Output - Trade Summary

Fields

Ref	Field	Name	Data Type	Values	Usage	Description
1	header
2	→ messageType	Message Type	string	TRD (Trade Summary)	ALWAYS	Denotes trade summary message.
3	→ sentTime	Sent Timestamp	timestamp		ALWAYS	CME MDP gateway sends the message (UTC).
4	→ sequenceNumber	sequence Number	string		ALWAYS	System generated per session. Message sequence will increment upwards as messages are published. Gaps in the sequence number may indicate that client applications are dropping messages due to slow consumption rates.
5	→ version	API Version	string	1.0 (1.0)	ALWAYS
6	payload
7	→ instrument
8	→ → definitionSource	Instrument Definition Source	string	E (Exchange Defined) U (User Defined)	ALWAYS	Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined.
9	→ → exchangeMic	Exchange MIC	string	DUMX (Gulf Mercantile Exchange) XCBT (Chicago Board of Trade) XCEC (COMEX (Commodities Exchange Center)) XCME (Chicago Mercantile Exchange) XNYM (New York Mercantile Exchange)	ALWAYS	Exchange used to identify a security.
10	→ → id	Instrument ID	string		ALWAYS	Unique instrument ID as qualified by the exchange per market segment. The unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.
11	→ → marketSegmentId	Market Segment ID	string		ALWAYS	Identifies the market segment. Populated for all CME Globex instruments.
12	→ → periodCode	Instrument Period Code	string		ALWAYS	This field provides the calendar month reflected in the instrument symbol. Format YYYYMM (e.g., 201912) For futures spreads, this field contains the first leg's calendar month reflected in the instrument symbol.
13	→ → productCode	Instrument Product Code	string		ALWAYS	String field that indicates the underlying asset code (Product Code). Example: GE (Eurodollars), ES (E-Minis).
14	→ → productGroup	Product Group Code	string		ALWAYS
15	→ → productType	Product Type	string	FUT (Future) OOF (Option) OPT (Option)	ALWAYS
16	→ → symbol	Instrument Symbol	string		ALWAYS
17	→ lastUpdateTime	Last Update Timestamp	timestamp		ALWAYS
18	→ tradeSummary
19	→ → aggressorSide	Aggressor Side	string	BUY (Buy) NO_AGGRESSOR (No aggressor) NULL (Null) SELL (Sell)	ALWAYS	Indicates which side is aggressor of the trade. If there is a zero value present, then there is no aggressor. Trades without aggressors occur: At Market Open after a Pre-Open or after a Pause When the event includes customer order participation in a trade with a CME Globex-generated implied bid or offer.
20	→ → mdTradeEntryId	Market Data Trade Entry ID	string		ALWAYS	Common Trade ID that links each trade execution.
21	→ → orderQty
22	→ → → lastOrdQty	Order Quantity	string		ALWAYS	Quantity of order
23	→ → → orderId	Venue Order ID	string		ALWAYS	Unique ID assigned by CME Globex to identify orders.
24	→ → tradeOrderCount	Trade Order Count	string		ALWAYS	Identifies the total number of non-implied orders per instrument that participated in a match event.
25	→ → tradePrice	Trade Price	string		ALWAYS
26	→ → tradeQty	Trade Quantity	string		ALWAYS	Quantity of trade
27	→ → tradeUpdateAction	Trade Update Action	string	DELETE (Delete) NEW (New) UPDATE (Update)	ALWAYS

CME Smart Stream Websockets - Trade Summary

Output - Trade Summary

Fields