MDP 3.0 - Market Data Security Definition - Repo

This Market Data Security Definition message is sent for Repo markets. This message maps to the MDInstrumentDefinitionRepo template in the SBE MDP Core schema.

Tag	FIX Name	Type	Semantic Type	Valid Values	Description
5799	MatchEventIndicator	MatchEventIndicator	MultipleCharValue		Bitmap field of eight Boolean type indicators reflecting the end of updates for a given Globex event
911	TotNumReports	uInt32NULL	int		Total number of instruments in the Replay loop. Used on Replay Feed only.
980	SecurityUpdateAction	SecurityUpdateAction	char		Last Security update action on Incremental feed, 'D' or 'M' is used when a mid-week deletion or modification (i.e. extension) occurs.
779	LastUpdateTime	uInt64	UTCTimestamp		Timestamp of when the instrument was last added, modified or deleted. Sent in number of nanoseconds since Unix epoch
1682	MDSecurityTradingStatus	SecurityTradingStatus	int	2=Trading Halt 4=Close 17=Ready to trade (start of session) 18=Not available for trading	Identifies the current state of the instrument
1180	ApplID	Int16	int		The channel ID as defined in the XML Configuration file
1300	MarketSegmentID	uInt8	int		Identifies the market segment for all CME Globex instruments
462	UnderlyingProduct	uInt8	int		Product complex 2=Commodity/Agriculture 4=Currency 5=Equity 6=Government 10=Mortgage 12=Other 13=Financing 14=Interest Rate 15=FX Cash 16=Energy 17=Metals
207	SecurityExchange	SecurityExchange	Exchange		Exchange used to identify a security
1151	SecurityGroup	SecurityGroup	String		Security Group Code
6937	Asset	Asset	String		The underlying asset code also known as Product Code
55	Symbol	Symbol	String		Instrument Name or Symbol
48	SecurityID	Int32	int		A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.
22	SecurityIDSource	SecurityIDSource	char		Identifies class or source of the SecurityID (Tag 48) value
167	SecurityType	SecurityType	String	REPO=REPO instruments	Security Type
461	CFICode	CFICode	String		ISO standard instrument categorization code.
15	Currency	Currency	Currency		Identifies the currency for the instrument traded
120	SettlCurrency	Currency	Currency		Identifies currency used for settlement
1142	Matchrithm	CHAR	char	F=First In, First Out (FIFO)	Matching Algorithm
562	MinTradeVol	uInt32	Qty		The minimum trading volume for a security
1140	MaxTradeVol	uInt32	Qty		The maximum trading volume for a security
969	MinPriceIncrement	PRICE9	Price		Minimum constant tick for the instrument
9787	DisplayFactor	Decimal9	float		Contains the multiplier to convert the CME Globex display price to the conventional price.
996	UnitOfMeasure	UnitOfMeasure	String		Unit of measure for the products' original contract size. This will be populated for all products listed on CME Globex
1147	UnitOfMeasureQty	Decimal9NULL	Qty		This field contains the contract size for each instrument. Use in combination with tag 996-UnitofMeasure
1150	TradingReferencePrice	PRICENULL9	Price		Trading Reference price
5796	TradingReferenceDate	LocalMktDate	LocalMktDate		Indicates session date corresponding to the price in tag 1150-TradingReferencePrice
1149	HighLimitPrice	PRICENULL9	Price		Allowable high limit price for the trading day
1148	LowLimitPrice	PRICENULL9	Price		Allowable low limit price for the trading day
1143	MaxPriceVariation	PRICENULL9	Price		Differential value for price banding
2714	FinancialInstrumentFullName	LongName	String		Long name of the instrument
9736	PartyRoleClearingOrg	String5	String		Clearing organization
916	StartDate	LocalMktDate	LocalMktDate		Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral
917	EndDate	LocalMktDate	LocalMktDate		End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral
788	TerminationType	String8	String		For Repos the timing or method for terminating the agreement. For US, there are 2 Terms - Cash and Reg. For those 2 term codes there can be multiple period code combinations - 1 Week, 2 Week or 2 Month, 3 Month, etc. For EU there are Overnight, Tomorrow, Spot and Corporate types. For those 4 term codes there can be multiple period code combinations - 1 Week, 2 Week or 2 Month, 3 Month, etc.
762	SecuritySubType	RepoSubType	int	0=Special 1=GC 2=GCForDBV	Repo Sub Security Type Special=Repo on a single underlying instrument for which we will generate start cash/end cash based on the underlying price and repo rate GC=Repo on a single or basket of eligible underlyings that will require allocation at BrokerTec GCForDBV=Repo on a single or basket of eligible underlyings that will require allocation outside of BrokerTec, such as at the clearer/triparty agent, etc
37714	MoneyOrPar	MoneyOrPar	int		Money or Par indicates if the GC is filled by par amount or by money amount
37715	MaxNoOfSubstitutions	uInt8	int		Max number of substitutions allowed. The value of 0 indicates that substitutions are not allowed
1196	PriceQuoteMethod	String5	String	YIELD PRICE RATE	Price quotation method
9779	UserDefinedInstrument	UserDefinedInstrument	char	Y=User defined instrument N=Not a user defined instrument	User-defined instrument flag
37721	RiskSet	String6	String		Risk Set identifies the list of instruments sharing credit limits set up
37722	MarketSet	String6	String		Market Set defines the bilateral relationship and Self Match Prevention configuration for eligible markets
37513	InstrumentGUID	uInt64NULL	int		Global unique instrument identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. Currently unavailable for futures and options instruments.
37716	TermCode	String20	String		Full Repo Term Code
6651	BrokenDateTermType	uInt8NULL	int	Null = Not applicable 0 = Custom 1 = Quarterly 2 = Monthly	Optionally used in tailor-made repo contracts and defines the type of broken dates as requested by trader. Null = Not applicable, 0 = Custom, 1 = Quarterly, 2 = Monthly
Repeating Group 1
864	NoEvents	NuminGroup			Number of repeating entries.
→865	EventType	EventType	int	5=Activation 7=Last eligible trade date	Code to represent the type of event
→1145	EventTime	uInt64	UTCTimestamp		Date and Time of Instrument Activation or Last Trade Datetime event sent as number of nanoseconds since Unix epoch
Repeating Group 2
1141	NoMDFeedTypes	NuminGroup			Number of repeating entries.
→1022	MDFeedType	MDFeedType	String		Describes a class of service for a given data feed. GBX- Real Book, GBI-Implied Book
→264	MarketDepth	Int8	int		Book depth
Repeating Group 3
870	NoInstAttrib	NuminGroup			Number of repeating entries.
→871	InstAttribType	InstAttribType	int	24=Eligibility	Instrument eligibility attributes
→872	InstAttribValue	InstAttribValue	MultipleCharValue		Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain. Bitmap field of 32 Boolean type indicators: 0 (least significant bit): Electronic Match Eligible 1: Order Cross Eligible 2: Block Trade Eligible 3: EFP Eligible 4: EBF Eligible 5: EFS Eligible 6: EFR Eligible 7: OTC Eligible 8: iLink Mass Quoting Eligible 9: Negative Strike Eligible 10: Negative Price Eligible 11: Is Fractional (indicates product has fractional display price) 13: RFQ Cross Eligible 14: Zero Price Eligible 15: Decaying Product Eligibility 16: Variable Quantity Product Eligibility 17: DailyProduct Eligibility 18: GT Orders Eligibility (Previously Tag 827) 19: Implied Matching Eligibility (Previously tag 1144) 21: Variable Cabinet Eligible 22: Inverted Book 23: All or None Instrument 24-31 – Reserved for future use
Repeating Group 4
1234	NoLotTypeRules	NuminGroup			Number of repeating entries.
→1093	LotType	Int8	int	2=minimum order entry quantity for an instrument 5=order quantity increment	This tag is required to interpret the value in tag 1231-MinLotSize.
→1231	MinLotSize	DecimalQty	Qty		If tag 1093-LotType=2, this value is minimum quantity accepted for order entry. If tag 1093-LotType=5, the 1231-MinLotSize is order quantity increment. For example, if 1093-LotType=2 & 1231-MinLotSize orders may be entered in increments of 2. Therefore, order sizes of 1, 3, 5, etc can be entered.
Repeating Group 5
711	NoUnderlyings	NuminGroup			Number of repeating entries.
→311	UnderlyingSymbol	UnderlyingSymbol	String		Underlying Instrument Symbol (Short Name). When the underlying is a Globex listed Fixed Income instrument this value will be the same as that contained in Security Definition Tag 55-Symbol of the underlying instrument
→309	UnderlyingSecurityID	Int32NULL	int		Underlying Security ID as qualified by tag 305-UnderlyingSecurityIDSource. Provided only if the underlying is a Globex listed instrument, this value will be the same as that contained in Security Definition Tag 48-SecurityID.
→305	UnderlyingSecurityIDSource	SecurityIDSource	char		Identifies the class or source of UnderlyingSecurityID Tag 309 value. Always '8' for CME assigned IDs
→458	UnderlyingSecurityAltID	String12	String		Underlying Alternate Security identifier value as qualified by Tag 305-UnderlyingSecuityAltIDSource (e.g. CUSIP, ISIN, etc). For Repo special will contain underlying CUSIP or ISIN. For GC Repo may contain a synthetic CUSIP or ISIN representing a basket
→459	UnderlyingSecurityAltIDSource	SecurityAltIDSource	int	1=CUSIP 4=ISIN	Identifies class or source of the UnderlyingSecurityAltID (458) value
→2720	UnderlyingFinancialInstrumentFullName	LongName	String		Long Name of the Underlying Instrument. For the instruments listed on Globex this value will be the same as of that contained in Security Definition Tag 2714-FinancialInstrumentFullName
→310	UnderlyingSecurityType	SecurityType	String	TBOND = US Treasury Bond TBILL = US Treasury Bill TNOTE = US Treasury Note TB = Non-US Treasury Bill SOV = UK Gilts EUSOV= EGB (Euro Government Bonds) EUSUP=Euro Supranational SUPRA= US Supranational FAC = Non-mortgaged backed Agency Securities FADN = Agency Discount Notes TIPS = Treasury Inflation-Protected Securities TINT = U.S. Treasury STRIPS CLBSKT = GC basket with mixed instrument types	Underlying Security Type
→592	UnderlyingCountryOfIssue	CountryCode	String		Underlying Security's CountryOfIssue. See CountryOfIssue (470) field for description
→306	UnderlyingIssuer	String25	String		Underlying Security's Issuer. See Tag 106-Issuer field for description
→37717	UnderlyingMaxLifeTime	uInt8NULL	int		Max life time of the underlying instruments qualifying for the GC basket in number of year. Will contain null value for Repo specials
→37718	UnderlyingMinDaysToMaturity	uInt16NULL	int		Minimum days to maturity remaining of the underlying instruments to qualify for GC basket. Will contain null value for Repo specials
→37519	UnderlyingInstrumentGUID	uInt64NULL	int		Underlying GUID. For Repo specials populated with individual instrument GUID of the underlying security. For GC Repo, will be populated with Basket GUID.
→542	UnderlyingMaturityDate	LocalMktDate	LocalMktDate		Underlying Security's Maturity Date. Will be populated with Maturity Date of the underlying security instrument for Repo Specials only
Repeating Group 6
1647	NoRelatedInstruments	NuminGroup			Number of repeating entries.
→1650	RelatedSecurityID	Int32	int		Related Security ID. Used to correlate Repos and AON Repos. For regular Repo contract will contain SecurityID of AoN Repo for the same underlying product, term, start and end dates. And vice versa - for AoN Repo will contain the related regular Repo SecurityID
→1651	RelatedSecurityIDSource	SecurityIDSource	char		Related Security ID Source
→1649	RelatedSymbol	Symbol	String		Related Instrument Symbol
→37724	RelatedInstrumentGUID	uInt64NULL	int		Related Instrument GUID
Repeating Group 7
39026	NoBrokenDates	NuminGroup			This group indicates the number of broken dates and references individual broken contracts in user defined tailor made repo. Applicable only to tailor made repos requested by traders with broken dates
→39031	BrokenDateGUID	uInt64	int		External unique broken date Instrument ID
→39027	BrokenDateSecurityID	Int32	char		Broken date Instrument Globex Security ID
→6748	BrokenDateStart	LocalMktDate	LocalMktDate		Start date of a broken date period
→6741	BrokenDateEnd	LocalMktDate	LocalMktDate		End date of a broken date period