CPT TOF to CME STP
This topic is for users migrating from the EBS Central Post Trade (CPT) Ticket Output Feed (TOF) API to the CME STP API. CME STP supports FIX and FIXML API. Mappings apply to both APIs and provide CPT TOF equivalent fields in the CME STP that should be used with the CME STP documentation in related resources.
CME STP is the strategic solution for CME Post Trade services based on the industry standard FIX and FIXML protocol.
In line with the Post Trade API strategy and vision, CME Group will not enhance the CPT TOF API. Clients are encouraged to migrate to the CME STP API at the earliest opportunity.
CPT TOF to CME STP Mappings
FID | TOF Field Name | Description | Example TOF Value/Format | In FIX? | FIX Tag Equivalent | FIXML Attribute Name | Equivalent FIX Example Value | FIX Notes |
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318 | Name Space | Relevant only to NDF tickets, if configured to receive EMIR/SEF fields. | 2138008LPQ92DIHKHY20 | N |
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| The requirement to provide the namespace was dropped when UTI was introduced. |
328 | Trade Repository | Relevant only to NDF tickets, if configured to receive European Market Infrastructure Regulation (EMIR) / Swap Execution Facility (SEF) fields.Contains the name of the Trade Repository where the SEF trade was reported. | DTCCGTR | Y | 20059-DataRepositoryID | DataRepoID | DTCCGTR |
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| SEF IND | Relevant only to NDF tickets, if configured to receive EMIR / SEF fieldsThis field contains ‘Y’ if traded ON SEF, ‘N’ if traded OFF SEF. | “Y” (or “N”)
| Y | 20058-FacilityType | FcltyTyp | MTF SEF | Part of the SideRegulatoryTradeIDGrp |
500 | SOURCE_OF_DATA | Configured value at client request | "1" or "8" | N |
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501 | SOURCE_REFERENCE | Incrementing value, no significance to deal, up to 5 digits. | “27224” | N |
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502 | DATE_OF_DEAL | Deal Initiation Date (on Fixing tickets indicates date of fixing) | “22 MAY 2023” | Y | 75-TradeDate | TrdDt | 20230522 | The trade date is the date the match occurred. CME STP does not differentiate between Date of deal and Date confirmed like TOF because these are not different times on Globex. For eFix tickets this may be different to the date the FIX is actually issued as for eFix the trade date is the date of the match and not when the fixing rate is actually published. Matches FID 505 |
503 | TIME_OF_DEAL(FIXING_DEAL_TIME) | Deal Initiation Time (on Fixing tickes indicates time of fixing) | “12:02:54” | Y | 60-TransactTime | TxnTm | 20230522-12:02:54.171 | The transaction time in FIX is always the match time. For eFix the match may occur before the fixing rate is actually issued. Matches FID 506 |
504 | DEALER_ID | GUS of Trader | “T11” | Y |
| ID R Src | T11 44 D | The Globex User Signature (GUS) appears 4 times in the TOF message. When available, all users will see their own GUS. EBS Direct Liquidity Providers do not have a GUS. Matches FIDs 507, 549 and 550 |
505 | DATE_CONFIRMED | Deal Confirmation Date (on Fixing tickets indicates the match confirmation date) | “22 MAY 2023” | Y | 75-TradeDate | TrdDt | 20230522-12:02:54.171 | The trade date is the date the match occurred. CME STP FIX does not differentiate between Date of deal and Date confirmed like TOF. For eFix tickets this may be different to the date the fix is actually issued. Matches FID 502 |
506 | TIME_CONFIRMED(MATCH_DEAL_TIME) | Deal Confirmation Time (on Fixing tickets indicates the match confirmation time) | “12:02:54” | Y | 60-TransactTime | TxnTm | 20230522-12:02:54.171 | The transaction time in FIX is always the match time. For eFix the match may be long before the FIX is actually issued. Matches FID 503 |
507 | CONFIRMED_BY_ID | GUS of Trader | “A11” | Y |
| ID R Src | T11 44 D | The GUS appears 4 times in the TOF message. All users will see their own GUS when available. EBS Direct Liquidity Providers do not have a GUS. Matches FIDs 504, 549 and 550 |
508 | BANK_1_DEALING_CODE | Counterparty GFID | “EBSA” | Y |
| ID R Src | EBSA 90 D | The GFID for the settlement counterparty |
509 | BANK_1_NAME | Counterparty Longname | “A Bank Name” | N |
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510 | BROKER_DEALING_CODE | Client requested configured value usually set to EBST | “EBST" | N |
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511 | BROKER_NAME | Always blank | “ “ | N |
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513 | BANK_2_NAME | Always blank | “ “ | N |
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514 | DEAL_TYPE | DealType |
| Y | 54-Side | Side | 1 or 2 | Buy/Sell indicator for Trading firm (PartyRole 7) |
515 | INSTRUMENT_TENOR | Settlement Period |
| Y | 63-SettlType | SettleTyp | 0, Mx or B | Currently FIX supports 0 for Spot, Mx indicating number of months or B (for Broken date in which the settlement date (tag 64) needs to be used to determine the date). |
517 | CURRENCY_1 | Base Currency (and Dealt Currency) | “EUR” | Y |
| Currency PxUOMCcy | EUR
| With TOF the assumption was that the dealt currency and base currency were always the same. For Globex and EBS Direct that is true today, but CME STP defines specifically which is the dealt currency in tag 15 and the base in tag 1717. Should term currency trading be supported then tags 15 and 1717 would have different values. |
518 | CURRENCY_2 | Terms Currency | “GBP” | Y |
| UOMCcy PxQteCcy | GBP | 1716 and 10026 will always be the same value for FX trades |
519 | DEAL_VOLUME_CURRENCY_1 | Quantity of dealt currency | “20000000” | Y | 32-LastQty | LastQty | 2000000 | Notional quantity of currency expressed in dealt currency |
522 | EXCHANGE_RATE_PERIOD_1 | Price of trade | “0.6851” | Y | 31-LastPx | LastPx | 0.6851 | Price of this trade |
524 | RATE_DIRECTION | Used in TOF to indicate if the rate is provided in standard or inverted notation. In CPT TOF it is always 1. | “1” (normal) | N |
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525 | SETTLEDATE_DATE_CURRENCY_1 | Settlement date of trade | “24 MAY 2023” | Y | 64-SettlDate | SettlDt | 20230524 | Specific date of trade settlement |
526 | SETTLEDATE_CURRENCY_2 | Settlement date of trade | “24 MAY 2023” | N |
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529 | PAYMENT_INSTRUCTION_PERIOD_1_CURRENCY_1 | CPT TOF hardcoded to "Refer to SSI SSI SSI". | "Refer to SSI SSI SSI". | N |
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530 | PAYMENT_INSTRUCTION_PERIOD_1_CURRENCY_2 | CPT TOF hardcoded to "Refer to SSI SSI SSI". | "Refer to SSI SSI SSI". | N |
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539 | SECONDARY_SOURCE_REFERENCE | Incrementing value, no significance to deal up to 5 digits. Always matches FID 501. | “27224” | N |
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540 | METHOD_OF_DEAL | 3 (Maker) / 2 (Taker) Maker = Initiator | "3" or "2" | Y | 1057-AggressorIndicator | AgrsrInd | N or Y | TOF 3 = N - Order initiator is passive |
541 | RATE_CURRENCY_1_AGAINST_USD | Always blank | “ “ | N |
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542 | RATE_CURRENCY_2_AGAINST_USD | Always blank | “ “ | N |
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