CME STP - TradeCaptureReport - Instrument - STP

Product Symbol

Sym

String

Symbol for a CME contract, e.g. CLX05. 

Product Code

ID

String

Symbol for CME product, e.g. CL.

Source of the Product Code

Src

String

Identifies the source of the Security ID. If it is not specified, the default of Clearing is used.

H - Clearing House / Clearing Organization

CFI Code

CFI

String

Indicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values.

Security Type

SecTyp

String

Indicates type of instrument or security.

• CMDTYSWAP - Commodity Swap

• FRA - Forward Rate Agreement

• FUT - Future

• FWD - Forward

• FXSPOT - FX Spot

• IRS - Interest Rate Swap

• MLEG - Multi Leg (Combo)

• OPT - Option

• SWAPTION - Swaption

Index Or Single Name

SubTyp

String

For spreads, indicates the strategy type.

Strategies/combos are available here.

Contract Period Code

MMY

MonthYear

Specifies the month and year of maturity.
YYYYMM (i.e. 201403)
YYYYMMDD (20140323)
YYYYMMwN (201403w1)

Maturity Date

Matdt

LocalMktDate

Date of maturity.

Next Coupon Date

CpnPmt

LocalMktDate

This is used to indicate the next date on which Coupon Premium is due.

Strike Price

StrkPx

Price

Strike price for an option.

Strike Multiplier

StrkMult

float

Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.

Strike Index

StrkNdx

String

Specifies the index used to calculate the strike price.

Strike Index Location

StrkNdxLctn

String

Location of the strike price index.

UnderlyingPriceDeterminationMethod

PxDtrmnMeth

int

Specifies how the underlying price is determined at the point of option exercise. The underlying price may be set to the current settlement price, set to a special reference, set to the optimal value of the underlying during the defined period ("Look-back") or set to the average value of the underlying during the defined period ("Asian option").

1 - Regular

2 - Special reference

3 - Optimal value (Lookback)

4 - Average value (Asian option)

Price Multiplier

Mult

float

Price multiplier used to convert the change in price (sell - buy) into P&L per contract.

Unit Of Measure

UOM

String

The unit of measure of the product upon which the contract is based. It is also referred to as the trading unit.

Alw - Allowances

BDFT - Board feet

Bbl - Barrels

Bcf - Billion cubic feet

Bu - Bushels

CBM - Cubic Meters

CER - Certified Emissions Reduction

CRT - Climate Reserve Tonnes

Ccy - Amount of currency

EnvCrd - Environmental Credit

EnvOfst - Environmental Offset

FEU - Forty foot equivalent unit

GJ - Gigajoules

GT - Gross Tons
Also known as long tons or imperial tons, equal to 2240 lbs

Gal - Gallons

IPNT - Index point

L - Liters

MMBtu - One Million BTU

MMbbl - Million Barrels

MW-M - Megawatt-Month (electrical capacity)

MWh - Megawatt hours

PRINC - Principal with relation to debt instrument

cwt - Hundredweight (US)

day - Days

dt - Dry metric tons

g - Grams

kL - Kiloliters

kW-M - Kilowatt-Month (electrical capacity)

kWh - Kilowatt hours

kg - Kilograms

lbs - pounds

oz_tr - Troy Ounces

t - Metric Tons (aka Tonne)

thm - Therms

tn - Tons (US)

wt - Wet metric tons

Unit of Measure Currency

UOMCcy

Currency

Indicates the currency of the unit of measure. Conditionally required when UnitOfMeasure = Ccy.

Unit of Measure Quantity

UOMQty

Qty

Contract's defined quantity, used to calculate total traded notional quantity.

Price Unit of Measure

PxUOM

String

The Unit of measure of the quoted Price. For example it is USD for a Eurodollar contract.

Alw - Allowances

Bbl - Barrels

Bcf - Billion cubic feet

Bu - Bushels

Gal - Gallons

MMBtu - One Million BTU

MMbbl - Million Barrels

MWh - Megawatt hours

USD - US Dollars

lbs - pounds

oz_tr - Troy Ounces

t - Metric Tons (aka Tonne)

tn - Tons (US)

Settlement Method

SettlMeth

char

Settlement method for a contract. Can be used as an alternative to CFI Code value

C - Cash settlement required

E - Election at exercise

P - Physical settlement required

Exercise Style

ExerStyle

int

Type of exercise of a derivatives security

0 - European

1 - American

2 - Bermuda

Put Or Call

PutCall

int

Indicates whether an option contract is a put or call.

0 - Put

1 - Call

Product Exchange

Exch

Exchange

The exchange where the security is listed.

CBT - Chicago Board of Trade

CEE - Stock Exchange Group

CME - Chicago Mercantile Exchange

COMEX - Commodities Exchange, Inc

DME - Dubai Mercantile Exchange

FXS - FX Spot

IFUS - Intercontinental Exchange

NGXC - Natural Gas Exchange

NODX - Nodal

NYMEX - New York Mercantile Exchange

NYMSW - CME Swaps - NYMEX

VMAC - VMAC

XNAS - Nasdaq

XXXX - OTC Trades

Price Quote Currency

PxQteCcy

Currency

The currency in which the price is quoted.

Instrument Security Description

desc

String

Long name description of the instrument symbol (product name).

→ Alternate Identifier

AltID

String

The value of the alternate security identifier.

→ Alternate Identifier Source

AltIDSrc

String

The source of the alternate security identifier.

112 - TAM Marker Price Symbol

N - Markit RED entity CLIP

P - Markit RED pair CLIP

→ Product Event Type

EventTyp

int

Code to represent the type of event

13 - First Delivery Date

111 - Unadjusted Next Coupon Date

112 - Unadjusted Previous Coupon Date

113 - Unadjusted Previous Previous Coupon Date

121 - Fixing Date

→ Product Event Date

Dt

LocalMktDate

Date of event

→→ Option Exercise Frequency Period

FreqPeriod

int

Time unit multiplier for the frequency of exercise dates. If present OptionExerciseFrequencyUnit(tbd) must be specified.

→→ OptionExerciseFrequencyUnit

FreqUnit

String

Time unit associated with the frequency of exercise dates. If present OptionExerciseFrequencyPeriod(tbd) must be specified.

D - Day

Mo - Month

Wk - Week

Yr - Year