CME GC Allocator API - Message Specification - List Trade Collateral

CME-Application-Name

Application Name

Header

String

No

REQUIRED

Name of the customer system that generated the message. Must match the system name as certified in AutoCert+ exactly.

CME-Application-Vendor

Application Vendor

Header

String

No

REQUIRED

Name of the vendor who provided the customer system. For a proprietary system, use the firm name.

CME-Application-Version

Application Version

Header

String

No

REQUIRED

Version identifier for the customer system.

CME-Request-ID

Request ID

Header

String

No

REQUIRED

Identifier for the customer message.

CME-Transact-Time

Transaction Time

Header

DateTime

No

Format:  yyyy-mm-ddThh:mm:ss.dZ

OPTIONAL

Timestamp of when the message was sent from customer system.

sideGuid

Side GUID

Path

String

No

REQUIRED

payload[]

Payload

Collateral

accruedInterestAmt

Accrued Interest Amount

Decimal

CONDITIONAL

• Always when  Status = SUBSTITUTED

cleanPrice

Clean Price

Price

ALWAYS

collateralGuid

Collateral GUID

String

ALWAYS

dealId

Deal ID

String

ALWAYS

dirtyPrice

Dirty Price

Price

ALWAYS

endCash

End Cash

Decimal

CONDITIONAL

Not present for EONIA repos.

lastUpdateTime

Last Update Time

DateTime

Format:  yyyy-mm-ddThh:mm:ss.dZ

ALWAYS

notificationQty

Notification Quantity

Integer

CONDITIONAL

Aggregate quantity of all remaining, unfilled notifications on this allocation

• Always when  NotificationQuantity <> 0

originalCollateralGuid

Original Collateral GUID

String

CONDITIONAL

• Always when  SubstitutionIndicator = SUBSTITUTION

• Always when  SubstitutionIndicator = REMAINDER

originalTransactionTime

Original Transaction Time

DateTime

Format:  yyyy-mm-ddThh:mm:ss.dZ

ALWAYS

originalVenueCollateralNbr

Original Venue Collateral Number

String

CONDITIONAL

• Always when  SubstitutionIndicator = SUBSTITUTION

• Always when  SubstitutionIndicator = REMAINDER

qty

Quantity

Quantity

ALWAYS

sideGuid

Side GUID

String

ALWAYS

sideInd

Side Indicator

MarketSideIndicator

• BUY

• SELL

ALWAYS

startCash

Start Cash

Decimal

ALWAYS

status

Collateral Status

CollateralStatus

• ACTIVE

• CANCELED

• SUBSTITUTED

ALWAYS

substitutionInd

Substitution Indicator

SubstitutionIndicator

• ORIGINAL

• REMAINDER

• SUBSTITUTION

ALWAYS

substitutionsRemainingCnt

Substitutions Remaining Count

Integer

ALWAYS

tradeId

Trade ID

String

ALWAYS

transactionTime

Transaction Time

DateTime

Format:  yyyy-mm-ddThh:mm:ss.dZ

ALWAYS

venueCollateralNbr

Venue Collateral ID

String

ALWAYS

entities

Entities

TradeSideEntities

generalCollateralInstrument

General Collateral Instrument

Instrument

instrument

Instrument

Instrument

enteringTraderId

Entering Trader ID

String

ALWAYS

executingFirmId

Executing Firm ID

String

ALWAYS

oppositeFirmId

Opposite Firm ID

String

CONDITIONAL

• Always when  BilateralIndicator = YES

clearingOrganizationId

Clearing Organization ID

String

CONDITIONAL

• Always when  BilateralIndicator = NO

cusip

CUSIP

String

CONDITIONAL

Only present on US securities.

exchangeId

Exchange ID

String

ALWAYS

guid

GUID

String

ALWAYS

isin

ISIN

String

CONDITIONAL

Only present on non-US securities.

longName

LongName

String

ALWAYS

priceSource

Price Source

PriceSource

• CLEAN

• DIRTY

ALWAYS

Price applied for the cash flow valuation

symbol

Symbol

String

ALWAYS

cusip

CUSIP

String

CONDITIONAL

Only present on US securities.

guid

GUID

String

ALWAYS

isin

ISIN

String

CONDITIONAL

Only present on non-US securities.

longName

Long Name

String

ALWAYS

productType

Product Type

ProductType

• BOND

• EUSOV

• EUSUP

• TB

• TBA

• TINT

• TIPS

• SOV

• SUPRA

• TBILL

• TBOND

• TNOTE

ALWAYS