Margin Service API - Transaction Formats

The Margin Service API supports multiple formats for transaction payloads, depending on the asset class.

CME CORE supports FIXML, FpML, and CSV as transaction formats. At this time, multiple formats are not supported for each asset class.

Asset Class	Format

Asset Class	Format
Margin Service API - Transaction Formats#Interest Rate Swap (IRS)	FpML
Margin Service API - Transaction Formats#Forward	FIXML
Margin Service API - Transaction Formats#Future	FIXML
Margin Service API - Transaction Formats#Option	FIXML
Margin Service API - Transaction Formats#Delta Ladder	CSV

Transactions are converted into an internal representation upon being loaded into CME CORE. Additional attributes supplied by the client will not be retained by CME CORE and will not be returned by the get transaction or list transactions requests.

1 FpML
- 1.1 Interest Rate Swap
2 FIXML
- 2.1 Forward
- 2.2 Future
- 2.3 Option
3 CSV
- 3.1 Delta Ladder

FpML

This API supports a CME-specific flavor of FpML based on the FpML 5.4 specification. This mapping is meant to convey the supported FPML fields, not necessarily their order. See the FpML schema for ordering details.

Interest Rate Swap

XPath	Name	Required	Notes

XPath	Name	Required	Notes
^{/cme:FpML/clearingConfirmed/account[@id="account1"]/} ^{accountId[@accountIdScheme="clearing_firm_account"]}	Customer Account ID	No
^{/cme:FpML/clearingConfirmed/party[@id="clearing_firm"]/} ^{partyId[@partyIdScheme="clearing_member_firms"]}	Clearing Member Firm ID	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream@id}	Swap Stream ID	Yes	Defines legs
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{calculationPeriodAmount/calculation/compoundingMethod}	Compounding Method	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{calculationPeriodAmount/calculation/dayCountFraction}	Day Count	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{calculationPeriodAmount/calculation/fixedRateSchedule/initialValue}	Fixed Rate (Initial)	No	Fixed-rate streams only
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{calculationPeriodAmount/calculation/fixedRateSchedule/step/stepValue}	Fixed Rate (Schedule)	No	Fixed-rate streams only
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{calculationPeriodAmount/calculation/floatingRateCalculation/floatingRateIndex}	Floating Rate Index	No	Floating-rate streams only
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{calculationPeriodAmount/calculation/floatingRateCalculation/indexTenor/period}	Floating Rate Index Period	Yes	Floating-rate streams only
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{calculationPeriodAmount/calculation/floatingRateCalculation/indexTenor/periodMultiplier}	Floating Rate Index Multiplier	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{calculationPeriodAmount/calculation/floatingRateCalculation/spreadSchedule/step}	Rate Spread	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{calculationPeriodAmount/calculation/notionalSchedule/notionalStepSchedule/currency}	Currency	Yes
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{calculationPeriodAmount/calculation/notionalSchedule/notionalStepSchedule/initialValue}	Notional Amount	Yes
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{calculationPeriodAmount/calculation/notionalSchedule/notionalStepSchedule/step/stepValue}	Notional Amount	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{calculationPeriodDates/calculationPeriodDatesAdjustments/businessCenters/businessCenter}	Calculation Period Business Center	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{calculationPeriodDates/calculationPeriodDatesAdjustments/businessDayConvention}	Calculation Period Date Convention	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{calculationPeriodDates/calculationPeriodFrequency/period}	Calculation Period Frequency Period	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{calculationPeriodDates/calculationPeriodFrequency/periodMultiplier}	Calculation Period Frequency Multiplier	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{calculationPeriodDates/calculationPeriodFrequency/rollConvention}	Calculation Period Roll Convention	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{calculationPeriodDates/effectiveDate/unadjustedDate}	Unadjusted Start Date	Yes
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{calculationPeriodDates/firstRegularPeriodStartDate}	Calculation Period Regular Start Date	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{calculationPeriodDates/lastRegularPeriodEndDate}	Calculation Period Regular End Date	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{calculationPeriodDates/terminationDate/adjustedDate}	Adjusted End Date	Yes
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{calculationPeriodDates/terminationDate/unadjustedDate}	Unadjusted End Date	Yes
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{payerPartyReference@href}	Payer Party Reference	Yes
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{paymentDates/paymentDatesAdjustments/businessCenters/businessCenter}	Payment Date Business Centers	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{paymentDates/paymentDatesAdjustments/businessDayConvention}	Payment Date Convention	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{paymentDates/paymentFrequency/period}	Payment Frequency Period	Yes
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{paymentDates/paymentFrequency/periodMultiplier}	Payment Frequency Multiplier	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{paymentDates/payRelativeTo}	Payment Date Relationship Type	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{resetDates/fixingDates/businessCenters/businessCenter}	Fixing Date Business Center	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{resetDates/fixingDates/businessDayConvention}	Fixing Date Convention	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{resetDates/fixingDates/dayType}	Fixing Date Day Type	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{resetDates/fixingDates/period}	Fixing Date Offset Period	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{resetDates/fixingDates/periodMultiplier}	Fixing Date Offset Mulitplier	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{resetDates/resetDatesAdjustments/businessCenters/businessCenter}	Reset Business Centers	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{resetDates/resetDatesAdjustments/businessDayConvention}	Reset Date Convention	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{resetDates/resetFrequency/period}	Reset Frequency Period	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{resetDates/resetFrequency/periodMultiplier}	Reset Frequency Multiplier	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{resetDates/resetRelativeTo}	Reset Date Relationship Type	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{stubCalculationPeriodAmount/finalStub/floatingRate[0]/floatingRateIndex}	End Stub - Floating Rate Index 1	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{stubCalculationPeriodAmount/finalStub/floatingRate[0]/indexTenor/period}	End Stub - Floating Rate Period 1	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{stubCalculationPeriodAmount/finalStub/floatingRate[0]/indexTenor/periodMultiplier}	End Stub - Floating Rate Multiplier 1	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{stubCalculationPeriodAmount/finalStub/floatingRate[1]/floatingRateIndex}	End Stub - Floating Rate Index 2	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{stubCalculationPeriodAmount/finalStub/floatingRate[1]/indexTenor/period}	End Stub - Floating Rate Period 2	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{stubCalculationPeriodAmount/finalStub/floatingRate[1]/indexTenor/periodMultiplier}	End Stub - Floating Rate Multiplier 2	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{stubCalculationPeriodAmount/finalStub/stubRate}	End Stub - Rate	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{stubCalculationPeriodAmount/initialStub/floatingRate[0]/floatingRateIndex}	Start Stub - Floating Rate Index 1	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{stubCalculationPeriodAmount/initialStub/floatingRate[0]/indexTenor/period}	Start Stub - Floating Rate Period 1	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{stubCalculationPeriodAmount/initialStub/floatingRate[0]/indexTenor/periodMultiplier}	Start Stub - Floating Rate Multiplier 1	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{stubCalculationPeriodAmount/initialStub/floatingRate[1]/floatingRateIndex}	Start Stub - Floating Rate Index 2	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{stubCalculationPeriodAmount/initialStub/floatingRate[1]/indexTenor/period}	Start Stub - Floating Rate Period 2	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{stubCalculationPeriodAmount/initialStub/floatingRate[1]/indexTenor/periodMultiplier}	Start Stub - Floating Rate Multiplier 2	No
^{/cme:FpML/clearingConfirmed/trade/swap/swapStream/} ^{stubCalculationPeriodAmount/initialStub/stubRate}	Start Stub - Rate	No

Sample

This is a standard fixed/float swap.

<cme:FpML>
    <clearingConfirmed>
      <trade>
        <swap>
          <swapStream id="fixedLeg">
            <payerPartyReference href="clearing_firm"></payerPartyReference>
            <calculationPeriodDates id="fixedCalcPeriodDates">
              <effectiveDate>
                <unadjustedDate>2013-02-04</unadjustedDate>
              </effectiveDate>
              <terminationDate>
                <unadjustedDate>2018-02-04</unadjustedDate>
              </terminationDate>
            <paymentDates>
              <paymentFrequency>
                <period>M</period>
                <periodMultiplier>6</periodMultiplier>
              </paymentFrequency>
            </paymentDates>
            <calculationPeriodAmount>
              <calculation>
                <notionalSchedule>
                  <notionalStepSchedule>
                    <initialValue>100000000.00</initialValue>
                    <currency>USD</currency>
                  </notionalStepSchedule>
                </notionalSchedule>
				<fixedRateSchedule>
                  <initialValue>0.0125</initialValue>
                </fixedRateSchedule>
              </calculation>
            </calculationPeriodAmount>
          </swapStream>
          <swapStream id="floatLeg">
            <calculationPeriodAmount>
              <calculation>
                <floatingRateCalculation>
                  <floatingRateIndex>USD-LIBOR</floatingRateIndex>
                  <period>M</period>
                  <periodMultiplier>3</periodMultiplier>
                </floatingRateCalculation>
              </calculation>
            </calculationPeriodAmount>
          </swapStream>
        </swap>
      </trade>
    </clearingConfirmed>
  </cme:FpML>

FIXML

This API supports standard FIXML following the FIXML 5.0 SP2 specification.

Forward

XPath	Name	Required	Notes

XPath	Name	Required
`/FIXML/TrdCaptRpt@LastQty`	Quantity	Yes
`/FIXML/TrdCaptRpt/Instrmt@Exch`	Exchange ID	Yes
`/FIXML/TrdCaptRpt/Instrmt@ID`	Instrument ID	Yes
`/FIXML/TrdCaptRpt/Instrmt@MMY`	Contract Period Code	Yes
`/FIXML/TrdCaptRpt/Instrmt@SecTyp`	Product Type	Yes
`/FIXML/TrdCaptRpt/RptSide@Side`	Market Side Indicator	Yes
`/FIXML/TrdCaptRpt/RptSide/Pty[@R="4"]@ID`	Clearing Member Firm ID	No
`/FIXML/TrdCaptRpt/RptSide/Pty[@R="24"]@ID`	Customer Account ID	No

Example

CME USD/CAD forward:

<FIXML>
  <TrdCaptRpt LastQty="4">
    <Instrmt Exch="CME" SecTyp="FWD" ID="USDCAD" MMY="20130301" />    
    <RptSide Side="2">
      <Pty R="4" ID="123" />
      <Pty R="24" ID="CUSTACCT1" />
    </RptSide>
  </TrdCaptRpt>
</FIXML>

Future

XPath	Name	Required	Notes

XPath	Name	Required	Notes
`/FIXML/TrdCaptRpt@LastQty`	Quantity	Yes
`/FIXML/TrdCaptRpt/Instrmt@Exch`	Exchange ID