MDP 3.0 - Market Data Security Definition - Repo

This Market Data Security Definition message is sent for Repo markets. This message maps to the MDInstrumentDefinitionRepo template in the SBE MDP Core schema.

Tag

FIX Name

Type

Semantic Type

Valid Values

Description

5799

MatchEventIndicator

MultipleCharValue

Bitmap field of eight Boolean type indicators reflecting the end of updates for a given Globex event

911

TotNumReports

uInt32NULL

int

Total number of instruments in the Replay loop. Used on Replay Feed only.

980

SecurityUpdateAction

char

Last Security update action on Incremental feed, 'D' or 'M' is used when a mid-week deletion or modification (i.e. extension) occurs.

779

LastUpdateTime

uInt64

UTCTimestamp

Timestamp of when the instrument was last added, modified or deleted. Sent in number of nanoseconds since Unix epoch

1682

MDSecurityTradingStatus

SecurityTradingStatus

int

2=Trading Halt

4=Close

17=Ready to trade (start of session)

18=Not available for trading

Identifies the current state of the instrument

1180

ApplID

Int16

int

The channel ID as defined in the XML Configuration file

1300

MarketSegmentID

uInt8

int

Identifies the market segment for all CME Globex instruments

462

UnderlyingProduct

uInt8

int

Product complex

2=Commodity/Agriculture
4=Currency
5=Equity
6=Government
10=Mortgage
12=Other
13=Financing
14=Interest Rate
15=FX Cash
16=Energy
17=Metals

207

SecurityExchange

Exchange

Exchange used to identify a security

1151

SecurityGroup

String

Security Group Code

6937

Asset

String

The underlying asset code also known as Product Code

55

Symbol

String

Instrument Name or Symbol

48

SecurityID

Int32

int

A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.

22

SecurityIDSource

char

Identifies class or source of the SecurityID (Tag 48) value

167

SecurityType

String

REPO=REPO instruments

Security Type

461

CFICode

String

ISO standard instrument categorization code.

15

Currency

Identifies the currency for the instrument traded

120

SettlCurrency

Currency

Identifies currency used for settlement

1142

Matchrithm

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

PRICE9

Price

Minimum constant tick for the instrument

9787

DisplayFactor

Decimal9

float

Contains the multiplier to convert the CME Globex display price to the conventional price.

996

UnitOfMeasure

String

Unit of measure for the products' original contract size. This will be populated for all products listed on CME Globex

1147

UnitOfMeasureQty

Decimal9NULL

Qty

This field contains the contract size for each instrument. Use in combination with tag 996-UnitofMeasure

1150

TradingReferencePrice

PRICENULL9

Price

Trading Reference price

5796

TradingReferenceDate

LocalMktDate

Indicates session date corresponding to the price in tag 1150-TradingReferencePrice

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

2714

FinancialInstrumentFullName

LongName

String

Long name of the instrument

9736

PartyRoleClearingOrg

String5

String

Clearing organization

916

StartDate

LocalMktDate

Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral

917

EndDate

LocalMktDate

End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral

788

TerminationType

String8

String

For Repos the timing or method for terminating the agreement. For US, there are 2 Terms - Cash and Reg. For those 2 term codes there can be multiple period code combinations - 1 Week, 2 Week or 2 Month, 3 Month, etc. For EU there are Overnight, Tomorrow, Spot and Corporate types. For those 4 term codes there can be multiple period code combinations - 1 Week, 2 Week or 2 Month, 3 Month, etc.

Type	Examples
US - Overnight Cash	C
	C-1W
	C-1M
	C-1Y
US - REG	REG
	REG-1W
	REG-1M
	REG-1Y
US - Cash with repo end date as 12/31	C-12/31
EGB – Overnight	O
	O-W
	O-M
	O-Y
EGB – Tomorrow	T-N
	T-W
	T-M
	T-Y
EGB - Spot	S-N
	S-W
	S-M
	S-Y
EGB - Spot with 12/31 end Date	S-12/31
EGB – Corporate	C-N
	C-W
	C-M
	C-Y

762

SecuritySubType

RepoSubType

int

0=Special
1=GC
2=GCForDBV

Repo Sub Security Type

Special=Repo on a single underlying instrument for which we will generate start cash/end cash based on the underlying price and repo rate

GC=Repo on a single or basket of eligible underlyings that will require allocation at BrokerTec

GCForDBV=Repo on a single or basket of eligible underlyings that will require allocation outside of BrokerTec, such as at the clearer/triparty agent, etc

37714

MoneyOrPar

int

Money or Par indicates if the GC is filled by par amount or by money amount

37715

MaxNoOfSubstitutions

uInt8

int

Max number of substitutions allowed. The value of 0 indicates that substitutions are not allowed

1196

PriceQuoteMethod

String5

String

YIELD
PRICE
RATE

Price quotation method

9779

UserDefinedInstrument

char

Y=User defined instrument
N=Not a user defined instrument

User-defined instrument flag

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.

37716

TermCode

String20

String

Full Repo Term Code

6651

BrokenDateTermType

uInt8NULL

int

Null = Not applicable
0 = Custom
1 = Quarterly
2 = Monthly

Optionally used in tailor-made repo contracts and defines the type of broken dates as requested by trader. Null = Not applicable, 0 = Custom, 1 = Quarterly, 2 = Monthly

Repeating Group 1

864

NoEvents

NuminGroup

Number of repeating entries.

→865

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

String

Describes a class of service for a given data feed. GBX- Real Book, GBI-Implied Book

→264

MarketDepth

Int8

int

Book depth

Repeating Group 3

870

NoInstAttrib

NuminGroup

Number of repeating entries.

→871

InstAttribType

int

24=Eligibility

Instrument eligibility attributes

→872

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

711

NoUnderlyings

NuminGroup

Number of repeating entries.

→311

UnderlyingSymbol

String

Underlying Instrument Symbol (Short Name). When the underlying is a Globex listed Fixed Income instrument this value will be the same as that contained in Security Definition Tag 55-Symbol of the underlying instrument

→309

UnderlyingSecurityID

Int32NULL

int

Underlying Security ID as qualified by tag 305-UnderlyingSecurityIDSource. Provided only if the underlying is a Globex listed instrument, this value will be the same as that contained in Security Definition Tag 48-SecurityID.

→305

UnderlyingSecurityIDSource

SecurityIDSource

char

Identifies the class or source of UnderlyingSecurityID Tag 309 value. Always '8' for CME assigned IDs

→458

UnderlyingSecurityAltID

String12

String

Underlying Alternate Security identifier value as qualified by Tag 305-UnderlyingSecuityAltIDSource (e.g. CUSIP, ISIN, etc). For Repo special will contain underlying CUSIP or ISIN. For GC Repo may contain a synthetic CUSIP or ISIN representing a basket

→459

UnderlyingSecurityAltIDSource

SecurityAltIDSource

int

1=CUSIP
4=ISIN

Identifies class or source of the UnderlyingSecurityAltID (458) value

→2720

UnderlyingFinancialInstrumentFullName

LongName

String

Long Name of the Underlying Instrument. For the instruments listed on Globex this value will be the same as of that contained in Security Definition Tag 2714-FinancialInstrumentFullName

→310

UnderlyingSecurityType

SecurityType

String

TBOND = US Treasury Bond

TBILL = US Treasury Bill

TNOTE = US Treasury Note

TB = Non-US Treasury Bill

SOV = UK Gilts

EUSOV= EGB (Euro Government Bonds)

EUSUP=Euro Supranational

SUPRA= US Supranational

FAC = Non-mortgaged backed Agency Securities

FADN = Agency Discount Notes

TIPS = Treasury Inflation-Protected Securities

TINT = U.S. Treasury STRIPS

CLBSKT = GC basket with mixed instrument types

Underlying Security Type

→592

UnderlyingCountryOfIssue

CountryCode

String

Underlying Security's CountryOfIssue. See CountryOfIssue (470) field for description

→306

UnderlyingIssuer

String25

String

Underlying Security's Issuer. See Tag 106-Issuer field for description

→37717

UnderlyingMaxLifeTime

uInt8NULL

int

Max life time of the underlying instruments qualifying for the GC basket in number of year. Will contain null value for Repo specials

→37718

UnderlyingMinDaysToMaturity

uInt16NULL

int

Minimum days to maturity remaining of the underlying instruments to qualify for GC basket. Will contain null value for Repo specials

→37519

UnderlyingInstrumentGUID

uInt64NULL

int

Underlying GUID. For Repo specials populated with individual instrument GUID of the underlying security. For GC Repo, will be populated with Basket GUID.

→542

UnderlyingMaturityDate

LocalMktDate

Underlying Security's Maturity Date. Will be populated with Maturity Date of the underlying security instrument for Repo Specials only

Repeating Group 6

1647

NoRelatedInstruments

NuminGroup

Number of repeating entries.

→1650

RelatedSecurityID

Int32

int

Related Security ID. Used to correlate Repos and AON Repos.

For regular Repo contract will contain SecurityID of AoN Repo for the same underlying product, term, start and end dates. And vice versa - for AoN Repo will contain the related regular Repo SecurityID

→1651

RelatedSecurityIDSource

SecurityIDSource

char

Related Security ID Source

→1649

RelatedSymbol

Symbol

String

Related Instrument Symbol

→37724

RelatedInstrumentGUID

uInt64NULL

int

Related Instrument GUID

Repeating Group 7

39026

NoBrokenDates

NuminGroup

This group indicates the number of broken dates and references individual broken contracts in user defined tailor made repo. Applicable only to tailor made repos requested by traders with broken dates

→39031

BrokenDateGUID

uInt64

int

External unique broken date Instrument ID

→39027

BrokenDateSecurityID

Int32

char

Broken date Instrument Globex Security ID

→6748

BrokenDateStart

LocalMktDate

Start date of a broken date period

→6741

BrokenDateEnd

LocalMktDate

End date of a broken date period