CME ClearPort API - Trade Capture Report Message - Instrument - Outbound

Product Code

ID

String

Used as the primary identifier for the traded instrument. For listed derivatives this is generally an exchange or CCP defined value.

ALL

ALL

Outright

Source of the Product Code

Src

String

Identifies the source of the SecurityID If it is not specified, the default of Clearing is used.

ALL

ALL

Outright

H - Clearing House / Clearing Organization

CFI Code

CFI

String

Indicates the type of security using ISO 10962 standard Classification of Financial Instruments (CFI Code) values:

• Char 1: ‘O’ (Option)

• Char 2: ‘P’ or ‘C’ (Put, Call)

• Char 3: ‘E’ (European expiry)

• Char 4: ‘C’ (Currency)

• Char 5: ‘C’ (Cash)

• Char 6 ‘N’ (Non   standard)

OPT

OTCFX

 OPECCN

Security Type

SecTyp

String

Indicates type of instrument or security being traded or defined. It is required on inbound trade submissions and is used as one of the identifiers of the instrument. This is required because the usage of CFI code is in the process of being deprecated.

ALL

ALL

Both

FUT - Future

FWD - Forward

IRS - Interest Rate Swap

MLEG - Multi Leg (Combo)

OOC - Options on Combo

OOF - Options on Futures

Security Sub Type

SubTyp

String

Sub-type qualification/identification of the SecurityType. For a multi-leg instrument, can indicate the type of spread.

Contract Period Code

MMY

MonthYear

Specifies the month and year of maturity. Applicable for standardized derivatives that are typically only referenced by month and year (e.g. S&P futures).

ALL

ALL

Outright

Strike Price

StrkPx

Price

Used for derivatives, such as options and covered warrants

OPT

ALL

Outright

Settlement Method  

SettlMeth

Char

Settlement method for the

option.

OPT

OTCFX

C

Exercise Style

ExerStyle

Int

Type of exercise of a derivatives

security.

0=European

OPT

OTCFX

0

Put Or Call

PutCall

int

Used to express option right

OPT

ALL

Outright

0 - Put

1 - Call

Time Unit

TmUnit

String

Used to indicate a time unit for the contract (e.g., days, weeks, months, etc.)

D - Day

H - Hour

Mo - Month

Product Exchange

Exch

Exchange

The exchange where the Security is listed. Note that spreads across multiple exchanges are not supported, and this must be present on spreads as well as outrights.

ALL

ALL

Both

CBT - Chicago Board of Trade

CEE - Stock Exchange Group

CME - Chicago Mercantile Exchange

COMEX - Commodities Exchange, Inc

DME - Gulf Mercantile Exchange

NYMEX - New York Mercantile Exchange

NYMSW - CME Swaps - NYMEX

→ Alternate Identifier

AltID

String

The value of the Alternate security identifier.

→ Alternate Identifier Source

AltIDSrc

String

The source of the Alternate security identifier.

104 - Red Code

105 - Preferred Reference Obligation

106 - Pair Clip

115 - Standard Reference Obligation