CME Smart Stream Websockets - Top of Book

Output - Top of Book

Fields

Ref	Field	Name	Data Type	Values	Usage	Description
1	`header`
2	`→ messageType`	Message Type	`string`	`TOB` (Top of Book)	ALWAYS	Denotes trade summary message.
3	`→ sentTime`	Sent Timestamp	`timestamp`		ALWAYS	CME MDP gateway sends the message (UTC).
4	`→ sequenceNumber`	sequence Number	`string`		ALWAYS
5	`→ version`	API Version	`string`	`1.0` (1.0)	ALWAYS
6	`payload`
7	`→ askLevel[]`
8	`→ → lastUpdateTime`	Ask Level Last Update Timestamp	`timestamp`		ALWAYS	Last update time for ask price
9	`→ → orderCnt`	Ask Level Order Count	`string`		ALWAYS	Aggregate number of orders at the given price level.
10	`→ → price`	Ask Level Price	`string`		ALWAYS	Price of the entry
11	`→ → qty`	Ask Level Quantity	`string`		ALWAYS	Quantity of the entry
12	`→ bidLevel[]`
13	`→ → lastUpdateTime`	Bid Level Last Update Timestamp	`timestamp`		ALWAYS	Last update time for ask price
14	`→ → orderCnt`	Bid Level Order Count	`string`		ALWAYS	Aggregate number of orders at the given price level.
15	`→ → price`	Bid Level Price	`string`		ALWAYS	Price of the entry
16	`→ → qty`	Bid Level Quantity	`string`		ALWAYS	Quantity of the entry
17	`→ instrument`
18	`→ → definitionSource`	Instrument Definition Source	`string`	`E` (Exchange Defined) `U` (User Defined)	ALWAYS	Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined.
19	`→ → exchangeMic`	Exchange MIC	`string`	`DUMX` (Dubai Mercantile Exchange) `XCBT` (Chicago Board of Trade) `XCEC` (COMEX (Commodities Exchange Center)) `XCME` (Chicago Mercantile Exchange) `XNYM` (New York Mercantile Exchange)	ALWAYS	Exchange used to identify a security.
20	`→ → id`	Instrument ID	`string`		ALWAYS	Unique instrument ID as qualified by the exchange per market segment. The unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.
21	`→ → marketSegmentId`	Market Segment ID	`string`		ALWAYS	Identifies the market segment. Populated for all CME Globex instruments.
22	`→ → periodCode`	Instrument Period Code	`string`		ALWAYS	This field provides the calendar month reflected in the instrument symbol. Format `YYYYMM` (e.g., 201912) For futures spreads, this field contains the first leg's calendar month reflected in the instrument symbol.
23	`→ → productCode`	Instrument Product Code	`string`		ALWAYS	String field that indicates the underlying asset code (Product Code). Example: GE (Eurodollars), ES (E-Minis).
24	`→ → productGroup`	Product Group Code	`string`		ALWAYS
25	`→ → productType`	Product Type	`string`	`FUT` (Future) `OOF` (Option) `OPT` (Option)	ALWAYS
26	`→ → symbol`	Instrument Symbol	`string`		ALWAYS