CME STP FIX - TradeCaptureReport - Instrument

Owned by CME Group
Last updated: Jul 31, 2024
4 min read

Tag

Name

FIXML Abbr

Req

Format

Description

Enumerations

55

Product Symbol

Sym

Y

String

Symbol for a CME contract, e.g. CLX05. Will not be present for IRS/FRA/SWAPTION trades.



48

Product Code

ID

Y

String

Symbol for CME product, e.g. CL.



22

Source of the Product Code

Src

Y

String

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

H - Clearing House / Clearing Organization


461

CFI Code

CFI

N

String

Indicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. 



167

Security Type

SecTyp

N

String

Indicates type of instrument or security.

  • CMDTYSWAP - Commodity Swap

  • FRA - Forward Rate Agreement

  • FUT - Future

  • FWD - Forward

  • FXSPOT - FX Spot

  • IRS - Interest Rate Swap

  • MLEG - Multi Leg (Combo)

  • OPT - Option

  • SWAPTION - Swaption

762

Security Sub Type

SubTyp

N

String

For spreads, indicates the strategy type.

CME STP FIX - Supported Strategy Type Codes

200

Maturity Month Year

MMY

N

MonthYear

Specifies the month and year of maturity.

  • YYYYMM (i.e. 201403)

  • YYYYMMDD (20140323)

  • YYYYMMwN (201403w1)

541

Maturity Date

Matdt

N

LocalMktDate

Date of Maturity



224

Next Coupon Date

CpnPmt

N

LocalMktDate

This is used to indicate the next date on which Coupon Premium is due.



202

Strike Price

StrkPx

N

Price

Strike price for an option.



967

Strike Multiplier

StrkMult

N

float

Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.



1866

Strike Index

StrkNdx

N

String

Specifies the index used to calculate the strike price.



10046

Strike Index Location

StrkNdxLctn

N

String

Location of the strike price index.



1481

UnderlyingPriceDeterminationMethod

PxDtrmnMeth

N

int

Specifies how the underlying price is determined at the point of option exercise. The underlying price may be set to the current settlement price, set to a special reference, set to the optimal value of the underlying during the defined period ("Look-back") or set to the average value of the underlying during the defined period ("Asian option").

  • 1 - Regular

  • 2 - Special reference

  • 3 - Optimal value (Lookback)

  • 4 - Average value (Asian option)

6070

Price Multiplier

Mult

N

float

Price multiplier used to convert the change in price (sell - buy) into P&L per contract.



996

Unit Of Measure

UOM

N

String

Physical unit of measure for Derivative products. Additional values may be used by mutual agreement of the counterparties.

  • Alw - Allowances

  • BDFT - Board feet

  • Bbl - Barrels

  • Bcf - Billion cubic feet

  • Bu - Bushels

  • CBM - Cubic Meters

  • CER - Certified Emissions Reduction

  • CRT - Climate Reserve Tonnes

  • Ccy - Amount of currency

  • EnvCrd - Environmental Credit

  • EnvOfst - Environmental Offset

  • FEU - Forty foot equivalent unit

  • GJ - Gigajoules

  • GT - Gross Tons 

  • Also known as long tons or imperial tons, equal to 2240 lbs

  • Gal - Gallons

  • IPNT - Index point

  • L - Liters

  • MMBtu - One Million BTU

  • MMbbl - Million Barrels

  • MW-M - Megawatt-Month (electrical capacity)

  • MWh - Megawatt hours

  • PRINC - Principal with relation to debt instrument

  • cwt - Hundredweight (US)

  • day - Days

  • dt - Dry metric tons

  • g - Grams

  • kL - Kiloliters

  • kW-M - Kilowatt-Month (electrical capacity)

  • kWh - Kilowatt hours

  • kg - Kilograms

  • lbs - pounds

  • oz_tr - Troy Ounces

  • t - Metric Tons (aka Tonne)

  • thm - Therms

  • tn - Tons (US)

  • wt - Wet metric tons

1716

Unit of Measure Currency

UOMCcy

N

Currency

Indicates the currency of the unit of measure. Conditionally required when UnitOfMeasure = Ccy.



1147

Unit of Measure Quantity

UOMQty

N

Qty

Contract's defined quantity, used to calculate total traded notional quantity.



1191

Price Unit of Measure

PxUOM

N

String

The Unit of measure of the quoted Price. For example it is USD for a SOFR contract.

  • Alw - Allowances

  • BDFT - Board feet

  • Bbl - Barrels

  • Bcf - Billion cubic feet

  • Bu - Bushels

  • CBM - Cubic Meters

  • CER - Certified Emissions Reduction

  • CRT - Climate Reserve Tonnes

  • Ccy - Amount of currency

  • EnvCrd - Environmental Credit

  • EnvOfst - Environmental Offset

  • GJ - Gigajoules

  • GT - Gross Tons 

  • Also known as long tons or imperial tons, equal to 2240 lbs

  • Gal - Gallons

  • IPNT - Index point

  • L - Liters

  • MMBtu - One Million BTU

  • MMbbl - Million Barrels

  • MW-M - Megawatt-Month (electrical capacity)

  • MWh - Megawatt hours

  • PRINC - Principal with relation to debt instrument

  • cwt - Hundredweight (US)

  • day - Days

  • dt - Dry metric tons

  • g - Grams

  • kL - Kiloliters

  • kW-M - Kilowatt-Month (electrical capacity)

  • kWh - Kilowatt hours

  • kg - Kilograms

  • lbs - pounds

  • oz_tr - Troy Ounces

  • t - Metric Tons (aka Tonne)

  • thm - Therms

  • tn - Tons (US)

1193

Settlement Method

SettlMeth

N

char

Settlement method for a contract. Can be used as an alternative to CFI Code value

C - Cash settlement required

E - Election at exercise

P - Physical settlement required

1194

Exercise Style

ExerStyle

N

int

Type of exercise of a derivatives security

  • 0 - European

  • 1 - American

  • 2 - Bermuda

201

Put Or Call

PutCall

N

int

Indicates whether an option contract is a put or call.

  • 0 - Put

  • 1 - Call

207

Product Exchange

Exch

N

Exchange

The exchange where the security is listed.

  • CBT - Chicago Board of Trade

  • CEE - Stock Exchange Group

  • CME - Chicago Mercantile Exchange

  • COMEX - Commodities Exchange, Inc

  • DME - Gulf Mercantile Exchange

  • FXS - FX Spot

  • IFUS - Intercontinental Exchange

  • NGXC - Natural Gas Exchange

  • NODX - Nodal

  • NYMEX - New York Mercantile Exchange

  • NYMSW - CME Swaps - NYMEX

  • VMAC - VMAC

  • XNAS - Nasdaq

  • XXXX - OTC Trades

107

SecurityDesc

Desc

N

String

Long name description of the instrument symbol (product name).



10026

Price Quote Currency

PxQteCcy

N

Currency

The currency in which the price is quoted.



SecAltIDGrp (repeating)

AID



454

NoSecurityAltID



N

NumInGroup

Number of alternate Security Identifiers.



→455

Alternate Identifier

AltID

N

String

The value of the alternate security identifier.



→456

Alternate Identifier Source

AltIDSrc

N

String

The source of the alternate security identifier.

  • 112 - TAM Marker Price Symbol

  • N - Markit RED entity CLIP

  • P - Markit RED pair CLIP

1184

SecurityXML

SecXML



1185

→ FpML

FpML



EvntGrp (repeating)

Evnt



864

NoEvents



N

NumInGroup

Number of reported events.



→865

Event Date Type

EventTyp

N

int

Represents the type of event associated with the contract.

  • 13 - First Delivery Date

  • 111 - Unadjusted Next Coupon Date

  • 112 - Unadjusted Previous Coupon Date

  • 113 - Unadjusted Previous Previous Coupon Date

  • 121 - Fixing Date

→866

Event Date Value

Dt

N

LocalMktDate

Represents the value or date associated with the type of event.



OptionExercise

OptExer



OptionExerciseDates

Dts



41122

Option Exercise Frequency Period

FreqPeriod

N

int

Time unit multiplier for the frequency of exercise dates. If present OptionExerciseFrequencyUnit(tbd) must be specified.



41123

OptionExerciseFrequencyUnit

FreqUnit

N

String

Time unit associated with the frequency of exercise dates. If present OptionExerciseFrequencyPeriod(tbd) must be specified.

  • D - Day

  • H - Hour

  • Min - Minute

  • Mo - Month

  • S - Second

  • Wk - Week

  • Yr - Year

StreamGrp (repeating)

Strm





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