Risk Management Interface Message Specification

API

Application Programming Interface

CMF

Clearing Member Firm

FIXML

XML representation of business content of FIX messages

RMI

Risk Management Interface

TF

Trading Firm

Integer

Sequence of digits without commas or decimals and optional sign character (ASCII characters “-“ and “0” – “9”). The sign character uses one byte (i.e., positive integer is “99999” and negative integer is “-99999”). Note that integer values may contain leading zeros (e.g., “00023”=23).

Examples:

723 in field 21 would be mapped integer as |21=723|

-723 in field 12 would be mapped integer as |12=-723|

Boolean

Character field that contains one of the following values:

“Y” – Yes/True

“N” – No/False

Sequence Number

Integer field that represents a message sequence number. The sequence number value must be positive.

Number in Group

Integer field that represents the number of entries in a repeating group.

Character

Single character value that can include any alpha-numeric character or punctuation except the delimiter. All characters are case-sensitive.

v

FIX version

N.N

"FIX.5.0SP2"

xv

FIX extension pack number

EPN

130

cv

Custom Application Version

CME.NNNN

s

schema release

YYYYMMDD

"2010-11-16"

xmlns

Default FIXML Namespace

Valid URL

 "http://www.fixprotocol.org/FIXML-5-0-SP2"

→

Component <StandardHeader>

Hdr

49

SenderCompID

Y

SID

Value provided by CME

String (7)

Sender Company Identifier

56

TargetCompID

Y

TID

CME

String (7)

Target Company Identifier

57

TargetSubID

Y

TSub

RMAPI

String (5)

Target Sub-Identifier

35

UserRequest

Y

UserReq

String (2)

Defines message type

MsgType BE = User Request

553

Username

Y

Username

String (64)

Username (login ID) assigned by CME Group

554

Password

C

Password

String (32)

Password assigned by CME Group.

Required for log on.

Not required for log off.

923

UserRequestID

Y

UserReqID

String (16)

Unique identifier for a User Request. Does not need to be sequential, but must be an ever-increasing number.

924

UserRequestType

Y

UserReqTyp

1 = Log On User

2 = Log Off User

100 = Ping Request

String (3)

Indicates the action required by a User Request Message.

35

UserRequest

Y

UserReq

String (2)

Defines message type

MsgType BE = User Request

553

Username

Y

Username

String (64)

Username (login ID) assigned by CME Group

554

Password

N

Password

String (32)

Password assigned by CME Group.

923

UserRequestID

Y

UserReqID

String (16)

Unique identifier for a User Request. Does not need to be sequential, but must be an ever-increasing number.

924

UserRequestType

Y

UserReqTyp

1 = Log On User

2 = Log Off User

100 = Ping Request

String (3)

Indicates the action required by a User Request Message.

35

UserRequest

Y

UserReq

String (2)

Defines message type

MsgType BE = User Request

553

Username

Y

Username

String (64)

Username (login ID) assigned by CME Group

554

Password

N

Password

String (32)

Password assigned by CME Group.

923

UserRequestID

Y

UserReqID

String (16)

Unique identifier for a User Request. Does not need to be sequential, but must be an ever-increasing number.

924

UserRequestType

Y

UserReqTyp

1 = Log On User

2 = Log Off User

100 = Ping Request

String (3)

Indicates the action required by a User Request Message.

35

PartyEntitlement DefinitionRequest

PtyEntlmntDefReq

String (2)

Defines message type

MsgType DA = Party Entitlement Definition Request

1770

Entitlement RequestID

Y

ReqID

String (16)

Unique identifier for Party Entitlement Definition Request. Does not need to be sequential but must be an ever increasing number.

→

Component <PartyEntitlementsUpdate>

Y

PtyEntlmnt Upd

1324

ListUpdateAction

Y

ListUpdActn

M=Modify

String (1)

Indicates the action required by a Party Entitlement Definition Request.

→

Component <PartyDetail>

Y

PtyDetl

448

PartyID

Y

ID

String (3)

Indicates the Trading Firm number

452

PartyRole

Y

R

1=Trading Firm

Integer (1)

Indicates the party for which the request is made.

→

Component <RelatedPartyDetail>

Y

ReltedPtyDetl

1563

RelatedPartyID

Y

ID

String (12)

Indicates the Account number

1565

RelatedPartyRole

Y

R

24=Customer Account

Integer (2)

Indicates the related party for which the request is made.

→

End Component </RelatedPartyDetail>

→

End Component </PartyDetail>

→

Component <Entitlement>

Y

Entlmnt

1774

Entitlement Indicator

Y

Ind

Y=Yes (Unblock)

N=No (Block)

Boolean (1)

Indicates if the party is entitled.

1775

EntitlementType

Y

Typ

0=Trade

String (1)

Type of Entitlement.

1776

EntitlementID

Y

ID

String(16)

Unique identifier for specific Entitlements repeating group instance.

→

Component <EntitlementAttrib>

Y

Attrib

1778

EntitlementAttrib Type

Y

Typ

4000=Side

Integer (4)

Name of additional Entitlement Attribute.

1780

EntitlementAttrib Type

Y

Valu

1=Buy

2=Sell

String (1)

Side of orders to Block or Unblock.

→

End Component </EntitlementAttrib>

→

Component <InstrumentScope>

Y

InstrmtScope

Scope of the request for specific securities.

1535

InstrumentScope Operator

Y

Oper

1=Include

Integer (1)

Operator to perform on the Product Groups specified.

1545

InstrumentScope SecurityGroup

O

SecGrp

String (4)

Product Group for which incoming orders are Blocked or Unblocked.

If SecGrp is not included, all product groups on the specified Side and Type will be impacted.

1547

InstrumentScope SecurityType

Y

SecTyp

FUT=Futures

OPT=Options

String (3)

Security type for which incoming orders are Blocked or Unblocked.

→

End Component </InstrumentScope>

→

End Component </Entitlement>

→

End Component

35

PartyEntitlementsRequest

PtyEntlmnt

String (2)

Defines message type

MsgType CU= Party Entitlements Request

1770

EntitlementRequestID

Y

ReqID

String (16)

Unique identifier for Party Entitlement Request. Does not need to be sequential but must be an ever-increasing number.

→

Component <Parties>

Y

Pty

448

PartyID

Y

ID

String (12)

Specific value for a specified Party Role.

452

PartyRole

Y

R

1=Trading Firm

24=Customer Account

Integer (2)

Indicates the party for which the request is being made.

R=1 is required in all blocks.

If requesting information on all accounts at a TF, only R=1 should be sent.

If requesting information on specific account(s) at a TF, both R=1 and R=24 should be sent.

35

SecurityListRequest

SecListReq

String (1)

Defines message type

MsgType x=Security List Request

320

SecurityRequestID

Y

ReqID

String (16)

Unique identifier of a Security List Request. Does not need to be sequential, but must be an ever increasing number.

559

SecurityListRequestType

Y

ListReqTyp

100 = All Product Groups

101 = Product Groups by Exchange

102 = Product Groups within specific exchange by Security Type

Integer (3)

Specifies the type of Product Group reference data requested.

→

Component

 <Instrument>

C

Instrmt

Required only if SecurityListRequestType = 101 or 102

207

SecurityExchange

C

Exch

• XCBT = CBOT
• XCME = CME
• XNYM = NYMEX
• XKBT = KCBT
• XMGE = MGEX
• XCEC = COMEX
• XCME = CME
• DUMX = DME
• XKLS = BMD
• GREE = GreenX
• MGCB = MGEX-CBOT*
• MGKB = MGEX-KCBT*
• NYUM = NYMEX-DME*

*CMEG-generated, non ISO values for inter-exchange spreads

String (4)

Defines the Exchange for which all Product Groups will be returned.

Required only if SecurityListRequestType = 101 or 102

167

SecurityType

C

SecTyp

FUT = Futures

OPT = Options

String (3)

Defines the Product Type for which all Product Groups in the security exchange will be returned. Required only if SecurityRequestType = 102

→

End Component

35

OrderMassActionRequest

Y

OrdMassActReq

String

2

MsgType=CA

11

ClOrdID

Y

CIOrdID

String

16

Identifier of Order Mass Action Request. It is recommended that customers send unique identifiers but uniqueness is not enforced by the API.  

1373

MassActionType

Y

MassActionType

Int

1

Specifies the type of action requested.

Supported Values:

3 - Cancel Orders

1374

MassActionScope

Y

MassActionScope

Int

3

Specifies scope of Order Mass Action Request.

Supported Values:

100 – All orders for an exchange.

101 – All orders for all exchanges.

60

TransactTime

Y

TxnTm

UTCTimestamp

23

Timestamp when the business transaction represented by the message occurred. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

→

Component

 <Parties>

Y

Pty

448

PartyID

Y

ID

String

12

Specific value for a specified Party Role. This value is case sensitive.

452

PartyRole

Y

R

Int

2

Indicates the party the request is being made for.

Supported Values:

1 – Trading Member Firm.

24 – Customer Account.

Each incoming Order Mass Action Request can only have one account and one firm.

→

End Component

 </Parties>

→

Component

 <Instrument>

Conditional

Instrmt

207

SecurityExchange

Conditional

Exch

String

4

Needed to specify the product exchange for which all open orders will be cancelled. Required only when Mass Action Scope=100.

→

End Component

 </Instrument>

→

Component <StandardHeader>

Hdr

49

SenderCompID

Y

SID

CME

String (7)

Sender Company Identifier

50

SenderSubID

Y

SSub

RMAPI

String (5)

Sender Sub-Identifier

56

TargetCompID

Y

TID

Value provided by CME

String (7)

Target Company Identifier

35

UserResponse

UserRsp

String (2)

Defines message type

MsgType BF=User Response

553

Username

Y

Username

String (64)

Username (login ID) value sent on the triggering User Request.

923

UserRequestID

Y

UserReqID

Integer (16)

User Request ID value sent on the triggering User Request.

926

UserStatus

Y

UserStat

1 – Logged In

2 – Not Logged In (Logged off)

3 – User Not Recognized

5 – Password Changed (will be

implemented at a later date)

6 – Other

100 – Ping Response

Integer (3)

Indicates the status of the RMI API user.

927

UserStatusText

O

UserStatText

String (250)

A text description associated with a user status.

35

PartyEntitlement DefinitionReqAck

PtyEntlmntDeReqAck

String (2)

Defines message type

MsgType UB = Party Entitlement Definition Request Acknowledgement

1770

Entitlement RequestID

Y

ReqID

String (16)

ReqID value sent on the triggering Party Entitlement Definition Request.

35000

EntitlementRequest Status

Y

ReqStat

0=Accepted

1=Accepted with changes

2=Rejected

Integer (1)

Status of Party Entitlement Definition Request

35001

EntitlementRequest Result

Y

ReqRslt

0 – Successful

1 – Invalid party

2 – Invalid related party

3 – Invalid entitlement type

4 – Invalid entitlement ID

5 – Invalid entitlement attribute

6 – Invalid instrument scope

10 – Instrument scope not supported

12 – Entitlement not approved for party

14 – Instrument not approved for party

98 – Not authorized

99 – Other

100 - Number of instrument scopes exceeds the maximum Unblocked count. SentCount=<Number of Security Groups in the message>, UnblockedCount=<Configured max Unblocked number>

Integer (3)

Reports the results of Party Entitlement Definition Request instructions.

58

Text

O

Txt

String (250)

Text further explaining the Party Entitlement Definition results.

→

Component <PartyEntitlementsAck>

O

PtyEntlmntAck

This repeating group is returned when the Party Entitlement Definition Request is accepted with changes (ReqStat=”1”)

It is not returned for Accepted or Rejected Requests (ReqStat=”0” or “2”)

1324

ListUpdateAction

Y

ListUpdActn

M=Modify

String (1)

Returns the action required by a Party Entitlement Definition Request.

35002

EntitlementStatus

Y

Stat

0=Accepted

1=Accepted with changes

2=Rejected

Integer (1)

Status of Entitlement Definition for one repeating group.

35003

EntitlementResult

Y

Rslt

0 – Successful

1 – Invalid party

2 – Invalid related party

3 – Invalid entitlement type

4 – Invalid entitlement ID

5 – Invalid entitlement attribute

6 – Invalid instrument scope

10 – Instrument scope not supported

12 – Entitlement not approved for party

14 – Instrument not approved for party

98 – Not authorized

99 – Other

100 - Higher level block supersedes current request

101 – Specific product group cannot be combined with ALL product groups

Integer (3)

Result of Entitlement Definition Request for one repeating group.

1328

RejectText

N

RejTxt

String (250)

Text further explaining the Entitlement Definition Request Result for one repeating group.

→

Component <PartyDetail>

O

PtyDetl

This repeating group is returned when the Party Entitlement Definition Request is accepted with changes (ReqStat=”1”)

It is not returned for Accepted or Rejected Requests (ReqStat=”0” or “2”)

448

PartyID

Y

ID

String (3)

Indicates the Trading Firm number

452

PartyRole

Y

R

1=Trading Firm

Integer (1)

Indicates the party for which the request is made.

→

Component <RelatedPartyDetail>

Y

ReltdPtyDetl

1563

RelatedPartyID

Y

ID

String (12)

Indicates the Account number

1565

RelatedPartyRole

Y

R

24=Customer Account

Integer (2)

Indicates the related party for which the request is being made.

→

End Component </RelatedPartyDetail>

→

End Component <PartyDetail>

→

Component <Entitlement>

O

Entlmnt

This repeating group is returned when the Party Entitlement Definition Request is accepted with changes (ReqStat=”1”)

It is not returned for Accepted or Rejected Requests (ReqStat=”0” or “2”)

Required only if there are active blocks for the Related Party ID.

1774

Entitlement Indicator

Y

Ind

Y=Yes (Unblock)

N=No (Block)

Boolean (1)

Determines if the party is entitled.

1775

EntitlementType

Y

Typ

0=Trade

String (1)

Type of Entitlement.

1776

EntitlementID

Y

ID

String(16)

Unique identifier for specific Entitlements repeating group instance. Must be unique for a Party Entitlement Definition Request message.

→

Component <EntitlementAttrib>

Y

Attrib

This repeating group is returned when the Party Entitlement Definition Request is accepted with changes (ReqStat=”1”)

It is not returned for Accepted or Rejected Requests (ReqStat=”0” or “2”)

1778

EntitlementAttrib Type

Y

Typ

4000=Side

Integer (4)

Name of additional Entitlement Attribute.

1780

EntitlementAttrib Type

Y

Valu

1=Buy

2=Sell

String (1)

Side of orders to Block or Unblock.

→

End Component </EntitlementAttrib>

→

Component <InstrumentScope>

Y

InstrmtScope

Scope of the request for specific securities.

This repeating group is returned when the Party Entitlement Definition Request is accepted with changes (ReqStat=”1”).

It is not returned for Accepted or Rejected Requests (ReqStat=”0” or “2”).

1535

InstrumentScope Operator

Y

Oper

1=Include

Integer (1)

Operator to perform on the Product Groups specified.

1545

InstrumentScope SecurityGroup

C

SecGrp

String (4)

Product Group for which incoming orders are Blocked or Unblocked.

Required if SecGrp was defined on the inbound Party Entitlement Definition Request.

1547

InstrumentScope SecurityType

Y

SecTyp

FUT=Futures

OPT=Options

String (3)

Type of security for which incoming orders are Blocked or Unblocked.

→

End Component </InstrumentScope>

→

End Component </Entitlement>

→

End Component </PartyEntitlementsAck>

35

PartyEntitlementsReport

PtyEntlmntRpt

String (2)

Defines message type

MsgType CV = Party Entitlements Report

1771

EntitlementReportID

Y

RptID

String (20)

Unique identifier for Party Entitlements Report.

1770

EntitlementRequestID

Y

ReqID

String (16)

ReqID value sent on the triggering Party Entitlements Request

1511

RequestResult

Y

ReqRslt

0=Successful

1=Invalid Party

98=Not authorized

99=Other

Integer (3)

Result of Party Entitlement Request.

→

Component <PartyEntitlement>

Y

PtyEntlmnt

→

Component <PartyDetail>

Y

PtyDetl

Returned only if there are active blocks for the Related Party ID.

448

PartyID

Y

ID

String (3)

Specific value for a specified Party Role.

452

PartyRole

Y

R

1=Trading Firm

Integer (1)

→

Component <RelatedPartyDetail>

O

ReltdPtyDetl

Returned only if there are active blocks for the Related Party ID.

1563

RelatedPartyID

N

ID

String (12)

Specific value for a specified Related Party Role.

1565

RelatedPartyRole

N

R

24=Customer Account

Integer (2)

Indicates the related party for which the request is made.

→

End Component </RelatedPartyDetail>

→

End Component </PartyDetail>

→

Component <Entitlement>

O

Entlmnt

Required only if there are Active Instructions for the Related Party ID.

1774

EntitlementIndicator

Y

Ind

Y=Yes (Unblock)

N=No (Block)

Boolean (1)

Determines if the party is Unblocked to enter orders.

1775

EntitlementType

Y

Typ

0=Trade

String (1)

Type of Entitlement

→

Component <EntitlementAttrib>

O

Attrib

Required only if there are Active Instructions for the Related Party ID.

1778

EntitlementAttribType

Y

Typ

4000=Side

Integer (4)

Name of additional Entitlement Attribute.

1780

EntitlementAttribValue

Y

Valu

1=Buy

2=Sell

String (1)

Side of orders to Block or Unblock.

→

End Component </EntitlementAttrib>

→

Component <InstrumentScope>

O

InstrmtScope

Scope of the request for specific securities.

Required only if there are Active Instructions for the Related Party ID.

1535

InstrumentScopeOperator

Y

Oper

1=Include

Integer (1)

Operator to perform on the Product Groups specified.

1545

InstrumentScopeSecurityGroup

Y

SecGrp

String (4)

Product Group for which incoming orders are Blocked or Unblocked.

1547

InstrumentScopeSecurityType

Y

SecTyp

FUT=Futures

OPT=Options

String (3)

Type of security for which incoming orders are Blocked or Unblocked.

→

End Component </InstrumentScope>

→

End Component </Entitlement>

→

End Component </PartyEntitlement>

35

SecurityList

SecList

String (1)

Defines message type

MsgType y = Security List Response

964

SecurityReportID

Y

RptID

String (20)

Unique identifier of a Security List Response.

1470

SecurityListType

Y

ListTyp

100 = All Product Groups

101 = Product Groups by Exchange

102 = Product Groups within specific exchange by Security Type

Integer (3)

Repeats back the security list request type (ListReqTyp).

320

SecurityRequestID

Y

ReqID

Integer (16)

ReqID value sent on the triggering Security List Request

560

SecurityRequestResult

Y

ReqRslt

0 = Valid request

1 = Invalid or unsupported request

2 = No instruments found that match selection criteria

3 = Not authorized to retrieve instrument data

4 = Instrument data temporarily unavailable

Integer (1)

Returns feedback based on the request.

58

Text

O

Txt

String (250)

Text further explaining the SecurityRequestResult.

→

Component

 <SecListGrp>

C

SecL

Only returned when ReqRslt=0

→

Component

 <Instrument>

Y

Instrmt

207

SecurityExchange

Y

Exch

String (4)

Returned only if sent on the triggering Security List Request.

Identifies the exchange for which All Product Groups will be returned.

167

SecurityType

C

SecTyp

String (3)

Returned only if sent on the triggering Security List Request.

Identifies the Product Type for which All Product Groups in the exchange are returned.

1151

SecurityGroup

Y

SecGrp

String (4)

List of product groups that match Security List Request parameters.

→

 End Component </Instrument>

→

 End Component </SecListGrp>

35

BusinessMessageReject

Y

BizMsgRej

String

1

MsgType=j

372

RefMsgType

Y

RefMsgTyp

String

 2

The MsgType (35) of the FIXML message being rejected.

379

BusinessRejectRefID

Y

BizRejRefID

String

 16

The value of the business-level "ID" field on the message being referenced.

380

BusinessRejectReason

Y

BizRejRsn

Int

1

Code to identify reason for a business reject message. Supported Values:

0 – Other

1 – Unknown ID

2 – Unknown Security Group

3 – Unsupported message type

4 – Application not available

5 – Conditionally required field is missing

6 – Not Authorized

100 – Request accepted but unable to construct response

101 – Request timed out

102 – Invalid Exchange

103 – Only one customer account allowed

104 – Only one executing firm allowed

105 – Only one security exchange allowed

106 – Mismatch between mass action scope and security exchange       

58

Text

Optional

Txt

String

250

Reason for rejection.

35

OrderMassActionReport

Y

OrdMassActRpt

String

2

MsgType=BZ

11

ClOrdID

Y

CIOrdID

String

16

Pancake flip of the ClientOrder ID provided on the incoming Order Mass Action Request message.

1369

MassActionReportID

Y

MassActionReportID

String

20

Unique ID of Order Mass Action Report as assigned by RMI API.

1373

MassActionType

Y

MassActionType

Int

3

Specifies the type of action requested. This is a pancake flip of the incoming value provided on the Order Mass Action Request message.

1374

MassActionScope

Y

MassActionScope

Int

3

Specifies the scope of the Action – this is a pancake flip of the incoming value provided on the Order Mass Action Request message.

1375

MassActionResponse

Y

MassActionResponse

Int

1

Specifies the action taken by RMI API when it receives the Order Mass Action Request.

Supported Values:

1 – Accepted.

1376

MassActionReject

Reason

Conditional

MassActionRejectReason

Int

3

Reason Order Mass Action Request was rejected. Required if Mass Action Response=0. Supported Values:

99 – Other

58

Text

Optional

Txt

String

250

Text further explaining the Party Entitlement Definition Request Result.

→

Component

 <Parties>

Y

Pty

448

PartyID

Y

ID

String

12

Specific value for a specified Party Role.

452

PartyRole

Y

R

Int

2

Indicates the party the request is being made for.

Supported Values:

1 – Trading Member Firm

24 – Customer Account

→

End Component

 </Parties>

→

Component

 <Instrument>

Y

Instrmt

207

SecurityExchange

Y

Exch

String

4

Specifies the exchange requested for which orders are to be cancelled. This is a flip of the incoming value unless it is missing or null in which case it will not be sent. 

→

End Component

 </Instrument>