MDP 3.0 - Market Data Security Definition - Options

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

Tag	FIX Name	Type	SemanticType	Valid Values	Description
5799	MatchEventIndicator	MatchEventIndicator	MultipleCharValue	Examples: 10000000 – Security Definition message is the last message of the event 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 MatchEventIndicator is not supported on the Instrument Recovery feeds
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 A=Add D=Delete M=Modify
779	LastUpdateTime	uInt64	UTCTimestamp		Timestamp of when the instrument was last added, modified or deleted. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.
1682	MDSecurityTradingStatus	SecurityTradingStatus	int	2=Trading Halt 4=Close 15=New Price Indication 17=Ready to trade 18= Not available for trading 20=Unknown or Invalid 21=Pre Open 24=Pre-Cross 25=Cross 26=Post Close 103=No Change	Identifies the current state of the instrument. The data is available in the Instrument Replay feed only 2=Trading Halt 4=Close 15=New Price Indication 17=Ready to trade (start of session) 18= Not available for trading 20=Unknown or Invalid 21=Pre Open 24=Pre-Cross 25=Cross 26=Post Close 103=No Change 201=PrivateWorkup 202=PublicWorkup
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	uInt8	int	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	Indicates the 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	SecurityExchange	Exchange	XCBT=Chicago Board of Trade XCME=Chicago Mercantile Exchange XNYM=New York Mercantile Exchange XCEC= COMEX (Commodities Exchange Center) XMGE=Minneapolis Grain Exchange DUMX=Gulf Mercantile Exchange XKLS=Bursa Malaysia XKFE=Korea Exchange NYUM=XNYM-DUMX inter-exchange spread MGCB=XMGE-XCBT inter-exchange spread CBCM=XCME-XCBT inter-exchange spread XFXS=CME FX Link spread GLBX=FX Spot leg	Exchange used to identify a security XCBT=Chicago Board of Trade XCME=Chicago Mercantile Exchange XNYM=New York Mercantile Exchange XCEC= COMEX (Commodities Exchange Center) XMGE=Minneapolis Grain Exchange DUMX=Gulf Mercantile Exchange XKLS=Bursa Malaysia XKFE=Korea Exchange NYUM=XNYM-DUMX inter-exchange spread MGCB=XMGE-XCBT inter-exchange spread CBCM=XCME-XCBT inter-exchange spread XFXS=CME FX Link spread GLBX=FX Spot leg BTEC=BrokerTec US BTEE=BrokerTec EU (UK Gilts & Notes) BTAM=BrokerTec Amsterdam (All EU except UK Gilts & Notes)
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 Instrument Group Code
48	SecurityID	Int32	int		Unique instrument ID as qualified by the exchange per tag 22-SecurityIDSource. The unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.
22	SecurityIDSource	SecurityIDSource	char	8=Exchange symbol	Identifies source of tag 48-SecurityID value. This value is always 8 for CME is required if tag 48-SecurityID is specified.
167	SecurityType	SecurityType	String		Security Type: FUT=Future or Future Spread OOF=Options on Futures or Options on Futures Spread MLEG=Spread with mixed type legs IRS=Interest Rate Swaps FXSPOT=FX Spot FUT=Future or Future Spread OOF=Options on Futures or Options on Futures Spread MLEG=Spread with mixed type leg IRS=Interest Rate Swaps FXSPOT=FX Spot TBOND=US Treasury Bond TBILL=US Treasury Bill TNOTE=US Treasury Note TB=Non-US Treasury Bill TBA=To Be Announced SOV=UK Gilts EUSOV= EGB (Euro Government Bonds) EUSUP=Euro Supranational SUPRA= US Supranational REPO=REPO instruments TIPS=Treasury Inflation-Protected Securities TINT=U.S. Treasury STRIPS
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.
201	PutOrCall	PutOrCall	int		Indicates whether an option instrument is a put or call 0=Put 1=Call
200	MaturityMonthYear	MaturityMonthYear	MonthYear		This field 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 4^th week contracts, 2019124).
15	Currency	Currency	Currency		Identifies currency used for price
202	StrikePrice	PRICENULL9	Price		Strike Price for an option instrument
947	StrikeCurrency	Currency	Currency		Currency in which the StrikePrice is denominated
120	SettlCurrency	Currency	Currency		Identifies currency used for settlement, if different from trade price currency
9850	MinCabPrice	PRICENULL9	Price		Defines cabinet price for outright options products
1142	MatchAlgorithm	CHAR	char		Matching algorithm: F=First In, First Out (FIFO) K=Configurable C=Pro-Rata A=Allocation T=FIFO with LMM O=Threshold Pro-Rata S=FIFO with TOP and LMM Q=Threshold Pro-Rata with LMM Y=SOFR options
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. For VTT-eligible products, this tag will contain 'NULL' for Options and '0' for User Defined Spreads (UDS).
1146	MinPriceIncrementAmount	PRICENULL9	Price		Currently under development.
9787	DisplayFactor	Decimal9	float		Contains the multiplier to convert the CME Globex display price to the conventional price
6350	TickRule	Int8NULL	int		VTT code referencing variable tick table
37702	MainFraction	uInt8NULL	int		Price Denominator of Main Fraction
37703	SubFraction	uInt8NULL	int		Price Denominator of Sub Fraction
9800	PriceDisplayFormat	uInt8NULL	int		Number of decimals in fractional display price
996	UnitOfMeasure	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. Used in combination with tag 996-UnitofMeasure
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: Bit 0: (least significant bit): 1=Final 0=Preliminary Bit 1: 1=Actual 0=Theoretical or Undefined Note: Typically, there are two rounds of preliminary settlement prices disseminated. The early round of preliminary settlement prices will have Bit 1 set to 0 (Undefined). Bit 2: 1=Settlement at Trading Tick 0=Settlement at Clearing Tick Bit 3: 1=Intraday 0=Undefined Bit 4-6: Reserved for future use, set to 0 Bit 7: 0=not NULL 1=entire set is a NULL Settlements are not supported on BrokerTec markets.
5791	ClearedVolume	Int32NULL	Qty		The total cleared volume of instrument traded during the prior trading session
5792	OpenInterestQty	Int32NULL	Qty		The total open interest for the market at the close of the prior trading session.
1148	LowLimitPrice	PRICENULL9	Price		Allowable low limit price for the trading day
1149	HighLimitPrice	PRICENULL9	Price		Allowable high limit price for the trading day
9779	UserDefinedInstrument	UserDefinedInstrument	char	Y=User defined instrument N=Not a user defined instrument	Identifies user-defined instruments. Y=User defined instrument N=Not a user defined instrument
5796	TradingReferenceDate	LocalMktDate	LocalMktDate		Indicates session date corresponding to the settlement price in tag 1150-TradingReferencePrice
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.
Repeating Group 1
864	NoEvents	NumInGroup			Number of EventType entries
→865	EventType	EventType	int	5=Activation 7=Last eligible trade date	Code to represent the type of event 5=Activation 7=Last eligible trade date
→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 FeedType entries
→1022	MDFeedType	MDFeedType	String		Describes a class of service for a given data feed. GBX- Real Book, GBI-Implied Book GBX=CME Globex Book Depth GBI=CME Globex Implied Book Depth
→264	MarketDepth	Int8	int		Book depth
Repeating Group 3
870	NoInstAttrib	NumInGroup			Number of InstrAttribType 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: SEFRegulated (0=OFF-SEF) 25: MTFRegulated (1=ON-MTF, 0=OFF-MTF) 26: eFixInstrument (1=eFix Instrument) 28-31 – Reserved for future use
Repeating Group 4
1234	NoLotTypeRules	NumInGroup			Number of entries
→1093	LotType	Int8	int		This tag is required to interpret the value in tag 1231-MinLotSize
→1231	MinLotSize	DecimalQty	Qty		Minimum quantity accepted for order entry. If tag 1093-LotType=4, this value is the minimum quantity for order entry expressed in the applicable units, specified in tag 996-UnitOfMeasure, e.g. megawatts 2=minimum order entry quantity for an instrument 3=the minimum qty required for a block trade 4=Round lot (Variable Quantity Products)
Repeating Group 5
771	NoUnderlyings	NumInGroup			Number of underlying instruments
→309	UnderlyingSecurityID	Int32	int		Underlying instrument ID. This value will be the same as that contained in underlying instrument’s Security Definition tag 48-SecurityID. It is recommended this tag be used to identify the underlying tradable futures instrument of the option. This method will not work for options on futures spreads (Calendar Spread Options), since the underlying future is synthetic and non-tradable. To identify the underlying tradable future, customers should contact GCC.
→305	UnderlyingSecurityIDSource	SecurityIDSource	char		This value is always '8' for CME
→311	UnderlyingSymbol	UnderlyingSymbol	String		Underlying instrument symbol (Contract Name). This value will be the same as that contained in underlying instrument’s Security Definition Tag 55-Symbol and may be used to identify the underlying future instrument of the option.
Repeating Group 6
1647	NoRelatedInstruments	NumInGroup			Number of related instruments group Under development. At this time, information is not sent for this template.
→1650	RelatedSecurityID	Int32	Int		Related Security ID Under development. At this time, information is not sent for this template.
→1650	RelatedSecurityIDSource	SecurityIDSource	char		Related Security ID source Under development. At this time, information is not sent for this template.
→1649	RelatedSymbol	Symbol	String		Related instrument Symbol Under development. At this time, information is not sent for this template.