Security Status CME Market Data Over WebSocket API
Effective TBA, CME Group will launch Market Data Security Status messaging functionality for CME Market Data Over WebSocket API. The Market Data Security Status message is used to indicate:
Security group market state changeÂ
Instrument state change
Implied matching OFF/ ON state
With CME Market Data Over WebSocket API, clients can access easy-to-use real-time CME Group market data feeds. CME Market Data Over WebSocket API supports JavaScript Object Notation (JSON) format. The service provides an easy, low-cost, and highly scalable format to drive trading analysis, risk management, or distribution. Data available in this universal format includes top of book information, trade execution, and product statistics including settlement, total daily volume, and open interest. CME Market Data Over WebSocket API is a service powered by Google Cloud for market data distribution.Â
This topic describes new Market Data Security Status messaging functionality for CME Market Data Over WebSocket API.
Contents
Revision History
Date | Description |
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March 6, 2024 | Initial version of this client impact topic. |
Key Events and Dates
Date | Milestone |
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TBA | New Release |
TBA | Production |
Testing and Certification
Certification is required to support Security Status messages via CME Market Data Over WebSocket API. Â
Security Status Impacts
This topic describes Market Data Security Status management. The Market Data Security Status message is used to indicate:
Security group market state changeÂ
Instrument state change
Implied matching OFF/ ON state
The messageType for security status is "SECSTATE".
Security Status Priority
On CME Market Data Over WebSocket API, the last security status message sent always takes precedence.
Security Status Message Request
A subscription message allows client systems to recover and to subscribe a product code. With this launch a new "subscriptionMessageTypes" value of "SECSTATE" will be added to support security status messages. See more information regarding subscription messages. Â
Subscription Message
Message Name | messageType | subscriptionMessageTypes | Status | From | To | Purpose |
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Subscribe/ Unsubscribe | UNSUBSCRIBE | Client System to CME Globex | Unsubscribe | ||
Subscription Status | SUBSCRIPTION_STATUS |
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| CME Globex to Client System | Subscription Confirmation |
Subscription Error | SUBSCRIPTION_ERROR |
| Â | CME Globex to Client System | Subscription Rejection |
Group Security Status UsageÂ
The table outlines group level security status messages.
TAG | PRE-OPEN | PRE-OPEN - NO CANCEL | OPENING | OPEN | PAUSE | CLOSE - NOT FINAL | CLOSE - FINAL | POST - CLOSE | IMPLIED MATCHING ON/OFF BY PRODUCT CODE |
|---|---|---|---|---|---|---|---|---|---|
Description | Orders, Cx, CxR are allowed, except for MKT, FAK, FOK | End of Pre-Open state. Usually 30 seconds before market transitions to opening. Order entry is allowed. Modification and cancellation are not allowed. | Brief intermediate state. Pre-Open orders are resolved following Indicative Opening Price (IOP) determination. Trades are sent. | Client System to CME Globex | Interruption of continuous trading. Only order cancellation is allowed. Order matching is not allowed | End of day preparation for the next Pre-Open. Not final close for the date. This state allows a mid-session Pre-Open to be initiated. | Final Close for the date. Day orders are eliminated. | Allows GTC/GTD orders only placement, modification, and cancellation. No matching takes place and no action can be taken on non-GTC/GTD orders. | Change in Implied matching status only for the instruments with a given product code in the group. |
Market Support |
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transactTime | X | X | X | CME Globex to Client System | X | X | X | X | X |
tradeDate | X | X | X | X | X | X | X | X | |
productGroup | X | X | X | X | X | X | X | X | |
productCode | - | - | - | - | - | - | - | X | |
securityId | - | - | - | - | - | - | - | - | |
tradingStatus |
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statusChange |
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securityTradingEvent |
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Group Security Status Message ExamplesÂ
Instrument Security Status UsageÂ
The table below outlines instrument level security status messages.
PRE-OPEN (RESERVED) | OPEN | PAUSE | CLOSE (FORBIDDEN) | PRE-CROSS | CROSS | IMPLIED MATCHING ON/OFF | |
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Description | Due to Velocity Logic (VL), the market automatically enters a brief Reserved state for a predetermined time period. Instruments can also be reserved by Surveillance. | Instrument returns to group Open state after being Reserved, Forbidden or Paused. Instrument Open status is also sent due to Instrument activation. | Interruption of continuous trading. Only order cancellation is allowed. Order modification and matching are not allowed. | Order matching is not allowed. Incoming orders are rejected along with cancel requests. | Invoked by Customer Request for Cross (RFC) message. Holds RFC matching for a configurable time period. All other order entry and matching is allowed. | Configured Pre-Cross time expired. | Change in Implied matching status for the instrument(s). Not related to state change. |
Market Support |
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transactTime | X | X | X | X | X | X | X |
tradeDate | X | X | X | X | X | X | X |
productGroup | - | - | - | - | - | - | - |
productCode | - | - | - | - | - | - | - |
securityId | X | X | X | X | X | X | X |
tradingStatus |
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statusChange |
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securityTradingEvent |
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Contact Information
For technical development support, contact Certification Support for Electronic Trading (CSET).
For production requests, please contact the Global Command Center (GCC).
For all other inquiries, please contact Global Account Management (GAM).
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