Margin Service API - Transaction Formats

Owned by CME Group
Last updated: Apr 26, 2024
6 min read

The Margin Service API supports multiple formats for transaction payloads, depending on the asset class.

CME CORE supports FIXML, FpML, and CSV as transaction formats.  At this time, multiple formats are not supported for each asset class.  

Asset Class

Format

Asset Class

Format

Interest Rate Swap (IRS)

FpML

Forward

FIXML

Future

FIXML

Option

FIXML

Delta Ladder

CSV

Transactions are converted into an internal representation upon being loaded into CME CORE.  Additional attributes supplied by the client will not be retained by CME CORE and will not be returned by the get transaction or list transactions requests.

FpML

This API supports a CME-specific flavor of FpML based on the FpML 5.4 specification. This mapping is meant to convey the supported FPML fields, not necessarily their order.  See the FpML schema for ordering details.

Download the CME extension for the FpML schema here.

 Interest Rate Swap

XPath

Name

Required

Notes

XPath

Name

Required

Notes

/cme:FpML/clearingConfirmed/account[@id="account1"]/
accountId[@accountIdScheme="clearing_firm_account"]

Customer Account ID

No



/cme:FpML/clearingConfirmed/party[@id="clearing_firm"]/
partyId[@partyIdScheme="clearing_member_firms"]

Clearing Member Firm ID

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream@id

Swap Stream ID

Yes

Defines legs

/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodAmount/calculation/compoundingMethod

Compounding Method

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodAmount/calculation/dayCountFraction

Day Count

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodAmount/calculation/fixedRateSchedule/initialValue

Fixed Rate (Initial)

No

Fixed-rate streams only

/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodAmount/calculation/fixedRateSchedule/step/stepValue

Fixed Rate (Schedule)

No

Fixed-rate streams only

/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodAmount/calculation/floatingRateCalculation/floatingRateIndex

Floating Rate Index

No

Floating-rate streams only

/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodAmount/calculation/floatingRateCalculation/indexTenor/period

Floating Rate Index Period

Yes

Floating-rate streams only

/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodAmount/calculation/floatingRateCalculation/indexTenor/periodMultiplier

Floating Rate Index Multiplier

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodAmount/calculation/floatingRateCalculation/spreadSchedule/step

Rate Spread

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodAmount/calculation/notionalSchedule/notionalStepSchedule/currency

Currency

Yes



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodAmount/calculation/notionalSchedule/notionalStepSchedule/initialValue

Notional Amount

Yes



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodAmount/calculation/notionalSchedule/notionalStepSchedule/step/stepValue

Notional Amount

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodDates/calculationPeriodDatesAdjustments/businessCenters/businessCenter

Calculation Period Business Center

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodDates/calculationPeriodDatesAdjustments/businessDayConvention

Calculation Period Date Convention

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodDates/calculationPeriodFrequency/period

Calculation Period Frequency Period

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodDates/calculationPeriodFrequency/periodMultiplier

Calculation Period Frequency Multiplier

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodDates/calculationPeriodFrequency/rollConvention

Calculation Period Roll Convention

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodDates/effectiveDate/unadjustedDate

Unadjusted Start Date

Yes



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodDates/firstRegularPeriodStartDate

Calculation Period Regular Start Date

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodDates/lastRegularPeriodEndDate

Calculation Period Regular End Date

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodDates/terminationDate/adjustedDate

Adjusted End Date

Yes



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodDates/terminationDate/unadjustedDate

Unadjusted End Date

Yes



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
payerPartyReference@href

Payer Party Reference

Yes



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
paymentDates/paymentDatesAdjustments/businessCenters/businessCenter

Payment Date Business Centers

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
paymentDates/paymentDatesAdjustments/businessDayConvention

Payment Date Convention

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
paymentDates/paymentFrequency/period

Payment Frequency Period

Yes



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
paymentDates/paymentFrequency/periodMultiplier

Payment Frequency Multiplier

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
paymentDates/payRelativeTo

Payment Date Relationship Type

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
resetDates/fixingDates/businessCenters/businessCenter

Fixing Date Business Center

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
resetDates/fixingDates/businessDayConvention

Fixing Date Convention

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
resetDates/fixingDates/dayType

Fixing Date Day Type

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
resetDates/fixingDates/period

Fixing Date Offset Period

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
resetDates/fixingDates/periodMultiplier

Fixing Date Offset Mulitplier

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
resetDates/resetDatesAdjustments/businessCenters/businessCenter

Reset Business Centers

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
resetDates/resetDatesAdjustments/businessDayConvention

Reset Date Convention

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
resetDates/resetFrequency/period

Reset Frequency Period

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
resetDates/resetFrequency/periodMultiplier

Reset Frequency Multiplier

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
resetDates/resetRelativeTo

Reset Date Relationship Type

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/finalStub/floatingRate[0]/floatingRateIndex

End Stub - Floating Rate Index 1

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/finalStub/floatingRate[0]/indexTenor/period

End Stub - Floating Rate Period 1

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/finalStub/floatingRate[0]/indexTenor/periodMultiplier

End Stub - Floating Rate Multiplier 1

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/finalStub/floatingRate[1]/floatingRateIndex

End Stub - Floating Rate Index 2

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/finalStub/floatingRate[1]/indexTenor/period

End Stub - Floating Rate Period 2

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/finalStub/floatingRate[1]/indexTenor/periodMultiplier

End Stub - Floating Rate Multiplier 2

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/finalStub/stubRate

End Stub - Rate

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/initialStub/floatingRate[0]/floatingRateIndex

Start Stub - Floating Rate Index 1

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/initialStub/floatingRate[0]/indexTenor/period

Start Stub - Floating Rate Period 1 

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/initialStub/floatingRate[0]/indexTenor/periodMultiplier

Start Stub - Floating Rate Multiplier 1 

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/initialStub/floatingRate[1]/floatingRateIndex

Start Stub - Floating Rate Index 2 

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/initialStub/floatingRate[1]/indexTenor/period

Start Stub - Floating Rate Period 2 

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/initialStub/floatingRate[1]/indexTenor/periodMultiplier

Start Stub - Floating Rate Multiplier 2 

No



/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/initialStub/stubRate

Start Stub - Rate

No



Sample

This is a standard fixed/float swap.

<cme:FpML> <clearingConfirmed> <trade> <swap> <swapStream id="fixedLeg"> <payerPartyReference href="clearing_firm"></payerPartyReference> <calculationPeriodDates id="fixedCalcPeriodDates"> <effectiveDate> <unadjustedDate>2013-02-04</unadjustedDate> </effectiveDate> <terminationDate> <unadjustedDate>2018-02-04</unadjustedDate> </terminationDate> <paymentDates> <paymentFrequency> <period>M</period> <periodMultiplier>6</periodMultiplier> </paymentFrequency> </paymentDates> <calculationPeriodAmount> <calculation> <notionalSchedule> <notionalStepSchedule> <initialValue>100000000.00</initialValue> <currency>USD</currency> </notionalStepSchedule>  </notionalSchedule> <fixedRateSchedule> <initialValue>0.0125</initialValue> </fixedRateSchedule> </calculation> </calculationPeriodAmount> </swapStream> <swapStream id="floatLeg"> <calculationPeriodAmount> <calculation> <floatingRateCalculation> <floatingRateIndex>USD-LIBOR</floatingRateIndex> <period>M</period> <periodMultiplier>3</periodMultiplier> </floatingRateCalculation> </calculation> </calculationPeriodAmount> </swapStream> </swap> </trade> </clearingConfirmed> </cme:FpML>

FIXML

This API supports standard FIXML following the FIXML 5.0 SP2 specification.

Forward

XPath

Name

Required

Notes

XPath

Name

Required

Notes

/FIXML/TrdCaptRpt@LastQty

Quantity

Yes



/FIXML/TrdCaptRpt/Instrmt@Exch

Exchange ID

Yes



/FIXML/TrdCaptRpt/Instrmt@ID

Instrument ID

Yes



/FIXML/TrdCaptRpt/Instrmt@MMY

Contract Period Code

Yes



/FIXML/TrdCaptRpt/Instrmt@SecTyp

Product Type

Yes



/FIXML/TrdCaptRpt/RptSide@Side

Market Side Indicator

Yes



/FIXML/TrdCaptRpt/RptSide/Pty[@R="4"]@ID

Clearing Member Firm ID

No



/FIXML/TrdCaptRpt/RptSide/Pty[@R="24"]@ID

Customer Account ID

No



Example

CME USD/CAD forward:

<FIXML> <TrdCaptRpt LastQty="4"> <Instrmt Exch="CME" SecTyp="FWD" ID="USDCAD" MMY="20130301" /> <RptSide Side="2"> <Pty R="4" ID="123" /> <Pty R="24" ID="CUSTACCT1" /> </RptSide> </TrdCaptRpt> </FIXML>
Future

XPath

Name

Required

Notes

XPath

Name

Required

Notes

/FIXML/TrdCaptRpt@LastQty

Quantity

Yes



/FIXML/TrdCaptRpt/Instrmt@Exch

Exchange ID

Yes



/FIXML/TrdCaptRpt/Instrmt@ID

Instrument ID

Yes



/FIXML/TrdCaptRpt/Instrmt@MMY

Contract Period Code

Yes



/FIXML/TrdCaptRpt/Instrmt@SecTyp

Product Type

Yes



/FIXML/TrdCaptRpt/RptSide@Side

Market Side Indicator

Yes



/FIXML/TrdCaptRpt/RptSide/Pty[@R="4"]@ID

Clearing Member Firm ID

No



/FIXML/TrdCaptRpt/RptSide/Pty[@R="24"]@ID

Customer Account ID

No



Example

Options on three-month SOFR Futures:

<FIXML> <TrdCaptRpt LastQty="4"> <Instrmt Exch="CME" SecTyp="FUT" ID="SR3" MMY="202307" /> <RptSide Side="1"> <Pty R="4" ID="123" /> <Pty R="24" ID="CUSTACCT1" /> </RptSide> </TrdCaptRpt> </FIXML>
Option

XPath

Name

Required

Notes

XPath

Name

Required

Notes

/FIXML/TrdCaptRpt@LastQty

Quantity

Yes



/FIXML/TrdCaptRpt/Instrmt@Exch

Exchange ID

Yes



/FIXML/TrdCaptRpt/Instrmt@ID

Instrument ID/Commodity Code

Yes



/FIXML/TrdCaptRpt/Instrmt@MMY

Contract Period Code

Yes



/FIXML/TrdCaptRpt/Instrmt@PutCall

Put/Call Indicator

Yes



/FIXML/TrdCaptRpt/Instrmt@SecTyp

Product Type

Yes



/FIXML/TrdCaptRpt/Instrmt@StrkPx

Strike Price

Yes



/FIXML/TrdCaptRpt/RptSide@Side

Market Side Indicator

Yes



/FIXML/TrdCaptRpt/RptSide/Pty[@R="4"]@ID

Clearing Member Firm ID

No



/FIXML/TrdCaptRpt/RptSide/Pty[@R="24"]@ID

Customer Account ID

No



/FIXML/TrdCaptRpt/Undly@ID

Underlying Instrument ID

No



/FIXML/TrdCaptRpt/Undly@MMY

Underlying Contract Period Code

No



Example

CME SOFR option:

CSV

Delta Ladder

Column

Name

Required

Notes

Index

Name

0

Value Date

Value Date

Yes

The date must be in MM/DD/YYYY format.

1

CMF ID

Clearing Member Firm ID

No



2

PB Account

Customer Account ID

No



3

Curve Name

Curve Name

Yes



4

Currency

Currency

Yes



5

91D

91 Days/3 Months

No

The values in columns 5-27 represent the amount of money the holder of a position with the given maturity will gain or lose based on a parallel shift in the yield curve.
























6

183D

183 Days/6 Months

No

7

274D

274 Days/9 Months

No

8

365D

365 Days/12 Months

No

9

457D

457 Days/15 Months

No

10

548D

548 Days/18 Months

No

11

639D

639 Days/21 Months

No

12

731D

731 Days/2 Years

No

13

1096D

1,096 Days/3 Years

No

14

1461D

1,461 Days/4 Years

No

15

1826D

1,826 Days/5 Years

No

16

2192D

2,192 Days/6 Years

No

17

2557D

2,557 Days/7 Years

No

18

2922D

2,992 Days/8 Years

No

19

3287D

3,287 Days/9 Years

No

20

3653D

3,653 Days/10 Years

No

21

4383D

4,383 Days/12 Years

No

22

5479D

5,479 Days/15 Years

No

23

7305D

7,305 Days/20 Years

No

24

9131D

9,131 Days/25 Years

No

25

10958D

10,958 Days/30 Years

No

26

14610D

14,610 Days/40 Years

No

27

18263D

18,263 Days/50 Years

No

Example



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