CME STP - FIXML TradeCaptureReport - Instrument for BrokerTec Trades

55

Symbol 

Sym

String

Ticker symbol. Common, "human understood" representation of the security. SecurityID (48) value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles)Use "[N/A]" for products which do not have a symbol.

455 where 456=8

48

SecurityID

ID

String

The Clearing Product ID.

22

SecurityIDSource

Src

String

Identifies class or source of the SecurityID value.

H - Clearing House / Clearing Organization

461

CFICode

CFI

String

Indicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. ISO 10962 is maintained by ANNA (Association of National Numbering Agencies) acting as Registration Authority.

See also the Product (460) and SecurityType (167) fields. It is recommended that CFICode be used instead of SecurityType (167) for non-Fixed Income instruments. 

167

SecurityType

SecTyp

String

Indicates type of security. Security type enumerations are grouped by Product(460) field value. NOTE: Additional values may be used by mutual agreement of the counterparties.

New values BOND, EUSOV, EUSUP, REPO, SOV, SUPRA, TB, TBA, TBILL, TBOND, TNOTE

• BOND - Bond (generic)

• CMDTYSWAP - Commodity Swap

• EUSOV - Euro Sovereigns

• EUSUP- Euro Supranational Coupons

• FRA - Forward Rate Agreement

• FUT - Future

• FWD - Forward

• FXSPOT - FX Spot

• IRS - Interest Rate Swap

• MLEG - Multi Leg (Combo)

• OPT - Option

• REPO - Repurchase

• SOV - UK Gilt

• SUPRA - USD Supranational Coupons

• SWAPTION - Swaption

• TB - Treasury Bill - non US

• TBA - To Be Announced

• TBILL - US Treasury Bill

• TBOND - US Treasury Bond

• TNOTE - US Treasury Note

762

SecuritySubType

SubTyp

String

Sub-type qualification/identification of the SecurityType. For spreads, indicates the strategy type. For BrokerTec, values include: GC - General Collateral GCF - General Collateral Financing

New valid values GC, GCF, RB, RV, SPEC

200

MaturityMonthYear

MMY

MonthYear

Can be used with standardized derivatives vs. the MaturityDate (54) field. Month and Year of the maturity (used for standardized futures and options).Format:YYYYMM (e.g. 199903)YYYYMMDD (e.g. 20030323) YYYYMMwN (e.g. 200303w) for week. A specific date or can be appended to the MaturityMonthYear. For instance, if multiple standard products exist that mature in the same Year and Month, but actually mature at a different time, a value can be appended, such as "w" or "w2" to indicate week as opposed to week 2 expiration. Likewise, the date (0-3) can be appended to indicate a specific expiration (maturity date).

541

MaturityDate

MatDt

LocalMktDate

Maturity Date or Settlement Date of the CDS contract.

224

CouponPaymentDate

CpnPmt

LocalMktDate

This is used to indicate the next date on which Coupon Premium is due. Primarily used for CDS instruments

202

StrikePrice

StrkPx

Price

Strike Price for an Option.

967

StrikeMultiplier

StrkMult

float

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

1866

StrikeIndex

StrkNdx

String

Specifies the index used to calculate the strike price.

10046

StrikeIndexLocation

StrkNdxLctn

String

Location of the strike price index.

1481

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)

6070

ContractMultiplier

Mult

float

The value when multiplied to the Price will give you the $ value of a single Position. It is also known as the Price multiplier.

996

UnitOfMeasure

UOM

String

The unit of measure of the underlying commodity upon which the contract is based. For CDS it indcates the notional currency.

• Alw - Allowances

• Bbl - Barrels

• Bcf - Billion cubic feet

• BDFT - Board feet

• Bu - Bushels

• CBM - Cubic Meters

• Ccy - Amount of currency

• CER - Certified Emissions Reduction

• CRT - Climate Reserve Tonnes

• cwt - Hundredweight (US)

• day - Days

• dt - Dry metric tons

• EnvCrd - Environmental Credit

• EnvOfst - Environmental Offset

• g - Grams

• Gal - Gallons

• GJ - Gigajoules

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

• IPNT - Index point

• kg - Kilograms

• kL - Kiloliters

• kW-h - Kilowatt-Hour (electrical capacity)

• kW-M - Kilowatt-Month (electrical capacity)

• kWh - Kilowatt hours

• L - Liters

• lbs - pounds

• MMbbl - Million Barrels

• MMBtu - One Million BTU
  
  MW-h - Megawatt-Hour (electrical capacity)

• MW-M - Megawatt-Month (electrical capacity)

• MWh - Megawatt hours

• oz_tr - Troy Ounces

• PRINC - Principal with relation to debt instrument 

• t - Metric Tons (aka Tonne)

• thm - Therms

• tn - Tons (US)

1716

UnitOfMeasureCurrency

UOMCcy

Currency

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

1147

UnitOfMeasureQty

UOMQty

Qty

Used to indicate the quantity of the underlying commodity unit of measure on which the contract is based, such as, 2500 lbs of lean cattle, 1000 barrels of crude oil, 1000 bushels of corn, etc. UnitOfMeasureQty is required for UnitOfMeasure(996) Variable Quantity UOMs enumerations. Refer to the definition of UnitOfMeasure(996) for more information on the use of UnitOfMeasureQty.

1191

PriceUnitOfMeasure

PxUOM

String

Used to express the UOM of the price if different from the contract. In futures, this can be different for cross-rate products in which the price is quoted in units differently from the contract

• 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

• 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)

• USD - US Dollars

1193

SettlMethod

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

1194

ExerciseStyle

ExerStyle

int

Type of exercise of a derivatives security

• 0 - European

• 1 - American 

• 2 - Bermuda

201

PutOrCall

PutCall

int

Indicates whether an option contract is a put or call

• 0 - Put
  1 - Call

207

SecurityExchange

Exch

Exchange

Market used to help identify a security.

New values BTEU, BTUS

• BTEU - BrokerTec EU

• BTUS - BrokerTec US

• CBT - Chicago Board of Trade

• CEE - Stock Exchange Group

• CME - Chicago Mercantile Exchange

• COMEX - Commodities Exchange, Inc

• DME - Gulf 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

107

SecurityDesc

Desc

String

Can be used to provide an optional textual description for a financial instrument.

10026

PriceQuoteCurrency

PxQteCcy

Currency

Price Quote Currency

37513

GUID

GUID

String

Globally unique identifier.

New field

→455

→SecurityAltID

AltID

String

Alternate Security identifier value for this security of SecurityAltIDSource (456) type (e.g. CUSIP, SEDOL, ISIN, etc). Requires SecurityAltIDSource.

455

→456

→SecurityAltIDSource

AltIDSrc

String

Identifies class or source of the SecurityAltID (455) value. Required if SecurityAltID is specified.Valid values:Same

New values 1, 4

is_cusip or isin_code_s

456

• 1 - CUSIP

• 4 - ISIN number

• 104 - Red Code

• 105 - Preferred Reference Obligation

• 106 - Pair Clip

• 112 - TAM Marker Price Symbol

• N - Markit RED entity CLIP

• P - Markit RED pair CLIP

1184

→SecurityXMLLen

Length

Lenght of the SecurityXML data block.

1185

→SecurityXML

FpML

XMLData

Actual XML data stream describing a security, normally FpML.

→865

→EventType

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

→866

→EventDate

Dt

LocalMktDate

Date of event

→ OptionExerciseDates

Dts

41122

→→ Option Exercise Frequency Period

FreqPeriod

int

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

41123

→→ OptionExerciseFrequencyUnit

FreqUnit

String

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

• D - Day 

• H - Hour 

• Min - Minute

• Mo - Month  

• S - Second 

• Wk - Week 

• Yr - Year

40049

StreamGrp

Strm