Margin Service API - Objects

The Margin Service API defines the following objects.

1 Error
2 Margin
3 Margin Amounts
4 Optimize Amounts
5 Portfolio
6 Portfolio Entities
7 Portfolio Margin Amounts
8 Transaction
9 Transaction Payload

Error

The error object is used to represent an error that occurred.

Name	XML Name	XML Type	Data Type	Min Occurs	Max Occurs	Description

Name	XML Name	XML Type	Data Type	Min Occurs	Max Occurs	Description
Message	`msg`	Attribute	String	1	1	A string describing the error.
Code	`code`	Attribute	Integer	1	1	A numeric code for the error.

Margin

The margin object is used to represent a margin calculation for a portfolio.

Name	XML Name	XML Type	Data Type	Min Occurs	Max Occurs	Description

Name	XML Name	XML Type	Data Type	Min Occurs	Max Occurs	Description
Amounts	`amounts`	Element	Margin Amounts	0	1	The amounts calculated.
As-of Time	`asOfTime`	Attribute	Date/Time	0	1	The point in time at which the margin is calculated.
Create Time	`createTime`	Attribute	Date/Time	0	1	The time the margin record was created in the system.
ID	`id`	Attribute	String	0	1	The unique identifier for the margin assigned by CME CORE.
Portfolio ID	`portfolioId`	Attribute	String	1	1	The unique identifier for the portfolio for which the margin is calculated.
Settlement Indicator	`settleInd`	Attribute	Settlement Indicator	0	1	Indicates whether a margin is for settlement or not.
Settlement Qualifier	`settleQual`	Attribute	Settlement Qualifier	0	1	Indicates the status of settlement for margins.
Update Time	`updateTime`	Attribute	Date/Time	0	1	The time the margin record was last updated.
Transactions	`transactions`	Element	Transactions	0	unbound	The transactions that will be added to the portfolio for margin calculation.

Margin Amounts

The margin amounts object is used to represent the various amounts determined during margin calculation.

Name	XML Name	XML Type	Data Type	Min Occurs	Max Occurs	Description

Name	XML Name	XML Type	Data Type	Min Occurs	Max Occurs	Description
Concentration	`conc`	Attribute	Decimal	1	1	Concentration or liquidity risk.
Currency	`ccy`	Attribute	Currency	1	1	The currency in which the amounts are calculated and expressed.
Initial	`init`	Attribute	Decimal	1	1	The margin required to be collateralized in order to open a position.
Maintenance	`maint`	Attribute	Decimal	1	1	The minimum amount to be collateralized in order to keep an open position.
Non-option Value	`nonOptVal`	Attribute	Decimal	1	1	The profit or loss on the day of a position is then paid to or debited from the holder by the futures exchange.
Option Value	`optVal`	Attribute	Decimal	1	1	The premium that they would need to pay to buy back the option and close out their position.

Optimize Amounts

The optimize amounts object is used to represent the various amounts determined during optimize calculation.

Name	XML Name	XML Type	Data Type	Min Occurs	Max Occurs	Description

Name	XML Name	XML Type	Data Type	Min Occurs	Max Occurs	Description
Concentration	`conc`	Attribute	Decimal	1	1	Concentration or liquidity risk.
Initial	`init`	Attribute	Decimal	1	1	The margin required to be collateralized in order to open a position.
Maintenance	`maint`	Attribute	Decimal	1	1	The minimum amount to be collateralized in order to keep an open position.
Futures margin current portfolio	`futCurrAmt`	Attribute	Decimal	1	1	SPAN®margin for the current allocation of futures in the SEG account.
Futures margin baseline portfolio	`futPreAmt`	Attribute	Decimal	1	1	SPAN®margin for all futures (OTC and SEG futures) in account.
Futures margin post-optimized portfolio	`futPostAmt`	Attribute	Decimal	1	1	SPAN®margin for SEG futures allocation identified by the Optimizer.
OTC margin current portfolio	`otcCurrAmt`	Attribute	Decimal	1	1	OTC IRS margin for the current allocation of IRS+OTC futures in the account.
OTC margin baseline portfolio	`otcPreAmt`	Attribute	Decimal	1	1	OTC IRS margin for IRS positions only.
OTC margin post-optimized portfolio	`otcPostAmt`	Attribute	Decimal	1	1	OTC IRS margin for IRS + OTC futures identified by the Optimizer.

Portfolio

The portfolio object is used to group transactions together for margining and analytics.

Name	XML Name	XML Type	Data Type	Min Occurs	Max Occurs	Description

Name	XML Name	XML Type	Data Type	Min Occurs	Max Occurs	Description
Create Time	`createTime`	Attribute	Date/Time	0	1	The time the portfolio record was created in the system.
Description	`desc`	Attribute	String	0	1	A textual description of the contents or usage of the portfolio. The following characters are allowable, some special characters are not: space !#%&'()+,-./0123456789:ABCDEFGHIJKLMNOPQRSTUVWXYZ_`abcdefghijklmnopqrstuvwxyz\|
Entities	`entities`	Element	Portfolio Entities	1	1	Entities associated with the portfolio.
ID	`id`	Attribute	String	0	1	The unique identifier for the portfolio assigned by CME CORE.
Name	`name`	Attribute	String	0	1	The display name for the portfolio. The following characters are allowable, some special characters are not: space !#%&'()+,-./0123456789:ABCDEFGHIJKLMNOPQRSTUVWXYZ_`abcdefghijklmnopqrstuvwxyz\|
Reporting Currency	`rptCcy`	Attribute	Currency	0	1	The currency used for reporting on the portfolio. Amounts calculated in the base currency for each transaction will be converted to this currency. The default value is USD.
Update Time	`updateTime`	Attribute	Date/Time	0	1	The time the portfolio was last updated.

Portfolio Entities

The portfolio entities entity describes the various entities which are associated with a portfolio.

Name	XML Name	XML Type	Data Type	Min Occurs	Max Occurs	Description

Name	XML Name	XML Type	Data Type	Min Occurs	Max Occurs	Description
Clearing Member Firm ID	`clrMbrFirmId`	Attribute	String	0	1	The identifier of the clearing member firm to which the portfolio is associated.
Customer Account ID	`custAcctId`	Attribute	String	0	1	The identifier of the customer account to which the portfolio is associated.

Portfolio Margin Amounts

The portfolio entities entity describes the various entities which are associated with a portfolio. These are available in CORE schema 1.2 and above (http://cmegroup.com/schema/core/1.2)

Name	XML Name	XML Type	Data Type	Min Occurs	Max Occurs	Description

Name	XML Name	XML Type	Data Type	Max Occurs	Description
Futures Pre-Portfolio Margining Amount	futPreAmt	Attribute	Decimal	1	The margin amount for futures prior to portfolio margining.
Futures Post-Portfolio Margining Amount	futPostAmt	Attribute	Decimal	1	The margin amount for futures after portfolio margining.
IRS Pre-Portfolio Margining Amount	futPreAmt	Attribute	Decimal	1	The margin amount for IRS prior to portfolio margining.
IRS Post-Portfolio Margining Amount	otcPostAmt	Attribute	Decimal	1	The margin amount for IRS after portfolio margining.
Difference Amount	diffAmt	Attribute	Decimal	1	Margin Savings amount due to portfolio margining.

Transaction

The transaction object is used to represent entities (such as trades, positions, and delta ladders) which can be used in margin calculations.

Name	XML Name	XML Type	Data Type	Min Occurs	Max Occurs	Description

Name	XML Name	XML Type	Data Type	Min Occurs	Max Occurs	Description
ID	`id`	Attribute	String	0	1	The unique identifier for the transaction assigned by CME CORE.
Create Time	`createTime`	Attribute	Date/Time	0	1	The time the transaction record was created in the system.
Status	`status`	Attribute	Entity Status	0	1	Indicates the status of the transaction.
Update Time	`updateTime`	Attribute	Date/Time	0	1	The time the transaction record was updated in the system.
Portfolio ID	`portfolioId`	Attribute	String	0	1	The unique identifier for the portfolio to which the analytic belongs.
Type	`type`	Attribute	Transaction Type	1	1	The type of transaction.
Error	`error`	Element	Error	0	1	The error for the transaction.
Payload	`payload`	Element	Transaction Payload	0	1	The payload containing the actual transaction.

Transaction Payload

The transaction payload object is used to contain the actual contents of a transaction, and contains the transaction in a format such as FIXML or FpML.

Name	XML Name	XML Type	Data Type	Min Occurs	Max Occurs	Description

Name	XML Name	XML Type	Data Type	Min Occurs	Max Occurs	Description
Format	`format`	Attribute	Transaction Format	1	1	The format for the transaction payload.
Format Version	`formatVer`	Attribute	String	0	1	Version name for the format. This is not currently required.
String	`string`	Element	String	0	1	Payload content in raw string encoding. Content must be wrapped a `CDATA` block.