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
| Date | Description |
|---|---|
| 10/7/2021 | updated version removed extraneous tag values |
| 9/2/2021 | updated 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 |
|---|---|---|---|---|
| 279 | MDUpdateAction | MDUpdateAction | 0 = New | Indicates the type of Market Data update action |
| 269 | MDEntryType | Char | W = Fixing Price | Indicates the type of price |
| 7178 | ProductGUID | uInt64NULL | Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |
| 37500 | ClearingProductCode | String (12) | TR1 - 1-MTH SOFR SYNTHETIC FUT TR3 - 3-MTH SOFR SYNTHETIC FUT TR6 - 6-MTH SOFR SYNTHETIC FUT | Clearing Product Code |
| 167 | SecurityType | SecurityType | FUT = Future Outrights | Identifies the type of instrument. |
| 207 | SecurityExchange | String (8) | CME = Chicago Mercantile Exchange | Security Exchange |
| 200 | MaturityMonthYear | MaturityMonthYear | 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). | |
| 201 | PutOrCall | PutOrCall | Indicates whether an option instrument is a put or call. | |
| 202 | StrikePrice | Decimal64 | Option strike price in Clearing price format. | |
| 37509 | UnderlyingProductGUID | uInt64NULL | Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |
| 37510 | UnderlyingClearingProductCode | String (12) | Underlying Clearing Product Code | |
| 310 | UnderlyingSecurityType | SecurityType | Identifies the type of the underlying instrument. | |
| 308 | UnderlyingSecurityExchange | String (8) | Underlying Security Exchange | |
| 313 | UnderlyingMaturityMonthYear | MaturityMonthYear | 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). | |
| 55 | Symbol | Symbol | Contract name | |
| 37513 | InstrumentGUID | uInt64NULL | Global unique instrument identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |
| 48 | SecurityID | uInt32NULL | Security ID. This value is only sent for CME Globex instruments. This field will be null for instruments not sent on CME Globex. | |
| 9732 | FormattedLastPx | Decimal64 | Price in Clearing decimal format. | |
| 270 | MDEntryPx | PRICENULL9 | Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex | |
| 731 | SettlPriceType | SettlPriceType | Bit 0:
| Bitmap field of eight Boolean type indicators representing settlement or valuation price type. |
| 5796 | TradingReferenceDate | LocalMktDate | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. | |
| 2455 | MDStatisticDesc | String (40) | Description of the fixing price. |
Petrol
Tag | FIX Name | Type | Valid Values | Description | ||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 279 | MDUpdateAction | MDUpdateAction | 0 = New | Indicates the type of Market Data update action | ||||||
| 269 | MDEntryType | Char | 3 = Index Value | Indicates the type of price | ||||||
| 7178 | ProductGUID | uInt64NULL | Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |||||||
| 37500 | ClearingProductCode | String (12) | CPX = Petroleum Index CVX = Indicative Petroleum Index | Clearing Product Code | ||||||
| 167 | SecurityType | SecurityType | Index | Identifies the type of instrument. | ||||||
| 207 | SecurityExchange | String (8) | NYMEX | Security Exchange | ||||||
| 200 | MaturityMonthYear | MaturityMonthYear | null | |||||||
| 201 | PutOrCall | PutOrCall | null | Indicates whether an option instrument is a put or call. | ||||||
| 202 | StrikePrice | Decimal64 | null | Option strike price in Clearing price format. | ||||||
| 37509 | UnderlyingProductGUID | uInt64NULL | null | Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | ||||||
| 37510 | UnderlyingClearingProductCode | String (12) | null | Underlying Clearing Product Code | ||||||
| 310 | UnderlyingSecurityType | SecurityType | null | Identifies the type of the underlying instrument. | ||||||
| 308 | UnderlyingSecurityExchange | String (8) | null | Underlying Security Exchange | ||||||
| 313 | UnderlyingMaturityMonthYear | MaturityMonthYear | null | 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). | ||||||
| 55 | Symbol | Symbol | CPX = Petroleum Index CVX = Indicative Petroleum Index | Contract name | ||||||
| 37513 | InstrumentGUID | uInt64NULL | Global unique instrument identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |||||||
| 48 | SecurityID | uInt32NULL | Security ID. This value is only sent for CME Globex instruments. This field will be null for instruments not sent on CME Globex. | |||||||
| 9732 | FormattedLastPx | Decimal64 | Price in Clearing decimal format. | |||||||
| 270 | MDEntryPx | PRICENULL9 | Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex | |||||||
| 731 | SettlPriceType | SettlPriceType | Bit 0:
| Bitmap field of eight Boolean type indicators representing settlement or valuation price type. Example values:
| ||||||
| 5796 | TradingReferenceDate | LocalMktDate | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. | |||||||
| 2455 | MDStatisticDesc | String (40) | null | Description of the fixing price. |
CVOL
Tag | FIX Name | Type | Valid Values | Description | ||||
|---|---|---|---|---|---|---|---|---|
| 279 | MDUpdateAction | MDUpdateAction | 0 = New | Indicates the type of Market Data update action | ||||
| 269 | MDEntryType | Char | 3 = Index Value | Indicates the type of price | ||||
| 7178 | ProductGUID | uInt64NULL | Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |||||
| 37500 | ClearingProductCode | String (12) | ex. EUVL | Clearing Product Code | ||||
| 167 | SecurityType | SecurityType | Index | Identifies the type of instrument. | ||||
| 207 | SecurityExchange | String (8) | CBT = Chicago Board of Trade | Security Exchange | ||||
| 200 | MaturityMonthYear | MaturityMonthYear | null | |||||
| 201 | PutOrCall | PutOrCall | null | Indicates whether an option instrument is a put or call. | ||||
| 202 | StrikePrice | Decimal64 | null | Option strike price in Clearing price format. | ||||
| 37509 | UnderlyingProductGUID | uInt64NULL | null | Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | ||||
| 37510 | UnderlyingClearingProductCode | String (12) | null | Underlying Clearing Product Code | ||||
| 310 | UnderlyingSecurityType | SecurityType | null | Identifies the type of the underlying instrument. | ||||
| 308 | UnderlyingSecurityExchange | String (8) | null | Underlying Security Exchange | ||||
| 313 | UnderlyingMaturityMonthYear | MaturityMonthYear | null | 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). | ||||
| 55 | Symbol | Symbol | ex. EUVL | Contract name | ||||
| 37513 | InstrumentGUID | uInt64NULL | Global unique instrument identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. | |||||
| 48 | SecurityID | uInt32NULL | Security ID. This value is only sent for CME Globex instruments. This field will be null for instruments not sent on CME Globex. | |||||
| 9732 | FormattedLastPx | Decimal64 | Price in Clearing decimal format. | |||||
| 270 | MDEntryPx | PRICENULL9 | Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex | |||||
| 731 | SettlPriceType | SettlPriceType | Bit 0:
| Bitmap field of eight Boolean type indicators representing settlement or valuation price type. Example values:
| ||||
| 5796 | TradingReferenceDate | LocalMktDate | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. | |||||
| 2455 | MDStatisticDesc | String (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).