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CME Data Insights is a suite of Simple Binary Encoding (SBE) market data channels. The Settlements and Valuations channels provide robust market data across CME Globex, OTC and floor venues:

  • Futures and Options Settlements 

  • Theoretical Valuations for Futures and Options instruments without volume or open interest

  • Fixing prices

  • Marker prices

  • End of day High/Low prices

  • Cleared volume and open interest

  • AIR TRF Funding Values

  • CME, CBOT, NYMEX and COMEX channel support

Theoretical valuations is a type of data produced by CME Group for futures and options products without volume, open interest or underlying pricing required for Clearing products. Theoretical valuations are the true asset values that can be used for margin modeling, compliance, risk management and firms' other specific needs where settlements are not generated. Sourcing Theoretical Valuations directly from CME Group provides customers with certainty as the data points are validated by the exchange.  

Commercial Terms of use for Data Insights: Settlements and Valuations is available from Global Account Management (GAM).

Contents

Testing and Certification

Certification is mandatory for Settlements and Valuations.

Settlements and Valuations Data Overview

The following section is an overview of Settlements and Valuations.

Settlements and Valuations Data

The following section provides information on the data provided on Settlements and Valuations.

Instrument Types Support

The supported instrument types (tag 167-SecurityType) for Settlements and Valuations are:

  • Futures
  • Options on futures
  • Options on combos
  • Forwards

Price Format Support 

The Settlements and Valuations channels, for client system convenience, supports CME Globex and Clearing price formats. The Clearing price format is expressed in the "true dollar price" and CME Globex price format can be in either the true dollar price or cents. CME Globex prices are only sent for instruments that trade on CME Globex. 

For High/Low prices, only the Clearing price format is supported on Settlements and Valuations channels. 

Settlements

A settlement is an official CME Group price established for the instrument at a given point in the trading day. Settlements and Valuations sends the following types of settlement prices in the Market Data Incremental Refresh (tag 35-MsgType=X) message:  

  • Final/Preliminary settlements
  • Settlement at Trading Tick
  • Settlement at Clearing Tick 
  • Settlement at Cabinet Price

For a settlement price overview, refer to the Settlement Prices topic.

Syntax for Settlement Prices

TagFIX NameFormatValid ValuesDescription

279

MDUpdateAction

Char

0 = New

Market data update action.

269

MDEntryType

Char

6 = Settlement/Theoretical Valuation Price

Identifies price as a settlement or valuation price.

9732

FormattedLastPx

Price


Price in Clearing decimal format.

270

MDEntryPx

Price


Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex

731

SettlPriceType

String

Bit 0: (least significant bit):

1=Final

0=Preliminary

Bit 1:

1=Actual

0=Theoretical Valuation

Bit 2:

1=Settlement at Trading Tick

0=Settlement at Clearing Tick

Bit 3:

1=Intraday

0=Undefined

Bit 4:

1=Settle At Cabinet

0=Undefined

Bit 5 & 6: Reserved for future use

Bit 7:

0=not NULL

1=entire set is a NULL

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


Binary Code value of 731Description

00000110

Preliminary Actual Settlement at Trading Tick

00000010

Preliminary Actual Settlement at Clearing Tick

00000111

Final Actual Settlement at Trading Tick

00000011

Final Actual Settlement at Clearing Tick

00010011

Final Actual Cabinet Settlement at Clearing Tick

The last settlement sent on the last settle date for an instrument will be denoted preliminary, however the settlement message can be considered the final.

5796

TradingReferenceDate

LocalMktDate


Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.

Settlement at Trading Tick / Settlement at Clearing Tick

If no rounding occurs (the product is not subject to rounding and the CME Globex trading tick is the same as the settlement tick for the product), a single Market Data Incremental Refresh (tag 35-MsgType=X) message is sent on the incremental feed with:

  • tag 269-MDEntryType = 6 (Settlement Price)
  • tag 270-MDEntryPx = the CME Globex price value on the CME Clearing settlement tick
  • tag 9732-FormattedLastPx = Clearing price value
  • tag 731-SettlPriceType Bit 2 = 0 (Settlement at Clearing Tick)
  • tag 5796-TradingReferenceDate

If rounding occurs, two Market Data Incremental Refresh (tag 35-MsgType=X) messages are sent on the Incremental feed.

Message with unrounded price value:

  • tag 269-MDEntryType=6 (Settlement Price)
  • tag 270-MDEntryPX = the CME Globex price value on CME Clearing settlement tick
  • tag 9732-FormattedLastPx = Clearing price value
  • tag 731-SettlPriceType Bit 2 = 0 (Settlement at Clearing Tick)
  • tag 5796-TradingReferenceDate

Message with rounded price value:

  • tag 269-MDEntryType=6 (Settlement Price)
  • tag 270-MDEntryPX = CME Globex price value rounded to CME Globex trading tick
  • tag 9732-FormattedLastPx= Clearing price value
  • tag 731-SettlPriceType Bit 2 = 1 (Settlement at Trading Tick)
  • tag 5796-TradingReferenceDate

Theoretical Valuations

Theoretical valuations is a type of data produced by CME Group for futures and options products without volume, open interest, or underlying pricing required for Clearing products. Theoretical valuations are the true asset values that can be used for margin modeling, compliance, risk management and firms' other specific needs where settlements are not generated. Sourcing Theoretical Valuations directly from CME Group provides customers with certainty as the data points are validated by the exchange.  

Theoretical Valuations - Futures

The following futures diagram illustrates how Settlements (blue) are complimented by Theoretical Valuations (orange) produced by CME Group:


Theoretical Valuations - Options

The following diagram illustrates how 5x-8x the number of option valuations are sent compared to settlements previously sent.



Syntax for Theoretical Valuations 

Tag

FIX Name

Format

Valid Values

Description

279MDUpdateActionChar0New market data update action.

269MDEntryTypeChar6 = Settlement/Theoretical Valuation PriceSettlement/Theoretical Valuation Price
731SettlPriceType

uInt8

00000000

SettlPriceType Zero Bit = Preliminary (0)

SettlPriceType One Bit = Theoretical Valuation (0)

9732FormattedLastPxPrice
Price in Clearing decimal format.
270MDEntryPxPrice
Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex
5796TradingReferenceDateLocalMktDate
Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.

End of Day Session High/Low

The end of day High-Low message is sent on Settlements and Valuations channels. They are a summary of the CME Globex and open outcry session. The value is based on prior day settlement and different than CME Globex, which is based on session activity. 

Syntax for High/Low

Tag

FIX Name

Format

Valid Values

Description

279MDUpdateActionChar0New market data update action.

269MDEntryTypeCharh = High/LowHigh/Low
333LowPx

Low Price in Clearing price format.

High/Low cabinet values will send a price of zero.

37525LowPxInd


A = Ask

B = Bid

T = Trade

Low price origin indicator
332HighPx

High Price in Clearing price format.

High/Low cabinet values will send a price of zero.

37524HighPxInd

A = Ask

B = Bid

T = Trade

High price origin indicator
5796TradingReferenceDateLocalMktDate
Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.

Fixing Prices

Fixing prices are sent on Settlements and Valuations channels.  

Syntax for Fixing/Marker Prices

Tag

FIX Name

Format

Valid Values

Description

279MDUpdateActionChar0Type of Market Data update action.
269MDEntryTypeCharW = Fixing/MarkerType of Market Data Entry.
270MDEntryPxChar
Price in CME Globex decimal format. Sent only for the instruments listed on CME Globex

9732

FormattedLastPx

Price


Price in Clearing decimal format.

5796TradingReferenceDateLocalMktDate
Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.

2455

MDStatisticDesc

String


Description of the fixing price.

Fixing Price Examples

To determine fixing prices, client systems must utilize the Clearing product code (tag 37500-ClearingProductCode), fixing description (tag 2455-MDStatisticDesc) and exchange (tag 207-SecurityExchange) to determine the fixing and timing for FX and equity products. The table below provides examples. 

Example Settlements and Valuations Fixing Name tag 2455-MDStatisticDescClearing Product Code tag 37500-ClearingProductCodeExchange tag 207-SecurityExchange
4 PM NYCESCME
3 PM JPNESCME
11 AM CHIADCME
3 PM CHIADCME

Marker Prices 

Marker prices are sent on Settlements and Valuations channels. Marker prices are sent with the same tag attributes as either fixing prices (MDEntryType tag 269=W) or settlements (MDEntryType tag 269=6). Client systems can determine marker prices via the product codes. For example, CL1 (Singapore), CL2 (London) identify the marker prices. Marker price tickers can be obtained via CME Reference Data API.  

Cleared Volume and Open Interest

Cleared Volume contains the number of contracts that have been through the clearing process for an active instrument for the previous trading day. 

Open Interest is sent using Market Data Incremental Refresh (tag 35-MsgType=X) message data blocks which contain the total number of contracts per instrument that are not yet offset or fulfilled for the previous trading day.

Syntax for Cleared Volume and Open Interest

Tag

FIX Name

Format

Valid Values

Description

279MDUpdateActionChar0 = NewType of Market Data update action.
0 = New
269MDEntryTypeCharB = Cleared Volume and Open InterestType of Market Data Entry.
5791ClearedVolumeQty

5792OpenInterestQtyQty

286OpenCloseSettlFlagInt

3 (Estimated) or 4 (Actual)

Estimated vs Actual flag

Estimated = 3
Actual = 4

5796TradingReferenceDateLocalMktDate
Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.

AIR TRF Funding Values

The Daily Financing Rate will be denoted as 269-MDEntryType=h and the Accrued Financing Rate will be denoted as 269-MDEntryType=i, via SBE template MDIncrementalRefreshSettle. The applicable trade date for the Values will be included in tag 5796-TradingReferenceDate.

TAGFIX NAMENEW VAILD VALUESDESCRIPTION

269

MDEntryType

  • h = Daily Financing Rate
  • i = Accrued Financing Rate

Market Data Entry Type.

731

SettlPriceType

  • 00000000 = Preliminary
  • 00000001 = Final

A Bitmap indicator which specifies whether these are the final or preliminary air Funding Status values for the specified business date. Bit 0: (least significant bit):0=Preliminary 1=Final

The Funding Values will be sent according to the following approximate schedule:

VALUESENDING TIME (CENTRAL TIME)TAG 269-MDENTRYTYPETAG 731-SETTLPRICETYPE
Final Daily Funding Values for British Pound-denominated contracts0430h00000001
Final Accrued Funding Value for British Pound-denominated contracts0430i00000001


Final Daily Funding Values for USD-denominated contracts0830h00000001
Final Accrued Funding Value for USD-denominated contracts0830i00000001
Preliminary Daily Funding Value for GBP-denominated contracts1045h00000000


Preliminary Accrued Funding Value for British Pound-denominated contracts1045i00000000


Preliminary Daily Funding Values for USD-denominated contracts1600
1640 (republish)
h00000000


Preliminary Accrued Funding Value for USD-denominated contracts1600
1640 (republish)
h00000000


Settlements and Valuations Technology Overview

This section provides a technology overview of Settlements and Valuations.

Simple Binary Encoding (SBE)

Settlements and Valuations uses compact Simple Binary Encoding (SBE) optimized for low latency of encoding and decoding while minimizing bandwidth utilization. Concise message sizes are used but without the processing cost of compression. All FIX semantics are supported. The encoding standard is complimentary to other FIX standards for session protocol and application level behavior.

Channel Guide

Below are the supported channels for Settlements and Valuations.  

NameChannel ID
CME Settlements and Valuations251
CBOT Settlements and Valuations252
NYMEX Settlements and Valuations253
COMEX Settlements and Valuations254

Recovery

The following section describes recovery services for Settlements and Valuations.

Incremental UDP Feed A and B

UDP Feed A and UDP Feed B are used to disseminate CME Group incremental market data using SBE-encrypted FIX messages. All FIX message types are sent through both UDP Feed A and UDP Feed B applicable market data groups. This duality minimizes the chance of message loss due to UDP. Each SBE message is sent on both feeds.  

TCP Replay Recovery

Client systems can recover specific messages that were missed using the sequence number and the TCP historical replay component. The TCP historical replay component allows systems to request a replay of a set of messages already published on the UDP Incremental Market Data Channel. The request specifies messages to replay. The request uses the SBE Market Data Request (tag 35-MsgType=V) message.

This type of request is sent through a new TCP connection established by client systems. The responses are sent by CME Group through this same connection and the connection is then closed by CME Group once the resend is complete. All responses are SBE-encoded (including the reject response).

The following restrictions apply when requesting messages via TCP Historical Replay:

  • A maximum of 2,000 messages can be requested per Market Data Request (35=V) message.
  • Only the current day's messages can be requested and resent.

SBE Channel Definitions

Settlements and Valuations has a separate schema and config.xml FTP location from CME Globex and streamlined market data.   

Global TCP Recovery Schema

Settlements and Valuations utilizes a separate schema dedicated to TCP recovery templates. 

MDP Global Schema

FTP/SFTP Site Information

CME provides an FTP (https://www.cmegroup.com/ftp) and SFTP (sftpng.cmegroup.com) site to disseminate schema and market data configuration information. The FTP/SFTP site contains the schema and configuration files for all events. Schema and market data configuration details for the Production environment are only available to customers after the certification process is complete.

Environment

Service

FTP/SFTP Site

Directory Location

Client System Update Schedule

New Release

Incremental Schema(https://www.cmegroup.com/ftp) or (sftpng.cmegroup.com)/SBEFix/NRCert/SettlementsValuations/Templates/Sunday prior to market open

New Release

Configuration File

/SBEFix/NRCert/SettlementsValuations/Configuration/ 


New Release

Global TCP Recovery Schema/SBEFix/NRCert/GlobalTCPRecovery/Templates/Sunday prior to market open

Production

Incremental Schema/SBEFix/Production/SettlementsValuations/Templates/Sunday prior to market open

Production

Configuration File

/SBEFix/Production/SettlementsValuations/Configuration/ 


Production

Global TCP Recovery Schema/SBEFix/Production/GlobalTCPRecovery/Templates/Sunday prior to market open

Additional Product and Instrument Information

Additional product and instrument referential data can be gathered via CME Reference Data API. Client systems can link Settlements and Valuations product ProductGUID (tag 7178) to CME Reference Data API's fields. Additionally, client systems can link Settlements and Valuations InstrumentGUID (tag 37513) to CME Reference Data API's GUID fields.  

Full MDP 3.0 - Market Data Incremental Refresh Message Specification

The following section outlines the full message specification for Settlement and Valuation messages.

MDP 3.0 - Market Data Incremental Refresh Incremental Messages

The specifications included below are used for Settlements and Valuations incremental messages (tag 35-MsgType=X).

Settlement/Theoretical Valuation/Fixing/Marker/AIR TRF Funding Message

This message is generated with Settlement, Theoretical Valuations, Marker, Fixing, and AIR TRF Funding Values prices.

TagFIX NameTypeValid ValuesDescription
279MDUpdateActionMDUpdateAction

0 = New

Indicates the type of Market Data update action
269MDEntryTypeChar

6 = Settlement/Theoretical Valuation

W = Fixing Price

h = Daily Financing Rate

i = Accrued Financing Rate

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)
Clearing Product Code
167SecurityTypeSecurityType

FUT = Future Outrights
OOF = Option on Future
OOC = Option on Combo
FWD = Forward

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



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 productsthis 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).

201PutOrCallPutOrCall0=Put
1=Call 
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
310UnderlyingSecurityTypeSecurityTypeCOMBO = Combo
FUT = Future Outrights
FWD = Forward

Identifies the type of the underlying instrument.


308UnderlyingSecurityExchangeString (8)

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

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 productsthis 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
  • 0=Preliminary

Bit 1:

  • 1=Actual
  • 0=Theoretical Valuation

Bit 2:

  • 1=Rounded
  • 0=Unrounded

Bit 3

  • 1=Intraday 0=Undefined

Bit 4:

  • 1=SettleAtCab
  • 0=Undefined

Bits 5-6 are reserved

Bit 7

  • 1=Entire set is NULL
  • 0=not NULL

For Settlements, bitmap field of eight Boolean type indicators representing settlement or valuation price type. Example values:

Binary Code value of 731Description

00000110

Preliminary Actual Settlement at Trading Tick

00000010

Preliminary Actual Settlement at Clearing Tick

00000111

Final Actual Settlement at Trading Tick

00000011

Final Actual Settlement at Clearing Tick

00010011

Final Actual Cabinet Settlement at Clearing Tick

00000000

Theoretical Valuation

Additionally a Bitmap indicator which specifies whether these are the final or preliminary air Funding Status values for the specified business date:

  • 00000000 = Preliminary
  • 00000001 = Final
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.


Volume and Open Interest Message

This message contains Cleared Volume and Open Interest.

IdField NameTypeValid ValuesDescription
279MDUpdateActionMDUpdateActionNew

0 = New

Market Data update action
269MDEntryTypeMDEntryCVOIB = Cleared Volume and Open InterestMarket Data entry type
7178ProductGUIDuInt64NULL
Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields
37500ClearingProductCodeString (12)
Clearing Product Code
167SecurityTypeSecurityType

FUT = Future Outrights
OOF = Option on Future
OOC = Option on Combo
FWD = Forward

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
200MaturityMonthYearMaturityMonthYear

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 field 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 productsthis 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).

201PutOrCallPutOrCall0=Put
1=Call 
Indicates whether an option instrument is a put or call.
202StrikePriceDecimal64
Option strike price in Clearing 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
310UnderlyingSecurityTypeSecurityTypeCOMBO = Combo
FUT = Future Outrights
FWD = Forward
Identifies the type of the underlying instrument.
308UnderlyingSecurityExchangeString (8)CBT = Chicago Board of Trade 
CME = Chicago Mercantile Exchange 
NYMEX = New York Mercantile Exchange 
COMEX = COMEX (Commodities Exchange Center)  
Underlying Security Exchange
313UnderlyingMaturityMonthYearMaturityMonthYear

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 productsthis 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.
5791ClearedVolumeuInt32NULL
Cleared volume of the instrument reported for prior trading session referenced in tag 5796-TradingReferenceDate
5792OpenInterestQtyuInt32NULL
Open interest of the instrument reported for prior trading session referenced in tag 5796-TradingReferenceDate
286OpenCloseSettlFlagCycleFlag

3 = Estimated
4 = Adjusted Actual

Estimated vs Actual flag


5796TradingReferenceDateLocalMktDate
Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.

High/Low Message

This message is generated with composite High and Low price statistics for each instrument that had activity.

IdField NameTypeValid ValuesDescription
279MDUpdateActionMDUpdateActionNew0 = NewIndicates the type of Market Data update action
269MDEntryTypeMDEntryTypeHighLowh = High/Low

Indicates the type of Market Data entry

Note: the 269=h value is sent via template MDIncrementalRefreshHighLow.  

7178ProductGUIDString (12)
Global unique product identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields
37500ClearingProductCodeString (12)
Clearing Product Code
167SecurityTypeSecurityType

FUT = Future Outrights
OOF = Option on Future
OOC = Option on Combo
FWD = Forward

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
200MaturityMonthYearMaturityMonthYear

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 productsthis 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).

201PutOrCallPutOrCall0=Put
1=Call 
Indicates whether an Option instrument is a put or call.
202StrikePriceDecimal64
Option strike price in Clearing 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.
310UnderlyingSecurityTypeSecurityTypeCOMBO = Combo
FUT = Future Outrights
FWD = Forward
Identifies the type of the underlying instrument.
308UnderlyingSecurityExchangeString (8)CBT = Chicago Board of Trade 
CME = Chicago Mercantile Exchange 
NYMEX = New York Mercantile Exchange 
COMEX = COMEX (Commodities Exchange Center) 
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 productsthis 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.
333LowPxDecimal64

Lower price threshold for the instrument in Clearing decimal price format.

37525LowPxIndPxInd

A = Ask
B = Bid
T = Trade

Low price origin indicator.


High/ Low cabinet values will send a price of zero.

332HighPxDecimal64
Upper price threshold for the instrument in Clearing decimal price format.
37524HighPxIndPxInd

A = Ask
B = Bid
T = Trade

High price origin indicator.


High/ Low cabinet values will send a price of zero.

5796TradingReferenceDateLocalMktDate
Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.

TCP Replay Messages

The messages included below are used for Settlements and Valuations TCP Recovery.

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.


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