Prelisted only |
Status="1" | // Contract is Active |
MatDt="2009-06-30"> | // Last Settlement Date |
<Evnt EventTyp="5" Dt="2009-05-13"/> | // First Trading Day |
<Evnt EventTyp="7" Dt="2009-06-30"/> | // Last Trading Day |
<Evnt EventTyp="105" Dt="2009-06-23"/> | // Last EFP Day |
</Instrmt> | |
<InstrmtExt> | |
<Attrb Typ="29" Val="Y"/> | // Yes, this product is tradable |
<Attrb Typ="25" Val="1"/> | // Denominator = 1 (Non-fractional product) |
<Attrb Typ="24" Val="22"/> | // Product is eligible for OPNT |
</InstrmtExt> | |
<ProdClsfnGrp> | |
<ProdClsfn Rsn="7" Val="Metals"/> | // Product Group is Metal |
</ProdClsfnGrp> | |
</SecDef> | |
<SecDef> | // Repeat SecDef for each contract that |
| meets the selection criteria. |
| |
| |
</SecDef> | |
</Batch> | |
</FIXML> |
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