CME STP FIXML - TradeCaptureReport - Instrument - Futures and Options

Sym

String

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

ID

String

Symbol for CME product, e.g. CL.

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

String

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

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

SubTyp

String

For spreads, indicates the strategy type.

Strategies/combos: Spreads and Combinations available on CME Globex

MMY

MonthYear

Specifies the month and year of maturity.

YYYYMM (i.e. 201403)

YYYYMMDD (20140323)

YYYYMMwN (201403w1)

Matdt

LocalMktDate

Date of maturity.

CpnPmt

LocalMktDate

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

StrkPx

Price

Strike price for an option.

StrkMult

float

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

StrkNdx

String

Specifies the index used to calculate the strike price.

StrkNdxLctn

String

Location of the strike price index.

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)

Mult

float

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

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

UOMCcy

Currency

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

UOMQty

Qty

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

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)

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

ExerStyle

int

Type of exercise of a derivatives security

• 0 - European

• 1 - American

• 2 - Bermuda

PutCall

int

Indicates whether an option contract is a put or call.

• 0 - Put

• 1 - Call

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 - 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

PxQteCcy

Currency

The currency in which the price is quoted.

desc

String

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

AID

AltID

String

The value of the alternate security identifier.

AltIDSrc

String

The source of the alternate security identifier.

• 112 - TAM Marker Price Symbol

• N - Markit RED entity CLIP

• P - Markit RED pair CLIP

SecXML

FpML

Evnt

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

Dt

LocalMktDate

Date of event

OptExer

Dts

FreqPeriod

int

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

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

Strm