CME Data Insights - Settlements and Valuations
CME Data Insights is a suite of Simple Binary Encoding (SBE) market data channels. The Settlements and Valuations channels provide robust market data across CME Globex, OTC and floor venues:
Futures and Options Settlements
Theoretical Valuations for Futures and Options instruments without volume or open interest
Fixing prices
Marker prices
End of day High/Low prices
Cleared volume and open interest
AIR TRF Funding Values
- Eris B and C datasets
CME, CBOT, NYMEX and COMEX channel support
Theoretical valuations is a type of data produced by CME Group for futures and options products without volume, open interest or underlying pricing required for Clearing products. Theoretical valuations are the true asset values that can be used for margin modeling, compliance, risk management and firms' other specific needs where settlements are not generated. Sourcing Theoretical Valuations directly from CME Group provides customers with certainty as the data points are validated by the exchange.
Commercial Terms of use for Data Insights: Settlements and Valuations is available from Global Account Management (GAM).
Contents
Testing and Certification
Certification is mandatory for Settlements and Valuations.
Settlements and Valuations Data Overview
The following section is an overview of Settlements and Valuations.
Settlements and Valuations Data
The following section provides information on the data provided on Settlements and Valuations.
Instrument Types Support
The supported instrument types (tag 167-SecurityType) for Settlements and Valuations are:
- Futures
- Options on futures
- Options on combos
- Forwards
Price Format Support
The Settlements and Valuations channels, for client system convenience, supports CME Globex and Clearing price formats. The Clearing price format is expressed in the "true dollar price" and CME Globex price format can be in either the true dollar price or cents. CME Globex prices are only sent for instruments that trade on CME Globex.
For High/Low prices, only the Clearing price format is supported on Settlements and Valuations channels.
Settlements
A settlement is an official CME Group price established for the instrument at a given point in the trading day. Settlements and Valuations sends the following types of settlement prices in the Market Data Incremental Refresh (tag 35-MsgType=X) message:
- Final/Preliminary settlements
- Settlement at Trading Tick
- Settlement at Clearing Tick
- Settlement at Cabinet Price
For a settlement price overview, refer to the Settlement Prices topic.
Syntax for Settlement Prices
| Tag | FIX Name | Format | Valid Values | Description | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
279 | MDUpdateAction | Char | 0 = New | Market data update action. | ||||||||||||
269 | MDEntryType | Char | 6 = Settlement/Theoretical Valuation Price | Identifies price as a settlement or valuation price. | ||||||||||||
9732 | FormattedLastPx | Price | Price in Clearing decimal format. | |||||||||||||
270 | MDEntryPx | Price | Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex | |||||||||||||
731 | SettlPriceType | String | Bit 0: (least significant bit): 1=Final 0=Preliminary Bit 1: 1=Actual 0=Theoretical Valuation Bit 2: 1=Settlement at Trading Tick 0=Settlement at Clearing Tick Bit 3: 1=Intraday 0=Undefined Bit 4: 1=Settle At Cabinet 0=Undefined Bit 5 : 1=FinalFinal 0=Undefined Bit 6: Reserved for future use Bit 7: 0=not NULL 1=entire set is a NULL | Bitmap field of eight Boolean type indicators representing settlement or valuation price type. Example values:
| ||||||||||||
5796 | TradingReferenceDate | LocalMktDate | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. |
Settlement at Trading Tick / Settlement at Clearing Tick
If no rounding occurs (the product is not subject to rounding and the CME Globex trading tick is the same as the settlement tick for the product), a single Market Data Incremental Refresh (tag 35-MsgType=X) message is sent on the incremental feed with:
- tag 269-MDEntryType = 6 (Settlement Price)
- tag 270-MDEntryPx = the CME Globex price value on the CME Clearing settlement tick
- tag 9732-FormattedLastPx = Clearing price value
- tag 731-SettlPriceType Bit 2 = 0 (Settlement at Clearing Tick)
- tag 5796-TradingReferenceDate
If rounding occurs, two Market Data Incremental Refresh (tag 35-MsgType=X) messages are sent on the Incremental feed.
Message with unrounded price value:
- tag 269-MDEntryType=6 (Settlement Price)
- tag 270-MDEntryPX = the CME Globex price value on CME Clearing settlement tick
- tag 9732-FormattedLastPx = Clearing price value
- tag 731-SettlPriceType Bit 2 = 0 (Settlement at Clearing Tick)
- tag 5796-TradingReferenceDate
Message with rounded price value:
- tag 269-MDEntryType=6 (Settlement Price)
- tag 270-MDEntryPX = CME Globex price value rounded to CME Globex trading tick
- tag 9732-FormattedLastPx= Clearing price value
- tag 731-SettlPriceType Bit 2 = 1 (Settlement at Trading Tick)
- tag 5796-TradingReferenceDate
Theoretical Valuations
Theoretical valuations is a type of data produced by CME Group for futures and options products without volume, open interest, or underlying pricing required for Clearing products. Theoretical valuations are the true asset values that can be used for margin modeling, compliance, risk management and firms' other specific needs where settlements are not generated. Sourcing Theoretical Valuations directly from CME Group provides customers with certainty as the data points are validated by the exchange.
Theoretical Valuations - Futures
The following futures diagram illustrates how Settlements (blue) are complimented by Theoretical Valuations (orange) produced by CME Group:
Theoretical Valuations - Options
The following diagram illustrates how 5x-8x the number of option valuations are sent compared to settlements previously sent.
Syntax for Theoretical Valuations
Tag | FIX Name | Format | Valid Values | Description |
|---|---|---|---|---|
| 279 | MDUpdateAction | Char | 0 | New market data update action. |
| 269 | MDEntryType | Char | 6 = Settlement/Theoretical Valuation Price | Settlement/Theoretical Valuation Price |
| 731 | SettlPriceType | uInt8 | 00000000 | SettlPriceType Zero Bit = Preliminary (0) SettlPriceType One Bit = Theoretical Valuation (0) |
| 9732 | FormattedLastPx | Price | Price in Clearing decimal format. | |
| 270 | MDEntryPx | Price | Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex | |
| 5796 | TradingReferenceDate | LocalMktDate | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. |
End of Day Session High/Low
The end of day High-Low message is sent on Settlements and Valuations channels. They are a summary of the CME Globex and open outcry session. The value is based on prior day settlement and different than CME Globex, which is based on session activity.
Syntax for High/Low
Tag | FIX Name | Format | Valid Values | Description |
|---|---|---|---|---|
| 279 | MDUpdateAction | Char | 0 | New market data update action. |
| 269 | MDEntryType | Char | 7 = High/Low | High/Low |
| 333 | LowPx | Low Price in Clearing price format. High/Low cabinet values will send a price of zero. | ||
| 37525 | LowPxInd | A = Ask B = Bid T = Trade | Low price origin indicator | |
| 332 | HighPx | High Price in Clearing price format. High/Low cabinet values will send a price of zero. | ||
| 37524 | HighPxInd | A = Ask B = Bid T = Trade | High price origin indicator | |
| 5796 | TradingReferenceDate | LocalMktDate | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. |
Fixing Prices
Fixing prices are sent on Settlements and Valuations channels.
Syntax for Fixing/Marker Prices
Tag | FIX Name | Format | Valid Values | Description |
|---|---|---|---|---|
| 279 | MDUpdateAction | Char | 0 | Type of Market Data update action. |
| 269 | MDEntryType | Char | W = Fixing/Marker | Type of Market Data Entry. |
| 270 | MDEntryPx | Char | Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex | |
9732 | FormattedLastPx | Price | Price in Clearing decimal format. | |
| 5796 | TradingReferenceDate | LocalMktDate | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. | |
2455 | MDStatisticDesc | String | Description of the fixing price. |
Fixing Price Examples
To determine fixing prices, client systems must utilize the Clearing product code (tag 37500-ClearingProductCode), fixing description (tag 2455-MDStatisticDesc) and exchange (tag 207-SecurityExchange) to determine the fixing and timing for FX and equity products. The table below provides examples.
| Example Settlements and Valuations Fixing Name tag 2455-MDStatisticDesc | Clearing Product Code tag 37500-ClearingProductCode | Exchange tag 207-SecurityExchange |
|---|---|---|
| 4 PM NYC | ES | CME |
| 3 PM JPN | ES | CME |
| 11 AM CHI | AD | CME |
| 3 PM CHI | AD | CME |
Marker Prices
Marker prices are sent on Settlements and Valuations channels. Marker prices are sent with the same tag attributes as either fixing prices (MDEntryType tag 269=W) or settlements (MDEntryType tag 269=6). Client systems can determine marker prices via the product codes. For example, CL1 (Singapore), CL2 (London) identify the marker prices. Marker price tickers can be obtained via CME Reference Data API.
Cleared Volume and Open Interest
Cleared Volume contains the number of contracts that have been through the clearing process for an active instrument for the previous trading day.
Open Interest is sent using Market Data Incremental Refresh (tag 35-MsgType=X) message data blocks which contain the total number of contracts per instrument that are not yet offset or fulfilled for the previous trading day.
Syntax for Cleared Volume and Open Interest
Tag | FIX Name | Format | Valid Values | Description |
|---|---|---|---|---|
| 279 | MDUpdateAction | Char | 0 = New | Type of Market Data update action. 0 = New |
| 269 | MDEntryType | Char | B = Cleared Volume and Open Interest | Type of Market Data Entry. |
| 5791 | ClearedVolume | Qty | ||
| 5792 | OpenInterestQty | Qty | ||
| 286 | OpenCloseSettlFlag | Int | 3 (Estimated) or 4 (Actual) | Estimated vs Actual flag Estimated = 3 |
| 5796 | TradingReferenceDate | LocalMktDate | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. |
AIR TRF Funding Values
The Daily Financing Rate will be denoted as 269-MDEntryType=h and the Accrued Financing Rate will be denoted as 269-MDEntryType=i, via SBE template MDIncrementalRefreshSettle. The applicable trade date for the Values will be included in tag 5796-TradingReferenceDate.
| TAG | FIX NAME | NEW VAILD VALUES | DESCRIPTION |
|---|---|---|---|
269 | MDEntryType |
| Market Data Entry Type. |
731 | SettlPriceType |
| A Bitmap indicator which specifies whether these are the final or preliminary air Funding Status values for the specified business date. Bit 0: (least significant bit):0=Preliminary 1=Final |
The Funding Values will be sent according to the following approximate schedule:
| VALUE | SENDING TIME (CENTRAL TIME) | TAG 269-MDENTRYTYPE | TAG 731-SETTLPRICETYPE |
|---|---|---|---|
| Final Daily Funding Values for British Pound-denominated contracts | 0430 | h | 00000001 |
| Final Accrued Funding Value for British Pound-denominated contracts | 0430 | i | 00000001 |
| Final Daily Funding Values for USD-denominated contracts | 0830 | h | 00000001 |
| Final Accrued Funding Value for USD-denominated contracts | 0830 | i | 00000001 |
| Preliminary Daily Funding Value for GBP-denominated contracts | 1045 | h | 00000000 |
| Preliminary Accrued Funding Value for British Pound-denominated contracts | 1045 | i | 00000000 |
| Preliminary Daily Funding Values for USD-denominated contracts | 1600 1640 (republish) | h | 00000000 |
| Preliminary Accrued Funding Value for USD-denominated contracts | 1600 1640 (republish) | h | 00000000 |
Eris B and C Datasets
Eris B&C datasets provide current pricing components, historical settlement and conversion data for Eris Swap Futures; an alternative to traditional Over the Counter Interest Rate Swaps (OTC IRS) currently offered by CME Group.
- A - Swap NPV is excluded from this update
- B - Past payments of fixed and floating coupons
- C - Price alignment interest (accumulated daily SOFR interest on the sum of Swap NPV less today’s cash flows)
Updates are offered twice daily, approximately at 2:50 PM CT and 7:10 AM CT, during regular trading hours.
Settlements and Valuations Technology Overview
This section provides a technology overview of Settlements and Valuations.
Simple Binary Encoding (SBE)
Settlements and Valuations uses compact Simple Binary Encoding (SBE) optimized for low latency of encoding and decoding while minimizing bandwidth utilization. Concise message sizes are used but without the processing cost of compression. All FIX semantics are supported. The encoding standard is complimentary to other FIX standards for session protocol and application level behavior.
Channel Guide
Below are the supported channels for Settlements and Valuations.
| Name | Channel ID |
|---|---|
| CME Settlements and Valuations | 251 |
| CBOT Settlements and Valuations | 252 |
| NYMEX Settlements and Valuations | 253 |
| COMEX Settlements and Valuations | 254 |
Recovery
The following section describes recovery services for Settlements and Valuations.
Incremental UDP Feed A and B
UDP Feed A and UDP Feed B are used to disseminate CME Group incremental market data using SBE-encrypted FIX messages. All FIX message types are sent through both UDP Feed A and UDP Feed B applicable market data groups. This duality minimizes the chance of message loss due to UDP. Each SBE message is sent on both feeds.
TCP Replay Recovery
Client systems can recover specific messages that were missed using the sequence number and the TCP historical replay component. The TCP historical replay component allows systems to request a replay of a set of messages already published on the UDP Incremental Market Data Channel. The request specifies messages to replay. The request uses the SBE Market Data Request (tag 35-MsgType=V) message.
This type of request is sent through a new TCP connection established by client systems. The responses are sent by CME Group through this same connection and the connection is then closed by CME Group once the resend is complete. All responses are SBE-encoded (including the reject response).
The following restrictions apply when requesting messages via TCP Historical Replay:
- A maximum of 2,000 messages can be requested per Market Data Request (35=V) message.
- Only the current day's messages can be requested and resent.
SBE Channel Definitions
Settlements and Valuations has a separate schema and config.xml FTP location from CME Globex and streamlined market data.
Global TCP Recovery Schema
Settlements and Valuations utilizes a separate schema dedicated to TCP recovery templates.
FTP/SFTP Site Information
CME provides an FTP (https://www.cmegroup.com/ftp) and SFTP (sftpng.cmegroup.com) site to disseminate schema and market data configuration information. The FTP/SFTP site contains the schema and configuration files for all events. Schema and market data configuration details for the Production environment are only available to customers after the certification process is complete.
Environment | Service | FTP/SFTP Site | Directory Location | Client System Update Schedule |
|---|---|---|---|---|
New Release | Incremental Schema | (https://www.cmegroup.com/ftp) or (sftpng.cmegroup.com) | /SBEFix/NRCert/SettlementsValuations/Templates/ | Sunday prior to market open |
New Release | Configuration File | (https://www.cmegroup.com/ftp) or (sftpng.cmegroup.com) | /SBEFix/NRCert/SettlementsValuations/Configuration/ | |
New Release | Global TCP Recovery Schema | (https://www.cmegroup.com/ftp) or (sftpng.cmegroup.com) | /SBEFix/NRCert/GlobalTCPRecovery/Templates/ | Sunday prior to market open |
Production | Incremental Schema | (https://www.cmegroup.com/ftp) or (sftpng.cmegroup.com) | /SBEFix/Production/SettlementsValuations/Templates/ | Sunday prior to market open |
Production | Configuration File | (https://www.cmegroup.com/ftp) or (sftpng.cmegroup.com) | /SBEFix/Production/SettlementsValuations/Configuration/ | |
Production | Global TCP Recovery Schema | (https://www.cmegroup.com/ftp) or (sftpng.cmegroup.com) | /SBEFix/Production/GlobalTCPRecovery/Templates/ | Sunday prior to market open |
Additional Product and Instrument Information
Additional product and instrument referential data can be gathered via CME Reference Data API. Client systems can link Settlements and Valuations product ProductGUID (tag 7178) to CME Reference Data API's fields. Additionally, client systems can link Settlements and Valuations InstrumentGUID (tag 37513) to CME Reference Data API's GUID fields.
Full MDP 3.0 - Market Data Incremental Refresh Message Specification
The following section outlines the full message specification for Settlement and Valuation messages.
MDP 3.0 - Market Data Incremental Refresh Incremental Messages
The specifications included below are used for Settlements and Valuations incremental messages (tag 35-MsgType=X).
Settlement/Theoretical Valuation/Fixing/Marker/AIR TRF Funding Message
This message is generated with Settlement, Theoretical Valuations, Marker, Fixing, and AIR TRF Funding Values prices.
| Tag | FIX Name | Type | Valid Values | Description | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 60 | TransactTime | uInt64 |
| Start of event processing time in number of nanoseconds since Unix epoch | ||||||||||||||
| 1683 | MDSubFeedType | uInt16NULL |
| Describes a sub-class for a given class of service | ||||||||||||||
| Repeating Group 1 | ||||||||||||||||||
| 268 | NoMDEntries | NumInGroup |
| NumInGroup | ||||||||||||||
| →279 | MDUpdateAction | MDUpdateAction | 0 = New | Indicates the type of Market Data update action | ||||||||||||||
| →269 | MDEntryType | Char | 6 = Settlement/Theoretical Valuation W = Fixing Price h = Daily Financing Rate i = Accrued Financing Rate | Indicates the type of price | ||||||||||||||
| →7178 | ProductGUID | uInt64NULL | Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |||||||||||||||
| →37500 | ClearingProductCode | String (12) | Clearing Product Code | |||||||||||||||
| →167 | SecurityType | SecurityType | FUT = Future Outrights | Identifies the type of instrument. | ||||||||||||||
| →207 | SecurityExchange | String (8) | CBT = Chicago Board of Trade CME = Chicago Mercantile Exchange NYMEX = New York Mercantile Exchange COMEX = COMEX (Commodities Exchange Center) | Security Exchange | ||||||||||||||
| →200 | MaturityMonthYear | MaturityMonthYear | This tag provides the calendar month reflected in the instrument symbol (tag 55-Symbol). Format: YYYYMM (e.g. 201912) For futures spreads and options spreads, this tag contains the first leg's calendar month reflected in the instrument symbol. For packs and bundles, this value represents the quarterly contract reflected in the instrument symbol. For daily products, this tag contains the full calendar date as reflected in the instrument symbol. Format: YYYYMMDD (e.g. 20191205). For weekly options products, this tag contains the calendar month and week indicator reflected in the instrument symbol. Format: YYYYMMwW (e.g. for the 4thweek contracts, 2019124). | |||||||||||||||
| →201 | PutOrCall | PutOrCall | 0=Put 1=Call | Indicates whether an option instrument is a put or call. | ||||||||||||||
| →202 | StrikePrice | Decimal64 | Option strike price in Clearing price format. | |||||||||||||||
| →37509 | UnderlyingProductGUID | uInt64NULL | Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |||||||||||||||
| →37510 | UnderlyingClearingProductCode | String (12) | Underlying Clearing Product Code | |||||||||||||||
| →310 | UnderlyingSecurityType | SecurityType | COMBO = Combo FUT = Future Outrights FWD = Forward | Identifies the type of the underlying instrument. | ||||||||||||||
| →308 | UnderlyingSecurityExchange | String (8) | CBT = Chicago Board of Trade | Underlying Security Exchange | ||||||||||||||
| →313 | UnderlyingMaturityMonthYear | MaturityMonthYear | This tag provides the calendar month reflected in the instrument symbol (tag 55-Symbol in MDP 3.0; tag 107-SecurityDesc in iLink). Format: YYYYMM (e.g. 201912) For futures spreads and options spreads, this tag contains the first leg's calendar month reflected in the instrument symbol. For packs and bundles, this value represents the quarterly contract reflected in the instrument symbol. For daily products, this tag contains the full calendar date as reflected in the instrument symbol. Format: YYYYMMDD (e.g. 20191205). For weekly options products, this tag contains the calendar month and week indicator reflected in the instrument symbol. Format: YYYYMMwW (e.g. for the 4thweek contracts, 2019124). | |||||||||||||||
| →55 | Symbol | Symbol | Contract name | |||||||||||||||
| →37513 | InstrumentGUID | uInt64NULL | Global unique instrument identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |||||||||||||||
| →48 | SecurityID | uInt32NULL | Security ID. This value is only sent for CME Globex instruments. This field will be null for instruments not sent on CME Globex. | |||||||||||||||
| →9732 | FormattedLastPx | Decimal64 | Price in Clearing decimal format. | |||||||||||||||
| →270 | MDEntryPx | PRICENULL9 | Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex | |||||||||||||||
| →731 | SettlPriceType | SettlPriceType | Bit 0:
Bit 1:
Bit 2:
Bit 3
Bit 4:
Bit 5:
Bit 6 is reserved Bit 7
| For Settlements, bitmap field of eight Boolean type indicators representing settlement or valuation price type. Example values:
Additionally a Bitmap indicator which specifies whether these are the final or preliminary air Funding Status values for the specified business date:
| ||||||||||||||
| →5796 | TradingReferenceDate | LocalMktDate | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. | |||||||||||||||
| →2455 | MDStatisticDesc | String (40) | Description of the fixing price. | |||||||||||||||
Volume and Open Interest Message
This message contains Cleared Volume and Open Interest.
| Id | Field Name | Type | Valid Values | Description |
|---|---|---|---|---|
| 60 | TransactTime | uInt64 | Start of event processing time in number of nanoseconds since Unix epoch | |
| 1683 | MDSubFeedType | uInt16NULL | Describes a sub-class for a given class of service | |
| Repeating Group 1 | ||||
| 268 | NoMDEntries | NumInGroup | Number of entries in Market Data message | |
| →279 | MDUpdateAction | MDUpdateActionNew | 0 = New | Market Data update action |
| →269 | MDEntryType | MDEntryCVOI | B = Cleared Volume and Open Interest | Market Data entry type |
| →7178 | ProductGUID | uInt64NULL | Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |
| →37500 | ClearingProductCode | String (12) | Clearing Product Code | |
| →167 | SecurityType | SecurityType | FUT = Future Outrights | Identifies the type of instrument. |
| →207 | SecurityExchange | String (8) | CBT = Chicago Board of Trade CME = Chicago Mercantile Exchange NYMEX = New York Mercantile Exchange COMEX = COMEX (Commodities Exchange Center) | Security Exchange |
| →200 | MaturityMonthYear | MaturityMonthYear | This tag provides the calendar month reflected in the instrument symbol (tag 55-Symbol in MDP 3.0; tag 107-SecurityDesc in iLink). Format: YYYYMM (e.g. 201912) For futures spreads and options spreads, this field contains the first leg's calendar month reflected in the instrument symbol. For packs and bundles, this value represents the quarterly contract reflected in the instrument symbol. For daily products, this tag contains the full calendar date as reflected in the instrument symbol. Format: YYYYMMDD (e.g. 20191205). For weekly options products, this tag contains the calendar month and week indicator reflected in the instrument symbol. Format: YYYYMMwW (e.g. for the 4thweek contracts, 2019124). | |
| →201 | PutOrCall | PutOrCall | 0=Put 1=Call | Indicates whether an option instrument is a put or call. |
| →202 | StrikePrice | Decimal64 | Option strike price in Clearing format | |
| →37509 | UnderlyingProductGUID | uInt64NULL | Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |
| →37510 | UnderlyingClearingProductCode | String (12) | Underlying Clearing Product Code | |
| →310 | UnderlyingSecurityType | SecurityType | COMBO = Combo FUT = Future Outrights FWD = Forward | Identifies the type of the underlying instrument. |
| →308 | UnderlyingSecurityExchange | String (8) | CBT = Chicago Board of Trade CME = Chicago Mercantile Exchange NYMEX = New York Mercantile Exchange COMEX = COMEX (Commodities Exchange Center) | Underlying Security Exchange |
| →313 | UnderlyingMaturityMonthYear | MaturityMonthYear | Provides the calendar month reflected in the instrument symbol (tag 55-Symbol in MDP 3.0; tag 107-SecurityDesc in iLink). Format: YYYYMM (e.g. 201912) For Futures Spreads and Options Spreads, this tag contains the first leg's calendar month reflected in the instrument symbol. For packs and bundles, this value represents the quarterly contract reflected in the instrument symbol. For daily products, this tag contains the full calendar date as reflected in the instrument symbol. Format: YYYYMMDD (e.g. 20191205). For weekly options products, this tag contains the calendar month and week indicator reflected in the instrument symbol. Format: YYYYMMwW (e.g. for the 4thweek contracts, 2019124). | |
| →55 | Symbol | Symbol | Contract name | |
| →37513 | InstrumentGUID | uInt64NULL | Global unique instrument identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |
| →48 | SecurityID | uInt32NULL | Security ID. This value is only sent for CME Globex instruments. This field will be null for instruments not sent on CME Globex. | |
| →5791 | ClearedVolume | uInt32NULL | Cleared volume of the instrument reported for prior trading session referenced in tag 5796-TradingReferenceDate | |
| →5792 | OpenInterestQty | uInt32NULL | Open interest of the instrument reported for prior trading session referenced in tag 5796-TradingReferenceDate | |
| →286 | OpenCloseSettlFlag | CycleFlag | 3 = Estimated | Estimated vs Actual flag |
| →5796 | TradingReferenceDate | LocalMktDate | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. | |
High/Low Message
This message is generated with composite High and Low price statistics for each instrument that had activity.
| Id | Field Name | Type | Valid Values | Description |
|---|---|---|---|---|
| 60 | TransactTime | uInt64 | Start of event processing time in number of nanoseconds since Unix epoch | |
| 1683 | MDSubFeedType | uInt16NULL | Describes a sub-class for a given class of service | |
| Repeating Group 1 | ||||
| 268 | NoMDEntries | NumInGroup | Number of entries in Market Data message | |
| →279 | MDUpdateAction | MDUpdateActionNew | 0 = New | Indicates the type of Market Data update action |
| →269 | MDEntryType | MDEntryTypeHighLow | 7 = High/Low | Indicates the type of Market Data entry |
| →7178 | ProductGUID | String (12) | Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |
| →37500 | ClearingProductCode | String (12) | Clearing Product Code | |
| →167 | SecurityType | SecurityType | FUT = Future Outrights | Identifies the type of instrument. |
| →207 | SecurityExchange | String (8) | CBT = Chicago Board of Trade CME = Chicago Mercantile Exchange NYMEX = New York Mercantile Exchange COMEX = COMEX (Commodities Exchange Center) | Security Exchange |
| →200 | MaturityMonthYear | MaturityMonthYear | This tag provides the calendar month reflected in the instrument symbol (tag 55-Symbol in MDP 3.0; tag 107-SecurityDesc in iLink). Format: YYYYMM (e.g. 201912) For Futures Spreads and Options Spreads, this tag contains the first leg's calendar month reflected in the instrument symbol. For packs and bundles, this value represents the quarterly contract reflected in the instrument symbol. For daily products, this tag contains the full calendar date as reflected in the instrument symbol. Format: YYYYMMDD (e.g. 20191205). For weekly options products, this tag contains the calendar month and week indicator reflected in the instrument symbol. Format: YYYYMMwW (e.g. for the 4thweek contracts, 2019124). | |
| →201 | PutOrCall | PutOrCall | 0=Put 1=Call | Indicates whether an Option instrument is a put or call. |
| →202 | StrikePrice | Decimal64 | Option strike price in Clearing format. | |
| →37509 | UnderlyingProductGUID | uInt64NULL | Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |
| →37510 | UnderlyingClearingProductCode | String (12) | Underlying Clearing Product Code. | |
| →310 | UnderlyingSecurityType | SecurityType | COMBO = Combo FUT = Future Outrights FWD = Forward | Identifies the type of the underlying instrument. |
| →308 | UnderlyingSecurityExchange | String (8) | CBT = Chicago Board of Trade CME = Chicago Mercantile Exchange NYMEX = New York Mercantile Exchange COMEX = COMEX (Commodities Exchange Center) | Underlying Security Exchange. |
| →313 | UnderlyingMaturityMonthYear | MaturityMonthYear | This tag provides the calendar month reflected in the instrument symbol (tag 55-Symbol in MDP 3.0; tag 107-SecurityDesc in iLink). Format: YYYYMM (e.g. 201912) For futures spreads and options spreads, this tag contains the first leg's calendar month reflected in the instrument symbol. For packs and bundles, this value represents the quarterly contract reflected in the instrument symbol. For daily products, this tag contains the full calendar date as reflected in the instrument symbol. Format: YYYYMMDD (e.g. 20191205). For weekly options products, this tag contains the calendar month and week indicator reflected in the instrument symbol. Format: YYYYMMwW (e.g. for the 4thweek contracts, 2019124). | |
| →55 | Symbol | Symbol | Contract name. | |
| →37513 | InstrumentGUID | uInt64NULL | Global unique instrument identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |
| →48 | SecurityID | uInt32NULL | Security ID. This value is only sent for CME Globex instruments. This field will be null for instruments not sent on CME Globex. | |
| →333 | LowPx | Decimal64 | Lower price threshold for the instrument in Clearing decimal price format. | |
| →37525 | LowPxInd | PxInd | A = Ask | Low price origin indicator. High/ Low cabinet values will send a price of zero. |
| →332 | HighPx | Decimal64 | Upper price threshold for the instrument in Clearing decimal price format. | |
| →37524 | HighPxInd | PxInd | A = Ask | High price origin indicator. High/ Low cabinet values will send a price of zero. |
| →5796 | TradingReferenceDate | LocalMktDate | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. | |
Eris B and C Dataset
For message type DP, the following table illustrates the MDStatisticsReport template in the S&V SBE schema.
| Tag | FIX Name | Type | SemanticType | Valid Values | Description |
|---|---|---|---|---|---|
| 60 | TransactTime | uInt64 | UTCTimestamp | Data processing time in UTC, sent in number of nanoseconds since Unix epoch | |
| 1683 | MDSubFeedType | uInt16NULL | int | 400 | Describes a sub-class for a given class of service |
| 207 | SecurityExchange | Exchange | Exchange | XCBT=Chicago Board of Trade | Security Exchange |
37500 | ClearingProductCode | String12 | String | Clearing Product Code | |
200 | MaturityMonthYear | MaturityMonthYear | MonthYear | Instrument maturity | |
| 7178 | ProductGUID | uInt64NULL | int | Product GUID - unique identifier of the Product | |
| 55 | Symbol | Symbol | String | Product code/ticker | |
| 48 | SecurityID | uInt32NULL | int | Unique instrument ID as referenced in Ilink3 and MDP3 SecurityID-Tag 48 | |
| 37513 | InstrumentGUID | uInt64NULL | int | External unique instrument ID | |
| 2731 | FloatingRateIndexID | String8 | String | Floating Rate Index, sent when applicable | |
| 5796 | TradingReferenceDate | LocalMktDate | LocalMktDate | Trade session date corresponding to the analytics, sent in number of days since Unix epoch. | |
| 2455 | MDStatisticDesc | String40 | String |
| An optional textual description for a statistic report message Describes the type of file, including whether data is from the previous day or top of (current) day. |
Repeating Group 1 | |||||
| 2474 | NoMDStatistics | groupSize | NumInGroup | Number of entries in Market Data message | |
| →2478 | MDStatisticValue | Decimal64NULL | float | Statistic value | |
| →2479 | MDStatisticValueType | StatisticValueType | int | 1 = absolute value type 2 = percentage value type | Type of statistic value: 1 - absolute value type, 2 - percentage value type |
| →2454 | MDStatisticName | String30 | String |
| Statistic short name or acronym |
| Repeating Group 2 | |||||
| 864 | NoEvents | groupSize | NumInGroup | Number of entries in Market Data message | |
| →865 | EventType | String30 | String |
| Description of the EventDate |
| →866 | EventDate | LocalMktDate | LocalMktDate | Event Business Date, sent in number of days since Unix epoch | |
TCP Replay Messages
The messages included below are used for Settlements and Valuations TCP Recovery.
Logon from Client System to MDP
The Market Data Logon (tag 35-MsgType=A) message is sent by the client system to MDP to initiate logon.
Required tags:
Tag | FIX Name | Type | Valid Values | Description |
|---|---|---|---|---|
553 | Username | String | Userid or username. | |
554 | Password | String | Password or passphrase. | |
1137 | DefaultApplVerID | String | 9 = FIX50SP2 | Specifies the service pack release being applied, by default, to message at the session level. |
Logon from MDP to Client System
The Market Data Logon (tag 35-MsgType=A) message is sent from MDP to the client system to confirm logon. This message is SBE-encoded.
Tag | FIX Name | Type | Valid Values | Description |
|---|---|---|---|---|
1180 | ApplID | String | REPLAY | Used to identify a replayed message. |
98 | EncryptMethod | Int | 0 = None | CME Globex does not use encryption, so this value is always set to 0. |
108 | HeartBtInt | Int | Heartbeat interval (seconds). | |
1137 | DefaultApplVerID | String | 9 = FIX50SP2 | Specifies the service pack release being applied, by default, to message at the session level. |
Market Data Replay Request
The Market Data - Replay Request (tag 35-MsgType=V) message is sent by the client system to request a range of messages for recovery.
Required tags:
Tag | FIX Name | Type | Valid Values | Description |
|---|---|---|---|---|
1180 | ApplID | String | The channel ID from the XML Configuration file for which this request is made. | |
262 | MDReqID | String | Unique identifier for Market Data Request. | |
1182 | ApplBeginSeqNo | SeqNum | Message sequence number of first message in range to be re-sent. If the request is for a single message, ApplBeginSeqNo (tag 1182) and ApplEndSeqNo (tag 1183) are the same. | |
1183 | ApplEndSeqNo | SeqNum | Message sequence number of last message in range to be re-sent. If the request is for a single message, BeginSeqNo (tag 7) and EndSeqNo (tag 16) are the same. The maximum number of messages that can be requested is 2000. |
Logout
The Market Data Logout (tag 35-MsgType=5) message is sent from MDP to confirm logout. This message is SBE-encoded.
Tag | FIX Name | Type | Valid Values | Description |
|---|---|---|---|---|
1180 | ApplID | String | REPLAY | Used to identify a replayed message. |
58 | Text | String | Free Format text string. May include logout confirmation or reason for logout. |
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