• CME STP FIX: Underlying Instrument and Commission Block Updates

      • To
      • CME STP FIX Customers
      • #
      • 20161206
      • Notice Date
      • 08 December 2016
      • Effective Date
      • 08 January 2017
    • Effective Sunday, January 8 (trade date Monday, January 9), the CME STP messaging format will be enhanced to provide greater clarity and accuracy . These changes affect the following message blocks:

      These changes will be available in New Release for customer testing on Wednesday, December 7.


      Underlying Instrument Block

      Please Note: Underlying Symbol is mandatory when the Number of Underlying Instruments is greater than 0.

      Underlying Instrument Block
      Tag FIX Name FIXML Abbr Format Description

      Underlying Instrument Group Block (repeating)

      711 NoUnderlyingInstruments   N NumInGroup Number of underlying legs that make up the security.
      Underlying Instrument Block
      →311 UnderlyingSymbol Sym N String Underlying security's Symbol.
      The FIX code will default to N/A to for tag 311 in order to comply with the standard FIX convention for this repeating field. 
      Note: this field is mandatory when NoUnderlyingInstruments > 0.
      →312 UnderlyingSymbolSfx Sfx

      N

      String Underlying security's SymbolSfx.

       

      • CD=EUCP with lump-sum interest rather than discount price
      • WI = "When Issued" for a security to be reissued under an old CUSIP or ISIN
      →309 UnderlyingSecurityID ID N String CME Group clearing product code for underlying instrument, e.g. CL (2 Characters).
      →305 UnderlyingSecurityIDSource Src N Char Source for underlying Security ID.
      Supported value:

       

      • ‘H’ (Clearing House / Organization)
      →310 UnderlyingSecurityType SecTyp N String Indicates type of underlying security.
      Supported values:

       

      • FUT - Future
      • FWD - Forward
      • MLEG - Multi Leg
      →313 UnderlyingMaturityMonthYear MMY N Month-year Month and Year of the underlying instrument maturity
      Format:

       

      • YYYYMM (i.e. 201403)
      • YYYYMMDD (20140323)
      • YYYYMMwN (201403w1)
      →308 UnderlyingSecurityExchange Exch N Exchange The exchange on which the underlying security is listed.
      Supported values: ‘CBT’, ‘CCE’, ‘CEE’, ‘CEU’, ‘CMD’, ‘CME’,  'COMEX' ,  'DME', ‘NYMEX’

      Commission Data Group Block

      The Commission Data Group block replaces the Commission Data block.

      Please Note: Commission Basis is mandatory when the Number of Commissions is greater than 0.

      Commission Data Group Block
      Tag FIX Name FIXML Abbr Req Format Description
      →Commission Data Group Block(sub-block to Side Block)(repeating)
      →2639 NoCommissions   N NumInGroup Number of commissions in the repeating group.
      →→2642 CommissionBasis Basis N Int Required as first tag in repeating group.

       

      Type of Rate initially allowed for broker fees:
      1 = Per Unit
       2 = Percentage
       8 = Per Contract
      Required if NoCommissions > 0.

      →→2640 CommissionAmount Amt N Amt Commission Amount
      →→2641 CommissionAmountType Typ N Int Type of Commission. Value = 0.
      →→2643 CommissionCurrency Ccy N Currency Currency used to pay broker fees.
      →→2644 CommissionUnitofMeasure UOM N String Unit of measure for trade.
      →→2645 CommissionUnitofMeasureCurrency UOMCcy N Currency Currency unit for measure of trade.
      →→2646 CommissionRate Rate N Percentage Rate per basis.
      →→2649 CommissionLegRefID LegRefID N Int Leg reference ID that ties to the Trade Instrument Block Leg Number.

      Please contact Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803 or in Asia at +65 6593 5593 with questions while testing in New Release.

      Please contact the Global Command Center (GCC) in the U.S. +1 800 438 8616, in Europe at +44 800 898 013 or in Asia at +65 6532 5010 with any production questions.