Product Symbol Sym String Symbol for a CME contract, e.g. CLX05. Product Code ID String Symbol for CME product, e.g. CL. Source of the Product Code 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 Code CFI String Indicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. Security Type 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 Index Or Single Name SubTyp String For spreads, indicates the strategy type. Strategies/combos are available here. Contract Period Code MMY MonthYear Specifies the month and year of maturity. YYYYMM (i.e. 201403) YYYYMMDD (20140323) YYYYMMwN (201403w1) Maturity Date Matdt LocalMktDate Date of maturity. Next Coupon Date CpnPmt LocalMktDate This is used to indicate the next date on which Coupon Premium is due. Strike Price StrkPx Price Strike price for an option. Strike Multiplier StrkMult float Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value. Strike Index StrkNdx String Specifies the index used to calculate the strike price. Strike Index Location StrkNdxLctn String Location of the strike price index. 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) Price Multiplier Mult float Price multiplier used to convert the change in price (sell - buy) into P&L per contract. Unit Of Measure 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 Unit of Measure Currency UOMCcy Currency Indicates the currency of the unit of measure. Conditionally required when UnitOfMeasure = Ccy. Unit of Measure Quantity UOMQty Qty Contract's defined quantity, used to calculate total traded notional quantity. Price Unit of Measure 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) Settlement Method 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 Exercise Style ExerStyle int Type of exercise of a derivatives security 0 - European 1 - American 2 - Bermuda Put Or Call PutCall int Indicates whether an option contract is a put or call. 0 - Put 1 - Call Product Exchange 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 Price Quote Currency PxQteCcy Currency The currency in which the price is quoted. Instrument Security Description desc String Long name description of the instrument symbol (product name)./TrdCaptRpt/Instrmt
Name Abbr Datatype Description Enumerations SecAltIDGrp (repeating) AID → Alternate Identifier AltID String The value of the alternate security identifier. → Alternate Identifier Source AltIDSrc String The source of the alternate security identifier. SecurityXML SecXML → FpML FpML EvntGrp (repeating) Evnt → Product Event Type EventTyp int Code to represent the type of event → Product Event Date Dt LocalMktDate Date of event OptionExercise OptExer → OptionExerciseDates Dts →→ Option Exercise Frequency Period FreqPeriod int Time unit multiplier for the frequency of exercise dates. If present OptionExerciseFrequencyUnit(tbd) must be specified. →→ OptionExerciseFrequencyUnit FreqUnit String Time unit associated with the frequency of exercise dates. If present OptionExerciseFrequencyPeriod(tbd) must be specified. StreamGrp (repeating)
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