Category Code V - Cumulative Volume
- Space Sync for Confluence
The Cumulative Volume message may be used by an exchange to correct its reported Cumulative Volume (Actual or Estimated) during the current trading day (or the trading session indicated by the Session ID). Note, in particular, that where an exchange revises its opening (or closing) range, any revision to the Cumulative Volume may not be processed by vendors which do not retain a separate record of the volume reported on the opening (or closing) range. To insure the correct processing of volume information under such circumstances, exchanges may use the Cumulative Volume message.
The following conditions apply for the Category Code V - Cumulative Volume message:
Where Category Code V (position 7) AND Session ID " " (position 24), CME Group will not send the message.
Where Category Code V (position 7) AND Session ID "G" (position 24), CME Group will not send the message.
Futures
The following sample message contains the Cumulative Volume for Futures.
aM FV 201651981409330 b ED U16IU160000302Ec
Position | Name | Length | Sample Values | Description | Type |
|---|---|---|---|---|---|
1 | SOH control character | (1) | Binary representation of the number 1 | Control Character | Message Header |
2 - 3 | Exchange ID | (2) | ‘M ‘ | Exchange | Message Header |
4 - 5 | Vendor ID | (2) | ‘ ‘ | Vendor | Message Header |
6 | Product Classification Code | (1) | O | Product type | Message Header |
7 | Category Code | (1) | V | Message type | Message Header |
8 | Type Code | (1) | ‘ ‘ | Message Sub-type | Message Header |
9 | Message Day Code | (1) | 2 | Day of month | Message Header |
10 - 16 | Message Sequence Number | (7) | 0165198 | Sequence number | Message Header |
17 - 23 | Message Time Stamp | (7) | 1409330 | Time will be represented as ‘HHMMSST’ for the time zone in which the exchange is located | Message Header |
24 | Session ID | (1) | ‘ ‘ | Session ID Blank = ETH & RTH | Message Header |
25 | STX control character | (1) | Binary representation of the number 2 | Control Character | Message Header |
26 | Product Classification Type | (1) | ‘ ‘ | Space = No further definition included | Message Body |
27 - 29 | Future Commodity Code | (3) | ‘ED ‘ | ITC 2.1 product code | Message Body |
30 | Future Day Code | (1) | ‘ ‘ | Future maturity date | Message Body |
31 | Future Month Code | (1) | U | Future maturity month | Message Body |
32 - 33 | Future Year Code | (2) | 15 | Future maturity year | Message Body |
34 | Last Trading Date Day Code | (1) | D | Future last trading date | Message Body |
35 | Last Trading Date Month Code | (1) | U | Future last trading month | Message Body |
36 - 37 | Last Trading Date Year Code | (2) | 15 | Future last trading year | Message Body |
38 - 44 | Cumulative Volume | (7) | 0000302 | Cumulative volume of contracts traded, or contracts cleared | Message Body |
45 | Volume Indicator | (1) | E |
| Message Body |
46 | ETX | (1) | Binary representation of the number 3 | Control character | Message Body |
Options
The following sample message contains the Cumulative Volume for Options:
aM OV 202292861516380 b E0 H12P0982500+AED H13FH124 0002500Ec
Position | Name | Length | Sample Values | Description | Type |
|---|---|---|---|---|---|
1 | SOH control character | (1) | Binary representation of the number 1 | Control Character | Message Header |
2 - 3 | Exchange ID | (2) | ‘M ‘ | Exchange | Message Header |
4 - 5 | Vendor ID | (2) | ‘ ‘ | Vendor | Message Header |
6 | Product Classification Code | (1) | O | Product type | Message Header |
7 | Category Code | (1) | V | Message type | Message Header |
8 | Type Code | (1) | ‘ ‘ | Message Sub-type | Message Header |
9 | Message Day Code | (1) | 2 | Day of month | Message Header |
10 - 16 | Message Sequence Number | (7) | 0229286 | Sequence number | Message Header |
17 - 23 | Message Time Stamp | (7) | 1516380 | Time will be represented as ‘HHMMSST’ for the time zone in which the exchange is located | Message Header |
24 | Session ID | (1) | ‘ ‘ | Session ID Blank = ETH & RTH | Message Header |
25 | STX control character | (1) | Binary representation of the number 2 | Control Character | Message Header |
26 | Product Classification Type | (1) | ‘ ‘ | Space = No further definition included | Message Body |
27 - 29 | Option Instrument Code | (3) | ‘EMX ‘ | ITC 2.1 product code | Message Body |
30 | Option Day Code | (1) | ‘ ‘ | Option maturity date | Message Body |
31 | Option Month Code | (1) | H | Option maturity month | Message Body |
32 - 33 | Option Year Code | (2) | 12 | Option maturity year | Message Body |
34 | Put/Call Code | (1) | p | Identify put or call options | Message Body |
35 - 41 | Strike Price | (7) | 0982500 | The delineation of the whole number portion of the price | Message Body |
42 | Strike Price Sign | (1) | + | Represent positive or negative strike | Message Body |
43 | Expiration Indicator | (1) | A | Identifying the style of Expiration for the Option
| Message Body |
44 - 46 | Underlying Future Commodity Code | (3) | ‘ED ‘ | Indicate the product complex | Message Body |
47 | Underlying Future Day Code | (1) | ‘ ‘ | Underlying Future maturity date | Message Body |
48 | Underlying Future Month Code | (1) | H | Underlying Future maturity month | Message Body |
49-50 | Underlying Future Year Code | (2) | 13 | Underlying Future maturity year | Message Body |
51 | Last Trading Date Day Code | (1) | F | Option last trading date | Message Body |
52 | Last Trading Date Month Code | (1) | H | Option last trading month | Message Body |
53 - 54 | Last Trading Date Year Code | (2) | 12 | Option last trading year | Message Body |
55 -56 | Strike Price Fractional Indicator | (2) | ‘4 ‘ | All fractions are expressed as fractions or in decimals as is customary for the particular commodity. | Message Body |
57 | Strike Price indicator | (1) | Space | Identify the manner in which the Strike Prices are coded. | Message Body |
58 - 64 | Cumulative Volume | (7) | 0002500 | Cumulative volume of contracts traded, or contracts cleared | Message Body |
65 | Volume Indicator | (1) | E |
| Message Body |
66 | ETX | (1) | Binary representation of the number 3 | Control character | Message Body |
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