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The message specifications provide the message layout for each FIX message type supported by the applicable SBE schema for EBS markets. Clients can also review message specification details via the SBE schemas: 

  • Core CME Globex
  • Global TCP Recovery 
  • TCP Session Management

Contents

Revision History

Date

Description

July 15, 2021Added note where applicable, Note: EBS Market does not support implied functionality.
July 13, 2021"Market Data Incremental Refresh - Trade Summary" - Added note to tag 5799-MatchEventIndicator description.
March 15, 2021Updated tag 1231-MinLotSize type from DecimalQty to uInt64 on template MDIncrementalRefreshFX63.
December 7, 2020Removed impled values from Market Data Incremental Refresh (35=X) and Snapshot (35=W) messages
December 3, 2020Initial publication

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.

SBE Technical Header for TCP Conflated Connections

A standard technical header is included as preamble to all TCP conflated SBE messages sent by Customer to Exchange, as well as Exchange to Customer for TCP. 

Name

Type

Description

encodingType

integral enumeration

value '0xCAFE'

CME SBE version 1.0 little-endian - value 0xCAFE

MsgSeqNum

uInt32

TCP sequence number.

A unique sequence number given to each TCP message sent.

Each connection will have its own separate set of sequence numbers that will increment sequentially with each packet and reset on connection termination.

SendingTime

uInt64

UTC Time of message transmission by the MD Gateway. UTC Timestamps are sent in number of nanoseconds since Unix epoch.

CME Group MDP Core Message Specification 

The CME Group MDP Core Message Specification provides the message layout for each FIX message type supported by the CME Group MDP 3.0 market data messaging format in the Core CME Globex SBE Schema. See the Core Globex SBE Schema Overview Section to determine which templates apply to your system.

Market Data Header

The following section outlines MDP headers for the Core CME Globex SBE Schema.  

Message Header

Each message in the packet starts with a Binary message header that consists of the Binary Size and SBE header (Length, TemplateID, SchemaID, and Version)

NameType Description
MsgSize

uInt16

Length of entire message, including binary header in number of bytes

Simple Binary Encoding Header
BlockLength

uInt16

Length of the root of the FIX message contained before repeating groups or variable/conditions fields

TemplateID

uInt16

Template ID used to encode the message

SchemaIDuInt16ID of the system publishing the message
Version

uInt16

Schema version

Market Data Incremental Refresh (tag 35-MsgType=X) 

The Market Data Incremental Refresh (tag 35-MsgType=X) is sent for incremental updates including bid, offer, and trade data and trading session.

Market Data Incremental Refresh - Market by Price (MBP) Book Management

The Market Data Incremental Refresh message below is sent for book updates that includes Market by Price (MBP) updates. This message maps to the MDIncrementalRefreshBookLongQty64 template in the SBE MDP Core Message schema.

Tag

FIX Name

Type

Semantic Type

Valid Values for EBS

Description

60

TransactTime

uInt64

UTCTimestamp


Start of event processing time in number of nanoseconds since Unix epoch

5799

MatchEventIndicator

MatchEventIndicator

MultipleCharValue

example: 00000100 – end of quotes, not end of event

example: 10010000 – end of implied quotes, end of event

Bitmap field of eight Boolean type indicators reflecting the end of updates for a given CME Globex Event:

Bit 0: (least significant bit) Last Trade Summary message for a given event

Bit 1: Last electronic volume message for a given event

Bit 2: Last customer order quote message for a given event

Bit 3: Last statistic message for a given event

Bit 4: Last implied quote message for a given event. Note: EBS Market does not support implied functionality.

Bit 5: Message resent during recovery

Bit 6: Reserved for future use

Bit 7: (most significant bit) Last message for a given event

Repeating Group 1

268NoMDEntriesNumInGroup

Number of entries in Market Data message

→270

MDEntryPx

PRICENULL9

Price


Market Data entry price

→271

MDEntrySize

uInt64NULL

Qty


Market Data entry size

→48

SecurityID

Int32

int


A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.

→83

RptSeq

uInt32

int


Market Data entry sequence number per instrument update. The MDP Conflated TCP market data group sends a RptSeq value of zero.

→346

NumberOfOrders

Int32NULL

int


In Book entry - aggregate number of orders at given price level

→1023

MDPriceLevel

uInt8

int


Aggregate book level

→279

MDUpdateAction

MDUpdateAction

int

0=New

1=Change

2=Delete

Market Data update action

→269

MDEntryType

MDEntryTypeBook

char

0=Bid

1=Offer

w=MarketBestOffer

x=MarketBestBid

Market Data entry type

Repeating Group 2

37705NoOrderIDEntriesNoOrderIDEntries
0

Not used for EBS markets.


Repeating group of MBO book updates included in an event. Repeating group used for MBP and MBO combined updates.

→37

OrderID

uInt64

int


Unique ID assigned by CME Globex to identify orders.

→37707

MDOrderPriority

uInt64NULL

int


Order priority for execution on the order book

→37706

MDDisplayQty

Int32NULL

Qty


Visible quantity of an order to the market. Orders may have additional hidden display quantity.

→9633

ReferenceID

uInt8NULL

int


Reference to corresponding Price and Security ID, sequence of MD entry in the message

→37708

OrderUpdateAction

OrderUpdateAction

int

0=New

1=Change

2=Delete

Order book update action to be applied to the order referenced by OrderID

Market Data Incremental Refresh - Trade Summary 

The Market Data Incremental Refresh message below is sent for Trade Summary. This message maps to the MDIncrementalRefreshTradeSummaryLongQty65 template in the SBE MDP Core schema.

Tag

FIX Name

Type

Semantic Type

Valid Values for EBS

Description

60

TransactTime

uInt64

UTCTimestamp


Start of event processing time in number of nanoseconds since Unix epoch

5799

MatchEventIndicator

MatchEventIndicator

MultipleCharValue

example: 00000001 – end of trades, not end of event

Bitmap field of eight Boolean type indicators reflecting the end of updates for a given CME Globex Event:

Bit 0: (least significant bit) Last Trade Summary message for a given event

For conflated TCP MDP channels, end of trades (Bit 0) will be one for each trade summary message.

Bit 1: Last electronic volume message for a given event

Bit 2: Last customer order quote message for a given event

Bit 3: Last statistic message for a given event

Bit 5: Message resent during recovery

Bit 6: Reserved for future use

Bit 7: (most significant bit) Last message for a given event

Repeating Group 1

268NoMDEntriesNumInGroup

Number of entries in Market Data message

→270

MDEntryPx

PRICE9

Price


Trade price

→271

MDEntrySize

uInt64

Qty

0

Always set to zero.

→48

SecurityID

Int32

int


A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.

→83

RptSeq

uInt32

int


Sequence number per instrument update. The MDP Conflated TCP market data group sends a RptSeq value of zero.

→346

NumberOfOrders

Int32

int

0

Always set to zero.

→5797

AggressorSide

AggressorSide

int

0=No aggressor

1=Buy

2=Sell

Indicates which side is aggressor of the trade. If there is a zero value present, then there is no aggressor.

Note: Trades without aggressors occur at Market Open, after a Pre-Open or after a Pause, and also when the event includes customer order participation in a trade with a CME Globex-generated implied bid or offer.

Note: EBS Market does not support implied functionality.

→279

MDUpdateAction

MDUpdateAction

int

0=New (new trade)

1=Change (adjustment)

2=Delete (cancel)

Market Data update action

→269

MDEntryType

MDEntryTypeTrade

char

2=Trade Summary

Market Data entry type.

Repeating Group 2

37705NoOrderIDEntriesNoOrderIDEntries
0Number of OrderID entries

→37

OrderID

uInt64

int


Unique ID assigned by CME Globex to identify orders.

→32

LastQty

Int32

Qty


Quantity bought or sold on this last fill

Market Data Incremental Refresh - Limits and Banding  

The Market Data Incremental Refresh message below is sent for limits and banding. This message maps to the MDIncrementalRefreshLimitsBanding50 template in the SBE MDP Core schema.

Tag

FIX Name

Type

Semantic Type

Valid Values for EBS

Description

60

TransactTime

uInt64

UTCTimestamp


Start of event processing time in number of nanoseconds since Unix epoch

5799

MatchEventIndicator

MatchEventIndicator

MultipleCharValue

example: 10000000 - last message in the event

example: 00000000 - not last message in the event

Bitmap field of eight Boolean type indicators reflecting the end of updates for a given CME Globex Event:

Bit 0: (least significant bit) Last Trade Summary message for a given event

Bit 1: Last electronic volume message for a given event

Bit 2: Last customer order quote message for a given event

Bit 3: Last statistic message for a given event

Bit 5: Message resent during recovery

Bit 6: Reserved for future use

Bit 7: (most significant bit) Last message for a given event

Repeating Group 1

268NoMDEntriesNumInGroup

Number of entries in Market Data message

→1149

HighLimitPrice

PRICENULL9

Price


Upper price threshold for the instrument

→1148

LowLimitPrice

PRICENULL9

Price


Lower price threshold for the instrument

→1143

MaxPriceVariation

PRICENULL9

Price


Differential static value for price banding

→48

SecurityID

Int32

int


A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.

→83

RptSeq

uInt32

int


MD Entry sequence number per instrument update. The MDP Conflated TCP market data group sends a RptSeq value of zero.

→279

MDUpdateAction

MDUpdateActionNew

int

0=New

Market Data update action

→269

MDEntryType

MDEntryTypeLimits

char

g=Threshold Limits and Price Band Variation

Market Data entry type.

Market Data Incremental Refresh - Channel Reset

This Market Data channel reset message is used to indicate a channel reset. This message maps to the ChannelReset4 template in the SBE MDP Core schema.

Tag

FIX Name

Type

Semantic Type

Valid Values for EBS

Description

60

TransactTime

uInt64

UTCTimestamp


Start of event processing time in number of nanoseconds since Unix epoch

5799

MatchEventIndicator

MatchEventIndicator

MultipleCharValue

example: 10000000 - last message in the event

example: 00000000 - not last message in the event

Bitmap field of eight Boolean type indicators reflecting the end of updates for a given CME Globex Event:

Bit 0: (least significant bit) Last Trade Summary message for a given event

Bit 1: Last electronic volume message for a given event

Bit 2: Last customer order quote message for a given event

Bit 3: Last statistic message for a given event

Bit 5: Message resent during recovery

Bit 6: Reserved for future use

Bit 7: (most significant bit) Last message for a given event

Repeating Group 1

268NoMDEntriesNumInGroup

Number of entries in Market Data message

→279

MDUpdateAction

MDUpdateTypeNew

int

0=New

Market Data update action

→269

MDEntryType

MDEntryTypeChannelReset

char

J=Empty Book

Market Data Entry Type

→1180

ApplID

Int16

int


Indicates the channel ID as defined in the XML configuration file

Market Data Snapshot (tag 35-MsgType=W)

The Market Data Snapshot (tag 35-MsgType=W) is utilized on the UDP Market Recovery Feeds, Market By Order Limited Depth (MBOLD) Book Processing and book recovery.

Market Data Snapshot - Full Recovery

The Market Data Snapshot message below is the Market Data Snapshot recovery message. This message is utilized by the MBP UDP Market Recovery feeds. This message maps to the SnapshotFullRefreshLongQty69 template in the SBE MDP Core schema.

Tag

FIX Name

Type

Semantic Type

Valid Values for EBS

Description

369LastMsgSeqNumProcesseduInt32SeqNum
Sequence number of the last Incremental feed packet processed. This value is used to synchronize the snapshot loop with the real-time feed
911TotNumReportsuInt32int
Total number of messages replayed in the loop
48SecurityIDInt32int
A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.
83RptSequInt32int
Sequence number of the last Market Data entry processed for the instrument. The MDP Conflated TCP market data group sends a RptSeq value of zero.
60TransactTimeuInt64UTCTimestamp
Timestamp of the last event security participated in, sent as number of nanoseconds since Unix epoch
779LastUpdateTimeuInt64UTCTimestamp
UTC Date and time of last Security Definition add, update or delete on a given Market Data channel
75TradeDateLocalMktDateLocalMktDate
Trade session date sent as number of days since Unix epoch
1682MDSecurityTradingStatusSecurityTradingStatusint

4=Close  

17=Ready to trade (start of session)

18=Not available for trading

21=Pre Open 

Identifies the current trading state of the instrument


1149HighLimitPricePRICENULL9Price
Upper price threshold for the instrument
1148LowLimitPricePRICENULL9Price
Lower price threshold for the instrument
1143MaxPriceVariationPRICENULL9Price
Differential value for price banding
Repeating Group 1
268NoMDEntriesNumInGroup

Number of entries in Market Data message
270MDEntryPxPRICENULL9Price
Market Data entry price
271MDEntrySizeuInt64NULLQty
Market Data entry quantity
346NumberOfOrdersInt32NULLint
Aggregate number of orders at the given price level
1023MDPriceLevelInt8NULLint
Aggregate book position
286OpenCloseSettlFlagOpenCloseSettlFlagint

null

Always set to null.  Flag that identifies a market data entry

→269MDEntryTypeMDEntryTypechar

0=Bid

1=Offer

w=MarketBestOffer

x=MarketBestBid

2=Trade

Market Data entry type.


Market Data Snapshot - Conflated TCP Recovery 

The Market Data Snapshot message below is used by the CME MDP Conflated TCP market data group. This message maps to the SnapshotFullRefreshTCPLongQty68 template in the SBE MDP Core schema.

Tag

FIX Name

Type

Semantic Type

Valid Values for EBS

Description

60TransactTimeuInt64UTCTimestamp
Time of execution/order creation; expressed in UTC.
5799MatchEventIndicatorMatchEventIndicatorMultipleCharValue

Bitmap field of eight Boolean type indicators reflecting the end of updates for a given CME Globex Event:

Bit 0: (least significant bit) Last Trade Summary message for a given event

Bit 1: Last electronic volume message for a given event

Bit 2: Last customer order quote message for a given event

Bit 3: Last statistic message for a given event

Bit 5: Message resent during recovery

Bit 6: Reserved for future use

Bit 7: (most significant bit) Last message for a given event

48SecurityIDInt32int
A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.
83RptSequInt32int
Sequence number of the last Market Data entry processed for the instrument. The MDP Conflated TCP market data group sends a RptSeq value of zero.
1149HighLimitPricePRICENULL9Price
Upper price threshold for the instrument. Orders submitted with prices above the upper limit will be rejected.
1148LowLimitPricePRICENULL9Price
Lower price threshold for the instrument. Orders submitted with prices below the lower limit will be rejected.
1143MaxPriceVariationPRICENULL9Price
Differential static value for price banding.
Repeating Group 1
268NoMDEntriesNumInGroup

Number of entries in Market Data message
270MDEntryPxPRICENULL9Price
Price of the Market Data Entry
271MDEntrySizeuInt64NULLQty
Quantity of the MD Entry.
346NumberOfOrdersInt32NULLint
Aggregate number of orders at given price level. In Trade Entry - Identifies the total number of real orders per instrument that participated in a match step within a match event.
1023MDPriceLevelInt8NULLint
Aggregate book price level, number from 1 to 10
286OpenCloseSettlFlagOpenCloseSettlFlagint

null

Always set to null.  Flag that identifies a market data entry
→269MDEntryTypeMDEntryTypechar

0=Bid

1=Offer

w=MarketBestOffer

x=MarketBestBid

2=Trade

Market Data entry type.

Market Data Security Definition (tag 35-MsgType=d) 

The market data Security Definition (tag 35-MsgType=d) message identifies the instrument and provides instrument attributes such as expiration, currency, etc.
Additional product and instrument referential data can be obtained via CME Reference Data API. CME Globex tag 48-SecurityID maps to the Reference data API instrument field globexSecurityId.

Market Data Security Definition - FX

This Market Data Security Definition message is sent for EBS FX products. This message maps to the MDInstrumentDefinitionFX63 template in the SBE MDP Core schema.

TagFIX NameTypeSemantic TypeValid Values for EBSDescription
5799MatchEventIndicatorMatchEventIndicatorMultipleCharValueexample: 10000000 – Security Definition message is the last message of the event

example:00000000 – Security Definition is not the last message of the even

Bitmap field of eight Boolean type indicators reflecting the end of updates for a given CME Globex Event:

Bit 0: (least significant bit) Last Trade Summary message for a given event

Bit 1: Last electronic volume message for a given event

Bit 2: Last customer order quote message for a given event

Bit 3: Last statistic message for a given event

Bit 4: Last implied quote message for a given event Note: EBS Market does not support implied functionality.

Bit 5: Message resent during recovery

Bit 6: Reserved for future use

Bit 7: (most significant bit) Last message for a given event

911TotNumReportsuInt32NULLint
Total number of instruments in the Replay loop. Used on Replay Feed only
980SecurityUpdateActionSecurityUpdateActionchar

A=Add

D=Delete

M=Modify

Included in the message on the Incremental feed when a mid-week deletion or modification (i.e. extension) occurs.

Add represents Security Definition messages that are:

  • Newly added during the current week
  • Disseminated during the Sunday Startup period
  • Resent by the system during the week

Modify represents modifications to a Security Definition

Delete represents deletions of a Security Definition

779LastUpdateTimeuInt64UTCTimestamp
Timestamp of when the instrument was last added, modified or deleted
1682MDSecurityTradingStatusSecurityTradingStatusint

2=Trading Halt

4=Close            

17=Ready to trade (start of session)

18=Not available for trading

21=Pre Open  

Identifies the current state of the instrument. The data is available in the Instrument Replay feed only
1180ApplIDInt16int
The channel ID as defined in the XML Configuration file
1300MarketSegmentIDuInt8int
Identifies the market segment, populated for all CME Globex instruments
462UnderlyingProductuInt8NULLint
Product complex
207SecurityExchangeSecurityExchangeExchange
Exchange or market used to identify a security
1151SecurityGroupSecurityGroupString
Security Group Code
6937AssetAssetString
The underlying asset code also known as Product Code
55SymbolSymbolString
Instrument Name or Symbol. Previously used as Group Code
48SecurityIDInt32int
Unique instrument ID
22SecurityIDSourceSecurityIDSourcechar8=Exchange symbolIdentifies class or source of the security ID (Tag 48) value
167SecurityTypeSecurityTypeString
Security Type
461CFICodeCFICodeString
ISO standard instrument categorization code
15CurrencyCurrencyCurrency
Identifies currency used for price e.g. for EUR/USD spot this field will contain EUR
120SettlCurrencyCurrencyCurrency

Currency used for settlement, which may be different from Local currency specified in Tag 1524 PriceQuoteCurrency.

Example - Local currency is different from SettlCurrency for NDF (always settle in USD).

1524PriceQuoteCurrencyCurrencyCurrency

Local (counter) currency.

For EUR/USD spot this field will contain USD.

1142MatchAlgorithmCHARchar

F=First In, First Out (FIFO)

V=Institutional Prioritization

Matching algorithm
562MinTradeVoluInt32Qty
The minimum trading volume for a security
1140MaxTradeVoluInt32Qty
The maximum trading volume for a security
969MinPriceIncrementPRICENULL9Price
Minimum constant tick for the instrument, sent only if instrument is non-VTT (Variable Tick table) eligible
9787DisplayFactorDecimal9float
Contains the multiplier to convert the CME Globex display price to the conventional price
2349PricePrecisionuInt8int
Specifies price decimal precision for EBS instrument
996UnitOfMeasureUnitOfMeasureString
Unit of measure for the products' original contract size
1147UnitOfMeasureQtyDecimal9NULLQty
This field contains the contract size for each instrument. Used in combination with tag 996-UnitofMeasure
1149HighLimitPricePRICENULL9Price
Allowable high limit price for the trading day
1148LowLimitPricePRICENULL9Price
Allowable low limit price for the trading day
1143MaxPriceVariationPRICENULL9Price
Differential value for price banding
9779UserDefinedInstrumentUserDefinedInstrumentcharY=User defined instrument
N=Not a user defined instrument
User-defined instruments flag
2714FinancialInstrumentFullNameLongNameString
Long name of the instrument
37725FXCurrencySymbolString7String
Base/Local. Denotes the currency pair in CCY1/CCY2 convention
63SettlTypeString3String
For SPOTs will contain 0. For Fixed date NDFs will contain the value 'B'. For the standard NDFs tenors expressed using Dx, Mx, Wx, and Yx values, where 'x' does not denote business days, but calendar days
37730InterveningDaysuInt16int
For SPOT, number of business days between trade date and value (settlement) date. For NDF, number of business days between NDF valuation (fixing) and settlement
2796FXBenchmarkRateFixString20String
Fixing Rate Description
1446RateSourceString12String
Fixing Rate Source
37726FixRateLocalTimeString8String
Fixing Rate Local Time, denoted in HH:MM:SS format
37727FixRateLocalTimeZoneString20String
Fixing Rate Local Time Zone corresponding to Fixing Local Time.
37731MinQuoteLifeuInt32int
Minimum Quote Life in number of microseconds
37728MaxPriceDiscretionOffsetPRICE9Price
Max allowed discretionary offset from Limit order price. When the value in this field = 0, discretionary price cannot be submitted for the instrument
37513InstrumentGUIDuInt64NULLint
External unique instrument ID
200MaturityMonthYearMaturityMonthYearMonthYear
Fixed Date NDF Maturity
37734SettlementLocaleString8String
Settlement Locale. Optionally used to differentiate settlement location
Repeating Group 1
864NoEventsNuminGroup

Number of repeating entries.

865EventTypeEventTypeint5=Activation
7=Last eligible trade date
Code to represent the type of event
1145EventTimeuInt64UTCTimestamp
Date and time of instrument Activation or Expiration event sent as number of nanoseconds since Unix epoch
Repeating Group 2
1141NoMDFeedTypesNuminGroup

Number of repeating entries.
1022MDFeedTypeMDFeedTypeString
Describes a class of service for a given data feed. GBX=Real Book.
264MarketDepthInt8int
Identifies the depth of book
Repeating Group 3
870NoInstAttribNuminGroup

Number of repeating entries.
871InstAttribTypeInstAttribTypeint24=EligibilityInstrument Eligibility Attributes
872InstAttribValueInstAttribValueMultipleCharValue

Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain.

Bitmap field of 32 Boolean type indicators:

0 (least significant bit): Electronic Match Eligible

1: Order Cross Eligible

2: Block Trade Eligible

3: EFP Eligible

4: EBF Eligible

5: EFS Eligible

6: EFR Eligible

7: OTC Eligible

8: iLink Mass Quoting Eligible

9: Negative Strike Eligible

10: Negative Price Eligible

11: Is Fractional (indicates product has fractional display price)

12: Volatility Quoted Option

13: RFQ Cross Eligible

14: Zero Price Eligible

15: Decaying Product Eligibility

16: Variable Quantity Product Eligibility

17: DailyProduct Eligibility

18: GT Orders Eligibility (Previously Tag 827)

19: Implied Matching Eligibility (Previously tag 1144) Note: EBS Market does not support implied functionality.

20: Triangulation Eligibility

21: Variable Cabinet Eligible

22: Inverted Book

23: All or None Instrument

24: SEFRegulated (1=ON-SEF, 0=OFF-SEF)

25: MTFRegulated (1=ON-MTF, 0=OFF-MTF)

26: eFixInstrument (1=eFix Instrument)

27: HedgeInstrument (1=Hedge Instrument)

28-31 – Reserved for future use

Repeating Group 4
1234NoLotTypeRulesNuminGroup

Number of repeating entries.
1093LotTypeInt8int

2=minimum order entry quantity for an instrument
5=order quantity increment

This tag is required to interpret the value in tag 1231-MinLotSize
1231MinLotSizeuInt64Qty

If tag 1093-LotType=2, this value is minimum quantity accepted for order entry.

For FX contracts, if tag 1093-LotType=2, this value is a Regular Amount used as default order quantity on the Workstation screen.

If tag 1093-LotType=5, the 1231-MinLotSize is order quantity increment.  For example, if 1093-LotType=2 & 1231-MinLotSize orders may be entered in increments of 2.  Therefore, order sizes of 1, 3, 5, etc can be entered.

Repeating Group 5
386NoTradingSessionsNuminGroup

Number of scheduled Trading Dates
75TradeDateLocalMktDate

Trade Date
64SettlDateLocalMktDate

Settle (Value) Date corresponding to Trade Date
541MaturityDateLocalMktDate

For Spot instruments will not contain the value. For NDFs, the valuation (fixing) date of the NDF. For Fixed Date NDFs Value Date and Maturity Date remain constant for all Trade Dates
455SecurityAltIDString12

ISIN value as provided by ANNA, Association of National Numbering Agencies. This field is populated for MTF-Regulated NDFs and is unique for each Settle Date
456SecurityAltIDSourceSecurityAltIDSourceISIN

Identifies class or source of the SecurityAltID (455) value

Market Data Security Status (tag 35-MsgType=f)

Market Data Security Status (tag 35-MsgType=f) is used to indicate market status updates.

Market Data Security Status

This Market Data Security Status message is used to indicate:

  • Security group market state change
  • Instrument state change
  • Implied matching OFF/ ON state. Note: EBS Market does not support implied functionality.

This message maps to the SecurityStatus30 template in the SBE MDP Core Message schema.

Tag

FIX Name

Type

Semantic Type

Valid Values for EBS

Description

60TransactTimeuInt64UTCTimestamp
Start of event processing time in number of nanoseconds since Unix epoch.
1151SecurityGroupSecurityGroupString
If this tag is present, 35=f message is sent for the Product Code.
6937AssetAssetString
Product Code within Security Group specified
48SecurityIDInt32NULLint

A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.

If this tag is present, 35=f message is sent for an instrument

75TradeDateLocalMktDateLocalMktDate
Trade Session Date
5799MatchEventIndicatorMatchEventIndicatorMultipleCharValue

example: 10000000 - last message in the event

example: 00000000 - not last message in the event

Bitmap field of eight Boolean type indicators reflecting the end of updates for a given CME Globex Event:

Bit 0: (least significant bit) Last Trade Summary message for a given event

Bit 1: Last electronic volume message for a given event

Bit 2: Last customer order quote message for a given event

Bit 3: Last statistic message for a given event

Bit 4: Last implied quote message for a given event. Note: EBS Market does not support implied functionality.

Bit 5: Message resent during recovery

Bit 6: Reserved for future use

Bit 7: (most significant bit) Last message for a given event

326SecurityTradingStatusSecurityTradingStatusint

2=Trading Halt

4=Close            

17=Ready to trade (start of session)

18=Not available for trading

21=Pre Open  

Identifies the trading status applicable to the instrument or Security Group


327HaltReasonHaltReasonint

0=Group schedule (default)

1=Surveillance intervention

2=Market event

3=Instrument activation

4=Instrument expiration

5=Unknown

6=Recovery in Process

7=TradeDateRoll

Identifies the reason for the status change

1174SecurityTradingEventSecurityTradingEventint

0=No Event (default)

1=No Cancel

4=Change of Trading Session (reset statistics)

Identifies an additional event or a rule related to the status

Market Data Heartbeat (tag 35-MsgType=0)

Heartbeat (tag 35-MsgType=0) message is sent on UDP Real-Time Feed and Recovery Feeds in periods of no activity at a configurable time interval and consists of only a standard technical header and a FIX message header.  Currently, the configurable time interval is 30 seconds. This message maps to the AdminHeartbeat12 template in the SBE MDP Core Message schema.

Tag

FIX Name

FIX Type

Valid Values for EBS

Description

35

MsgType

Int

0=Heartbeat

FIX Message Type

CME Group Global TCP Recovery for UDP Message Specification 

The following section outlines the logon messages is for TCP Recovery for UDP recovery in the Global TCP Recovery schema. Client systems implementing TCP Recovery on UDP for EBS market data should utilize this schema. Consult the MDP Dissemination section for more information. 

SBE Message Header

Each message in the packet starts with a Binary message header that consists of the Binary Size and SBE header (Length, TemplateID, SchemaID, and Version). The SBE message header is sent by Customer to Exchange and Exchange to Customer.

NameType Description
MsgSize

uInt16

Length of entire message, including binary header in number of bytes

Simple Binary Encoding Header
BlockLength

uInt16

Length of the root of the FIX message contained before repeating groups or variable/conditions fields

TemplateID

uInt16

Template ID used to encode the message

SchemaIDuInt16ID of the system publishing the message
Version

uInt16

Schema version

Market Data Logon (tag 35-MsgType=A)

Logon from Client System to MDP

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

Required fields are:

Tag

FIX Name

Type

Semantic Type

Valid Values for EBS

Description

553

Username

StringString


User ID or username.

554

Password

StringString


Password or pass phrase.

10CheckSumStringString
Always last tag in message. Functions as end-of-message delimiter.

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 maps to the AdminLogin408 template in the Global TCP Recovery schema.

Tag

FIX Name

Type

Semantic Type

Valid Values for EBS

Description

108

HeartBtlnt

IntInt8


Heartbeat interval (seconds).

Market Data Logout (tag 35-MsgType=5)

The Market Data Logout message is sent from MDP to confirm logout. This message is SBE encoded. This message is SBE encoded maps to the AdminLogout409 template in the Global TCP Recovery schema.

Tag

FIX Name

Type

Semantic Type

Valid Values for EBS

Description

58

Text

StringString


Free format text string. May include logout confirmation or reason for the request reject and logout.

Market Data Replay Request (tag 35-MsgType=V)

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 fields:

TagFIX NameTypeSemantic TypeValid Values for EBSDescription
1180AppIIDString

The channel ID from the XML Configuation file for which this request is made.
262MDReqIDString

Unique identifier for Market Data Request.
1182ApplBeginSeqNoSeqNum

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

Message sequence number of last message in range to be re-sent. The maximum number of messages that can be requested in a given request is 2000.
10CheckSumString

Always last tag in message. Functions as end-of-message delimiter.

CME Group MDP TCP Session Management Specification 

The CME Group MDP Session Message Specification provides the message layout for each FIX message type supported by the CME MDP Conflated TCP market data group in the TCP Session Management SBE Schema. Consult the MDP Dissemination section for more information. 

Market Data Header

The following section outlines MDP headers for the Global TCP Recovery for UDP schema.  

SBE Technical Header - Customer to Exchange, Exchange to Customer

For TCP MDP 3.0 stream, a standard technical header is included as preamble to all SBE messages.  The SBE technical header is sent by Customer to Exchange and Exchange to Customer.

NameType Description
encodingType

integral enumeration

value '0xCAFE'

CME SBE version 1.0 little-endian - value 0xCAFE

MsgSeqNum

uInt32

Template ID used to encode the message

SendingTimeuInt64ID of the system publishing the message

SBE message header - Customer to Exchange, Exchange to Customer

Each FIX SBE message will start with a Binary message header that consists of the Binary Size and SBE header (Length, TemplateID, SchemaID, and Version). The SBE message header is sent by Customer to Exchange and Exchange to Customer.

NameTypeDescription
MsgSize

uInt16

Length of entire message, including binary header in number of bytes

Simple Binary Encoding Header
BlockLength

uInt16

Length of root of the message

TemplateID

uInt16

Template ID used to encode the message

SchemaIDuInt16ID of the system publishing the message
Version

uInt16

Schema version

MDP Session Management Messages - Client to Exchange

The following section outlines client messages sent to CME Globex for a CME MDP Conflated TCP market data group.

Negotiate Message

This message maps to the Negotiate200 template in the TCP Session Management SBE Schema.

Tag

FIX Name

Type

Semantic TypeValid Values for EBS

Description

39003HMACVersionHMACVersionStringCME-1-SHA-256Constant value representing CME HMAC version
39005HMACSignatureString32ReqString
Contains the HMAC signature.
39004AccessKeyIDString20ReqString
Contains the AccessKeyID assigned to this session on this port.
39001UUIDuInt64int
Session Identifier defined as type long (uInt64); recommended to use timestamp as number of microseconds since epoch (Jan 1, 1970)
39002RequestTimestampuInt64UTCTimestamp
Time of request (UTC) recommended to use timestamp as number of nanoseconds since epoch (Jan 1, 1970)
39006SessionString5String
Session ID
39007FirmString5String
Firm ID

Market Data Request Message (tag 35-MsgType=V)

This message maps to the MarketDataRequest205 template in the TCP Session Management SBE Schema.

TagFIX NameTypeSemantic TypeValid Values for EBSDescription
262MDReqIDuInt32int
Unique identifier for Market Data Request. Must be unique per session so it can be referenced in Request Ack or Request Reject responses from the exchange
263SubscriptionReqTypeSubscriptionReqTypeint

0=Snapshot

1=Snapshot and updates

2=Disable previous subscription

Subscription Request Type indicates to the type of response expected
Repeating Group 1
37022NoSecurityGroupsNuminGroup
0Not applicable to EBS markets.
1151SecurityGroupSecurityGroupString
Security Group
Repeating Group 2
146NoRelatedSymNuminGroup

Number of instruments requested. When NoSecurityGroups > 0 specified in the request, the NoRelatedSym should be equal 0
48SecurityIDInt32int
Security ID

Security List Request Message (tag 35-MsgType=x)

This message maps to the SecurityListRequest208 template in the TCP Session Management SBE Schema.

Tag

FIX Name

Type

Semantic TypeValid Values for EBS

Description

262MDReqIDuInt32int
Unique identifier of the Request. Must be unique per session so it can be referenced in Request Acknowledgment or Request Reject responses from the exchange
263SubscriptionReqTypeSubscriptionReqTypeint0=Snapshot

1=Snapshot and updates

2=Disable previous subscription
Subscription Request Type indicates to the type of response expected
Repeating Group 1
37022NoSecurityGroupsNuminGroup
0Not applicable to EBS markets.
1151SecurityGroupSecurityGroupString
Security Group
Repeating Group 2
146NoRelatedSymNuminGroup

Number of instruments requested. When NoSecurityGroups > 0 specified in the request, the NoRelatedSym should be equal 0
48SecurityIDInt32int
Security ID

Security Status Request Message (tag 35-MsgType=g)

This message maps to the SecurityStatusRequest209 template in the TCP Session Management SBE Schema.

Tag

FIX Name

Type

Semantic Type

Valid Values for EBS

Description

262MDReqIDuInt32int
Unique identifier of the Request. Must be unique per session so it can be referenced in Request Acknowledgment or Request Reject responses from the exchange
263SubscriptionReqTypeSubscriptionReqTypeint0=Snapshot

1=Snapshot and updates

2=Disable previous subscription
Subscription Request Type indicates to the type of response expected
Repeating Group 1
37022NoSecurityGroupsNuminGroup
0Not applicable to EBS markets.
1151SecurityGroupSecurityGroupString
Security Group
Repeating Group 2
146NoRelatedSymNuminGroup

Number of instruments requested. When NoSecurityGroups > 0 specified in the request, the NoRelatedSym should be equal 0
48SecurityIDInt32int
Security ID

Subscriber Heartbeat (tag 35-MsgType=0)

This message maps to the SubscriberHeartbeat210 template in the TCP Session Management SBE Schema. The heartbeat time Interval is configured to 30 seconds.

Tag

FIX Name

Type

Semantic TypeValid Values for EBS

Description

MDP Session Management Messages - Exchange to Client

The following section outlines CME Globex messages sent to client systems for a CME MDP Conflated TCP market data group.

Negotiation Reject

This message maps to the NegotiationReject201 template in the TCP Session Management SBE Schema.

Tag

FIX Name

Type

Semantic TypeValid Values for EBS

Description

39011ReasonString48String
Reject reason details
39001UUIDuInt64int
Matches Negotiate.UUID
39002RequestTimestampuInt64UTCTimestamp
Matches Negotiate.RequestTimestamp
39012ErrorCodesErrorCodesint

0=Failed authentication

1=Invalid value

2=Slow connection

3=Other

Error code for reject reason

Negotiation Response

This message maps to the NegotiationResponse202 template in the TCP Session Management SBE Schema.

Tag

FIX Name

Type

Semantic TypeValid Values for EBS

Description

39001UUIDuInt64int
Matches Negotiate.UUID
39002RequestTimestampuInt64UTCTimestamp
Matches Negotiate.RequestTimestamp
39022SecretKeySecureIDExpirationuInt16NULLint
This indicates in how many days the HMAC secret key will expire

Request Acknowledgement (tag 35-MsgType=V)

This message maps to the RequestAck206 template in the TCP Session Management SBE Schema.

Tag

FIX Name

Type

Semantic TypeValid Values for EBS

Description

262MDReqIDuInt32int
Unique identifier for Market Data Request.
263SubscriptionReqTypeSubscriptionReqTypeint0=Snapshot

1=Snapshot and updates

2=Disable previous subscription
Subscription ReqType
37720MDReqIDStatusRequestIDStatusint0=Requested subscription scope is fully acknowledged

1=Requested subscription scope is partially acknowledged
Status of the request acknowledgement
Repeating Group 1
37022NoSecurityGroupsNuminGroup
0Not applicable to EBS markets.
1151SecurityGroupSecurityGroupString
Security Group
Repeating Group 2
146NoRelatedSymNuminGroup

Number of securities acknowledged
48SecurityIDInt32int
Security ID

Request Reject (tag 35-MsgType=Y)

This message maps to the RequestReject207 template in the TCP Session Management SBE Schema.

Tag

FIX Name

Type

Semantic TypeValid Values for EBS

Description

262MDReqIDuInt32NULLint
Unique identifier for Market Data Request.
281MDReqRejReasonMDReqRejReasonint

0=Unknown Security

1=Unknown or Invalid Message

2=Unsupported Scope

3=Other

Market Data Request Reject reason code
58TextString100String
Reject reason details

MDP Session Management Message - Client to Exchange and Exchange to Client

Terminate

This message maps to the Terminate203 template in the TCP Session Management SBE Schema.  Both client systems and the exchange use this message.

Tag

FIX Name

Type

Semantic TypeValid Values for EBS

Description

39011ReasonString48String
Reject reason details
39001UUIDuInt64int
Matches Negotiate.UUID used to establish the connection
39002RequestTimestampuInt64UTCTimestamp
Time of request; recommended to use timestamp as number of nanoseconds since Unix epoch (Jan 1, 1970)
39012ErrorCodesErrorCodesint

0=Unknown Security

1=Unknown or Invalid Message

2=Unsupported Scope

3=Other

Error code for reject reason