The Margin Service API defines the following objects.
Error
The error object is used to represent an error that occurred.
| Name | XML Name | XML Type | Data Type | Min Occurs | Max Occurs | Description |
|---|---|---|---|---|---|---|
| Message | msg | Attribute | String | 1 | 1 | A string describing the error. |
| Code | code | Attribute | Integer | 1 | 1 | A numeric code for the error. |
Margin
The margin object is used to represent a margin calculation for a portfolio.
| Name | XML Name | XML Type | Data Type | Min Occurs | Max Occurs | Description |
|---|---|---|---|---|---|---|
| Amounts | amounts | Element | 0 | 1 | The amounts calculated. | |
| As-of Time | asOfTime | Attribute | Date/Time | 0 | 1 | The point in time at which the margin is calculated. |
| Create Time | createTime | Attribute | Date/Time | 0 | 1 | The time the margin record was created in the system. |
| ID | id | Attribute | String | 0 | 1 | The unique identifier for the margin assigned by CME CORE. |
| Portfolio ID | portfolioId | Attribute | String | 1 | 1 | The unique identifier for the portfolio for which the margin is calculated. |
| Settlement Indicator | settleInd | Attribute | Settlement Indicator | 0 | 1 | Indicates whether a margin is for settlement or not. |
| Settlement Qualifier | settleQual | Attribute | Settlement Qualifier | 0 | 1 | Indicates the status of settlement for margins. |
| Update Time | updateTime | Attribute | Date/Time | 0 | 1 | The time the margin record was last updated. |
| Transactions | transactions | Element | Transactions | 0 | unbound | The transactions that will be added to the portfolio for margin calculation. |
Margin Amounts
The margin amounts object is used to represent the various amounts determined during margin calculation.
| Name | XML Name | XML Type | Data Type | Min Occurs | Max Occurs | Description |
|---|---|---|---|---|---|---|
| Concentration | conc | Attribute | Decimal | 1 | 1 | Concentration or liquidity risk. |
| Currency | ccy | Attribute | Currency | 1 | 1 | The currency in which the amounts are calculated and expressed. |
| Initial | init | Attribute | Decimal | 1 | 1 | The margin required to be collateralized in order to open a position. |
| Maintenance | maint | Attribute | Decimal | 1 | 1 | The minimum amount to be collateralized in order to keep an open position. |
| Non-option Value | nonOptVal | Attribute | Decimal | 1 | 1 | The profit or loss on the day of a position is then paid to or debited from the holder by the futures exchange. |
| Option Value | optVal | Attribute | Decimal | 1 | 1 | The premium that they would need to pay to buy back the option and close out their position. |
Optimize Amounts
The optimize amounts object is used to represent the various amounts determined during optimize calculation.
| Name | XML Name | XML Type | Data Type | Min Occurs | Max Occurs | Description |
|---|---|---|---|---|---|---|
| Concentration | conc | Attribute | Decimal | 1 | 1 | Concentration or liquidity risk. |
| Initial | init | Attribute | Decimal | 1 | 1 | The margin required to be collateralized in order to open a position. |
| Maintenance | maint | Attribute | Decimal | 1 | 1 | The minimum amount to be collateralized in order to keep an open position. |
| Futures margin current portfolio | futCurrAmt | Attribute | Decimal | 1 | 1 | SPAN®margin for the current allocation of futures in the SEG account. |
| Futures margin baseline portfolio | futPreAmt | Attribute | Decimal | 1 | 1 | SPAN®margin for all futures (OTC and SEG futures) in account. |
| Futures margin post-optimized portfolio | futPostAmt | Attribute | Decimal | 1 | 1 | SPAN®margin for SEG futures allocation identified by the Optimizer. |
| OTC margin current portfolio | otcCurrAmt | Attribute | Decimal | 1 | 1 | OTC IRS margin for the current allocation of IRS+OTC futures in the account. |
| OTC margin baseline portfolio | otcPreAmt | Attribute | Decimal | 1 | 1 | OTC IRS margin for IRS positions only. |
| OTC margin post-optimized portfolio | otcPostAmt | Attribute | Decimal | 1 | 1 | OTC IRS margin for IRS + OTC futures identified by the Optimizer. |
Portfolio
The portfolio object is used to group transactions together for margining and analytics.
| Name | XML Name | XML Type | Data Type | Min Occurs | Max Occurs | Description |
|---|---|---|---|---|---|---|
| Create Time | createTime | Attribute | Date/Time | 0 | 1 | The time the portfolio record was created in the system. |
| Description | desc | Attribute | String | 0 | 1 | A textual description of the contents or usage of the portfolio. The following characters are allowable, some special characters are not: space !#%&'()+,-./0123456789:ABCDEFGHIJKLMNOPQRSTUVWXYZ_`abcdefghijklmnopqrstuvwxyz| |
| Entities | entities | Element | Portfolio Entities | 1 | 1 | Entities associated with the portfolio. |
| ID | id | Attribute | String | 0 | 1 | The unique identifier for the portfolio assigned by CME CORE. |
| Name | name | Attribute | String | 0 | 1 | The display name for the portfolio. The following characters are allowable, some special characters are not: space !#%&'()+,-./0123456789:ABCDEFGHIJKLMNOPQRSTUVWXYZ_`abcdefghijklmnopqrstuvwxyz| |
| Reporting Currency | rptCcy | Attribute | Currency | 0 | 1 | The currency used for reporting on the portfolio. Amounts calculated in the base currency for each transaction will be converted to this currency. The default value is USD. |
| Update Time | updateTime | Attribute | Date/Time | 0 | 1 | The time the portfolio was last updated. |
Portfolio Entities
The portfolio entities entity describes the various entities which are associated with a portfolio.
| Name | XML Name | XML Type | Data Type | Min Occurs | Max Occurs | Description |
|---|---|---|---|---|---|---|
| Clearing Member Firm ID | clrMbrFirmId | Attribute | String | 0 | 1 | The identifier of the clearing member firm to which the portfolio is associated. |
| Customer Account ID | custAcctId | Attribute | String | 0 | 1 | The identifier of the customer account to which the portfolio is associated. |
Portfolio Margin Amounts
The portfolio entities entity describes the various entities which are associated with a portfolio. These are available in CORE schema 1.2 and above (http://cmegroup.com/schema/core/1.2)
| Name | XML Name | XML Type | Data Type | Min Occurs | Max Occurs | Description |
|---|---|---|---|---|---|---|
| Futures Pre-Portfolio Margining Amount | futPreAmt | Attribute | Decimal | 0 | 1 | The margin amount for futures prior to portfolio margining. |
| Futures Post-Portfolio Margining Amount | futPostAmt | Attribute | Decimal | 0 | 1 | The margin amount for futures after portfolio margining. |
| IRS Pre-Portfolio Margining Amount | futPreAmt | Attribute | Decimal | 0 | 1 | The margin amount for IRS prior to portfolio margining. |
| IRS Post-Portfolio Margining Amount | otcPostAmt | Attribute | Decimal | 0 | 1 | The margin amount for IRS after portfolio margining. |
| Difference Amount | diffAmt | Attribute | Decimal | 0 | 1 | Margin Savings amount due to portfolio margining. |
Transaction
The transaction object is used to represent entities (such as trades, positions, and delta ladders) which can be used in margin calculations.
| Name | XML Name | XML Type | Data Type | Min Occurs | Max Occurs | Description |
|---|---|---|---|---|---|---|
| ID | id | Attribute | String | 0 | 1 | The unique identifier for the transaction assigned by CME CORE. |
| Create Time | createTime | Attribute | Date/Time | 0 | 1 | The time the transaction record was created in the system. |
| Status | status | Attribute | Entity Status | 0 | 1 | Indicates the status of the transaction. |
| Update Time | updateTime | Attribute | Date/Time | 0 | 1 | The time the transaction record was updated in the system. |
| Portfolio ID | portfolioId | Attribute | String | 0 | 1 | The unique identifier for the portfolio to which the analytic belongs. |
| Type | type | Attribute | Transaction Type | 1 | 1 | The type of transaction. |
| Error | error | Element | Error | 0 | 1 | The error for the transaction. |
| Payload | payload | Element | Transaction Payload | 0 | 1 | The payload containing the actual transaction. |
Transaction Payload
The transaction payload object is used to contain the actual contents of a transaction, and contains the transaction in a format such as FIXML or FpML.
| Name | XML Name | XML Type | Data Type | Min Occurs | Max Occurs | Description |
|---|---|---|---|---|---|---|
| Format | format | Attribute | Transaction Format | 1 | 1 | The format for the transaction payload. |
| Format Version | formatVer | Attribute | String | 0 | 1 | Version name for the format. This is not currently required. |
| String | string | Element | String | 0 | 1 | Payload content in raw string encoding. Content must be wrapped a CDATA block. |