CME Cash Market WebSocket API - BrokerTec U.S. Treasury

1 Message Specifications - BrokerTec Actives 2 Year - 30 Year
2 Message Specifications - BrokerTec Bills 1M - 1Y
3 Message Specifications - BTEC WIs 1M - 30Y
4 Message Specifications - BTEC Once Old & Twice Old Off-the-Runs 2Y - 30Y

Message Specifications - BrokerTec Actives 2 Year - 30 Year

JSON Field	Description	Value
TRADEDATE	TRADE DATE	11/6/2018
UPDATETIME	UPDATE TIME	15:55
BESTBID	BEST BID	100.59375
BESTASK	BEST ASK	100.65625
BIDSIZE	BID SIZE mm	2
ASKSIZE	ASK SIZE mm	14
MATURDATE	MATURITY DATE	15-May-48
COUPON	COUPON	3.125
CUSIP	CUSIP	91282810SC3
BIDYIELD	BID YIELD %	3.094
ASKYIELD	ASK YIELD %	3.091
MIDYIELD	MID YIELD %	3.094
VWAP	Volume Weighted Price	100.475
VWAY	Volume Weighted Yield %	3.10043
TOTALVOL	TOTAL VOLUME mm	8736
BESTBID1	BEST BID1	100.59375
BESTBID2	BEST BID2	100.578125
BESTBID3	BEST BID3	100.5625
BESTBID4	BEST BID4	100.54875
BESTBID5	BEST BID5	100.53125
BESTASK1	BEST BID SIZE1	2
BESTASK2	BEST BID SIZE2	6
BESTASK3	BEST BID SIZE3	3
BESTASK4	BEST BID SIZE4	3
BESTASK5	BEST BID SIZE5	9
BESTBSIZ1	BEST ASK1	100.609375
BESTBSIZ2	BEST ASK2	100.625
BESTBSIZ3	BEST ASK3	100.640625
BESTBSIZ4	BEST ASK4	100.65625
BESTBSIZ5	BEST ASK5	100.671875
BESTASIZ1	BEST ASK SIZE1	14
BESTASIZ2	BEST ASK SIZE2	10
BESTASIZ3	BEST ASK SIZE3	9
BESTASIZ4	BEST ASK SIZE4	5
BESTASIZ5	BEST ASK SIZE5	2
OPEN	OPEN	100.734375
HIGH	HIGH	100.78125
LOW	LOW	100.28125
CLOSE	CLOSE	100.734375
LASTTRADEPRICE	LAST TRADE PRICE	100.578125
LASTTRADESIZEMM	LAST TRADE SIZE mm	1
DOLLARFLOW	DOLLAR FLOW	-168
DURATION	DURATION	19.501698
10DAYMOVINGAVGPRICE	10 DAY MOVING AVG PRICE	99.87265625
10DAYMOVINGAVGYIELD	10 DAY MOVING AVG YIELD	3.1029
DAYSTOMATURITY	DAYS TO MATURITY	10929
TRADETONE	TRADE TYPE	H/T
BIDTONE	BID PRICE TYPE	B
ASKTONE	ASK PRICE TYPE	A

Message Specifications - BrokerTec Bills 1M - 1Y

JSON Field	Description	Value
TRADEDATE	TRADE DATE	11/6/2018
UPDATETIME	UPDATE TIME	15:55
MATURDATE	MATURITY DATE	23-May-19
CUSIP	CUSIP	91282810SC3
BID	Bid Price	2.245
ASK	Ask Price	2.24
BIDYIELD2	BID YIELD %	2.326
ASKYIELD2	ASK YIELD %	2.321
LASTTRADEPRICE	LAST TRADE PRICE	2.24
LASTTRADESIZEMM	LAST TRADE SIZE mm	1
MIDYIELD	MID YIELD %	3.096
BIDSIZE	BID SIZE mm	2
ASKSIZE	ASK SIZE mm	14
TOTALVOL	TOTAL VOLUME mm	8736
VWAP	VWAP	2.23853
VWAY	VWAY %	2.31923
DOLLARFLOW	DOLLAR FLOW	-168
10DAYMOVINGAVGPRICE	10 DAY MOVING AVG PRICE	1.85
10DAYMOVINGAVGYIELD	10 DAY MOVING AVG YIELD	1.8755

Message Specifications - BTEC WIs 1M - 30Y

JSON Field	Description	Value
TRADEDATE	TRADE DATE	11/6/2018
UPDATETIME	UPDATE TIME	15:55
COUPON	COUPON	3.125
MATURDATE	MATURITY DATE	15-May-24
CUSIP	CUSIP	91282810SC3
BID	BID	3.096
ASK	ASK	3.125
BIDYIELD2	BID YIELD %	3.2
ASKYIELD2	ASK YIELD %	3.4
MIDYIELD	MID YIELD %	3.3
TOTALVOL	TOTAL VOLUME mm	835

Message Specifications - BTEC Once Old & Twice Old Off-the-Runs 2Y - 30Y

JSON Field	Description	Value
TRADEDATE	TRADE DATE	11/6/2018
UPDATETIME	UPDATE TIME	15:55
MATURDATE	MATURITY DATE	15-May-48
COUPON	COUPON	3.125
CUSIP	CUSIP	91282810SC3
BID	BID	100.59375
ASK	ASK	100.65625
BIDYIELD	BID YIELD %	3.094
ASKYIELD	ASK YIELD %	3.091
MIDYIELD	MID YIELD %	3.096

{
"Name": "30_YEAR",
"Source": "BTEC",
"Ask": 96.078125,
"AskSize": 4,
"AskYield": 4.49,
"Bid": 96.046875,
"BidSize": 5,
"BidYield": 4.492,
"High": 96.5625,
"Low": 95.78125,
"Cusip": "912810UC0",
"BidYieldPrct": 4.492,
"AskYieldPrct": 4.49,
"SettlementDate": "05 Nov 2024",
"TotalVol": 4136,
"Last": 96.0625,
"LastTradeSize": 1
}

{
"Name": "3_YEAR",
"Source": "BTEC",
"Ask": 99.28515625,
"AskSize": 7,
"AskYield": 4.135,
"Bid": 99.28125,
"BidSize": 7,
"BidYield": 4.136,
"High": 99.38671875,
"Low": 99.26171875,
"Cusip": "91282CLQ2",
"BidYieldPrct": 4.136,
"AskYieldPrct": 4.135,
"SettlementDate": "05 Nov 2024",
"TotalVol": 10610,
"Last": 99.28125,
"LastTradeSize": 2
}


{
"Name": "10_YEAR_WI",
"Source": "BTEC",
"Ask": 4.293,
"AskSize": null,
"AskYield": null,
"Bid": 4.296,
"BidSize": null,
"BidYield": null,
"High": null,
"Low": null,
"Cusip": "91282CLW9",
"BidYieldPrct": 4.296,
"AskYieldPrct": 4.293,
"SettlementDate": "15 No
}

CME Group Client Systems Wiki

CME Cash Market WebSocket API - BrokerTec U.S. Treasury

Message Specifications - BrokerTec Actives 2 Year - 30 Year

Message Specifications - BrokerTec Bills 1M - 1Y

Message Specifications - BTEC WIs 1M - 30Y

Message Specifications - BTEC Once Old & Twice Old Off-the-Runs 2Y - 30Y

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