Output - Statistics
Fields
| Ref | Field | Name | Data Type | Values | Usage | Description |
|---|---|---|---|---|---|---|
| 1 | header | |||||
| 2 | → messageType | Message Type | string |
| 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 |
| ALWAYS | |
| 6 | payload | |||||
| 7 | → instrument | |||||
| 8 | → → definitionSource | Instrument Definition Source | string |
| ALWAYS | Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined. |
| 9 | → → exchangeMic | Exchange MIC | string |
| 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 |
| ALWAYS | |
| 16 | → → symbol | Instrument Symbol | string | ALWAYS | ||
| 17 | → lastUpdateTime | Last Update Timestamp | timestamp | ALWAYS | ||
| 18 | → tradeStatistics | |||||
| 19 | → → clearedVolume | Open Interest Quantity | int32 | OPTIONAL | ||
| 20 | → → clearedVolumeDate | Settlement Price Date | string | OPTIONAL | ||
| 21 | → → clearedVolumeTimestamp | Settlement Price Timestamp | int32 | OPTIONAL | ||
| 22 | → → openInterest | Open Interest Quantity | int32 | OPTIONAL | ||
| 23 | → → openInterestDate | Settlement Price Date | string | OPTIONAL | ||
| 24 | → → openInterestTimestamp | Settlement Price Timestamp | int32 | OPTIONAL | ||
| 25 | → → settlementActual | Settlement Actual Indicator | boolean | OPTIONAL | ||
| 26 | → → settlementFinal | Settlement Final Indicator | boolean | OPTIONAL | ||
| 27 | → → settlementPrice | Settlement Price | double | OPTIONAL | ||
| 28 | → → settlementPriceDate | Settlement Price Date | string | OPTIONAL | ||
| 29 | → → settlementPriceTimestamp | Settlement Price Timestamp | timestamp | OPTIONAL | ||
| 30 | → → settlementRounded | Settlement Rounded Indicator | boolean | OPTIONAL | ||