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Use the filters below to query the CME STP FIX message specification by Tag, Name, Req, Format, and Global (entire specification).

This page lists all CME STP FIX message types in a set order. Message types may be blank if the filter is not applicable.

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  • Page:
    CME STP FIX - Trade Capture Report Request Ack
    TagNameFIXML AbbrReqFormatDescriptionEnumerations
    Standard Message Header
    Y
    Tag 35-MsgType = AQ

    568

    TradeRequestID

     ReqID

    Y

    String

    Unique ID from client.


    569

    TradeRequestType

    ReqTyp

    Y

    Int

    Type of Trade Capture Report requested.

    • '1' (Initial request)
    • '3' (Unreported trades that match criteria)

    263

    SubscriptionRequestType

    SubReqTyp

    N

    Char

    Subscription request type.

    • '0' (Snapshot)
    • '1' (Subscription)
    • '2' (Unsubscribe)

    749

    TradeRequestResult

    ReqRslt

    Y

    Int

    Result of trade subscription.

    • '0' (Successful)
    • '1' (Invalid or unknown instrument)

    • '2' (Invalid type of trade requested)

    • '3' (Invalid parties)

    • '9' (Unauthorized for Trade Capture Report Request)
    • '99' (Other)

    750

    TradeRequestStatus

    ReqStat

    Y

    Int

    Status of trade subscription.

    • '0' (Accepted)
    • '1' (Completed)
    • '2' (Rejected)

    58

    Text

    Txt

    N

    String

    Free format text string for error messaging.


    Standard Message Trailer

    Y


  • Page:
    CME STP FIX - TradeCaptureReport - Instrument
    TagNameFIXML AbbrReqFormatDescriptionEnumerations
    55Product SymbolSym

    Y

    StringSymbol for a CME contract, e.g. CLX05. Will not be present for IRS/FRA/SWAPTION trades.
    48Product CodeID
    YStringSymbol for CME product, e.g. CL.
    22Source of the Product CodeSrc YStringIdentifies the source of the Security ID. If it is not specified, the default of Clearing is used.H - Clearing House / Clearing Organization

    461CFI CodeCFI
    NStringIndicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values.
    167Security TypeSecTyp
    NStringIndicates type of instrument or security.
    • CMDTYSWAP - Commodity Swap
    • FRA - Forward Rate Agreement
    • FUT - Future
    • FWD - Forward
    • FXSPOT - FX Spot
    • IRS - Interest Rate Swap
    • MLEG - Multi Leg (Combo)
    • OPT - Option
    • SWAPTION - Swaption
    762Security Sub TypeSubTyp
    NStringFor spreads, indicates the strategy type.CME STP FIX - Supported Strategy Type Codes
    200Maturity Month YearMMY
    NMonthYearSpecifies the month and year of maturity.
    • YYYYMM (i.e. 201403)
    • YYYYMMDD (20140323)
    • YYYYMMwN (201403w1)
    541Maturity DateMatdt
    LocalMktDateDate of Maturity
    224Next Coupon DateCpnPmt NLocalMktDateThis is used to indicate the next date on which Coupon Premium is due.
    202Strike PriceStrkPx NPriceStrike price for an option.
    967Strike MultiplierStrkMult
    NfloatUsed for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.
    1866Strike IndexStrkNdx NStringSpecifies the index used to calculate the strike price.
    10046Strike Index LocationStrkNdxLctn
    NStringLocation of the strike price index.
    1481UnderlyingPriceDeterminationMethodPxDtrmnMeth
    NintSpecifies how the underlying price is determined at the point of option exercise. The underlying price may be set to the current settlement price, set to a special reference, set to the optimal value of the underlying during the defined period ("Look-back") or set to the average value of the underlying during the defined period ("Asian option").
    • 1 - Regular
    • 2 - Special reference
    • 3 - Optimal value (Lookback)
    • 4 - Average value (Asian option)
    6070Price MultiplierMult
    NfloatPrice multiplier used to convert the change in price (sell - buy) into P&L per contract.
    996Unit Of MeasureUOM NString

    Physical unit of measure for Derivative products. Additional values may be used by mutual agreement of the counterparties.

    • Alw - Allowances
    • BDFT - Board feet
    • Bbl - Barrels
    • Bcf - Billion cubic feet
    • Bu - Bushels
    • CBM - Cubic Meters
    • CER - Certified Emissions Reduction
    • CRT - Climate Reserve Tonnes
    • Ccy - Amount of currency
    • EnvCrd - Environmental Credit
    • EnvOfst - Environmental Offset
    • GJ - Gigajoules
    • GT - Gross Tons 
    • Also known as long tons or imperial tons, equal to 2240 lbs
    • Gal - Gallons
    • IPNT - Index point
    • L - Liters
    • MMBtu - One Million BTU
    • MMbbl - Million Barrels
    • MW-M - Megawatt-Month (electrical capacity)
    • MWh - Megawatt hours
    • PRINC - Principal with relation to debt instrument
    • cwt - Hundredweight (US)
    • day - Days
    • dt - Dry metric tons
    • g - Grams
    • kL - Kiloliters
    • kW-M - Kilowatt-Month (electrical capacity)
    • kWh - Kilowatt hours
    • kg - Kilograms
    • lbs - pounds
    • oz_tr - Troy Ounces
    • t - Metric Tons (aka Tonne)
    • thm - Therms
    • tn - Tons (US)
    1716Unit of Measure CurrencyUOMCcy
    NCurrencyIndicates the currency of the unit of measure. Conditionally required when UnitOfMeasure = Ccy.
    1147Unit of Measure QuantityUOMQty
    NQtyContract's defined quantity, used to calculate total traded notional quantity.
    1191Price Unit of MeasurePxUOM
    NStringThe Unit of measure of the quoted Price. For example it is USD for a Eurodollar contract.
    • Alw - Allowances
    • BDFT - Board feet
    • Bbl - Barrels
    • Bcf - Billion cubic feet
    • Bu - Bushels
    • CBM - Cubic Meters
    • CER - Certified Emissions Reduction
    • CRT - Climate Reserve Tonnes
    • Ccy - Amount of currency
    • EnvCrd - Environmental Credit
    • EnvOfst - Environmental Offset
    • GJ - Gigajoules
    • GT - Gross Tons 
    • Also known as long tons or imperial tons, equal to 2240 lbs
    • Gal - Gallons
    • IPNT - Index point
    • L - Liters
    • MMBtu - One Million BTU
    • MMbbl - Million Barrels
    • MW-M - Megawatt-Month (electrical capacity)
    • MWh - Megawatt hours
    • PRINC - Principal with relation to debt instrument
    • cwt - Hundredweight (US)
    • day - Days
    • dt - Dry metric tons
    • g - Grams
    • kL - Kiloliters
    • kW-M - Kilowatt-Month (electrical capacity)
    • kWh - Kilowatt hours
    • kg - Kilograms
    • lbs - pounds
    • oz_tr - Troy Ounces
    • t - Metric Tons (aka Tonne)
    • thm - Therms
    • tn - Tons (US)
    1193Settlement MethodSettlMethNcharSettlement method for a contract. Can be used as an alternative to CFI Code valueC - Cash settlement required

    E - Election at exercise

    P - Physical settlement required
    1194Exercise StyleExerStyle
    NintType of exercise of a derivatives security
    • 0 - European
    • 1 - American
    • 2 - Bermuda
    201Put Or CallPutCallNintIndicates whether an option contract is a put or call.
    • 0 - Put
    • 1 - Call
    207Product ExchangeExch
    NExchangeThe exchange where the security is listed.
    • CBT - Chicago Board of Trade
    • CEE - Stock Exchange Group
    • CME - Chicago Mercantile Exchange
    • COMEX - Commodities Exchange, Inc
    • DME - Dubai Mercantile Exchange
    • FXS - FX Spot
    • IFUS - Intercontinental Exchange
    • NGXC - Natural Gas Exchange
    • NODX - Nodal
    • NYMEX - New York Mercantile Exchange
    • NYMSW - CME Swaps - NYMEX
    • VMAC - VMAC
    • XNAS - Nasdaq
    • XXXX - OTC Trades
    107SecurityDescDescNStringLong name description of the instrument symbol (product name).
    10026Price Quote CurrencyPxQteCcy
    NCurrencyThe currency in which the price is quoted.
    SecAltIDGrp (repeating) AID
    454NoSecurityAltID
    NNumInGroupNumber of alternate Security Identifiers.
    →455Alternate IdentifierAltID
    NStringThe value of the alternate security identifier.
    →456Alternate Identifier SourceAltIDSrc NStringThe source of the alternate security identifier.
    • 112 - TAM Marker Price Symbol
    • N - Markit RED entity CLIP
    • P - Markit RED pair CLIP
    1184 SecurityXML SecXML

    1185 → FpML FpML

    EvntGrp (repeating) Evnt

    864

    NoEvents


    N

    NumInGroup

    Number of reported events.


    →865Event Date TypeEventTyp
    NintRepresents the type of event associated with the contract.
    • 13 - First Delivery Date
    • 111 - Unadjusted Next Coupon Date
    • 112 - Unadjusted Previous Coupon Date
    • 113 - Unadjusted Previous Previous Coupon Date
    • 121 - Fixing Date
    →866Event Date ValueDt
    NLocalMktDateRepresents the value or date associated with the type of event.
    OptionExercise OptExer

    OptionExerciseDates Dts

    41122Option Exercise Frequency PeriodFreqPeriod NintTime unit multiplier for the frequency of exercise dates. If present OptionExerciseFrequencyUnit(tbd) must be specified.
    41123OptionExerciseFrequencyUnitFreqUnit
    NStringTime unit associated with the frequency of exercise dates. If present OptionExerciseFrequencyPeriod(tbd) must be specified.
    • D - Day
    • H - Hour
    • Min - Minute
    • Mo - Month
    • S - Second
    • Wk - Week
    • Yr - Year
    StreamGrp (repeating) Strm
  • Page:
    CME STP FIX - TradeCaptureReport - UndInstrmtGrp

    /TrdCaptRpt/UndInstrmtGrp (repeating)

    TagNameFIXML AbbrReqFormatDescriptionEnumerations
    UndInstrmtGroup (repeating)      
    711

    NoUnderlyingInstruments


    N

    NumInGroup

    Number of underlying legs that make up the security.


    →UnderlyingInstrumentUndly



    →311Underlying SymbolSymNString

    Underlying security's Symbol. [N/A] when TrdCaptRpt/Undly/@Sym in FIXML is absent or empty.


    →312UnderlyingSymbolSfxSfxNString

    Underlying security's SymbolSfx.

    • CD=EUCP with lump-sum interest rather than discount price
    • WI = "When Issued" for a security to be reissued under an old CUSIP or ISIN
    →309Underlying Product CodeID NStringUsed as the primary identifier for the underlying instrument.
    →305Underlying Product Code SourceSrc NStringIdentifies the source of the underlying instrument.H - Clearing House / Clearing Organization

    →310Underlying Security TypeSecTyp NStringUsed to indicate the type of underlying security being reported.
    • CMDTYSWAP - Commodity Swap
    • FUT - Future
    • FWD - Forward
    • MLEG - Multi Leg (Combo)
    →313Underlying MaturityMMY NMonthYearThe expiration period code of an underlying instrument.

    Month and Year of the underlying instrument maturity Format:

    • YYYYMM (i.e. 201403)
    • YYYYMMDD (20140323)
    • YYYYMMwN (201403w1)
    →308Underlying Product ExchangeExch NExchange

    The exchange on which the underlying security is listed.

    • CBT - Chicago Board of Trade
    • CEE - Stock Exchange Group
    • CME - Chicago Mercantile Exchange
    • COMEX - Commodities Exchange, Inc
    • DME - Dubai Mercantile Exchange
    • IFUS - Intercontinental Exchange
    • NGXC - Natural Gas Exchange
    • NODX - Nodal
    • NYMEX - New York Mercantile Exchange
    • NYMSW - CME Swaps - NYMEX
    • VMAC - VMAC
    • XNAS - Nasdaq
    • XXXX - OTC Trades
    UnderlyingStreamGrp (repeating) Strm
  • Page:
    CME STP FIX - TradeCaptureReport - TrdInstrmtLegGrp /TrdCaptRpt/TrdLeg (repeating)
    TagNameFIXML AbbrReqFormatDescriptionEnumerations
    555NoLegs
    NNumInGroupTotal number of entries in NoLegs group (number of  trade legs).
    InstrumentLeg Leg
    687Leg QuantityQty NQtyThe actual quantity of the leg as it participated in the spread trade.
    990Leg Report IDRptIDNStringThis represents the report ID for the leg as generated by the clearing system
    1152Leg NumberLegNo NintA number identifying the leg within a strategy or spread. When reporting a USI or UTI, the field LegRefID will reference this number.
    654Leg Reference IDRefID NStringA unique Trade ID generated by the clearing system for this leg.
    637Leg Last PriceLastPxNPriceUsed to report the trade price or execution price assigned to the leg of the strategy or spread instrument.
    1001Leg Original Time UnitOrigTmUnit
    NStringSpecifies the Time Unit for this leg of the original trade, e.g. whether it was entered as contracts per day or per month. Note that all trades are normalized to default units in STP, regardless of the units originally used to enter the trade.
    • D - Day
    • H - Hour
    • Min - Minute
    • Mo - Month
    • S - Second
    • Wk - Week
    • Yr - Year
    10038Leg Trading QuantityTrdgQty NQtyLeg quantity per Original Time Unit as submitted on a CME ClearPort API trade report when a product has multiple time units, or, Product Variable Quantity Unit (VQU) is not 'S' (standard), and the product subtype (Monthly, daily, weekly) is not equal to the time unit entered for the trade.
    10051LegPriceSubTypePxSubTypeNStringThis is a further qualification of the Price Type, and determines whether this is an initial (preliminary) or final price.0 - Initial Price
    1 - Final
    10052LegDifferentialPriceTypeDiffPxTypeNStringThis indicates the type of differential price represented in the Differential Price attribute.0 - Differential from Settlement Price
    1 - Differential between legs
    2492LegDifferentialPriceDiffPxNPriceRepresents the differential price for spreads, or a TAS or TAM differental price.
    686LegPriceTypePxTypeNStringIndicates the type of the price associated with the trade. Will not be present for IRS/FRA trades.1 - Percentage (i.e. percent of par)
    2 - Per unit (i.e. per share or contract)
    10 - Fixed cabinet trade price (primarily for listed futures and options)
    11 - Variable cabinet trade price (primarily for listed futures and options)
    100 - Tentative placeholder price
    101 - Updated actual price
    TradeCapLegUnderlyingsGrp (repeating) Undlys
    → UnderlyingLegInstrument Undly

    →1342

    NoLegUnderlyingInstruments


    N

    NumIn Group

    Total number of entries in LegUnderlyingInstrument group.


    →→1332Leg Underlying Product CodeID
    StringUsed as the primary identifier for the leg's underlying instrument.
    →→1333Leg Underlying Product Code SourceSrc
    StringIdentifies the source of the leg's underlying instrument.H - Clearing House / Clearing Organization
    →→1337Leg Underlying Security TypeSecTyp

    StringUsed to indicate the type of the leg's underlying security being reported.
    • FUT - Future
    • FWD - Forward
    • MLEG - Multi Leg (Combo)
    →→1339Leg Underlying MaturityMMY
    MonthYearThe expiration period code of the leg's underlying instrument.

    Month and Year of the leg’s underlying  instrument maturity

    Format:

    • YYYYMM (i.e. 201403)
    • YYYYMMDD (20140323)
    • YYYYMMwN (201403w1)
    →→1341Leg Underlying Product ExchangeExch
    String

    The exchange on which the leg's underlying security is listed.

    • CBT - Chicago Board of Trade
    • CEE - Stock Exchange Group
    • CME - Chicago Mercantile Exchange
    • COMEX - Commodities Exchange, Inc
    • DME - Dubai Mercantile Exchange
    • IFUS - Intercontinental Exchange
    • NGXC - Natural Gas Exchange
    • NODX - Nodal
    • NYMEX - New York Mercantile Exchange
    • NYMSW - CME Swaps - NYMEX
    • VMAC - VMAC
    • XNAS - Nasdaq
    • XXXX - OTC Trades
    LegPositionAmountData (repeating)Amt
    1586NoLegPosAmtAmt

    Number of Leg Position Amount Entries.
    →1587Leg Position AmountAmtNAmtUsed to capture the FX premium amount.
    →1588Leg Position Amount TypeTypNStringThe type of monetary amount associated with a transaction.CRES - Cash Residual Amount

    ICPN - Initial Trade Coupon Amount

    IPMT - Upfront Payment

    PREM - Premium Amount

    TVAR - Trade Variation Amount
    →1589Leg Position Amount CurrencyCcyNCurrencyThe currency of the amount specified.
  • Page:
    CME STP FIX - TradeCaptureReport - CommissionDataGrp /TrdCaptRpt/RptSide/CommData
    TagNameFIXML AbbrReqFormatDescriptionEnumerations

    2639

    NoCommissions

     

    N

    NumInGroup

    Number of commissions in the repeating group.

     
    2642Commission BasisBasis NintIndicates the method used to calculate broker fees.
    • 1 - Per Unit (implying shares, par, currency, etc.)
    • 2 - Percent
    • 8 - Amount per contract
    2640CommissionAmountAmtNAmtThe Commission Amount. 

    2641

    CommissionAmountType

    Typ

    N

    Int

    Type of Commission.

    Value = 0.
    2643Commission CurrencyCcyNCurrencyCurrency of broker fees. Default is USD. 
    2644Commission Unit of MeasureUOMNStringUnit of measure for computing the broker fees. Used when Basis = Per Unit.
    • Alw - Allowances
    • BDFT - Board feet
    • Bbl - Barrels
    • Bcf - Billion cubic feet
    • Bu - Bushels
    • CBM - Cubic Meters
    • CER - Certified Emissions Reduction
    • CRT - Climate Reserve Tonnes
    • Ccy - Amount of currency
    • EnvCrd - Environmental Credit
    • EnvOfst - Environmental Offset
    • GJ - Gigajoules
    • GT - Gross Tons 
    • Also known as long tons or imperial tons, equal to 2240 lbs
    • Gal - Gallons
    • IPNT - Index point
    • L - Liters
    • MMBtu - One Million BTU
    • MMbbl - Million Barrels
    • MW-M - Megawatt-Month (electrical capacity)
    • MWh - Megawatt hours
    • PRINC - Principal with relation to debt instrument
    • cwt - Hundredweight (US)
    • day - Days
    • dt - Dry metric tons
    • g - Grams
    • kL - Kiloliters
    • kW-M - Kilowatt-Month (electrical capacity)
    • kWh - Kilowatt hours
    • kg - Kilograms
    • lbs - pounds
    • oz_tr - Troy Ounces
    • t - Metric Tons (aka Tonne)
    • thm - Therms
    • tn - Tons (US)
    2645Commission Unit of Measure CurrencyUOMCcyNCurrencyUnit of measure currency for computing the broker fees. Used when Unit of Measure = Ccy. 
    2646Commission RateRt NfloatRate used to calculate broker fees. For example, $1 per contract, or $0.01 per barrel. 
    2649Commission Leg Ref IDLegRefIDNStringTrade leg identifier. Indicates that the broker fees apply to a specific trade leg. For a spread with broker fees specified, this field is present for each leg. 
  • Page:
    CME STP FIX - TradeCaptureReport - SideRegulatoryTradeIDGrp /TrdCaptRpt/RptSide/RegTrdID (repeating)
    TagNameFIXML AbbrReqFormatDescriptionEnumerations

    10034

    NoSideRegTradeIDs

     

    N

    NumIn Group

    Number of entries in the repeating group.

     
    10027Side Regulatory Trade IDID NStringRegulatory Trade ID for the trade side. Will be used to communicate the Universal Swap Identifier (USI) or Unique Trade Identifier (UTI) associated with a cleared trade. 
    10028Side Regulatory Trade ID SourceSrc NStringID of reporting entity assigned by regulatory agency. 
    10029Side Regulatory Trade ID EventEvnt NintEvent causing origination of the ID, e.g. Clearing.2 - Clearing

    10030Side Regulatory Trade ID TypeTypNintThe type of Regulatory Trade ID being sent.0 - Current (the default)
    10031Side Regulatory Leg Reference IDLegRefIDNStringWhen reporting the USI or UTI of a spread or strategy, this indicates the leg number that the USI or UTI references, as communicated in the LegNo field. 
    10032Side Regulatory Trade ID ScopeScope NintIncluded when a trade must be assigned more than one identifier, e.g. one for the clearing member and another for the client on a cleared trade as with the principal model in Europe.
    • 1 - Clearing member
    • 2 - Client
  • Page:
    CME STP FIX - TradeCaptureReport - StreamGrp — /TrdCaptRpt/Instrmt/Strm (repeating)
    TagNameFIXML AbbrReqFormatDescriptionEnumerations
    40049NoStreams NNuminGroupNumber of swap streams in the repeating group. 
    40050Stream TypeTyp
    NintType of swap stream.
    • 0 - Payment / cash settlement
    • 1 - Physical delivery
    40052Stream Pay SidePaySide
    NintSide value of party paying the stream.
    • 1 - Buy
    • 2 - Sell
    40053Stream Receive SideRcvSide
    NintSide value of party receiving the stream.
    • 1 - Buy
    • 2 - Sell
    40054Stream NotionalNotl
    NAmtNotional, or initial notional value for the payment stream. Use <PaymentSchedule> for steps. 
    41306Stream Notional Frequency PeriodNotlPeriod
    NintTime unit multiplier for the notional frequency. If present StreamNotionalFrequencyUnit(tbd) must be specified. 
    41307Stream Notional Frequency UnitNotlUnit
    NStringTime unit associated with the notional frequency. If present StreamNotionalFrequencyPeriod(tbd) must be specified.
    • D - Day
    • H - Hour
    • Min - Minute
    • Mo - Month
    • S - Second
    • Wk - Week
    • Yr - Year
    41309Stream Notional Unit of MeasureNotlUOM NStringStream notional UOM.
    • Alw - Allowances
    • BDFT - Board feet
    • Bbl - Barrels
    • Bcf - Billion cubic feet
    • Bu - Bushels
    • CBM - Cubic Meters
    • CER - Certified Emissions Reduction
    • CRT - Climate Reserve Tonnes
    • Ccy - Amount of currency
    • EnvCrd - Environmental Credit
    • EnvOfst - Environmental Offset
    • GJ - Gigajoules
    • GT - Gross Tons 
    • Also known as long tons or imperial tons, equal to 2240 lbs
    • Gal - Gallons
    • IPNT - Index point
    • L - Liters
    • MMBtu - One Million BTU
    • MMbbl - Million Barrels
    • MW-M - Megawatt-Month (electrical capacity)
    • MWh - Megawatt hours
    • PRINC - Principal with relation to debt instrument
    • cwt - Hundredweight (US)
    • day - Days
    • dt - Dry metric tons
    • g - Grams
    • kL - Kiloliters
    • kW-M - Kilowatt-Month (electrical capacity)
    • kWh - Kilowatt hours
    • kg - Kilograms
    • lbs - pounds
    • oz_tr - Troy Ounces
    • t - Metric Tons (aka Tonne)
    • thm - Therms
    • tn - Tons (US)
    41310Stream Total NotionalTotNotl
    NAmtTotal notional or delivery quantity over the term of the contract. 
    41311Stream Total Notional Unit of MeasureTotNotlUOM NStringStream total notional UOM.
    • Alw - Allowances
    • BDFT - Board feet
    • Bbl - Barrels
    • Bcf - Billion cubic feet
    • Bu - Bushels
    • CBM - Cubic Meters
    • CER - Certified Emissions Reduction
    • CRT - Climate Reserve Tonnes
    • Ccy - Amount of currency
    • EnvCrd - Environmental Credit
    • EnvOfst - Environmental Offset
    • GJ - Gigajoules
    • GT - Gross Tons 
    • Also known as long tons or imperial tons, equal to 2240 lbs
    • Gal - Gallons
    • IPNT - Index point
    • L - Liters
    • MMBtu - One Million BTU
    • MMbbl - Million Barrels
    • MW-M - Megawatt-Month (electrical capacity)
    • MWh - Megawatt hours
    • PRINC - Principal with relation to debt instrument
    • cwt - Hundredweight (US)
    • day - Days
    • dt - Dry metric tons
    • g - Grams
    • kL - Kiloliters
    • kW-M - Kilowatt-Month (electrical capacity)
    • kWh - Kilowatt hours
    • kg - Kilograms
    • lbs - pounds
    • oz_tr - Troy Ounces
    • t - Metric Tons (aka Tonne)
    • thm - Therms
    • tn - Tons (US)
    StreamCommodity Cmdty 
    → 41251Stream Commodity BaseBase
    NStringSpecifies the general base type of the commodity traded. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions.

     

    → 41255Stream Commodity DescriptionDesc NStringDescription of the commodity asset. 
    StreamAssetAttributeGrp (repeating) AssetAttr 
    41237 NoStreamAssetAttributes  NuminGroupNumber of asset attribute entries in the group. 
    →→41238Stream Asset Attribute TypeTyp StringName of the attribute being specified.

    See enumerations.

    →→41239 Stream Asset Attribute ValueVal  StringValue of the attribute 
    StreamCommoditySettlementPeriodGrp (repeating) SettlPeriod 
    41289NoStreamCommoditySettlPeriods NNuminGroupNumber of commodity settlement periods in the repeating group. 
    →→41291Stream Commodity Settlement Time ZoneTZ
     StringCommodity delivery timezone specified as prevailing rather than standard or daylight . E.g. CPT for Central (US) Prevailing Time. 
    →→41292Stream Commodity Settlement Flow TypeFlowTyp  intCommodity delivery flow type.
    • 0 - All times
    • 1 - On-peak
    • 2 - Off-peak
    • 3 - Base
    • 4 - Block hours
    • 5 - Other
    →→41300Stream Commodity Settlement Holidays Processing InstructionHoliday  intIndicates whether holidays are included in the settlement periods. Required for electricity contracts.
    • 0 - Do not include holidays
    • 1 - Include holidays
    StreamEffectiveDate EfctvDt 
    →40914Adjusted Effective DateDtNLocalMktDateAdjusted effective date. 
    StreamTerminationDate TrmtnDt 
    →40072Adjusted Termination DateDtNLocalMktDateAdjusted Termination Date. 
    PaymentStream PmtStrm 
    → PaymentStreamPaymentDates PmtDts  
    →→42615Payment Stream Payment Frequency PeriodFreqPeriod
    NintThe period of frequency of payments. 
    →→42616Payment Stream Payment Frequency UnitFreqUnitNStringThe unit of frequency of payments.
    • D - Day
    • Mo - Month
    • T - Term
    • Wk - Week
    • Yr - Year
    → PaymentStreamFixedRate Fixed  
    →→40784RateRtNPercentageRate if the payment stream is a fixed rate stream. 
    →→40786Rate or Amount CurrencyCcyNCurrencySpecifies the currency in which PaymentStreamFixedAmount(40785) or PaymentStreamRate(40784) is denomincated. Uses ISO 4271 currency codes. 
    → PaymentStreamFloatingRate Float 
    →→40789Floating Rate IndexNdxNStringFloating Rate Index. 
    →→41196Floating Rate Index LocationNdxLctn NStringSpecifies the location of the floating rate index. 
    →→40793Floating Rate MultiplierRtMultNfloatA rate multiplier to apply to the floating rate. A multiplier schedule is expressed as explicit multipliers and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in the calculationPeriodDatesAdjustments. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream. 
    →→40794Floating Rate SpreadSpreadNPriceOffsetSpread from floating rate index. 
    DeliveryStream DlvryStrm 
    →41062Delivery PointDlvryPntNStringThe point at which the commodity product will be delivered and received. Unconstrained string for most commodities. For bullion see http://www.fpml.org/coding-scheme/bullion-delivery-location 
    →41063Delivery RestrictionDlvryRstctnNintSpecifies under what conditions the buyer and seller should be excused of their delivery obligations.
    • 1 - Firm (never excused of delivery obligations)
    • 2 - Interruptible or Non-firm (excused when interrupted for any reason or for no reason without liability)
    • 3 - Force majeure (excused when prevented by force majeure).
    • 4 - System firm (must be supplied from the owned or controlled generation or pre-existing purchased power assets of the system specified)
    • 5 - Unit firm (must be supplied from the generation asset specified)
    • 101 - Firm Liquidating Damages

    • 102 - WSPP Sched C Firm Liquidating Damages

  • Page:
    CME STP FIX - TradeCaptureReport - UnderlyingStreamGrp — /TrdCaptRpt/Undly/Strm (repeating)
    TagNameFIXML AbbrReqFormatDescriptionEnumerations
    40540NoUnderlyingStreams NNuminGroupNumber of swap streams in the repeating group. 
    40541Underlying Stream Type Typ NintType of swap stream.
    • 0 - Payment / cash settlement
    • 1 - Physical delivery
    40543Underlying Stream Pay Side PaySide NintSide value of party paying the stream.
    • 1 - Buy
    • 2 - Sell
    40544Underlying Stream Receive Side RcvSide NintSide value of party receiving the stream.
    • 1 - Buy
    • 2 - Sell
    40545Underlying Stream Notional Notl NAmtNotional, or initial notional value for the payment stream. Use <SwapSchedule> for steps. 
    42019Underlying Stream Notional Frequency Period NotlPeriod NintTime unit multiplier for the notional frequency. If present UnderlyingStreamNotionalFrequencyUnit(tbd) must be specified. 
    42020Underlying Stream Notional Frequency Unit NotlUnit NStringTime unit associated with the notional frequency. If present UnderlyingStreamNotionalFrequencyPeriod(tbd) must be specified.
    • D - Day
    • H - Hour
    • Min - Minute
    • Mo - Month
    • S - Second
    • Wk - Week
    • Yr - Year
    42022Underlying Stream Notional Unit of Measure NotlUOM NStringDelivery UnderlyingStream quantity UOM.
    • Alw - Allowances
    • BDFT - Board feet
    • Bbl - Barrels
    • Bcf - Billion cubic feet
    • Bu - Bushels
    • CBM - Cubic Meters
    • CER - Certified Emissions Reduction
    • CRT - Climate Reserve Tonnes
    • Ccy - Amount of currency
    • EnvCrd - Environmental Credit
    • EnvOfst - Environmental Offset
    • GJ - Gigajoules
    • GT - Gross Tons 
    • Also known as long tons or imperial tons, equal to 2240 lbs
    • Gal - Gallons
    • IPNT - Index point
    • L - Liters
    • MMBtu - One Million BTU
    • MMbbl - Million Barrels
    • MW-M - Megawatt-Month (electrical capacity)
    • MWh - Megawatt hours
    • PRINC - Principal with relation to debt instrument
    • cwt - Hundredweight (US)
    • day - Days
    • dt - Dry metric tons
    • g - Grams
    • kL - Kiloliters
    • kW-M - Kilowatt-Month (electrical capacity)
    • kWh - Kilowatt hours
    • kg - Kilograms
    • lbs - pounds
    • oz_tr - Troy Ounces
    • t - Metric Tons (aka Tonne)
    • thm - Therms
    • tn - Tons (US)
    42023Underlying Stream Total Notional TotNotl NAmtTotal notional or delivery quantity over the term of the contract. 
    42024Underlying Stream Total Notional Unit of MeasureTotNotlUOM NStringDelivery UnderlyingStream quantity UOM.
    • Alw - Allowances
    • BDFT - Board feet
    • Bbl - Barrels
    • Bcf - Billion cubic feet
    • Bu - Bushels
    • CBM - Cubic Meters
    • CER - Certified Emissions Reduction
    • CRT - Climate Reserve Tonnes
    • Ccy - Amount of currency
    • EnvCrd - Environmental Credit
    • EnvOfst - Environmental Offset
    • GJ - Gigajoules
    • GT - Gross Tons 
    • Also known as long tons or imperial tons, equal to 2240 lbs
    • Gal - Gallons
    • IPNT - Index point
    • L - Liters
    • MMBtu - One Million BTU
    • MMbbl - Million Barrels
    • MW-M - Megawatt-Month (electrical capacity)
    • MWh - Megawatt hours
    • PRINC - Principal with relation to debt instrument
    • cwt - Hundredweight (US)
    • day - Days
    • dt - Dry metric tons
    • g - Grams
    • kL - Kiloliters
    • kW-M - Kilowatt-Month (electrical capacity)
    • kWh - Kilowatt hours
    • kg - Kilograms
    • lbs - pounds
    • oz_tr - Troy Ounces
    • t - Metric Tons (aka Tonne)
    • thm - Therms
    • tn - Tons (US)
    UnderlyingStreamCommodity Cmdty  
    → 41964Underlying Stream Commodity BaseBaseNStringSpecifies the general base type of the commodity traded. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions. 
    → 41968Underlying Stream Commodity DescriptionDesc NStringDescription of the commodity asset. 
    → UnderlyingStreamAssetAttributeGrp (repeating) AssetAttrb
     
    →41800 NoUnderlyingStreamAssetAttributes NNuminGroupNumber of asset attribute entries in the group. 
    →→41801Underlying Stream Asset Attribute TypeTyp NStringName of the attribute being specified.

    See enumerations.

    →→41802Underlying Stream Asset Attribute ValueValNStringValue of the attribute 
    →UnderlyingStreamCommoditySettlementPeriodGrp (repeating) SettlPeriod
     
    42002NoUnderlyingStreamCommoditySettlPeriods NNuminGroupNumber of commodity settlement periods in the repeating group. 
    →→42004Underlying Stream Commodity Settlement Time Zone TZ NStringCommodity delivery timezone specified as prevailing rather than standard or daylight . E.g. CPT for Central (US) Prevailing Time. 
    →→42005Underlying Stream Commodity Settlement Flow TypeFlowTypNintCommodity delivery flow type.
    • 0 - All times
    • 1 - On-peak
    • 2 - Off-peak
    • 3 - Base
    • 4 - Block hours
    • 5 - Other
    →→42013Underlying Stream Commodity Settlement Holidays Processing InstructionHolidaysNintIndicates whether holidays are included in the settlement periods. Required for electricity contracts.
    • 0 - Do not include holidays
    • 1 - Include holidays
    UnderlyingStreamEffectiveDate EfctvDt 
    →40064Underlying Adjusted Effective DateDt NLocalMktDateAdjusted effective date. 
    UnderlyingStreamTerminationDate TrmtnDt  
    →40555Underlying Adjusted Termination DateDtNLocalMktDateAdjusted Termination Date. 
    UnderlyingPaymentStream PmtStrm 
    → UnderlyingPaymentStreamPaymentDates PmtDts  
    →→40583Underlying Payment Stream Payment Frequency PeriodFreqPeriodNintThe period of frequency of payments. 
    →→40584Underlying Payment Stream Payment Frequency UnitFreqUnitNStringThe unit of frequency of payments.
    • D - Day
    • Mo - Month
    • T - Term
    • Wk - Week
    • Yr - Year
    → UnderlyingPaymentStreamFixedRate Fixed 
    →→40615Underlying Rate Rt NPercentageRate if the payment stream is a fixed rate stream. 
    →→40617Underlying Rate or Amount CurrencyCcyNCurrencySpecifies the currency in which UnderlyingPaymentStreamFixedAmount(40616) or UnderlyingPaymentStreamRate(40615) is denominated. Users ISO 4271 currency codes. 
    → UnderlyingPaymentStreamFloatingRate Float  
    →→40620Underlying Floating Rate IndexNdxNStringFloating Rate Index. 
    →→41913Underlying Floating Rate Index LocationNdxLctnNStringSpecifies the location of the floating rate index. 
    →→40624Underlying Floating Rate Multiplier RtMult nfloatA rate multiplier to apply to the floating rate. A multiplier schedule is expressed as explicit multipliers and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in the calculationPeriodDatesAdjustments. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream. 
    →→40625Underlying Floating Rate SpreadSpreadNPriceOffsetSpread from floating rate index. 
    UnderlyingDeliveryStream DlvryStrm 
    →41781 Underlying Delivery PointDlvryPntNStringThe point at which the commodity product will be delivered and received. Unconstrained string for most commodities. For bullion see http://www.fpml.org/coding-scheme/bullion-delivery-location 
    →41782Underlying Delivery RestrictionDlvryRstctnNintSpecifies under what conditions the buyer and seller should be excused of their delivery obligations.
    • 1 - Firm (never excused of delivery obligations)
    • 2 - Interruptible or Non-firm (excused when interrupted for any reason or for no reason without liability)
    • 3 - Force majeure (excused when prevented by force majeure).
    • 4 - System firm (must be supplied from the owned or controlled generation or pre-existing purchased power assets of the system specified)
    • 5 - Unit firm (must be supplied from the generation asset specified)
    • 101 - Firm Liquidating Damages

    • 102 - WSPP Sched C Firm Liquidating Damages

  • Page:
    CME STP FIX - TradeCaptureReport - InstrumentLeg — /TrdCaptRpt/TrdLeg/Leg
    TagNameFIXML AbbrReqFormatDescriptionEnumerations
    600Leg Symbol Sym CString

    Symbol for a CME Contract, e.g. CLX05.

    Symbol now matches the value used by clearing firms in the FEC system, and may differ somewhat from the representation used in the legacy CTAPI system.

    Required if tag 555-NoLegs > 0


    602Leg Product Code ID CString

    CME Group clearing product code for leg instrument, e.g. CL (2 Characters)

    Required if tag 555-NoLegs > 0


    603Leg Product ID Source Src CString

    Source for leg Security ID

    Required if tag 555-NoLegs > 0

    H - Clearing House / Clearing Organization

    608Leg CFI CFI NStringIndicates the type of leg security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values.
    609Leg Security Type SecTyp NStringIndicates type of instrument or security for this leg.FUT - Future

    FWD - Forward

    MLEG - Multi Leg (Combo)

    OPT - Option

    610Leg MaturityMMY NMonthYearSpecifies the month and year of maturity of this leg.

    Month and Year of this leg instrument maturity

    Format:

    • YYYYMM (i.e. 201403)
    • YYYYMMDD (20140323)
    • YYYYMMwN (201403w1)
    611Leg Maturity DateMatN LocalMktDateMultileg instrument's individual securitys MaturityDate.
    612Leg Strike Price StrkNPriceStrike price for a leg that is an option.
    10045Leg Contract MultiplierMultNfloatPrice multiplier used to convert the change in price (sell - buy) into P&L per contract leg.
    999Leg Unit of MeasureUOM NStringThe leg unit of measure of the product upon which the contract is based. It is also referred to as the trading unit.
    • Alw - Allowances
    • BDFT - Board feet
    • Bbl - Barrels
    • Bcf - Billion cubic feet
    • Bu - Bushels
    • CBM - Cubic Meters
    • CER - Certified Emissions Reduction
    • CRT - Climate Reserve Tonnes
    • Ccy - Amount of currency
    • EnvCrd - Environmental Credit
    • EnvOfst - Environmental Offset
    • GJ - Gigajoules
    • GT - Gross Tons 
    • Also known as long tons or imperial tons, equal to 2240 lbs
    • Gal - Gallons
    • IPNT - Index point
    • L - Liters
    • MMBtu - One Million BTU
    • MMbbl - Million Barrels
    • MW-M - Megawatt-Month (electrical capacity)
    • MWh - Megawatt hours
    • PRINC - Principal with relation to debt instrument
    • cwt - Hundredweight (US)
    • day - Days
    • dt - Dry metric tons
    • g - Grams
    • kL - Kiloliters
    • kW-M - Kilowatt-Month (electrical capacity)
    • kWh - Kilowatt hours
    • kg - Kilograms
    • lbs - pounds
    • oz_tr - Troy Ounces
    • t - Metric Tons (aka Tonne)
    • thm - Therms
    • tn - Tons (US)
    1224Leg Unit of Measure Quantity UOMQty
    QtyContract's defined quantity, used to calculate total traded notional quantity per spread leg.
    1720Leg Unit of Measure Currency UOMCcy
    CurrencyCurrency of the leg unit of measure. Conditionally available when UOM=Ccy. Will be populated where appropriate.
    616Leg Product ExchangeExch
    String

    The exchange where the leg security is listed.

      • CBT - Chicago Board of Trade
      • CEE - Stock Exchange Group
      • CME - Chicago Mercantile Exchange
      • COMEX - Commodities Exchange, Inc
      • DME - Dubai Mercantile Exchange
      • IFUS - Intercontinental Exchange
      • NGXC - Natural Gas Exchange
      • NODX - Nodal
      • NYMEX - New York Mercantile Exchange
      • NYMSW - CME Swaps - NYMEX
      • VMAC - VMAC
      • XNAS - Nasdaq
      • XXXX - OTC Trades
    620Leg Security DescriptionDescNstringMultileg instrument's individual security's SecurityDesc.
    624Leg Buy Sell CodeSide
    charIndicates the side of this leg within the spread or strategy.
    • 1 - Buy
    • 2 - Sell
    1358Leg Put Or CallPutCall
    intIndicates whether a leg that is an option contract is a put or call.
    • 0 - Put
    • 1 - Call
    2192
    Please Note: This is a FIX 5.0 tag
    Settlement MethodSettlMethNstringSettlement method for a contract. Can be used as an alternative to CFI Code value.
    Leg Security Alternate Identifier Block (repeating)LegSecurityAltID
    604NoLegSecurityAltIDNoLegSecAltID
    NuminGroupTotal number of entries in LegSecurityAltID Group.
    →605LegSecurityAltIDSecAltIDNString Alternate Security identifier value for this security of SecurityAltIDSource type (e.g. CUSIP, SEDOL, ISIN, etc).
    →606LegSecurityAltIDSourceSecAltIDSrcNStringIdentifies class or source of the LegSecurityAltID value. Required if LegSecurityAltID is specified.112 - TAM Marker Price Symbol
  • Page:
    CME STP FIX - Trade Capture Report Request
    TagNameFIXML AbbrReqFormatDescriptionEnumerations
    Standard Message Header
    Y
    Tag 35-MsgType = AD

    568

    TradeRequestID

     ReqID

    Y

    String

    Unique identifier for a Trade Capture Report Request.


    1003

    TradeID

     TrdID

    N

    String

    Used to query for a trade with specific CME Front End Clearing (FEC) Firm Trade ID


    1040

    TradeID2

     TrdID2

    N

    String

    Used to query for a trade with specific Secondary Trade ID (unique across all trade dates and all clearing firms)


    569

    TradeRequestType

    ReqTyp

    Y

    Int

    Type of Trade Capture Report requested. The first query or subscription must specify matched trades (1). Subsequent requests for a query or subscription must specify unreported trades (3).

    • '0' (Allegro clients)

    • '1' (Initial request)
    • '3' - Unreported trades that match criteria

    263

    SubscriptionRequestType

    SubReqTyp

    Y

    Char

    Subscription request type.

    • '0' (Snapshot)

    • '1' (Subscription)

    Subscription request 263=1 timestamped in the past would yield (Snapshot + Subscriptions)

    During a snapshot request tag 263- SubscriptionRequestType =0, when the message timestamps in tag 779-LastUpdate is greater than the timestamp in Tag 52-SendingTime the subscriptions are current trade messages.

     11

    ClOrdID

     ClOrdID

    N

    String

    Used to request trade for specific Client order ID (tag 37-OrderID provided for CME Globex trades and the Order ID for Pit trades)


    715

    ClearBusinessDate

     BizDt

    N

    LocalMktDate

    Used to limit snapshot and subscription requests to specific clearing date.


    442

    MultilegReportingType

     MLegRptTyp

    Y

    Int

    Multi-leg reporting type.

    • '2' (Request outright deals and Individual legs of multileg security), 
    • '3' (Request outright deals and summary for multileg deals).

     578

    TradeInputSource

    InptSrc

    N

    String

    Used to limit snapshot and subscription requests to a specific trade input source



    • 'CPC' (CME ClearPort Clearing) 
    • 'CXPIT' (COMEX Trading Floor) 
    • 'GLBX' (CME Globex) 
    • 'NXPIT' (NYMEX Trading Floor) 
    • 'PCBOT' (CBOT Trading Floor and CBOT Transfers) 
    • 'FIRM' 

      Other values may be added without prior notice.


    779LastUpdateTimeLastUpdateTmCUTCTimestamp

    Date/time which subscription should start pull data from.

    Format: YYYYMMDD-HH:MM:SS (UTC time zone)

    • Request without tag 779-LastUpdateTime will default to current date and time.

    This tag is not used for Snapshot requests and will be ignored if present.

    The timestamp format for the Trade Capture Report Request response is YYYYMMDD-HH:MM:SS (UTC time zone)

    Example:  20200520-01:14:39 


    9593

    StartTime

    StartTm

    C

    UTCTimestamp

    Start date/time of snapshot request.

    Format: YYYYMMDD-HH:MM:SS (UTC time zone)

    Conditionally required for subscription requests (when tag 263- SubscriptionRequestType = ‘1’). Will be ignored for snapshot requests (when tag 263- SubscriptionRequestType = ‘0’).

    FIX Client is allowed to submit requests covering period of 31 calendar days.


    9594

    EndTime

    EndTm

    N

    UTCTimestamp

    End date/time of snapshot or subscription request.

    Optional for subscription requests.  Not used for Snapshot requests.

    Format: YYYYMMDD-HH:MM:SS (UTC time zone)


    FIX Client is allowed to submit requests covering period of 31 calendar days.

    Parties Block (repeating)

    453

    NoPartyIDs


    Y

    NumInGroup

    Number of entries in block.

    It is expected that tag 453-NoPartyIDs should always be present and be >= 1, i.e. request should be made for single FirmID or multiple FirmIDs.


    →448

    PartyID

     ID

    N

    String

    Firm ID as assigned by CME STP


    →452

    PartyRole

     R

    N

    Int

    Role assigned to the Firm by CME STP during registration.

    • '7' (Trading Firm) 
    • '30' (Brokerage Firm) 
    • '49' (Asset Manager) |

    Instrument Block
    48

    SecurityID

    ID

    N

    String

    Used to limit a subscription or snapshot requests to a specific CME product, e.g. CL.

    tag 48-SecurityID should be specified along with tag 207-SecurityExchange


    167

    SecurityType

    SecTyp

    N

    String

    Used to limit a subscription or snapshot requests to a specific security type

    • 'FUT' (Future) 
    • 'OPT' (Option) 
    • 'MLEG' (Multi-leg) 
    • 'FWD' (Forward)  
    • 'IRS' (Interest Rate Swaps)

    • 'FRA' (Forward Rate Agreement)

    207

    SecurityExchange

    Exch

    C

    Exchange

    Used to limit a subscription or snapshot requests to a specific CME Group listing exchange.

    Tag is required if tag 48-SecurityID is specified.

    • 'CBT'
    • 'CEE'
    • 'CMD'
    • 'CME'
    • 'COMEX'
    • 'DME'
    • 'NYMEX'
    Trade Dates Block (repeating)

    580

    NoTradeDates


    N

    NumInGroup

    Number of trade dates which subscription or snapshot request is limited to. 

    Only one date may be specified.


    →75

    TradeDate

    TrdDt

    N

    LocalMktDate

    Used to limit a subscription or snapshot requests to a specific dates
    Format: YYYYMMDD


  • Page:
    Standard Header from CME STP to Client System

    Tag

    Name

    Req

    Format

    Description

    Enumerations

    8

    BeginString

    Y

    String

    Identifies beginning of new message and protocol version.
    Always unencrypted, must be first field in message.

    FIX4.4

    9

    BodyLength

    Y

    Length

    Message length, in bytes, forward to the CheckSum field.
    Always unencrypted, must be second field in message.


    35

    MsgType

    Y

    String

    Defines message type.
    Always unencrypted, must be third field in message.


    49

    SenderCompID

    Y

    String

    Assigned value used to identify firm sending message. Format: ‘CMESTPFIX#’

    The value will be increased for each new user at the Firm, e.g., CMESTPFIX1, CMESTPFIX2, CMESTPFIX3, etc.

    Always unencrypted.


    50

    SenderSubID

    N

    String

    Only applicable value is 'STP'. Will be populated by CME STP if 57-TargetSubID is provided by client on Session Logon Request.


    56

    TargetCompID

    Y

    String

    Assigned value as defined by CME Group used to identify receiving firm.
    Always unencrypted.


    57

    TargetSubID

    N

    String

    CME STP will populate this value from 50-SenderSubID if provided by client Session Logon Request.
    Will be present in all messages routed CME STP back to FIX Clients. Always unencrypted.


    34

    MsgSeqNum

    Y

    SeqNum

    Integer message sequence number.


    43

    PossDupFlag

    N

    Boolean

    Indicates possible retransmission of message with this sequence number. Required for retransmitted messages.

    ‘Y’ (Possible duplicate)

    'N' (Original transmission)

    97

    PossResend

    N

    Boolean

    Indicates that message may contain information that has been sent under another sequence number.

    ‘Y’ (Possible resend)
    ‘N’ (Original transmission)

    52

    SendingTime

    Y

    UTCTimestamp

    Time of message transmission (expressed in UTC). UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

    YYYYMMDD-HH:MM:SS.sss
    Can be embedded within encrypted data section.


    122

    OrigSendingTime

    N

    UTCTimestamp

    Original time of message transmission when transmitting messages as the result of resend request (expressed in UTC).

    UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

    Required for message resent as a result of a resend request.


  • Page:
    Standard Header from Client System to CME STP

    Tag

    Name

    Req

    Format

    Description

    Enumerations

    8

    BeginString

    Y

    String

    Identifies beginning of new message and protocol version.
    Always unencrypted, must be first field in message.

    FIX4.4

    9

    BodyLength

    Y

    Length

    Message length, in bytes, forward to the CheckSum field.
    Always unencrypted, must be second field in message.


    35

    MsgType

    Y

    String

    Defines message type.
    Always unencrypted, must be third field in message.


    49

    SenderCompID

    Y

    String

    Assigned value as defined by CME Group used to identify firm sending message.
    Always unencrypted.


    50

    SenderSubID

    N

    String

    Optional Client Assigned value used to identify specific message originator (user) within a firm.

    If populated in Logon message, same value must be populated in subsequent messages from client to CME STP. 

    CME STP will populate this value in 57-TargetSubID on messages routed to the client.


    56

    TargetCompID

    Y

    String

    Assigned value used to identify receiving firm.

    Format: ‘CMESTPFIX#’

    The value will be incremented for each new user at the Firm, e.g., CMESTPFIX1, CMESTPFIX2, CMESTPFIX3, etc.

    Always unencrypted.


    57

    TargetSubID

    N

    String

    If populated in Logon message, Only acceptable value is "STP" and same value need to be populated in subsequent messages from client to CME STP.
    CME STP will populate this value in 50-SenderSubID on messages routed to the client. Always unencrypted.


    34

    MsgSeqNum

    Y

    SeqNum

    Integer message sequence number.


    43

    PossDupFlag

    N

    Boolean

    Indicates possible retransmission of message with this sequence number. Required for retransmitted messages.

    ‘Y’ (Possible duplicate)

    'N' (Original transmission)

    97

    PossResend

    N

    Boolean

    Indicates that message may contain information that has been sent under another sequence number.

    ‘Y’ (Possible resend)
    ‘N’ (Original transmission)

    52

    SendingTime

    Y

    UTCTimestamp

    Time of message transmission (expressed in UTC).

    YYYYMMDD-HH:MM:SS.sss
    Can be embedded within encrypted data section.

    UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.


    122

    OrigSendingTime

    N

    UTCTimestamp

    Original time of message transmission when transmitting messages as the result of resend request (expressed in UTC).

    UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

    Required for message resent as a result of a resend request.


  • Page:
    CME STP FIX - TradeCaptureReport
    TagNameFIXML AbbrReqFormatDescriptionEnumerations
    Standard Message Header
    Y
    Tag 35-MsgType = AE
    571TradeReportIDRptID NString

    Identifies the specific trade report being sent. This is usually the unique message ID for the trade being reported. However, legs of spreads can share the same message ID. TrdID2 and RptID together form a unique key.


    1003Trade IDTrdID NStringTrade ID for the trade entity is assigned by the CME clearing system. It is unique per trade side/leg and for the (trading firm / executing firm) and exchange for a given Trade Date. Trade ID will not change during the life of the trade. Note that should a trading firm do business with multiple clearing firms, Trade ID may not be unique. Will not be present for IRS/FRA trades.
    1040Secondary Trade IDTrdID2
    NStringUsed to carry a secondary trade ID. Unlike TrdID, this is unique across all trade dates and all clearing firms.
    10036Package ID PackageID NStringA value that identifies the group of trades or a portfolio of trades cleared simultaneously under the one Package ID.
    487TradeReportTransTypeTransTyp NintIndicates the action being taken on a trade. Note that STP does not guarantee new trades must be reported with New(0) prior to reports of Replace(2). STP will initially report Clearport trades using Replace(2).
    • 0 - New
    • 1 - Cancel
    • 2 - Replace
    856TradeReportTypeRptTyp
    NintIndicates the purpose of the trade within the workflow and determines the action of the receiver of the trade.101 - Notification

    939TradeStatusTrdRptStat
    NintIndicates the status of the trade in clearing.0 - Accepted

    568TradeRequestIDReqID
    NStringRequest ID returns the same value sent on the Trade Capture Report Request.
    828TradeTypeTrdTyp NintSpecifies the type of trade reported by CME Clearing. Used to distinguish a significant difference in the regulatory or economic requirements surrounding the trade.
    • 0 - Regular Trade
    • 1 - Block Trade
    • 2 - EFP (Exchange for physical)
    • 3 - Transfer
    • 11 - Exchange for Risk (EFR)
    • 22 - Over the Counter Privately Negotiated Trades (OPNT)
    • 23 - Substitution of Futures for Forwards
    • 45 - Option exercise
    • 54 - OTC / Large Notional Off Facility Swap
    • 55 - Exchange Basis Facility (EBF)
    • 57 - Netted trade
    • 58 - Block swap trade
    • 59 - Credit event trade
    • 60 - Succession event trade
    829TradeSubTypeTrdSubTyp
    NintRepresents the CME Trade Type Subset, TAS Flag & the APS Offset and Onset Flag.
    • 7 - Differential spread
    • 8 - Implied spread leg executed against an outright
    • 36 - Converted SWAP (Aged Deal)
    • 37 - Crossed Trade (X)
    • 40 - TAS - Traded at settlement
    • 42 - Auction Trade
    • 43 - TAM - Traded at marker
    • 48 - Multilateral Compression
    • 200 - Delivery Transfer
    10021Offset InstructionOfstInst
    NintIndicates offset or onset due to allocation.
    • 0 - Offset
    • 1 - Onset

    830



    Transfer ReasonTransferReasonNStringReason why the trade is being transferred

    A - Exchange approved transfers between accounts with different beneficial ownership

    B - For correcting Rule 527 mis-clears

    C - Transfer between accounts in which the underlying beneficial ownership is identical

    E - Transfer to correct an error in assignment of account (in-house) or customer/house origin error or firm-to-firm clerical error in clearing a trade

    J - For rule 770 transfers

    M - Transfer for portfolio margining purposes

    N - Transfer of positions to a newly approved clearing firm

    O - Option Compression

    P - Fungible Transfers and Delivery Transfers (system generated, cannot be submitted by firms)

    T - Transfer due to the merger of two or more clearing firms

    V - Auto-transfer Offset (system generated, cannot be submitted by firms)

    W - Transfer due to withdrawal of a clearing firm

    X - For transferring new or offsetting Singapore Exchange executed positions between local firms

    Y - Cross Exchange 

    880TrdMatchIDMtchID NStringTrade Match ID is assigned by the matching engine or clearing system and used to correlate a cleared trade with a match event. Should be common for all trade sides included in a match event. For CME ClearPort, this represents the deal number and always links strategies. For CME Globex and Floor, this links calendar spreads only. Will not be present for IRS/FRA trades.
    17ExecIDExecID NStringExchange assigned execution ID (trade identifier). ExecID will be present for on-exchange trades and blocks, including Invoice Swap Spreads. ExecID will not be present for off-exchange IRS/FRA trades.
    527SecondaryExecIDExecID2 NStringThis is used to communicate the execution ID of the originating platform, e.g. the ClearPort execution ID.
    10035BlockIDBlckID
    NStringContains the platform-assigned block ID for the trade.
    423Price TypePxTyp
    NintIndicates the type of the price associated with the trade. Will not be present for IRS/FRA trades.
    • 1 - Percentage (i.e. percent of par)
    • 2 - Per unit (i.e. per share or contract)
    • 10 - Fixed cabinet trade price (primarily for listed futures and options)
    • 11 - Variable cabinet trade price (primarily for listed futures and options)
    • 100 - Tentative placeholder price
    • 101 - Updated actual price
    1430VenueTypeVenuTyp NcharIdentifies the type of venue where a trade was executed.
    • C - Clearing house
    • E - Electronic
    • O - Off facility swap
    • P - Pit
    • R - Registered Market (SEF)
    • X - Ex-Pit
    854QuantityTypeQtyTyp NintIndicates the type of quantity being represented in the Last Quantity. The quantity type defaults to what is specified in the contract specifications.
    • ‘0’ (Notional/Units)  
    • '1' (Contracts (Default -should specify ContractMultiplier (tag 231)))
    32TradeQuantityLastQty
    YQtyThe quantity of the trade.
    31TradePriceLastPx YPriceThe price of the trade. Will not be present for IRS/FRA/SWAPTION trades.
    1056Calculation Currency Last QuantityCalcCcyLastQtyNQtyUsed in calculating the quantity of the other side of the currency trade.
    75TradeDateTrdDt
    YLocalMktDateThe trade date assigned to an execution on the trading platform.
    715ClearingBusinessDateBizDt NLocalMktDateThe date on which a trade is formally cleared and settled.
    6AveragePriceAvgPx NPriceCalculated average price. Will be populated for Average Price System (APS) transactions only.
    442

    MultiLegReportingType

    MLegRptTyp
    YcharIndicates if a trade is being reported as a single-leg outright, the leg of a spread, or a multi-leg trade report.
    • 1 - Single security (default if not specified)
    • 2 - Individual leg of a multi-leg security
    • 3 - Multi-leg security
    60TransactTimeTxnTm
    NUTCTimestamp

    The time of the transaction, e.g. the date and time of a trade, allocation, etc. Will not be present for IRS/FRA trades.

    Format YYYYMMDD-HH:MM:SS.sTZD (UTC time zone)

    Example:  20200520-01:14:39.126000000Z 


    2405ExecutionMethodExecMeth NintSpecifies the transaction was executed manually via Confirm Hub.

    1 - Manual

    779LastUpdateTimeLastUpdateTmNUTCTimestamp

    Used to indicate the date and time that internal transaction processing of the trade or allocation completed. Should occur on or after the Transaction Time.

    Format YYYYMMDD-HH:MM:SS.sTZD (UTC time zone)

    Example:  20200520-01:14:39.126000000Z 


    1832Cleared IndicatorClrd
    NintIndicates whether the position or trade being reported was cleared through a clearing organization.
    • 0 - Not cleared
    • 1 - Cleared
    1924Clearing IntentionClrIntn
    NintIndicates whether or not the parties intend the trade to clear.
    • 0 - Do not intend to clear
    • 1 - Intend to clear
    1932Clearing Requirement ExceptionClrReqmtExcptn
    NintSpecifies whether a party to a swap is using the clearing requirement exception pursuant to CEA Section 2(h)(7) and Commission regulations.
    • 0 - No exception
    • 1 - Exception
    1936CollateralizationTrdCollztn NintIndication of trade collateralization.
    • 0 - Uncollateralized
    • 1 - Partially collateralized
    • 2 - One-way collateralized
    • 3 - Fully collateralized
    10033DifferentialPriceDiffPx
    Nfloat

    Represents the differential price for spreads, or a TAS or TAM differental price.

    Note:  Not supported for CPC-entered Calendar Spreads


    10024DifferentialPriceTypeDiffPxTyp Nint

    This indicates the type of differential price represented in the Differential Price attribute.

    Note:  Not supported for CPC-entered Calendar Spreads

    • 0 - Differential from Settlement Price
    • 1 - Differential between legs
    997OriginalTimeUnitOrigTmUnit NStringSpecifies the Time Unit of the original trade, e.g. whether it was entered as contracts per day or per month. Note that all trades are normalized to default units in STP, regardless of the units originally used to enter the trade.
    • D - Day
    • H - Hour
    • Min - Minute
    • Mo - Month
    • S - Second
    • Wk - Week
    • Yr - Year
    10037TradingQuantityTrdgQty NQtyQuantity per Original Time Unit as submitted on a CME ClearPort API trade report when a product has multiple time units, or, Product Variable Quantity Unit (VQU) is not 'S' (standard), and the product subtype (Monthly, daily, weekly) is not equal to the time unit entered for the trade.
    10047ConfirmHubTradeTypeCHTrdTyp
    NStringCustom field to represent specific Confirm Hub Trade Types
    37711Market Data Trade Entry ID

    MDTrdEntrID 

    NintUnique Trade Identifier that will match to a CME Globex order execution, associated market data message and STP messaging.


    1832Cleared IndicatorClrdNint

    Indicates whether the position or trade being reported was cleared through a clearing organization.

    Note: only sent for Bilateral and Cleared Elsewhere (BaCE) trades.

    0 - Not cleared

    1 - Cleared
    830Transfer ReasonTransferReasonNStringThe reason a trade is being transferred.
    1329Fee MultiplierFeeMultNFloatMultiplier that Clearing (Fee system) will use to calculate fees and will be sent to the firms on their confirms.
    99400Clearing Transformation TypeClrTransTyp Nint

    Indicates the type of Clearing Transformation that generated this Trade.

    1- Exercise

    2-Assignment

    3-General Transformation

    4-Delivery Transformation

    5-Fungible

    719Contrary Instruction IndicatorCntraryInstrctnInd NBoolean

    Used to indicate when a contrary instruction for exercise or abandonment is being submitted

    Y-YES

    N-NO

    99401Option Exercise Time FrameOptExerTmFm Nint

    For Exercise/Assignment Transformation, this indicates whether or not the resulting Future was the result of an Early Exercise Instruction (Prior to Settlement Date)

    1-Early

    2-Expiration

    RootParties (repeating) Pty

    1116

    NoRootPartyIDs


    N

    NumInGroup

    Number of entries in block.


    →1117Root Party IDID
    NStringUsed to identify the Party.
    →1118Root Party ID SourceSrc NcharUsed to identify the source of the Party.N - LEI
    →1119Root Party RoleR NintIndicates the type or role of the Party.73 - Execution Venue

    Instrument Instrmt
    PaymentGrp (repeating) Pmt
    40212NoPayments
    NNumInGroup

    →40213PaymentTypeTypNintType of payment.10 - Option Premium
    →40214Payment Pay SidePaySide
    NintSide value of party paying the payment.
    • 1 - Buy
    • 2 - Sell
    →40215Payment Receive SideRcvSide NintSide value of party receiving the payment.
    • 1 - Buy
    • 2 - Sell
    →40216Payment CurrencyCcy
    NCurrencySpecifies the currency in which PaymentAmount(tbd) and/or PaymentRate(tbd) is denominated. Uses ISO 4271 currency codes.
    → 40217Payment AmountAmt
    NAmtThe total payment amount.
    → 40222Payment Date AdjustedDtN LocalMktDateThe adjusted payment date.
    UndInstrmtGrp (repeating)
    Undly



    PositionAmountData (repeating) Amt

    753NoPosAmt
    N


    →707Amount TypeTyp
    NStringThe type of the position amount represented.
    • CRES - Cash Residual Amount
    • ICPN - Initial Trade Coupon Amount
    • IPMT - Upfront Payment
    • PREM - Premium Amount
    • TVAR - Trade Variation Amount
    →708AmountAmt NAmtThe position amount represented.
    →1055Amount CurrencyCcy NStringThe currency associated with the position amount represented.
    TrdInstrmtLegGrp (repeating) TrdLeg
    TrdCapRptSideGrp (repeating) RptSide
    Standard Message Trailer





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    STP Standard Trailer

    Tag

    Name

    Req

    Format

    Description

    10

    CheckSum

    Y

    String (3)

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

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