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This message specification provides the message layout for each FIX message type supported by the applicable SBE schema for the CME Benchmark Administration Premium market data group.

Contents

Revision History

DateDescription
10/7/2021

updated version

removed extraneous tag values

9/2/2021updated version

Message Specification

The following section outlines the full message specification for CME Benchmark Administration Premium Specification messages.

Binary Packet Headers

A standard technical header sent in a packet.

Binary Packet Header for UDP Connections

A standard technical header is included in all packets sent on Real-Time Feed, UDP Market Recovery, and Instrument Recovery Feeds.

Name

Type

Description

MsgSeqNum

uInt32

Packet sequence number.

A unique sequence number given to each packet sent.

Each channel will have its own separate set of sequence numbers that will increment sequentially with each packet and reset weekly.

SendingTime

uInt64

UTC Time of message transmission by the Gateway. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

MDP 3.0 - Market Data Incremental Refresh Incremental Messages

The specifications included below are used for CME Benchmark Administration Premium Specification incremental messages (tag 35-MsgType=X). This message maps to the MDIncrementalRefreshSettle401 template in the Settlements and Valuations schema.  The messages below are for SOFR, CVOL and Petrol pricing.

SOFR

Tag

FIX Name

Type

Valid Values

Description

279MDUpdateActionMDUpdateAction

0 = New

Indicates the type of Market Data update action
269MDEntryTypeChar

W = Fixing Price

Indicates the type of price
7178ProductGUIDuInt64NULL
Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. 
37500ClearingProductCodeString (12)

TR1 - 1-MTH SOFR SYNTHETIC FUT

TR3 - 3-MTH SOFR SYNTHETIC FUT

TR6 - 6-MTH SOFR SYNTHETIC FUT

Clearing Product Code
167SecurityTypeSecurityType

FUT = Future Outrights


Identifies the type of instrument.

207SecurityExchangeString (8)

CME = Chicago Mercantile Exchange 

Security Exchange



200MaturityMonthYearMaturityMonthYear

This tag provides the calendar month reflected in the instrument symbol (tag 55-Symbol). Format: YYYYMM (e.g. 201912) 

For futures spreads and options spreads, this tag contains the first leg's calendar month reflected in the instrument symbol.

For packs and bundles, this value represents the quarterly contract reflected in the instrument symbol.

For daily products, this tag contains the full calendar date as reflected in the instrument symbol. Format: YYYYMMDD (e.g. 20191205).

For weekly options products, this tag contains the calendar month and week indicator reflected in the instrument symbol. Format: YYYYMMwW (e.g. for the 4thweek contracts, 2019124).

201PutOrCallPutOrCall
Indicates whether an option instrument is a put or call.
202StrikePriceDecimal64
Option strike price in Clearing price format.
37509UnderlyingProductGUIDuInt64NULL
Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. 
37510UnderlyingClearingProductCodeString (12)


Underlying Clearing Product Code
310UnderlyingSecurityTypeSecurityType

Identifies the type of the underlying instrument.


308UnderlyingSecurityExchangeString (8)


Underlying Security Exchange


313UnderlyingMaturityMonthYearMaturityMonthYear

This tag provides the calendar month reflected in the instrument symbol (tag 55-Symbol in MDP 3.0; tag 107-SecurityDesc in iLink). Format: YYYYMM (e.g. 201912) 

For futures spreads and options spreads, this tag contains the first leg's calendar month reflected in the instrument symbol.

For packs and bundles, this value represents the quarterly contract reflected in the instrument symbol.

For daily products, this tag contains the full calendar date as reflected in the instrument symbol. Format: YYYYMMDD (e.g. 20191205).

For weekly options products, this tag contains the calendar month and week indicator reflected in the instrument symbol. Format: YYYYMMwW (e.g. for the 4thweek contracts, 2019124).

55SymbolSymbol
Contract name
37513InstrumentGUIDuInt64NULL
Global unique instrument identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. 
48SecurityIDuInt32NULL
Security ID. This value is only sent for CME Globex instruments. This field will be null for instruments not sent on CME Globex.
9732FormattedLastPxDecimal64
Price in Clearing decimal format.
270MDEntryPxPRICENULL9
Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex
731SettlPriceTypeSettlPriceType

Bit 0:

  • 1=Final Daily


Bitmap field of eight Boolean type indicators representing settlement or valuation price type. 

5796TradingReferenceDateLocalMktDate
Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.
2455MDStatisticDescString (40)

Description of the fixing price.

Petrol

Tag

FIX Name

Type

Valid Values

Description

279MDUpdateActionMDUpdateAction

0 = New

Indicates the type of Market Data update action
269MDEntryTypeChar

3 = Index Value

Indicates the type of price
7178ProductGUIDuInt64NULL
Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. 
37500ClearingProductCodeString (12)

CPX = Petroleum Index

CVX = Indicative Petroleum Index

Clearing Product Code
167SecurityTypeSecurityType

Index

Identifies the type of instrument.

207SecurityExchangeString (8)

NYMEX

Security Exchange



200MaturityMonthYearMaturityMonthYearnull


201PutOrCallPutOrCallnullIndicates whether an option instrument is a put or call.
202StrikePriceDecimal64nullOption strike price in Clearing price format.
37509UnderlyingProductGUIDuInt64NULLnullGlobal unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. 
37510UnderlyingClearingProductCodeString (12)nullUnderlying Clearing Product Code
310UnderlyingSecurityTypeSecurityTypenull

Identifies the type of the underlying instrument.


308UnderlyingSecurityExchangeString (8)null

Underlying Security Exchange


313UnderlyingMaturityMonthYearMaturityMonthYearnull

This tag provides the calendar month reflected in the instrument symbol (tag 55-Symbol in MDP 3.0; tag 107-SecurityDesc in iLink). Format: YYYYMM (e.g. 201912) 

For futures spreads and options spreads, this tag contains the first leg's calendar month reflected in the instrument symbol.

For packs and bundles, this value represents the quarterly contract reflected in the instrument symbol.

For daily products, this tag contains the full calendar date as reflected in the instrument symbol. Format: YYYYMMDD (e.g. 20191205).

For weekly options products, this tag contains the calendar month and week indicator reflected in the instrument symbol. Format: YYYYMMwW (e.g. for the 4thweek contracts, 2019124).

55SymbolSymbol

CPX = Petroleum Index

CVX = Indicative Petroleum Index

Contract name
37513InstrumentGUIDuInt64NULL
Global unique instrument identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. 
48SecurityIDuInt32NULL
Security ID. This value is only sent for CME Globex instruments. This field will be null for instruments not sent on CME Globex.
9732FormattedLastPxDecimal64
Price in Clearing decimal format.
270MDEntryPxPRICENULL9
Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex
731SettlPriceTypeSettlPriceType

Bit 0:

  • 1=Final Daily
  • 0=Preliminary

Bitmap field of eight Boolean type indicators representing settlement or valuation price type. Example values:

Binary Code value of 731

Description

00000001

Final Daily

00000000

Preliminary

5796TradingReferenceDateLocalMktDate
Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.
2455MDStatisticDescString (40)null

Description of the fixing price.

CVOL

Tag

FIX Name

Type

Valid Values

Description

279MDUpdateActionMDUpdateAction

0 = New

Indicates the type of Market Data update action
269MDEntryTypeChar

3 = Index Value

Indicates the type of price
7178ProductGUIDuInt64NULL
Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. 
37500ClearingProductCodeString (12)

ex. EUVL

Clearing Product Code
167SecurityTypeSecurityType

Index

Identifies the type of instrument.

207SecurityExchangeString (8)

CBT = Chicago Board of Trade
CME = Chicago Mercantile Exchange
NYMEX = New York Mercantile Exchange
COMEX= COMEX (Commodities Exchange Center)

Security Exchange



200MaturityMonthYearMaturityMonthYearnull


201PutOrCallPutOrCallnullIndicates whether an option instrument is a put or call.
202StrikePriceDecimal64nullOption strike price in Clearing price format.
37509UnderlyingProductGUIDuInt64NULLnullGlobal unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. 
37510UnderlyingClearingProductCodeString (12)nullUnderlying Clearing Product Code
310UnderlyingSecurityTypeSecurityTypenull

Identifies the type of the underlying instrument.


308UnderlyingSecurityExchangeString (8)null

Underlying Security Exchange


313UnderlyingMaturityMonthYearMaturityMonthYearnull

This tag provides the calendar month reflected in the instrument symbol (tag 55-Symbol in MDP 3.0; tag 107-SecurityDesc in iLink). Format: YYYYMM (e.g. 201912) 

For futures spreads and options spreads, this tag contains the first leg's calendar month reflected in the instrument symbol.

For packs and bundles, this value represents the quarterly contract reflected in the instrument symbol.

For daily products, this tag contains the full calendar date as reflected in the instrument symbol. Format: YYYYMMDD (e.g. 20191205).

For weekly options products, this tag contains the calendar month and week indicator reflected in the instrument symbol. Format: YYYYMMwW (e.g. for the 4thweek contracts, 2019124).

55SymbolSymbol

ex. EUVL

Contract name
37513InstrumentGUIDuInt64NULL
Global unique instrument identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. 
48SecurityIDuInt32NULL
Security ID. This value is only sent for CME Globex instruments. This field will be null for instruments not sent on CME Globex.
9732FormattedLastPxDecimal64
Price in Clearing decimal format.
270MDEntryPxPRICENULL9
Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex
731SettlPriceTypeSettlPriceType

Bit 0:

  • 10000000 = null

Bitmap field of eight Boolean type indicators representing settlement or valuation price type. Example values:

Binary Code value of 731

Description

00000001

Final Daily

5796TradingReferenceDateLocalMktDate
Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.
2455MDStatisticDescString (40)null

Description of the fixing price.

TCP Replay Messages

The messages included below are used for Settlements and Valuations TCP Recovery in the Global TCP Recovery Schema.

Logon from Client System to MDP

The Market Data Logon (tag 35-MsgType=A) message is sent by the client system to MDP to initiate logon.

Required tags:

Tag

FIX Name

Type

Valid Values

Description

553

Username

String


Userid or username.

554

Password

String


Password or passphrase.

1137

DefaultApplVerID

String

9 = FIX50SP2

Specifies the service pack release being applied, by default, to message at the session level.

Logon from MDP to Client System

The Market Data Logon (tag 35-MsgType=A) message is sent from MDP to the client system to confirm logon. This message is SBE-encoded.

Tag

FIX Name

Type

Valid Values

Description

1180

ApplID

String

REPLAY

Used to identify a replayed message.

98

EncryptMethod

Int

0 = None

CME Globex does not use encryption, so this value is always set to 0.

108

HeartBtInt

Int


Heartbeat interval (seconds).

1137

DefaultApplVerID

String

9 = FIX50SP2

Specifies the service pack release being applied, by default, to message at the session level.

Market Data Replay Request

The Market Data - Replay Request (tag 35-MsgType=V) message is sent by the client system to request a range of messages for recovery.

Required tags:

Tag

FIX Name

Type

Valid Values

Description

1180

ApplID

String


The channel ID from the XML Configuration file for which this request is made.

262

MDReqID

String


Unique identifier for Market Data Request.

1182

ApplBeginSeqNo

SeqNum


Message sequence number of first message in range to be re-sent. If the request is for a single message, ApplBeginSeqNo (tag 1182) and ApplEndSeqNo (tag 1183) are the same.

1183

ApplEndSeqNo

SeqNum


Message sequence number of last message in range to be re-sent. If the request is for a single message, BeginSeqNo (tag 7) and EndSeqNo (tag 16) are the same. The maximum number of messages that can be requested is 2000.

Logout

The Market Data Logout (tag 35-MsgType=5) message is sent from MDP to confirm logout. This message is SBE-encoded.

Tag

FIX Name

Type

Valid Values

Description

1180

ApplID

String

REPLAY

Used to identify a replayed message.

58

Text

String


Free Format text string. May include logout confirmation or reason for logout.

Contact Information

For technical development support, contact Certification Support for Electronic Trading (CSET).

For production requests, please contact the Global Command Center (GCC).

For all other inquiries, please contact Global Account Management (GAM).