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

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.

Dual-Sided
Single-Sided

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.

Dual-Sided
Single-Sided

ALL

ALL

Outright

• 104 - Red Code

• 106 - Pair Clip

• 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)

O

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.

Dual-Sided
Single-Sided

ALL

ALL

Both

• FUT - Future

• FWD - Forward

• MLEG - Multi Leg (Combo)

• OOC - Options on Combo

• OOF - Options on Futures

• OPT- Options

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).

Dual-Sided
Single-Sided

ALL

ALL

Outright

Strike Price

StrkPx

Price

Used for derivatives, such as options and covered warrants

Dual-Sided
Single-Sided

OPT

ALL

Outright

Settlement Method  

SettlMeth

Char

Settlement method for the

option.

C=Cash settlement

R

OPT

OTCFX

C

Exercise Style

ExerStyle

Int

Type of exercise of a derivatives

security.

0=European

R

OPT

OTCFX

0

Put Or Call

PutCall

int

Used to express option right

Dual-Sided
Single-Sided

OPT

ALL

Outright

• 0 - Put

• 1 - Call

Time Unit

TmUnit

String

Used to indicate a time unit for the contract (such as days, weeks, or months). Optional, and if not specified, the default Time Unit is assumed.
Optional:
If not specified for products that support more than one TimeUnit (such as NN Nat Gas), the default TimeUnit is used (see SecDefs).

• 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.

Dual-Sided
Single-Sided

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