MDP 3.0 - Market Data Security Definition - Options

5799

MatchEventIndicator

MatchEventIndicator

MultipleCharValue

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

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

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

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

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=Dubai 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

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

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

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

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

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 (1=ON-SEF, 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.

→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.

1647

NoRelatedInstruments

NumInGroup

Number of related instruments group

→1650

RelatedSecurityID

Int32

Int

Related Security ID

→1650

RelatedSecurityIDSource

SecurityIDSource

char

Related Security ID source

→1649

RelatedSymbol

Symbol

String

Related instrument Symbol