- Created by Confluence Admin, last modified on Feb 10, 2022
Use the filters below to query the CME STP FIXML message specification by Name, Abbr, Datatype, and Global (entire specification).
This page lists all CME STP FIXML message types in a set order. Message types may be blank if the filter is not applicable.
Please scroll through the list of messages to see full results.
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Page:CME STP - TradeCaptureReport - STP —
/TrdCaptRpt
Name Abbr Datatype Description Enumerations Message ID RptIDString 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. Trade ID TrdIDString Trade 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. Secondary Trade ID TrdID2String Used to carry a secondary trade ID. Unlike TrdID, this is unique across all trade dates and all clearing firms. Package ID PackageIDString A value that identifies the group of trades or a portfolio of trades cleared simultaneously under the one Package ID. Transaction Type TransTypint Indicates 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 CME ClearPort trades using Replace(2)”. 0 - New
1 - Cancel
2 - ReplaceTrade Report Type RptTypint Indicates the purpose of the trade within the workflow and determines the action of the receiver of the trade. 101 - Notification Trade Status TrdRptStatint Indicates the status of the trade in clearing. 0 - Accepted
7 - TerminatedRequest ID ReqIDString Request ID returns the same value sent on the Trade Capture Report Request. Trade Type TrdTypint Specifies 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 tradeTrade Sub Type TrdSubTypint This field further qualifies the Trade Type. 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
(Note: Differs from FIXTrading standard)
42 - Auction Trade
43 - TAM - Traded at marker
48 - Multilateral Compression
200 - Delivery TransferOffset Instruction OfstInstint Indicates offset or onset due to allocation. 0 - Offset
1 - OnsetTransfer Reason TrnsfrRsnString Reason 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 firmO - 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 Transfer (OCC)Trade Match ID MtchIDString Trade 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. Execution ID ExecIDString Exchange 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. Secondary Execution ID ExecID2String This is used to communicate the execution ID of the originating platform, e.g. the ClearPort execution ID. Block ID BlckIDString Contains the platform-assigned block ID for the trade. Price Type PxTypint Indicates 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
102 - Derived price blockVenue Type VenuTypchar Identifies 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-PitQuantity Type QtyTypint Indicates 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 - Contract termTrade Quantity LastQtyQty The quantity of the trade. Trade Price LastPxPrice The price of the trade. Will not be present for IRS/FRA trades. Calculation Currency Last Quantity CalcCcyLastQty Qty Used in calculating the quantity of the other side of the currency trade. Trade Date TrdDtLocalMktDate The trade date assigned to an execution on the trading platform. Clear Date BizDtLocalMktDate The date on which a trade is formally cleared and settled. Average Price AvgPxPrice Calculated average price. Will be populated for Average Price System (APS) transactions only. Multi Leg Reporting Type MLegRptTypchar Indicates 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 securityTransaction Time TxnTmUTCTimestamp The time of the transaction, e.g. the date and time of a trade, allocation, etc. Will not be present for IRS/FRA trades. Execution Method ExecMethint Specifies the transaction was executed manually via Confirm Hub.
1 - Manual Last Update Time LastUpdateTmUTCTimestamp 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. Cleared Indicator Clrdint Indicates whether the position or trade being reported was cleared through a clearing organization. 0 - Not cleared
1 - ClearedClearing Intention ClrIntnint Indicates whether or not the parties intend the trade to clear. 0 - Do not intend to clear
1 - Intend to clearClearing Requirement Exception ClrReqmtExcptnint Specifies 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 - ExceptionCollateralization TrdCollztnint Indication of trade collateralization. 0 - Uncollateralized
1 - Partially collateralized
2 - One-way collateralized
3 - Fully collateralizedDifferential Price DiffPxfloat Represents the differential price for spreads, or a TAS or TAM differental price.
Note: Not supported for CPC-entered Calendar Spreads.
Differential Price Type DiffPxTypint 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 legsOriginal Time Unit OrigTmUnitString Specifies 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 - YearTrading Quantity TrdgQtyQty 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. MarketDataTradeEntryID MDTrdEntrIDint Unique Trade Identifier that will match to a CME Globex order execution, associated market data message and STP messaging ConfirmHubTradeType CHTrdTypString Custom field to represent specific Confirm Hub Trade Types Fee Multiplier FeeMult Float Multiplier that Clearing (Fee system) will use to calculate fees and will be sent to the firms on their confirms. Clearing Transformation Type ClrTransTypint Indicates the type of Clearing Transformation that generated this Trade. 1- Exercise
2-Assignment
3-General Transformation
4-Delivery Transformation
5-Fungible
Contrary Instruction Indicator CntraryInstrctnIndBoolean Used to indicate when a contrary instruction for exercise or abandonment is being submitted Y-YES
N-NO
Option Exercise Time Frame OptExerTmFmint 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→ Root Party ID IDString Used to identify the Party. → Root Party ID Source Srcchar Used to identify the source of the Party. N - LEI → Root Party Role Rint Indicates the type or role of the Party. 73 - Execution Venue Instrument Instrmt PaymentGrp (repeating) Pmt UnderlyingInstrument (repeating) Undly PositionAmountData (repeating) Amt→ Amount Type TypString The 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→ Amount AmtAmt The position amount represented. → Amount Currency CcyString The currency associated with the position amount represented. TrdInstrmtLegGrp (repeating) TrdLegTrdCapRptSideGrp (repeating) RptSide -
Page:CME STP - TradeCaptureReportRequest - STP —
/TrdCaptRptReq
Name Abbr Datatype Description Enumerations Request ID ReqIDString Required identifier for the trade query or subscription request. Will be echoed back on the response. Trade ID TrdIDString Used to query for a specific Trade ID (TrdID). Secondary Trade ID TrdID2String Used to query for a specific Secondary Trade ID (TrdID2). Request Type ReqTypint Required. The type of trade request. The first query or subscription must specify matched trades (1). Subsequent requests for a query or subscription must specify unreported trades (3). 1 - Matched trades matching criteria provided on request (Parties, ExecID, TradeID, OrderID, Instrument, InputSource, etc.)
3 - Unreported trades that match criteriaSubscription Request Type SubReqTypchar Required. Used to differentiate between a Snapshot (0) e.g. a single query for trade state at a specific point in time, or a Snapshot + Updates (1), e.g. a subscription, which is an ongoing request for trades matching the subscription criteria. 0 - Snapshot
1 - Snapshot + Updates (Subscribe)Client Order ID ClOrdIDString Used to query for a specific Client Order ID (ClOrdID). Clear Date BizDtLocalMktDate Limits the subscription or query to a specific clearing business date. Multi Leg Reporting Type MLegRptTypchar Required. Used to indicate if trades are to be returned for the individual legs of a multi-leg instrument (2) or for the overall instrument (3). 2 - Individual leg of a multi-leg security
3 - Multi-leg securityInput Source InptSrcString Used to limit queries and subscriptions 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.
Start Time StartTmUTCTimestamp Indicates the starting time of the subscription or query. For a subscription, the default is to start at the current time. This field is required for a query. End Time EndTmUTCTimestamp Indicates the ending time of the query. StandardHeader Hdr→ Sender ID SIDString Identifies the entity which is sending the message. → Target ID TIDString Set to CME → MsgSeqNum SeqNumSeqNum (Can be embedded within encrypted data section.) → Sender Qualifier SSubString Assigned value used to identify specific message originator (user, etc.) → Target Qualifier TSubString Set to STP Parties (repeating) Pty→ Party ID IDString Used to identify the Party that is the subject of the subscription or query. Multiple Parties may be specified. Each Party ID must be in a separate Party (Pty) element. → Party Role Rint Indicates the type or role of the Party that is the subject of the subscription or query. Exactly one Party Role must be specified. 7 - Trading (Entering) Firm
30 - Inter Dealer Broker
49 - Asset ManagerInstrument Instrmt→ Product Code IDString Used to limit a subscription or query to a specific CME product, e.g. CL. → Security Type SecTypString Used to limit a subscription or query to a specific type of security. FRA - Forward Rate Agreement
FUT - Future
FWD - Forward
IRS - Interest Rate Swap
MLEG - Multi Leg (Combo)
OPT - Option
SWAPTION - Swaption→ Product Exchange ExchExchange Used to limit a subscription or query to a specific listing exchange. Required if Security ID is specified. 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 TradesTrdCapDtGrp (repeating) TrdCapDt→ Trade Date TrdDtLocalMktDate Limits the subscription or query to a specific trade date. Only one date may be specified. -
Page:CME STP - TradeCaptureReport - Instrument - STP —
/TrdCaptRpt/Instrmt
Name Abbr Datatype Description Enumerations Product Symbol SymString Symbol for a CME contract, e.g. CLX05. Product Code IDString Symbol for CME product, e.g. CL. Source of the Product Code SrcString Identifies the source of the Security ID. If it is not specified, the default of Clearing is used. H - Clearing House / Clearing Organization CFI Code CFIString Indicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. Security Type SecTypString Indicates 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
Index Or Single Name SubTypString For spreads, indicates the strategy type. Strategies/combos are available here. Contract Period Code MMYMonthYear Specifies the month and year of maturity.
YYYYMM (i.e. 201403)
YYYYMMDD (20140323)
YYYYMMwN (201403w1)Maturity Date Matdt LocalMktDate Date of maturity. Next Coupon Date CpnPmtLocalMktDate This is used to indicate the next date on which Coupon Premium is due. Strike Price StrkPxPrice Strike price for an option. Strike Multiplier StrkMultfloat Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value. Strike Index StrkNdxString Specifies the index used to calculate the strike price. Strike Index Location StrkNdxLctnString Location of the strike price index. UnderlyingPriceDeterminationMethod PxDtrmnMethint Specifies 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)Price Multiplier Multfloat Price multiplier used to convert the change in price (sell - buy) into P&L per contract. Unit Of Measure UOMString The 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 OffsetFEU - Forty foot equivalent unit
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)wt - Wet metric tons
Unit of Measure Currency UOMCcyCurrency Indicates the currency of the unit of measure. Conditionally required when UnitOfMeasure = Ccy. Unit of Measure Quantity UOMQtyQty Contract's defined quantity, used to calculate total traded notional quantity. Price Unit of Measure PxUOMString The Unit of measure of the quoted Price. For example it is USD for a Eurodollar contract. Alw - Allowances
Bbl - Barrels
Bcf - Billion cubic feet
Bu - Bushels
Gal - Gallons
MMBtu - One Million BTU
MMbbl - Million Barrels
MWh - Megawatt hours
USD - US Dollars
lbs - pounds
oz_tr - Troy Ounces
t - Metric Tons (aka Tonne)
tn - Tons (US)Settlement Method SettlMethchar Settlement method for a contract. Can be used as an alternative to CFI Code value C - Cash settlement required
E - Election at exercise
P - Physical settlement requiredExercise Style ExerStyleint Type of exercise of a derivatives security 0 - European
1 - American
2 - BermudaPut Or Call PutCallint Indicates whether an option contract is a put or call. 0 - Put
1 - CallProduct Exchange ExchExchange The 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 ExchangeFXS - 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 TradesPrice Quote Currency PxQteCcyCurrency The currency in which the price is quoted. Instrument Security Description desc String Long name description of the instrument symbol (product name). SecAltIDGrp (repeating) AID→ Alternate Identifier AltIDString The value of the alternate security identifier. → Alternate Identifier Source AltIDSrcString The source of the alternate security identifier. 112 - TAM Marker Price Symbol
N - Markit RED entity CLIP
P - Markit RED pair CLIPSecurityXML SecXML→ FpML FpMLEvntGrp (repeating) Evnt→ Product Event Type EventTypint Code to represent the type of event 13 - First Delivery Date
111 - Unadjusted Next Coupon Date
112 - Unadjusted Previous Coupon Date
113 - Unadjusted Previous Previous Coupon Date
121 - Fixing Date→ Product Event Date DtLocalMktDate Date of event OptionExercise OptExer→ OptionExerciseDates Dts→→ Option Exercise Frequency Period FreqPeriodint Time unit multiplier for the frequency of exercise dates. If present OptionExerciseFrequencyUnit(tbd) must be specified. →→ OptionExerciseFrequencyUnit FreqUnitString Time unit associated with the frequency of exercise dates. If present OptionExerciseFrequencyPeriod(tbd) must be specified. D - Day
Mo - Month
Wk - Week
Yr - YearStreamGrp (repeating) Strm -
Page:CME STP - TradeCaptureReport - InstrumentLeg - STP —
/TrdCaptRpt/TrdLeg/Leg
Name Abbr Datatype Description Enumerations Leg Symbol SymString Symbol for a leg, which is a CME contract, e.g. CLX05. Leg Product Code IDString Leg symbol for CME product, e.g. CL. Leg Product ID Source SrcString Identifies the source of the leg's Security ID. If it is not specified, the default of Clearing is used. H - Clearing House / Clearing Organization Leg CFI CFIString Indicates the type of leg security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. Leg Security Type SecTypString Indicates type of instrument or security for this leg. FUT - Future
FWD - Forward
MLEG - Multi Leg (Combo)
OPT - OptionLeg Maturity MMYMonthYear Specifies the month and year of maturity of this leg.
YYYYMM (i.e. 201403)
YYYYMMDD (20140323)
YYYYMMwN (201403w1)Leg Maturity Date Mat LocalMktDate Multileg instrument's individual securitys MaturityDate. Leg Strike Price StrkPrice Strike price for a leg that is an option. Leg Contract Multiplier Multfloat Price multiplier used to convert the change in price (sell - buy) into P&L per contract leg. Leg Unit of Measure UOMString The 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 OffsetFEU - Forty foot equivalent unit
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)wt - Wet metric tons
Leg Unit of Measure Quantity UOMQtyQty Contract's defined quantity, used to calculate total traded notional quantity per spread leg. Leg Unit of Measure Currency UOMCcyCurrency Currency of the leg unit of measure. Conditionally available when UOM=Ccy. Will be populated where appropriate. Leg Product Exchange ExchExchange 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 TradesLeg Security Description Desc string Multileg instrument's individual security's SecurityDesc. Leg Buy Sell Code Sidechar Indicates the side of this leg within the spread or strategy. 1 - Buy
2 - SellLeg Put Or Call PutCallint Indicates whether a leg that is an option contract is a put or call. 0 - Put
1 - CallLeg Settlement Method SettlMeth string Settlement method for a contract. Can be used as an alternative to CFI Code value. LegSecAltIDGrp (repeating) LegAID→ Leg Security Alternate ID SecAltIDString Alternate Security identifier value for this security of SecurityAltIDSource type (e.g. CUSIP, SEDOL, ISIN, etc). → Leg Security Alternate ID Source SecAltIDSrcString Identifies class or source of the LegSecurityAltID value. Required if LegSecurityAltID is specified. 112 - TAM Marker Price Symbol -
Page:CME STP - TradeCaptureReport - CommissionDataGrp - STP —
/TrdCaptRpt/RptSide/CommData
Name Abbr Datatype Description Enumerations Commission Basis Basisint Indicates the method used to calculate broker fees. 1 - Per Unit (implying shares, par, currency, etc.)
2 - Percent
8 - Amount per contractCommission Amount AmtAmt The total commission amount. Commission Amount Type Typint Type of Commission. Value = 0. Commission Currency CcyCurrency Currency of broker fees. Default is USD. Commission Unit of Measure UOMString Unit 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 OffsetFEU - Forty foot equivalent unit
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)wt - Wet metric tons
Commission Unit of Measure Currency UOMCcyCurrency Unit of measure currency for computing the broker fees. Used when Unit of Measure = Ccy. Commission Rate Rtfloat Rate used to calculate broker fees. For example, $1 per contract, or $0.01 per barrel. Commission Leg Ref ID LegRefID String Trade 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 - Standard Header —
Standard Header for Request and Submissions
Name
Abbr Datatype Description
Enumerations
Sender ID
SID String This attribute identifies the party or the Submitter of the message. The value is assigned by CME.
XPath
/FIXML/TrdCaptRpt/Hdr/@SID
SENDER
Sender Qualifier
SSub String This attribute qualifies the Sender. The user ID assigned to the sender must be provided in all uppercase letters.
XPath
/FIXML/TrdCaptRpt/Hdr/@SSub
USER123
Target ID
TID String This attribute identifies the receiver of the message. This must be set to CME.
XPath
/FIXML/TrdCaptRpt/Hdr/@TID
CME
Target Qualifier
TSub String This qualifies the receiver of the message.
XPath
/FIXML/TrdCaptRpt/Hdr/@TSub
STP
Standard Header for Responses
Name
Abbr Datatype Description
Enumerations
Sender ID
SID String This attribute identifies the party or the Submitter of the message. This is set to CME.
XPath
/FIXML/TrdCaptRpt/Hdr/@SID
CME
Sender Qualifier
SSub String This attribute qualifies the Sender.
XPath
/FIXML/TrdCaptRpt/Hdr/@SSub
STP
Target ID
TID String This attribute identifies the receiver of the message. This could be a Platform or any other valid Trading entity. This value is pre-assigned by CME.
XPath
/FIXML/TrdCaptRpt/Hdr/@TID
TARGET
Target Qualifier
TSub String This qualifies the receiver of the message. This is set to the UserID of the Sender.
XPath
/FIXML/TrdCaptRpt/Hdr/@TSub
USER123
-
Page:CME STP - TradeCaptureReport - TrdInstrmtLegGrp - STP —
/TrdCaptRpt/TrdLeg (repeating)
Name Abbr Datatype Description Enumerations Leg Order Quantity OrdQtyQty Quantity ordered for this leg as provided during order entry. Leg Report ID RptIDString This represents the report ID for the leg as generated by the clearing system Leg Number LegNoint A number identifying the leg within a strategy or spread. When reporting a USI or UTI, the field LegRefID will reference this number. Leg Reference ID RefIDString A unique Trade ID generated by the clearing system for this leg. Leg Last Price LastPxPrice Used to report the trade price or execution price assigned to the leg of the strategy or spread instrument. Leg Price Type PxTypint Indicates 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 priceLegPriceSubType PxSubTypint This is a further qualification of the Price Type, and determines whether this is an initial (preliminary) or final price. 0 - Initial Price
1 - Final PriceLeg Original Time Unit OrigTmUnitString Specifies 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 - YearLegDifferentialPrice DiffPxPriceOffset Represents the differential price for spreads, or a TAS or TAM differental price. LegDifferentialPriceType DiffPxTypint This indicates the type of differential price represented in the Differential Price attribute. 0 - Differential from SettlementPrice Leg Trading Quantity TrdgQtyQty Leg 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. Leg Quantity Qty Qty Quantity ordered for this leg. InstrumentLeg LegTradeCapLegUnderlyingsGrp (repeating) Undlys→ UnderlyingLegInstrument Undly→→ Leg Underlying Product Code IDString Used as the primary identifier for the leg's underlying instrument. →→ Leg Underlying Product Code Source SrcString Identifies the source of the leg's underlying instrument. H - Clearing House / Clearing Organization →→ Leg Underlying Security Type SecTypString Used to indicate the type of the leg's underlying security being reported. FUT - Future
FWD - Forward
MLEG - Multi Leg (Combo)→→ Leg Underlying Maturity MMYMonthYear The expiration period code of the leg's underlying instrument.
YYYYMM (i.e. 201403)
YYYYMMDD (20140323)
YYYYMMwN (201403w1)→→ Leg Underlying Product Exchange ExchString 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 TradesLegPositionAmountData (repeating)
Amt
→ Leg Position Amount AmtAmt Used to capture the FX premium amount. → Leg Position Amount Type TypString The 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→ Leg Position Amount Currency CcyCurrency The currency of the amount specified. -
Page:CME STP - TradeCaptureReport - TrdCapRptSideGrp - STP —
/TrdCaptRpt/RptSide (repeating)
Name Abbr Datatype Description Enumerations Buy Sell Code Sidechar The side of the trade. 1 - Buy
2 - SellSecondary Client Order ID ClOrdID2String A secondary or an addiional qualifier for the order assigned by the side. Client Order ID ClOrdIDString Unique identifier assigned for the trade side. Side Currency CcyCurrency Used to identify the currency of the trade side. Will not be present for IRS/FRA trades. Input Source InptSrcString The original system from which the trade originated. CME Clearing will treat this as a pass through field on cleared trade confirmations. CTI CustCpctyint The customer capacity for this trade 1 - Member trading for their own account
2 - Clearing Firm trading for its proprietary account
3 - Member trading for another member
4 - All otherFree Form Text TxtString May be used by the executing market to record any execution Details that are particular to that market Allocation Indicator AllocIndint Identifies if the trade is marked for allocation. 0 - Allocation not required
1 - Allocation required (give-up trade) allocation information not provided (incomplete)
2 - Use allocation provided with the trade
3 - Allocation give-up executor
4 - Allocation from executor
5 - Allocation to claim account
100 - SGX OffsetAverage Pricing Indicator AvgPxIndint Indicates if the trade is marked for average pricing allocation. 0 - No Average Pricing
1 - Trade is part of an average price group identified by the SideAvgPxGroupIDAggressorIndicator AgrsrIndBoolean Used to identify whether the order initiator is an aggressor or not in the trade.
- Y = Order initiator is aggressive
- N = Order initiator is passive
Original Platform Side ID OrigTrdIDString Ties the trade back to one of the report sides of the IRS trade submission. (IRS Trades Only) Strategy Link ID StrategyLinkIDString Unique ID linking all individual legs of a spread or strategy together. It can also link individual legs to the parent multi-leg trade. Secondary Allocation Group ID GrpID2String Indicates the clearing assigned identifier used for the allocation group. This links trades marked for allocation that are part of the same group, as well as offset trades once allocations from that group are claimed. OrderID OrdID String Unique identifier for Order as assigned by sell-side (broker, exchange, ECN). Uniqueness must be guaranteed within a single trading day. Firms which accept multi-day orders should consider embedding a date within the OrderID field to assure uniqueness across days. Customer Order Handling Instruction CustOrdHdlInst String Defines source of original order. Compression Group ID CmprsnGrpID
String Use to identify a netting or compression group where trades in the group were netted or compressed. This includes both terminating trades and any remnant trades that result from the operation. Memo Mem String Free format text field. Supported as follows, depending on source:
- CME Globex: Supported for all Globex-entered trades.
- CME Direct: Supports the Memo field value for the non-alleged counterparty when there is an allege and a claim. If both sides allege, then the Memo field is supported on both sides.
- CME ClearPort GUI: Supports the Memo field value for the non-alleged counterparty.
- CME ClearPort API:
- For single-sided submissions, supports the Memo field value for the non-alleged counterparty when there is an allege and a claim. If both sides allege, then the Memo field is supported on both sides.
- For dual-sided submissions, the Memo field supported on either or both sides, depending on the API submission. A note can be submitted for buy side and the sell side, and they can be different notes.
Parties (repeating) Pty→ Party ID IDString Used to identify the Party. → Party ID Source Srcchar Used to identify the source of PartyID value. C - Generally accepted market participant identifier
D - Proprietary/Custom code
H - Clearing house participant/member code
N - LEI→ Party Role Rint Indicates the type or role of the Party. Note: A FIX "Executing Firm" is a CME Group "Clearing Trade Management Firm" 1 - Executing Firm (CME Globex)
4 - Clearing Firm
7 - Trading (Entering) Firm
12 - Executing Trader (associated with Executing Firm - actually executes)
21 - Clearing Organization
22 - Exchange
24 - Customer Account
30 - Inter Dealer Broker
36 - Entering trader
44 - Order Entry Operator ID (conveys GUS - Globex User Signature)
49 - Asset Manager
55 - Session ID
62 - Report originator
73 - Execution Venue
102 - Data Repository (e.g. SDR)1001 - Trading Member Firm
→ PtysSubGrp (repeating) Sub→→ Party Qualifier ID IDString A Sub ID provides additional information about the Party. For example, the account origin would be specified when Typ = 26. →→ Party Qualifier Type Typint Indicates the type of Party Sub ID. 5 - Full legal name of firm
9 - Contact name
26 - Account type or OriginSideRegulatoryTradeIDGrp (repeating) RegTrdIDCommissionDataGrp CommDataSideTrdRegTS (repeating) TrdRegTS→ Timestamp TSUTCTimestamp Used to send a regulatory timestamp. Will not be present for IRS/FRA trades.
- Timestamp will be sent in UTC+0 format.
- Timestamp will be in nanosecond format; will be populated with the maximum available precision and padded with zeros to 9 digits after the decimal point as needed.
Example:
2019-09-25T07:44:05.761123456
→ Timestamp Type Typint Indicates the type of regulatory timestamp. 1 - Execution Time RelatedTradeGrp ReltdTrd→ Related Trade ID IDString Identifier of a related trade. This is used to link trades together for IRS netting and blending. → Related Trade ID Source Srcint Describes the source of the identifier that Related Trade ID represents. 2 - Secondary trade ID -
Page:CME STP - TradeCaptureReport - PaymentGrp - STP —
/TrdCaptRpt/Pmt (repeating)
Name Abbr Datatype Description Enumerations Payment Type Typint Type of payment. 10 - Option premium Payment Pay Side PaySideint Side value of party paying the payment. 1 - Buy
2 - SellPayment Receive Side RcvSideint Side value of party receiving the payment. 1 - Buy
2 - SellPayment Currency CcyCurrency Specifies the currency in which PaymentAmount(tbd) and/or PaymentRate(tbd) is denominated. Uses ISO 4271 currency codes. Payment Amount AmtAmt The total payment amount. Payment Date Adjusted Dt LocalMktDate Adjusted Payment date. -
Page:CME STP - TradeCaptureReport - UnderlyingInstrument - STP —
/TrdCaptRpt/Undly (repeating)
Name Abbr Datatype Description Enumerations Underlying Symbol Sym String Underlying security's Symbol. [N/A] when TrdCaptRpt/Undly/@Sym in FIXML is absent or empty. UnderlyingSymbolSfx Sfx String Underlying security's SymbolSfx - additional details about the symbol. - 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
Underlying Product Code IDString Used as the primary identifier for the underlying instrument. Underlying Product Code Source SrcString Identifies the source of the underlying instrument. H - Clearing House / Clearing Organization Underlying Security Type SecTypString Used to indicate the type of underlying security being reported. CMDTYSWAP - Commodity Swap
FUT - Future
FWD - Forward
MLEG - Multi Leg (Combo)Underlying Maturity MMYMonthYear The expiration period code of an underlying instrument.
YYYYMM (i.e. 201403)
YYYYMMDD (20140323)
YYYYMMwN (201403w1)Underlying Product Exchange ExchExchange 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 TradesUnderlyingStreamGrp (repeating) Strm -
Page:CME STP - TradeCaptureReport - StreamGrp - STP —
/TrdCaptRpt/Instrmt/Strm (repeating)
Name Abbr Datatype Description Enumerations Stream Type Typint Type of swap stream. 0 - Payment / cash settlement
1 - Physical deliveryStream Pay Side PaySideint Side value of party paying the stream. 1 - Buy
2 - SellStream Receive Side RcvSideint Side value of party receiving the stream. 1 - Buy
2 - SellStream Notional NotlAmt Notional, or initial notional value for the payment stream. Use <PaymentSchedule> for steps. Stream Notional Frequency Period NotlPeriodint Time unit multiplier for the notional frequency. If present StreamNotionalFrequencyUnit(tbd) must be specified. Stream Notional Frequency Unit NotlUnitString Time 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 - YearStream Notional Unit of Measure NotlUOMString Stream notional UOM. AUD - Australian Dollars
Alw - Allowances
BDFT - Board feet
BRL - Brazil Real
Bbl - Barrels
Bcf - Billion cubic feet
Bu - Bushels
CAD - Canadian Dollars
CBM - Cubic Meters
CER - Certified Emissions Reduction
CHF - Swiss Franc
CLP - Chilean Peso
CNY - Chinese Renminbi
COP - Colombian Pesos
CRT - Climate Reserve Tonnes
CZK - Czech Koruna
Ccy - Amount of currency
DEM - Deutsche Mark
ESP - Spanish Peseta
EUR - Euro
FRF - French Franc
GBP - British Pound
GJ - Gigajoules
Gal - Gallons
HUF - Hungarian Forint
ILS - Israel Shekel
IPNT - Index point
ITL - Italian Lira
JPY - Japanese Yen
KRW - Korean Won
MMBtu - One Million BTU
MMbbl - Million Barrels
MWh - Megawatt hours
MXN - Mexican Peso
MYR - Malaysia Ringgits
NOK - Norway Krone
NZD - New Zealand Dollars
PLN - Polish Zloty
PRINC - Principal with relation to debt instrument
RCER - Relevant Certified Emission Reduction
RUB - Russian Ruble
SEK - Swedish Kroner
TRY - Turkish Lira
USD - US Dollars
ZAR - South African Rand
cwt - Hundredweight (US)
day - Days
dt - Dry metric tons
g - Grams
lbs - pounds
oz_tr - Troy Ounces
t - Metric Tons (aka Tonne)
tn - Tons (US)Stream Total Notional TotNotlQty Total notional or delivery quantity over the term of the contract. Stream Total Notional Unit of Measure TotNotlUOMString Stream total notional UOM. AUD - Australian Dollars
Alw - Allowances
BDFT - Board feet
BRL - Brazil Real
Bbl - Barrels
Bcf - Billion cubic feet
Bu - Bushels
CAD - Canadian Dollars
CBM - Cubic Meters
CER - Certified Emissions Reduction
CHF - Swiss Franc
CLP - Chilean Peso
CNY - Chinese Renminbi
COP - Colombian Pesos
CRT - Climate Reserve Tonnes
CZK - Czech Koruna
Ccy - Amount of currency
DEM - Deutsche Mark
ESP - Spanish Peseta
EUR - Euro
FRF - French Franc
GBP - British Pound
GJ - Gigajoules
Gal - Gallons
HUF - Hungarian Forint
ILS - Israel Shekel
IPNT - Index point
ITL - Italian Lira
JPY - Japanese Yen
KRW - Korean Won
MMBtu - One Million BTU
MMbbl - Million Barrels
MWh - Megawatt hours
MXN - Mexican Peso
MYR - Malaysia Ringgits
NOK - Norway Krone
NZD - New Zealand Dollars
PLN - Polish Zloty
PRINC - Principal with relation to debt instrument
RCER - Relevant Certified Emission Reduction
RUB - Russian Ruble
SEK - Swedish Kroner
TRY - Turkish Lira
USD - US Dollars
ZAR - South African Rand
cwt - Hundredweight (US)
day - Days
dt - Dry metric tons
g - Grams
lbs - pounds
oz_tr - Troy Ounces
t - Metric Tons (aka Tonne)
tn - Tons (US)StreamCommodity Cmdty→ Stream Commodity Base BaseString Specifies the general base type of the commodity traded. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions. → Stream Commodity Description DescString Description of the commodity asset. → StreamAssetAttributeGrp (repeating) AssetAttrb→→ Stream Asset Attribute Type TypString Name of the attribute being specified. AdjustmentFallback - (Weather) When value is "Y" it indicates that adjustment to the fallback weather station is appropriate.
AlternateProvider - (Weather) When value is "Y" it indicates that an alternate data provider is acceptable.
ApplicableLaw - (Environmental) For U.S. Emissions Allowance Transactions used to specify the applicable emissions law when this is not defined in Emissions Product Definitions Exhibit.
Ash - The ash content of the coal product.
AshFusionTemperature - The temperature at which the ash form of the coal product fuses completely in accordance with the ASTM International D1857 Standard Test Methodology.
BTUQualityAdjustment - (Coal) The Quality Adjustment formula to be used where the Actual Shipment BTU/Lb value differs from the Standard BTU/Lb value. See values at URL: http://www.fpml.org/coding-scheme/commodity-coal-quality-adjustments.
BTUperLB - The number of British Thermal Units per Pound of the coal product.
BrandCountry - (Metal) Country where brand is produced.
BrandManager - (Metal) Brand name manager.
BrandName - (Metal) Brand name.
BrandProducer - (Metal) Producer of brand.
CalorificValue - The calorific value of the gas to be delivered specified in megajoules per cubic meter.
ComplianceEndYear - (Environmental) For E.U. Emissions Allowance Transactions describes the specified compliance period end year for which the allowances are issued.
ComplianceStartYear - (Environmental) For E.U. Emissions Allowance Transactions describes the specified compliance period start year for which the allowances are issued.
DeliveryMethod - Tanker, Barge, Pipeline, etc.
DeliveryPoint - Physical delivery point
DeliveryQuality - (Electricity) 0 = Not firm, 1 = Firm
EEPApplicable - (Environmental) If Excess Emission Penalty is specified to be applicable in the confirmation then the Excess Emission Penalty will be determined in the manner specified in the confirmation.
EEPEquivalentApplicable - (Environmental) When value is "Y" the EEP Equivalent is applicable. See Part [7] definition of EEP Equivalent.
EEPPenaltyApplicable - (Environmental) When value is "Y" the Excess Emissions Penalty. is applicable. See Part [7] definition of Excess Emissions Penalty.
EEPRiskEndDate - (Environmental) Enddd date used to determine how provisions in Part [7] Page 7 (B) Failure to Deliver Not Remedied are to be applied.
EEPRiskStartDate - (Environmental) Start date used to determine how provisions in Part [7] Page 7 (B) Failure to Deliver Not Remedied are to be applied.
EmissionsYear - Year for emissions trading, i.e. 'Vintage'
FailureToDeliverApplicable - (Environmental) For EU Emissions Allowance Transactions holds the failure to deliver (alternative method) election. Used to determine how provisions in Part [7] Page 7 (B) Failure to Deliver Not Remedied are to be applied.
FinalEditedData - (Weather) When value is 'Y' it indicates that provider's data is final.
FinesPassingScreen -
Fluid - The temperature at which the ash cone flattens.
Grade - Grade of the commodity to be delivered, e.g. of oil or of refined product.
Grindability - The Hardgrove Grindability Index value of the coal to be delivered.
InitialDeformation - The temperature at which an ash cone shows evidence of deformation.
LoadShapeForced - When value is "Y" it indicates that the electrical load settlement shape is forced.
Moisture - The moisture content of the coal product.
Quality - The quality of the gas to be delivered.
QualityVariationAdjustment - When value is "Y" Quality Variation Adjustment is applicable.
SCoTASpecification - When value is "Y" type and source of coal refer to global SCoTA specifications.
SO2 - The sulphur dioxide content of the coal product.
SO2QualityAdjustment - (Coal) The Quality Adjustment formula to be used where the Actual Shipment SO2/MMBTU value differs from the Standard SO2/MMBTU value. See values at URL: http://www.fpml.org/coding-scheme/commodity-coal-quality-adjustments.
SchemeAbandonment - (Environmental) For U.S. Emissions Allowance Transactions specifies terms which apply in the event of an abandonment of scheme event.
Shape - (Metal) Shape.
SofteningHeightHalfWidth - The temperature at which the height of an ash cone equals half its width. (Hemisphere temperature).
SofteningHeightWidth - The temperature at which the height of an ash cone equals its width. (Softening temperature).
SpecialCondition - Free-form description of condition
Sulphur - The sulphur content of the coal product.
SynopticFallback - When value is "Y" it indicates that synoptic data fallback is acceptable.
TopSize - The smallest sieve opening that will result in less than 5% of a sample of the coal product remaining.
TrackingSystem - (Environmental) For U.S. Emissions Allowance Transactions used to specify the tracking system when this is not defined in Emissions Product Definitions Exhibit.
TransferTerms - Terms for physical transfer
Volatile - The volatile content of the coal product.
Voltage - The voltage of the electricity to be delivered.→→ Stream Asset Attribute Value ValString Value of the attribute → StreamCommoditySettlementPeriodGrp (repeating) SettlPeriod→→ Stream Commodity Settlement Time Zone TZString Commodity delivery timezone specified as prevailing rather than standard or daylight . E.g. CPT for Central (US) Prevailing Time. →→ Stream Commodity Settlement Flow Type FlowTypint Commodity delivery flow type. 0 - All times
1 - On-peak
2 - Off-peak
3 - Base
4 - Block hours
5 - Other→→ Stream Commodity Settlement Holidays Processing Instruction Holidaysint Indicates whether holidays are included in the settlement periods. Required for electricity contracts. 0 - Do not include holidays
1 - Include holidaysStreamEffectiveDate EfctvDt→ Adjusted Effective Date DtLocalMktDate Adjusted effective date. StreamTerminationDate TrmtnDt→ Adjusted Termination Date DtLocalMktDate Adjusted Termination Date. PaymentStream PmtStrm→ PaymentStreamPaymentDates PmtDts→→ Payment Stream Payment Frequency Period FreqPeriodint The period of frequency of payments. →→ Payment Stream Payment Frequency Unit FreqUnitString The unit of frequency of payments. D - Day
Mo - Month
T - Term
Wk - Week
Yr - Year→ PaymentStreamFixedRate Fixed→→ Rate RtPercentage Rate if the payment stream is a fixed rate stream. →→ Rate or Amount Currency CcyCurrency Specifies the currency in which PaymentStreamFixedAmount(40785) or PaymentStreamRate(40784) is denomincated. Uses ISO 4271 currency codes. → PaymentStreamFloatingRate Float→→ Floating Rate Index NdxString Floating Rate Index. →→ Floating Rate Index Location NdxLctnString Specifies the location of the floating rate index. →→ Floating Rate Multiplier RtMultfloat A 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. →→ Floating Rate Spread SpreadPriceOffset Spread from floating rate index. DeliveryStream DlvryStrm→ Delivery Point DlvryPntString The 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 → Delivery Restriction DlvryRstctnint Specifies 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 with Liquidating Damages
102 - WSPP Schedule C Firm with Liquidating Damages -
Page:CME STP - TradeCaptureReport - SideRegulatoryTradeIDGrp - STP —
/TrdCaptRpt/RptSide/RegTrdID (repeating)
Name Abbr Datatype Description Enumerations Side Regulatory Trade ID IDString Regulatory 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. Side Regulatory Trade ID Source SrcString ID of reporting entity assigned by regulatory agency. Side Regulatory Trade ID Event Evntint Event causing origination of the ID, e.g. Clearing. 2 - Clearing Side Regulatory Trade ID Type Typint The type of Regulatory Trade ID being sent. 0 - Current (the default) Side Regulatory Leg Reference ID LegRefIDString When 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. Side Regulatory Trade ID Scope Scopeint Included 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 - TradeCaptureReportRequestAck - STP —
/TrdCaptRptReqAck
Name Abbr Datatype Description Enumerations Request ID ReqIDString The identifier for the trade query or subscription request. Echoes back the value submitted on the request. Request Type ReqTypint The type of trade request. Echoes back the value submitted on the request. 1 - Matched trades matching criteria provided on request (Parties, ExecID, TradeID, OrderID, Instrument, InputSource, etc.)
3 - Unreported trades that match criteriaSubscription Request Type SubReqTypchar Used to differentiate query and subscription requests. Echoes back the value submitted on the request. 0 - Snapshot
1 - Snapshot + Updates (Subscribe)Request Result ReqRsltint Result of Trade Request. 1 - Invalid or unknown instrument
2 - Invalid type of trade requested
3 - Invalid parties
9 - Not authorized
99 - OtherRequest Status ReqStatint Status of Trade Request. 2 - Rejected Text TxtString Indicates the reason the request was rejected. StandardHeader Hdr→ Sender ID SIDString Identifies the entity which is sending the message. Always CME. → Target ID TIDString Identifies the entity to whom the message is being sent. This echoes the SID sent on the request. → MsgSeqNum SeqNumSeqNum (Can be embedded within encrypted data section.) → Sender Qualifier SSubString Assigned value used to identify specific message originator. Always set to STP. → Target Qualifier TSub String Assigned value used to identify specific message recipient (user, etc.) This echoes the SSub sent on the request. -
Page:CME STP - Standard Header for BrokerTec Trades —
Standard Header for Request and Submissions
Field Name
FIXML Attribute Name Data Type Description
Supporting Values
Sender ID
SID String This attribute identifies the party or the Submitter of the message. The value is assigned by CME.
XPath
/FIXML/TrdCaptRpt/Hdr/@SID
SENDER
Sender Qualifier
SSub String This attribute qualifies the Sender. The user ID assigned to the sender must be provided in all uppercase letters.
XPath
/FIXML/TrdCaptRpt/Hdr/@SSub
USER123
Target ID
TID String This attribute identifies the receiver of the message. This must be set to CME.
XPath
/FIXML/TrdCaptRpt/Hdr/@TID
CME
Target Qualifier
TSub String This qualifies the receiver of the message.
XPath
/FIXML/TrdCaptRpt/Hdr/@TSub
STP
Standard Header for Responses
Field Name
FIXML Attribute Name Data Type Description
Supporting Values
Sender ID
SID String This attribute identifies the party or the Submitter of the message. This is set to CME.
XPath
/FIXML/TrdCaptRpt/Hdr/@SID
CME
Sender Qualifier
SSub String This attribute qualifies the Sender.
XPath
/FIXML/TrdCaptRpt/Hdr/@SSub
STP
Target ID
TID String This attribute identifies the receiver of the message. This could be a Platform or any other valid Trading entity. This value is pre-assigned by CME.
XPath
/FIXML/TrdCaptRpt/Hdr/@TID
TARGET
Target Qualifier
TSub String This qualifies the receiver of the message. This is set to the UserID of the Sender.
XPath
/FIXML/TrdCaptRpt/Hdr/@TSub
USER123