MDP 3.0 - Market Data Security Definition - Futures

5799

MatchEventIndicator

MatchEventIndicator

MultipleCharValue

examples:

• 10000000 – Security Definition message is the last message of the event

• 00000000 – Security Definition is not the last message of the even

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

• A=Add

• D=Delete

• M=Modify

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

• 2=Trading Halt

• 4=Close            

• 15=New Price Indication                       

• 17=Ready to trade

• 18= Not available for trading

• 20=Unknown or Invalid       

• 21=Pre Open  

• 24=Pre-Cross

• 25=Cross

• 26=Post Close             

• 103=No Change

Identifies the current state of the instrument. In Security Definition message this tag 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

• 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

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

• XCBT=Chicago Board of Trade 

• XCME=Chicago Mercantile Exchange 

• XNYM=New York Mercantile Exchange 

• XCEC= COMEX (Commodities Exchange Center) 

• XMGE=Minneapolis Grain Exchange 

• DUMX=Gulf 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

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=Gulf 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

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

8=Exchange symbol

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 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.

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

120

SettlCurrency

Currency

Currency

Identifies currency used for settlement, if different from trading currency

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=Eurodollar 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

PRICE9

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).

9787

DisplayFactor

Decimal9

float

Contains the multiplier to convert the CME Globex display price to the conventional price

37702

MainFraction

uInt8NULL

int

Price Denominator of Main Fraction

37703

SubFraction

uInt8NULL

int

Price Denominator of Sub Fraction

9800

PriceDisplayFormat

uInt8NULL

int

Number of digits to the right of tick mark; location of tick mark between whole and non-whole numbers.

Example: where tag 9800=3, display fractional price as: 112'200

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. Use in combination with tag 996-UnitofMeasure. 
For example:

Eurodollar futures 
-Tag 1147=2500
-Tag 996=USD 

Live Cattle futures 
-Tag 1147=40000 
-Tag 996=LBS 

For variable-quantity products, the contract size reflects the original contract size, before the application of the multiplier

1150

TradingReferencePrice

PRICENULL9

Price

Reference price for prelisted instruments or the last calculated 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

5792

OpenInterestQty

Int32NULL

Qty

The total open interest for the market at the close of the prior trading session.

5791

ClearedVolume

Int32NULL

Qty

The total cleared volume of instrument traded during the prior trading session.

1149

HighLimitPrice

PRICENULL9

Price

Allowable high limit price for the trading day.

A key parameter in validating order price.

Used as the upper band for validating order prices. Orders submitted with prices above the upper limit will be rejected.

This price protects off prices for quoting.

Note: This value is indicative only and may not reflect the actual real-time high limit price.

1148

LowLimitPrice

PRICENULL9

Price

Allowable low limit price for the trading day.

A key parameter in validating order price.

Used as the lower band for validating order prices. Orders submitted with prices below the lower limit will be rejected.

This price protects off prices for quoting.

Note: This value is indicative only and may not reflect the actual real-time low limit price.

1143

MaxPriceVariation

PRICENULL9

Price

Differential value for price banding.

5818

DecayQuantity

Int32NULL

Qty

Indicates the quantity that a contract will decay daily by once the decay start date is reached

5819

DecayStartDate

LocalMktDate

LocalMktDate

Indicates the date at which a decaying contract will begin to decay

5849

OriginalContractSize

Int32NULL

Qty

Fixed contract value assigned to each product

231

ContractMultiplier

Int32NULL

int

Number of deliverable units per instrument, e.g., peak days in expiration month or number of calendar days in expiration month.

The market data Security Definition (tag 35-MsgType=d) message for the variable quantity spread will be populated with the value '0' for tag 231-ContractMultiplier.

The market data Security Definition (tag 35-MsgType=d) message is populated with values for the outright legs for tag 231-ContractMultiplier and customers must extract this value.

1435

ContractMultiplierUnit

Int8NULL

int

Indicates the type of multiplier being applied to the product. Optionally used in combination with tag 231-ContractMultiplier.

• 1=multiplied by hour 

• 2=multiplied by day

1439

FlowScheduleType

Int8NULL

int

The schedule according to which the electricity is delivered in a physical contract, or priced in a financial contract. Specifies whether the contract is defined according to the Easter Peak, Eastern Off-Peak, Western Peak or Western Off-Peak.

• 0=NERC Eastern Off-Peak 

• 1=NERC Western Off-Peak 

• 2=Calendar-All Days in month 

• 3=NERC Eastern Peak 

• 4=NERC Western Peak

1146

MinPriceIncrementAmount

PRICENULL9

Price

Currently under development.

9779

UserDefinedInstrument

UserDefinedInstrument

char

Identifies user-defined instruments.

• Y=User defined instrument 

• N=Not a user defined instrument

5796

TradingReferenceDate

LocalMktDate

LocalMktDate

Trading Session Date corresponding to the settlement price in tag 1150-TradingReferencePrice. Sent in number of days since Unix epoch.

May contain null value when Trading Reference Price is not available for the instrument.

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

Number of repeating EventType entries

→865

EventType

EventType

int

• 5=Activation

• 7=Last eligible trade date

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

Number of repeating FeedType entries

→1022

MDFeedType

MDFeedType

String

Describes a class of service for a given data feed. 

• GBX=CME Globex Book Depth 

• GBI=CME Globex Implied Book Depth

→264

MarketDepth

Int8

int

Book depth

Repeating Group 3

870

NoInstAttrib

Number of repeating InstrAttribType entries

→871

InstAttribType

InstAttribType

int

24=Eligibility

Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain.

→872

InstAttribValue

InstAttribValue

MultipleCharValue

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

Number of entries

→1093

LotType

Int8

int

This tag is required to interpret the value in tag 1231-MinLotSize

• 2=minimum order entry quantity for an instrument

• 3=the minimum qty required for a block trade

• 4=Round lot (Variable Quantity Products)

→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