CME Benchmark Administration Premium Message Specification
- CME Group
This message specification provides the message layout for each FIX message type supported by the applicable SBE schema for the CME Benchmark Administration Premium market data group.
Contents
Revision History
| Date | Description |
|---|---|
| 12/27/2023 | Added "RFR Benchmarks" section. |
| 9/14/2022 | Incorporated Streaming CVOL Index Launch and SBE Template Migration client impact assessment.
|
| 12/14/2021 | Added "MDP 3.0 - SBE Message Header" section |
| 11/22/2021 |
|
| 10/7/2021 | updated version removed extraneous tag values |
| 9/2/2021 | updated version |
Message Specification
The following section outlines the full message specification for CME Benchmark Administration Premium Specification messages.
Binary Packet Headers
A standard technical header sent in a packet.
Binary Packet Header for UDP Connections
A standard technical header is included in all packets sent on Real-Time Feed, UDP Market Recovery, and Instrument Recovery Feeds.
Name | Type | Description |
|---|---|---|
| MsgSeqNum | uInt32 | Packet sequence number. A unique sequence number given to each packet sent. Each channel will have its own separate set of sequence numbers that will increment sequentially with each packet and reset weekly. |
| SendingTime | uInt64 | UTC Time of message transmission by the Gateway. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy. |
SBE Message Header
Each message in the packet starts with a Binary message header that consists of the Binary Size and SBE header (Length, TemplateID, SchemaID, and Version).
| Name | Type | Description |
|---|---|---|
| MsgSize | uInt16 | Length of entire message, including binary header in number of bytes |
| Simple Binary Encoding Header | ||
| BlockLength | uInt16 | Length of the root of the FIX message contained before repeating groups or variable/conditions fields |
| TemplateID | uInt16 | Template ID used to encode the message |
| SchemaID | uInt16 | ID of the system publishing the message |
| Version | uInt16 | Schema version |
MDP 3.0 - Market Data Incremental Refresh Incremental Messages
The specifications included below are used for CME Benchmark Administration Premium Specification incremental messages (tag 35-MsgType=X) for SOFR, CVOL indicator and Petrol pricing.
- The messages for SOFR and Petrol pricing map to the MDIncrementalRefreshSettle template in the Settlements and Valuations schema.
- The messages for CVOL indicator map to the MDIncrementalRefreshCVOLIndex template in the Settlements and Valuations SBE schema
SOFR
Tag | FIX Name | Type | Valid Values | Description |
|---|---|---|---|---|
60 | TransactTime | uInt64 |
| Start of event processing time in number of nanoseconds since Unix epoch |
1683 | MDSubFeedType | uInt16NULL | Describes a sub-class for a given class of service | |
| Repeating Group 1 | ||||
| 268 | NoMDEntries | NumInGroup |
| Number of entries in Market Data message |
| →279 | MDUpdateAction | MDUpdateAction | 0 = New | Indicates the type of Market Data update action |
| →269 | MDEntryType | Char | W = Fixing Price | Indicates the type of price |
| →7178 | ProductGUID | uInt64NULL | Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |
| →37500 | ClearingProductCode | String (12) | TR1 - 1-MTH SOFR SYNTHETIC FUT TR3 - 3-MTH SOFR SYNTHETIC FUT TR6 - 6-MTH SOFR SYNTHETIC FUT T1Y – 12 MTH SOFR SYNTHETIC FUT | Clearing Product Code |
| →167 | SecurityType | SecurityType | FUT = Future Outrights | Identifies the type of instrument. |
| →207 | SecurityExchange | String (8) | CME = Chicago Mercantile Exchange | Security Exchange |
| →200 | MaturityMonthYear | MaturityMonthYear | This tag provides the calendar month reflected in the instrument symbol (tag 55-Symbol). Format: YYYYMM (e.g. 201912) For futures spreads and options spreads, this tag 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 4thweek contracts, 2019124). | |
| →201 | PutOrCall | PutOrCall | Indicates whether an option instrument is a put or call. Will be null or empty in SOFR messages. | |
| →202 | StrikePrice | Decimal64 | Option strike price in Clearing price format. Will be null or empty in SOFR messages. | |
| →37509 | UnderlyingProductGUID | uInt64NULL | Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. Will be null or empty in SOFR messages. | |
| →37510 | UnderlyingClearingProductCode | String (12) | Underlying Clearing Product Code Will be null or empty in SOFR messages. Will be null or empty in SOFR messages. | |
| →310 | UnderlyingSecurityType | SecurityType | Identifies the type of the underlying instrument. Will be null or empty in SOFR messages. | |
| →308 | UnderlyingSecurityExchange | String (8) | Underlying Security Exchange Will be null or empty in SOFR messages. | |
| →313 | UnderlyingMaturityMonthYear | MaturityMonthYear | This tag 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 tag 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 4thweek contracts, 2019124). Will be null or empty in SOFR messages. | |
| →55 | Symbol | Symbol | Contract name | |
| →37513 | InstrumentGUID | uInt64NULL | Global unique instrument identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |
| →48 | SecurityID | uInt32NULL | Security ID. This value is only sent for CME Globex instruments. This field will be null for instruments not sent on CME Globex. | |
| →9732 | FormattedLastPx | Decimal64 | Price in Clearing decimal format. | |
| →270 | MDEntryPx | PRICENULL9 | Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex | |
| →731 | SettlPriceType | SettlPriceType | 10000000 = null | Bitmap field of eight Boolean type indicators representing settlement or valuation price type. |
| →5796 | TradingReferenceDate | LocalMktDate | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. | |
| →2455 | MDStatisticDesc | String (40) | empty | Description of the fixing price. |
Petroleum Indexes
Tag | FIX Name | Type | Valid Values | Description | ||||||
|---|---|---|---|---|---|---|---|---|---|---|
60 | TransactTime | uInt64 |
| Start of event processing time in number of nanoseconds since Unix epoch | ||||||
1683 | MDSubFeedType | uInt16NULL | Describes a sub-class for a given class of service | |||||||
| Repeating Group 1 | ||||||||||
| 268 | NoMDEntries | NumInGroup |
| Number of entries in Market Data message | ||||||
| →279 | MDUpdateAction | MDUpdateAction | 0 = New | Indicates the type of Market Data update action | ||||||
| →269 | MDEntryType | Char | 3 = Index Value | Indicates the type of price | ||||||
| →7178 | ProductGUID | uInt64NULL | Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |||||||
| →37500 | ClearingProductCode | String (12) | CPX = Petroleum Index CVX = Indicative Petroleum Index | Clearing Product Code | ||||||
| →167 | SecurityType | SecurityType | INDEX | Identifies the type of instrument. | ||||||
| →207 | SecurityExchange | String (8) | NYMEX | Security Exchange | ||||||
| →200 | MaturityMonthYear | MaturityMonthYear | null | A value of zero denotes null | ||||||
| →201 | PutOrCall | PutOrCall | null | Indicates whether an option instrument is a put or call. A value of zero denotes null Will be null or empty in SOFR messages. | ||||||
| →202 | StrikePrice | Decimal64 | null | Option strike price in Clearing price format. A value of zero denotes null Will be null or empty in SOFR messages. | ||||||
| →37509 | UnderlyingProductGUID | uInt64NULL | null | Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. A value of zero denotes null Will be null or empty in SOFR messages. | ||||||
| →37510 | UnderlyingClearingProductCode | String (12) | null | Underlying Clearing Product Code Will be null or empty in SOFR messages. | ||||||
| →310 | UnderlyingSecurityType | SecurityType | null | Identifies the type of the underlying instrument. | ||||||
| →308 | UnderlyingSecurityExchange | String (8) | null | Underlying Security Exchange Will be null or empty in SOFR messages. | ||||||
| →313 | UnderlyingMaturityMonthYear | MaturityMonthYear | null | This tag 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 tag 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 4thweek contracts, 2019124). Will be null or empty in SOFR messages. | ||||||
| →55 | Symbol | Symbol | CPX = Petroleum Index CVX = Indicative Petroleum Index | Contract name | ||||||
| →37513 | InstrumentGUID | uInt64NULL | Global unique instrument identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |||||||
| →48 | SecurityID | uInt32NULL | Security ID. This value is only sent for CME Globex instruments. This field will be null for instruments not sent on CME Globex. | |||||||
| →9732 | FormattedLastPx | Decimal64 | Price in Clearing decimal format. | |||||||
| →270 | MDEntryPx | PRICENULL9 | Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex | |||||||
| →731 | SettlPriceType | SettlPriceType | Bit 0:
| Bitmap field of eight Boolean type indicators representing settlement or valuation price type. Example values:
| ||||||
| →5796 | TradingReferenceDate | LocalMktDate | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. | |||||||
| →2455 | MDStatisticDesc | String (40) | empty | Description of the fixing price. | ||||||
CVOL Indexes
| Tag | Field Name | Type | Valid Values | Description |
|---|---|---|---|---|
| 60 | TransactTime | uInt64 | Index calculation time, sent in number of nanoseconds since Unix epoch | |
| 1683 | MDSubFeedType | uInt16NULL | Describes a sub-class for a given class of service | |
| 5796 | TradingReferenceDate | LocalMktDate | Business date, required to be published with end of day Index Settle record | |
| 37500 | ClearingProductCode | String12 | Clearing Product Code | |
| 7178 | ProductGUID | uInt64 | Product GUID | |
| 286 | OpenCloseSettlFlag | CVOLValueFlag | 107=RealTime 108=FinalDaily 109=PreliminaryDaily 110=ReprintPrevious | Indicates Index value type sent in the message: streaming, resend of previous values, end of day or preliminary snapshot |
| Repeating Group 1 | ||||
| 268 | NoMDEntries | groupSize | Number of data blocks | |
| →279 | MDUpdateAction | MDUpdateActionNew | Market Data update action | |
| →269 | MDEntryType | MDEntryTypeIndices | 3 = IndexValue 7 = SessionHighPrice 8 = SessionLowPrice | Index MD entry type |
| →55 | Symbol | Symbol | Index instrument symbol such as CVOL:SOVL or UPVAR:SOVL | |
| →37513 | InstrumentGUID | uInt64 | Index instrument unique identifier | |
| →270 | MDEntryPx | Decimal64 | Index value | |
| Repeating Group 2 | ||||
| 711 | NoUnderlyings | groupSize | Number of Index underlying products | |
| →462 | UnderlyingProduct | String12 | Underlying Future Globex Product Code | |
| →37509 | UnderlyingProductGUID | uInt64 | Underlying Future Product GUID | |
| →6919 | IndexPct | Decimal32NULL | Index component weight. Value is not provided in Final Daily message (286=108). | |
| →37526 | FrontOptionsSeries | String12 | Globex Product Code and Maturity of the front overlying options series. Not provided for indices with multiple underlying products. | |
| →37527 | BackOptionsSeries | String12 | Globex Product Code and Maturity of the back overlying options series. Not provided for indices with multiple underlying products. | |
| →37528 | TargetExpiry | uInt16NULL | Index Target Horizon in days (eg, 30, 60, 90, etc) | |
CVOL Indicator Messaging Summary
| Tag | Name | Streaming Index Values | Final Daily Index Values | Preliminary Daily Index Value | Resend of Previous Index Values when no updates are available | Highest Index value of the daily session | Lowest Index value of the daily session |
|---|---|---|---|---|---|---|---|
| 286 | OpenCloseSettlFlag | 107=RealTime | 108=FinalDaily | 109 = PreliminaryDaily | 110 = ReprintPrevious | 107=RealTime | 107=RealTime |
| Repeating Group 1 | |||||||
| 268 | NoMDEntries | required, provided for all indicators | required, provided for indicators | required, provided for indicators | required, provided for indicators | required, provided for main indicator | required, provided for main indicator |
| →269 | MDEntryType | 3 = IndexValue | 3 = IndexValue | 3 = IndexValue | 3 = IndexValue | 7 = SessionHighPrice | 8 = SessionLowPrice |
| →270 | MDEntryPx | Streaming Index value | Final Daily Index Value
| Preliminary Daily Index Value | Resent Index Value | Highest Index value of the daily session | Lowest Index value of the daily session |
CVOL Index Indicator Symbols
Foreign Exchange
Foreign Exchange – Single Product | ||||||
|---|---|---|---|---|---|---|
Contract | CVOL Clearing Product Code | UpVar Symbol | DownVar Symbol | Skew Symbol | ATM Vol Symbol | ConvexityClearing Symbol |
EUR/USD (EUU) | EUVL | UPVAR:EUVL | DNVAR:EUVL | SKEW:EUVL | ATMVOL:EUVL | CONVEX:EUVL |
GBP/USD (GBU) | GBVL | UPVAR:GBVL | DNVAR:GBVL | SKEW:GBVL | ATMVOL:GBVL | CONVEX:GBVL |
JPY/USD (JPU) | JPVL | UPVAR:JPVL | DNVAR:JPVL | SKEW:JPVL | ATMVOL:JPVL | CONVEX:JPVL |
AUD/USD (AUU) | ADVL | UPVAR:ADVL | DNVAR:ADVL | SKEW:ADVL | ATMVOL:ADVL | CONVEX:ADVL |
CAD/USD (CAU) | CAVL | UPVAR:CAVL | DNVAR:CAVL | SKEW:CAVL | ATMVOL:CAVL | CONVEX:CAVL |
MXN/USD (MP) | MPVL | UPVAR:MPVL | DNVAR:MPVL | SKEW:MPVL | ATMVOL:MPVL | CONVEX:MPVL |
CHF/USD (CHU) | CHVL | UPVAR:CHVL | DNVAR:CHVL | SKEW:CHVL | ATMVOL:CHVL | CONVEX:CHVL |
Foreign Exchange – Broad Based | ||||||
|---|---|---|---|---|---|---|
| Name | CVOL Clearing Product Code | UpVar Symbol | DownVar Symbol | Skew Symbol | ATM Vol Symbol | ConvexityClearing Symbol |
FX G5 Volatility Index (EUVL, GBVL, JPVL, ADVL, CAVL) | FXVL | UPVAR:FXVL | DNVAR:FXVL | SKEW:FXVL | ATMVOL:FXVL | CONVEX:FXVL |
Interest Rate
Interest Rate – Single Product | ||||||
|---|---|---|---|---|---|---|
Contract | CVOL Clearing Product Code | UpVar Symbol | DownVar Symbol | Skew Symbol | ATM Vol Symbol | ConvexityClearing Symbol |
US 2-year T- Note (OZT) - Price | TUVL | UPVAR:TUVL | DNVAR:TUVL | SKEW:TUVL | ATMVOL:TUVL |
CONVEX:TUVL |
US 2-year T- Note (OZT) - Yield | TUVY | UPVAR:TUVY | DNVAR:TUVY | SKEW:TUVY | ATMVOL:TUVY | CONVEX:TUVY |
US 5-year T- Note (OZF) - Price | FVVL | UPVAR:FVVL | DNVAR:FVVL | SKEW:FVVL | ATMVOL:FVVL | CONVEX:FVVL |
US 5-year T- Note (OZF) - Yield | FVVY | UPVAR:FVVY | DNVAR:FVVY | SKEW:FVVY | ATMVOL:FVVY | CONVEX:FVVY |
US 10-year T- Note (OZN) - Price | TYVL | UPVAR:TYVL | DNVAR:TYVL | SKEW:TYVL | ATMVOL:TYVL | CONVEX:TYVL |
US 10-year T- Note (OZN) - Yield | TYVY | UPVAR:TYVY | DNVAR:TYVY | SKEW:TYVY | ATMVOL:TYVY | CONVEX:TYVY |
US 30-year T- Bond (OZB) - Price | USVL | UPVAR:USVL | DNVAR:USVL | SKEW:USVL | ATMVOL:USVL | CONVEX:USVL |
US 30-year T- Bond (OZB) - Yield | USVY | UPVAR:USVY | DNVAR:USVY | SKEW:USVY | ATMVOL:USVY | CONVEX:USVY |
Interest Rate – Broad Based | ||||||
|---|---|---|---|---|---|---|
Name | CVOL Clearing Product Code | UpVar Symbol | DownVar Symbol | Skew Symbol | ATM Vol Symbol | Convexity Symbol |
Treasury Curve Volatility Index - Price (TUVL, FVVL, TYVL, USVL) | TPVL | UPVAR:TPVL | DNVAR:TPVL | SKEW:TPVL | ATMVOL:TPVL | CONVEX:TPVL |
Treasury Curve Volatility Index - Yield (TUVY, FVVY, TYVY, USVY) | TVL | UPVAR:TVL | DNVAR:TVL | SKEW:TVL | ATMVOL:TVL | CONVEX:TVL |
Metals
Metals – Single Product | ||||||
|---|---|---|---|---|---|---|
Contract | CVOL Clearing Product Code | UpVar Symbol | DownVar Symbol | Skew Symbol | ATM Vol Symbol | ConvexityClearing Symbol |
Silver (SO) | SIVL | UPVAR:SIVL | DNVAR:SIVL | SKEW:SIVL | ATMVOL:SIVL | CONVEX:SIVL |
Gold (OG) | GCVL | UPVAR:GCVL | DNVAR:GCVL | SKEW:GCVL | ATMVOL:GCVL | CONVEX:GCVL |
Copper (HXE) | HGVL | UPVAR:HGVL | DNVAR:HGVL | SKEW:HGVL | ATMVOL:HGVL | CONVEX:HGVL |
Metals – Broad Based | ||||||
|---|---|---|---|---|---|---|
Name | CVOL Clearing Product Code | UpVar Symbol | DownVar Symbol | Skew Symbol | ATM Vol Symbol | Convexity Symbol |
Metals Volatility Index (SIVL, GCVL, HGVL) | MVL | UPVAR:MVL | DNVAR:MVL | SKEW:MVL | ATMVOL:MVL | CONVEX:MVL |
Energy
Energy – Single Product | ||||||
|---|---|---|---|---|---|---|
Contract | CVOL Clearing Product Code | UpVar Symbol | DownVar Symbol | Skew Symbol | ATM Vol Symbol | ConvexityClearing Symbol |
WTI Crude Oil (LO) | CLVL | UPVAR:CLVL | DNVAR:CLVL | SKEW:CLVL | ATMVOL:CLVL | CONVEX:CLVL |
Henry Hub Natural Gas (LN) | NGVL | UPVAR:NGVL | DNVAR:NGVL | SKEW:NGVL | ATMVOL:NGVL | CONVEX:NGVL |
RBOB Gasoline (OB) | RBVL | UPVAR:RBVL | DNVAR:RBVL | SKEW:RBVL | ATMVOL:RBVL | CONVEX:RBVL |
NY Harbor ULSD (OH) | HOVL | UPVAR:HOVL | DNVAR:HOVL | SKEW:HOVL | ATMVOL:HOVL | CONVEX:HOVL |
Energy – Broad Based | ||||||
|---|---|---|---|---|---|---|
Name | CVOL Clearing Product Code | UpVar Symbol | DownVar Symbol | Skew Symbol | ATM Vol Symbol | ConvexityClearing Symbol |
Energy Volatility Index (CLVL, NGVL, RBVL, HOVL) | EVL | UPVAR:EVL | DNVAR:EVL | SKEW:EVL | ATMVOL:EVL | CONVEX:EVL |
Agriculture
Agriculture – Single Product | ||||||
|---|---|---|---|---|---|---|
Contract | CVOL Clearing Product Code | UpVar Symbol | DownVar Symbol | Skew Symbol | ATM Vol Symbol | ConvexityClearing Symbol |
Wheat (OZW) | WVL | UPVAR:WVL | DNVAR:WVL | SKEW:WVL | ATMVOL:WVL | CONVEX:WVL |
Corn (OZC) | CVL | UPVAR:CVL | DNVAR:CVL | SKEW:CVL | ATMVOL:CVL | CONVEX:CVL |
Soybean (OZS) | SVL | UPVAR:SVL | DNVAR:SVL | SKEW:SVL | ATMVOL:SVL | CONVEX:SVL |
Soybean Oil (OZL) | SOVL | UPVAR:SOVL | DNVAR:SOVL | SKEW:SOVL | ATMVOL:SOVL | CONVEX:SOVL |
Soybean Meal (OZM) | SMVL | UPVAR:SMVL | DNVAR:SMVL | SKEW:SMVL | ATMVOL:SMVL | CONVEX:SMVL |
Lean Hogs (HE) |
HEVL | UPVAR:HEVL | DNVAR:HEVL | SKEW:HEVL | ATMVOL:HEVL | CONVEX:HEVL |
Live Cattle (LE) |
LEVL | UPVAR:LEVL | DNVAR:LEVL | SKEW:LEVL | ATMVOL:LEVL | CONVEX:LEVL |
Class III Milk (DC) |
DCVL | UPVAR:DCVL | DNVAR:DCVL | SKEW:DCVL | ATMVOL:DCVL | CONVEX:DCVL |
Agriculture – Broad Based | ||||||
|---|---|---|---|---|---|---|
Name | CVOL Clearing Product Code | UpVar Symbol | DownVar Symbol | Skew Symbol | ATM Vol Symbol | Convexity Symbol |
Agriculture Volatility Index (WVL, CVL, SVL, SOVL, SMVL, HEVL, LEVL, DCVL) | AVL | UPVAR:AVL | DNVAR:AVL | SKEW:AVL | ATMVOL:AVL | CONVEX:AVL |
Multi Asset
Commodity – Broad Based | ||||||
|---|---|---|---|---|---|---|
Name | CVOL Clearing Product Code | UpVar Symbol | DownVar Symbol | Skew Symbol | ATM Vol Symbol | Convexity Symbol |
Commodity Volatility Index (CLVL, NGVL, RBVL, HOVL, WVL, CVL, SVL, SIVL, GCVL, HGVL, LEVL, HEVL, DCVL) | CMVL | UPVAR:CMVL | DNVAR:CMVL | SKEW:CMVL | ATMVOL:CMVL | CONVEX:CMVL |
RFR Benchmarks
The message is sent for RFR benchmarks. It maps to the MDIncrementalRefreshBenchmark template in the Settlements and Valuations schema.
Tag | Name | Type | Valid Values | Description |
|---|---|---|---|---|
| 60 | TransactTime | uInt64 | UTC Publishing time sent as number of nanoseconds since Unix Epoch. | |
| 1683 | MDSubFeedType | uInt16NULL | Describes a sub-class for a given class of service. | |
| 268 | NoMDEntries | groupSize | Number of entries in Market Data message. | |
| 279 | >MDUpdateAction | MDUpdateActionNew | 0 | MD Update Action |
| 269 | >MDEntryType | CHAR | 3 = index value | Market Data Entry Type |
| 55 | >Symbol | Symbol | Benchmark instrument symbol | |
| 37513 | >InstrumentGUID | uInt64 | Instrument GUID | |
| 7178 | >ProductGUID | uInt64 | Product GUID | |
| 37500 | >ClearingProductCode | String12 | Benchmark product code | |
| 167 | >SecurityType | SecurityType | Benchmark security type | |
| 270 | >MDEntryPx | Decimal64 | Benchmark value | |
| 236 | >Yield | Decimal64 | null | Benchmark value in yield format, if applicable Currently reserved for future use. |
| 2796 | >FXBenchmarkRateFix | String20 | null | Fixing Rate Description Currently reserved for future use. |
| 37726 | >FixRateLocalTime | String8 | null | Fixing Rate Local Time, denoted in HH:MM:SS format Currently reserved for future use. |
| 37727 | >FixRateLocalTimeZone | String20 | null | Fixing Rate Local Time Zone corresponding to Fixing Rate Local Time Currently reserved for future use. |
| 1020 | >TradeVolume | Decimal64 | Initial trade volume considered for calculation. | |
| 37529 | >IndexVolume | Decimal64 | Trade volume used in benchmark calculation. | |
| 37530 | >TradeCount | uInt32NULL | Number of individual transactions used in benchmark calculation. | |
| 37531 | >OrderBookVolume | Decimal64 | null | Order book volume. This field is optionally provided when order book is used in benchmark calculations in addition to trades. Currently reserved for future use. |
| 2551 | >StartPriceRange | Decimal64 | Lower price boundary of transactions used in benchmark calculation. | |
| 2552 | >EndPriceRange | Decimal64 | Upper price boundary of transactions used in benchmark calculation. | |
| 458 | >UnderlyingSecurityAltID | String20 | null | Benchmark's underlying alternate security identifier as specified in UnderlyingSecurityAltIDSource. For UST Fixings, it will contain the current On-the-Run CUSIP. Currently reserved for future use. |
| 459 | >UnderlyingSecurityAltIDSource | SecurityAltIDSource | null | Identifies class or source of the UnderlyingSecurityAltID (458) value. Currently reserved for future use. |
| 542 | >UnderlyingMaturityDate | LocalMktDate | null | Underlying Security Maturity Date. For UST Fixings will contain On-the-Run MaturityDate. Currently reserved for future use. |
| 435 | >UnderlyingCouponRate | Decimal64 | null | Underlying contract Coupon Rate. For UST Fixings, it will contain the current On-the-Run coupon rate. Currently reserved for future use. |
| 5796 | >TradingReferenceDate | LocalMktDate | Indicates business date corresponding to Benchmark value, sent in number of days since Unix epoch. |
RFR Benchmark Symbols
Repo Funds Rate (RFR) Benchmarks are a series of daily euro repo benchmarks comprising RFR Euro (including 10 underlying countries), RFR Sterling and RFR JBOND. Each benchmark is calculated with repo trades that use sovereign government bonds as collateral.
| Name | Tag 55-Symbol |
|---|---|
| RFR Austria Level 1 | RFAU |
| RFR Austria Level 2 GC | RFAUGC |
| RFR Austria Level 2 SC | RFAUSC |
| RFR Belgium Level 1 | RFBE |
| RFR Belgium Level 2 GC | RFBEGC |
| RFR Belgium Level 2 SC | RFBESC |
| RFR Euro Level 1 | RFEU |
| RFR Euro Level 2 GC | RFEUGC |
| RFR Euro Level 2 SC | RFEUSC |
| RFR Finland Level 1 | RFFI |
| RFR Finland Level 2 GC | RFFIGC |
| RFR Finland Level 2 SC | RFFISC |
| RFR France Level 1 | RFFR |
| RFR France Level 2 GC | RFFRGC |
| RFR France Level 2 SC | RFFRSC |
| RFR Germany Level 1 | RFDE |
| RFR Germany Level 2 GC | RFDEGC |
| RFR Germany Level 2 SC | RFDESC |
| RFR Ireland Level 1 | RFIE |
| RFR Ireland Level 2 GC | RFIEGC |
| RFR Ireland Level 2 SC | RFIESC |
| RFR Italy Level 1 | RFIT |
| RFR Italy Level 2 GC | RFITGC |
| RFR Italy Level 2 SC | RFITSC |
| RFR JBond Level 1 | RFJP |
| RFR JBond Level 2 GC | RFJPGC |
| RFR JBond Level 2 SC | RFJPSC |
| RFR Netherlands Level 1 | RFNL |
| RFR Netherlands Level 2 GC | RFNLGC |
| RFR Netherlands Level 2 SC | RFNLSC |
| RFR Portugal Level 1 | RFPT |
| RFR Portugal Level 2 GC | RFPTGC |
| RFR Portugal Level 2 SC | RFPTSC |
| RFR Spain Level 1 | RFES |
| RFR Spain Level 2 GC | RFESGC |
| RFR Spain Level 2 SC | RFESSC |
| RFR Sterling Level 1 | RFGB |
| RFR Sterling Level 2 GC | RFGBGC |
| RFR Sterling Level 2 SC | RFGBSC |
TCP Replay Messages
The messages included below are used for Settlements and Valuations TCP Recovery in the Global TCP Recovery Schema.
Logon from Client System to MDP
The Market Data Logon (tag 35-MsgType=A) message is sent by the client system to MDP to initiate logon.
Required tags:
Tag | FIX Name | Type | Valid Values | Description |
|---|---|---|---|---|
553 | Username | String | Userid or username. | |
554 | Password | String | Password or passphrase. | |
1137 | DefaultApplVerID | String | 9 = FIX50SP2 | Specifies the service pack release being applied, by default, to message at the session level. |
Logon from MDP to Client System
The Market Data Logon (tag 35-MsgType=A) message is sent from MDP to the client system to confirm logon. This message is SBE-encoded.
Tag | FIX Name | Type | Valid Values | Description |
|---|---|---|---|---|
1180 | ApplID | String | REPLAY | Used to identify a replayed message. |
98 | EncryptMethod | Int | 0 = None | CME Globex does not use encryption, so this value is always set to 0. |
108 | HeartBtInt | Int | Heartbeat interval (seconds). | |
1137 | DefaultApplVerID | String | 9 = FIX50SP2 | Specifies the service pack release being applied, by default, to message at the session level. |
Market Data Replay Request
The Market Data - Replay Request (tag 35-MsgType=V) message is sent by the client system to request a range of messages for recovery.
Required tags:
Tag | FIX Name | Type | Valid Values | Description |
|---|---|---|---|---|
1180 | ApplID | String | The channel ID from the XML Configuration file for which this request is made. | |
262 | MDReqID | String | Unique identifier for Market Data Request. | |
1182 | ApplBeginSeqNo | SeqNum | Message sequence number of first message in range to be re-sent. If the request is for a single message, ApplBeginSeqNo (tag 1182) and ApplEndSeqNo (tag 1183) are the same. | |
1183 | ApplEndSeqNo | SeqNum | Message sequence number of last message in range to be re-sent. If the request is for a single message, BeginSeqNo (tag 7) and EndSeqNo (tag 16) are the same. The maximum number of messages that can be requested is 2000. |
Logout
The Market Data Logout (tag 35-MsgType=5) message is sent from MDP to confirm logout. This message is SBE-encoded.
Tag | FIX Name | Type | Valid Values | Description |
|---|---|---|---|---|
1180 | ApplID | String | REPLAY | Used to identify a replayed message. |
58 | Text | String | Free Format text string. May include logout confirmation or reason for logout. |
Contact Information
For technical development support, contact Certification Support for Electronic Trading (CSET).
For production requests, please contact the Global Command Center (GCC).
For all other inquiries, please contact Global Account Management (GAM).
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