CME STP - FIXML Message Samples
This page provides the following CME STP message samples:Â Â
- 1 Inbound Samples
- 2 Outbound Samples
- 2.1 Outrights
- 2.2 Interest Rate Swaps
- 2.3 Spreads
- 2.3.1 Future (Globex) - Spread (MLegRptTyp=3)
- 2.3.2 Future (Globex) - Spread Leg 1 (MLegRptTyp=2)
- 2.3.3 Future (Globex) - Spread Leg 2 (MLegRptTyp=2)
- 2.3.4 Future (ClearPort) - Spread (MLegRptTyp=3)
- 2.3.5 Future (ClearPort) -Â Spread Leg 1 (MLegRptTyp=2)
- 2.3.6 Future (ClearPort) - Spread Leg 2 (MLegRptTyp=2)
- 2.4 Allocations
- 3 Bilateral Trades
- 4 Cleared Elsewhere (Non-CME)
- 5 FX Link
- 5.1 FX Spot Side 1
- 5.2 FX Future Side 2
- 5.3 FX Future Side 1
- 5.4 FX Spot Side 2
- 6 Trade at Settlement (TAS)
- 6.1 Original Trade
- 6.2 Trade Update
- 7 Trade at Marker (TAM)
- 7.1 Original Trade
- 7.2 Trade Update
- 8 Trade at Cash Open (TACO)
- 8.1 Original Trade
- 8.2 Trade Update
Use this search bar to search topics within CME STP.
Inbound Samples
Trading Firm Initial Subscription
This is the most basic Subscription as it contains no parameters except for the trading firm. It does not contain any dates or times.
<?xml version="1.0" encoding="UTF-8"?>
<FIXML v="5.0 SP2" s="20090815" xv="109" cv="CME.0001">
<!-- ReqTyp = Matched trades matching criteria provided on request-->
<!-- SubReqTyp = Subscribe -->
<!-- No times are given, including a start time. Use system default. -->
<!-- No BizDt or TrdDt given, so all trades. -->
<!-- MLegRptTyp = Prefer Spreads, not Legs. -->
<TrdCaptRptReq ReqID="ABC123" ReqTyp="1" SubReqTyp="1" MLegRptTyp="3">
<Hdr SID="RYAN" TID="CME" SSub="RYAN123" TSub="STP"/>
<!-- Query is for Trading Firm: RYANTF -->
<Pty ID="RYANTF" R="7"/>
<Pty ID="RYANTF1" R="7"/>
</TrdCaptRptReq>
</FIXML>
Trading Firm Continued Subscription
This is a continuation of the Subscription above. All query parameters (at present, only trading firm) must be repeated. The token will be sent in x-cme-token
(a CME custom HTTP header) to continue the Subscription.
The ReqID
may either be the same as the original query, or it may be different. The resulting message sent in response must echo it back.
<?xml version="1.0" encoding="UTF-8"?>
<FIXML v="5.0 SP2" s="20090815" xv="109" cv="CME.0001">
<!-- ReqTyp = Unreported trades that match criteria. Indicates that this is a continuation of a prior subscription. -->
<!-- Note that token is passed in the x-cme-token HTTP header. -->
<!-- SubReqTyp = Subscribe -->
<!-- No times are given, including a start time. Use system default. -->
<!-- No BizDt or TrdDt given, so all trades. -->
<!-- MLegRptTyp = Prefer Spreads, not Legs. -->
<TrdCaptRptReq ReqID="ABC123" ReqTyp="3" SubReqTyp="1" MLegRptTyp="3">
<Hdr SID="RYAN" TID="CME" SSub="RYAN123" TSub="STP"/>
<!-- Query is for Trading Firm: RYANTF -->
<Pty ID="RYANTF" R="7"/>
<Pty ID="RYANTF1" R="7"/>
</TrdCaptRptReq>
</FIXML>
Trading Firm Initial Subscription for a Product
In this example, the Trading Firm is subscribing by product and clearing business date. It includes an 11:00 AM start time. Records prior to that time are not returned.
<?xml version="1.0" encoding="UTF-8"?>
<FIXML v="5.0 SP2" s="20090815" xv="109" cv="CME.0001">
<!-- ReqTyp = Matched trades matching criteria provided on request-->
<!-- SubReqTyp = Subscribe -->
<!-- This is a subscription from 11:00 AM onwards -->
<!-- BizDt given as query parameter, but no TrdDt. -->
<!-- MLegRptTyp = Prefer Spreads, not Legs. -->
<TrdCaptRptReq ReqID="ABC124" ReqTyp="1" SubReqTyp="1" StartTm="2013-10-22T11:00:00-05:00" BizDt="2013-10-22" MLegRptTyp="3">
<Hdr SID="RYAN" TID="CME" SSub="RYAN123" TSub="STP"/>
<!-- Query is for Trading Firm: RYANTF -->
<Pty ID="RYANTF" R="7"/>
<Pty ID="RYANTF1" R="7"/>
<!-- NYMEX Crude Oil futures only -->
<Instrmt ID="CL" SecTyp="FUT" Exch="NYMEX"/>
</TrdCaptRptReq>
</FIXML>
Broker Initial Query for Specific Order
Broker Initial Query for Specific Order - Search for Historic Trade
End Time (EndTm) is used to search for earlier trades
Outbound Samples
Outrights
Future Sample - Pit
Option on Future Sample - CME Globex
OTC FX Sample - CME ClearPort
Interest Rate Swaps
IRS with embedded FpML
Spreads
Future (Globex) - Spread (MLegRptTyp=3)
Future (Globex) - Spread Leg 1 (MLegRptTyp=2)
Future (Globex) - Spread Leg 2 (MLegRptTyp=2)
Future (ClearPort) - Spread (MLegRptTyp=3)
Future (ClearPort) -Â Spread Leg 1 (MLegRptTyp=2)
Future (ClearPort) - Spread Leg 2 (MLegRptTyp=2)
Allocations
Trade Marked for Allocation
Offset Trade to Executing Firm
Onset Trade to Claiming Firm
Bilateral Trades
Delivery Fixed Commodity Swap
Delivery Float Commodity Swap
Fixed Float Commodity Index
Option Delivery Fixed
Cleared Elsewhere (Non-CME)
Future
Option Underlying Commodity Swap
FX Link
FX Spot Side 1
Exch =" FXS"
SecType= "FXSPOT"
TrdType="54"
StrategyLinkID="8813364457201711013"Â
FX Future Side 2
Exch =" CME"
SecType= "FUT"
TrdType="0"
StrategyLinkID="8813364457201711013"Â
FX Future Side 1
Exch =" CME"
SecType= "FUT"
TrdType="0"
StrategyLinkID="8813364457201711013"Â
FX Spot Side 2
Exch =" FXS"
SecType= "FXSPOT"
TrdType="54"
StrategyLinkID="8813364456201711013"
Trade at Settlement (TAS)
Original Trade
Trade Update
Trade at Marker (TAM)
Original Trade
Trade Update
Trade at Cash Open (TACO)
Original Trade
Trade Update
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