MDP 3.0 - Market Data Security Definition - Spreads

The market data Security Definition (tag 35-MsgType=d) message identifies the instrument and provides instrument attributes such as expiration, currency, etc.

This Market Data Security Definition message is sent for spreads. This message maps to the MDInstrumentDefinitionSpread template in the SBE MDP Core schema.

Tag	FIX Name	Type	Semantic Type	Valid Values	Description
5799	MatchEventIndicator	MatchEventIndicator	MultipleCharValue	example: 10000000 – Security Definition message is the last message of the event example:00000000 – Security Definition is not the last message of the even	Bitmap field of eight Boolean type indicators reflecting the end of updates for a given CME Globex Event: Bit 0: (least significant bit) Last Trade Summary message for a given event Bit 1: Last electronic volume message for a given event Bit 2: Last customer order quote message for a given event Bit 3: Last statistic message for a given event Bit 4: Last implied quote message for a given event Bit 5: Message resent during recovery Bit 6: Reserved for future use Bit 7: (most significant bit) Last message for a given event
911	TotNumReports	uInt32NULL	int		Total number of instruments in the Replay loop. Used on Replay Feed only
980	SecurityUpdateAction	SecurityUpdateAction	char	A=Add D=Delete M=Modify	Included in the message on the Incremental feed when a mid-week deletion or modification (i.e. extension) occurs. Add represents Security Definition messages that are: Newly added during the current week Disseminated during the Sunday Startup period Resent by the system during the week Modify represents modifications to a Security Definition Delete represents deletions of a Security Definition
779	LastUpdateTime	uInt64	UTCTimestamp		Timestamp of when the instrument was last added, modified or deleted
1682	MDSecurityTradingStatus	SecurityTradingStatus	int	2=Trading Halt 4=Close 17=Ready to trade (start of session) 18=Not available for trading 21=Pre Open 103= No Change	Identifies the current state of the instrument. The data is available in the Instrument Replay feed only
1180	ApplID	Int16	int		The channel ID as defined in the XML Configuration file
1300	MarketSegmentID	uInt8	int		Identifies the market segment, populated for all CME Globex instruments
462	UnderlyingProduct	uInt8NULL	int		Product complex
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. Previously used as Group Code
48	SecurityID	Int32	int		Unique instrument ID
22	SecurityIDSource	SecurityIDSource	char	8=Exchange symbol	Identifies class or source of the security ID (Tag 48) value
167	SecurityType	SecurityType	String		Security Type
461	CFICode	CFICode	String		ISO standard instrument categorization code. Currently not supported in futures and options markets. Consult CME Reference Data API Version 3 for CFI values.
200	MaturityMonthYear	MaturityMonthYear	MonthYear		This field provides the actual calendar date for contract maturity
15	Currency	Currency	Currency		Identifies currency used for price
762	SecuritySubType	SecuritySubType	String		Strategy type
9779	UserDefinedInstrument	UserDefinedInstrument	char	Y=User defined instrument N=Not a user defined instrument	User-defined instruments flag
1142	MatchAlgorithm	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	PRICENULL9	Price		Minimum constant tick for the instrument, sent only if instrument is non-VTT (Variable Tick table) eligible
9787	DisplayFactor	Decimal9	float		Contains the multiplier to convert the CME Globex display price to the conventional price
9800	PriceDisplayFormat	uInt8NULL	int		Number of decimals in fractional display price
5770	PriceRatio	PRICENULL9	Price		Used for price calculation in spread and leg pricing
6350	TickRule	Int8NULL	int		Tick Rule
996	UnitOfMeasure	UnitOfMeasure	String		Unit of measure for the products' original contract size
1150	TradingReferencePrice	PRICENULL9	Price		Reference price - the most recently available Settlement whether it be Theoretical, Preliminary or a Final Settle of the session
731	SettlPriceType	SettlPriceType	MultipleCharValue		Bitmap field of eight Boolean type indicators representing settlement price type
5792	OpenInterestQty	Int32NULL	Qty		The total open interest for the market at the close of the prior trading session. The field will be null for Brokertec instruments, Settlements are not supported on BrokerTec markets.
5791	ClearedVolume	Int32NULL	Qty		The total cleared volume of instrument traded during the prior trading session
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
37702	MainFraction	uInt8NULL	int		Price Denominator of Main Fraction
37703	SubFraction	uInt8NULL	int		Price Denominator of Sub Fraction
5796	TradingReferenceDate	LocalMktDate	LocalMktDate		Indicates session date corresponding to the settlement price in tag 1150-TradingReferencePrice
1196	PriceQuoteMethod	String5	String		Price quotation method
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.
2714	FinancialInstrumentFullName	LongName	String		Long name of the instrument
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		Identifies the depth of book
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
555	NoLegs	NuminGroup			Number of repeating entries.
→602	LegSecurityID	Int32	int		Leg Security ID
→603	LegSecurityIDSource	SecurityIDSource	char		Identifies source of tag 602-LegSecurityID value
→624	LegSide	LegSide	int		Leg side
→623	LegRatioQty	Int8	Qty		Leg ratio of quantity for this individual leg relative to the entire multi-leg instrument
→566	LegPrice	PRICENULL9	Price		Price for the future leg of a UDS Covered instrument
→1017	LegOptionDelta	DecimalQty	Qty		Delta used to calculate the quantity of futures used to cover the option or option strategy