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Use the filters below to query the CME STP FIXML message specification by Name, Abbr, and Datatype.

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 - TradeCaptureReportRequestAck - STP

    /TrdCaptRptReqAck

    NameAbbrDatatypeDescriptionEnumerations
    Request ID ReqID StringThe identifier for the trade query or subscription request. Echoes back the value submitted on the request.
    Request Type ReqTyp intThe 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 criteria

    Subscription Request Type SubReqTyp charUsed to differentiate query and subscription requests. Echoes back the value submitted on the request.0 - Snapshot

    1 - Snapshot + Updates (Subscribe)

    Request Result ReqRslt intResult of Trade Request.1 - Invalid or unknown instrument

    2 - Invalid type of trade requested

    3 - Invalid parties

    9 - Not authorized

    99 - Other

    Request Status ReqStat intStatus of Trade Request.2 - Rejected

    Text Txt StringIndicates the reason the request was rejected.
    StandardHeader Hdr
    → Sender ID SID StringIdentifies the entity which is sending the message. Always CME.
    → Target ID TID StringIdentifies the entity to whom the message is being sent. This echoes the SID sent on the request.
    → MsgSeqNum SeqNum SeqNum(Can be embedded within encrypted data section.)
    → Sender Qualifier SSub StringAssigned value used to identify specific message originator. Always set to STP.
    → Target QualifierTSubStringAssigned value used to identify specific message recipient (user, etc.) This echoes the SSub sent on the request.
  • Page:
    CME STP - TradeCaptureReport - Instrument - STP

    /TrdCaptRpt/Instrmt

    NameAbbrDatatypeDescriptionEnumerations
    Product Symbol Sym StringSymbol for a CME contract, e.g. CLX05.
    Product Code ID StringSymbol for CME product, e.g. CL.
    Source of the Product Code Src StringIdentifies the source of the Security ID. If it is not specified, the default of Clearing is used.H - Clearing House / Clearing Organization

    CFI Code CFI StringIndicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values.
    Security Type SecTyp StringIndicates 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 SubTyp StringFor spreads, indicates the strategy type.Strategies/combos are available here.
    Contract Period CodeMMY MonthYearSpecifies the month and year of maturity.
    YYYYMM (i.e. 201403)
    YYYYMMDD (20140323)
    YYYYMMwN (201403w1)

    Maturity DateMatdtLocalMktDateDate of maturity.
    Next Coupon DateCpnPmt LocalMktDateThis is used to indicate the next date on which Coupon Premium is due.
    Strike Price StrkPx PriceStrike price for an option.
    Strike Multiplier StrkMult floatUsed for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.
    Strike Index StrkNdx StringSpecifies the index used to calculate the strike price.
    Strike Index Location StrkNdxLctn StringLocation of the strike price index.
    UnderlyingPriceDeterminationMethod PxDtrmnMeth intSpecifies 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 Mult floatPrice multiplier used to convert the change in price (sell - buy) into P&L per contract.
    Unit Of Measure UOM StringThe 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)

    Unit of Measure Currency UOMCcy CurrencyIndicates the currency of the unit of measure. Conditionally required when UnitOfMeasure = Ccy.
    Unit of Measure Quantity UOMQty QtyContract's defined quantity, used to calculate total traded notional quantity.
    Price Unit of Measure PxUOM StringThe 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 SettlMeth charSettlement 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

    Exercise Style ExerStyle intType of exercise of a derivatives security0 - European

    1 - American

    2 - Bermuda

    Put Or CallPutCall intIndicates whether an option contract is a put or call.0 - Put

    1 - Call

    Product Exchange Exch ExchangeThe 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

    Price Quote Currency PxQteCcy CurrencyThe currency in which the price is quoted.
    Instrument Security DescriptiondescStringLong name description of the instrument symbol (product name).
    SecAltIDGrp (repeating) AID
    → Alternate Identifier AltID StringThe value of the alternate security identifier.
    → Alternate Identifier Source AltIDSrc StringThe source of the alternate security identifier.112 - TAM Marker Price Symbol

    N - Markit RED entity CLIP

    P - Markit RED pair CLIP

    SecurityXML SecXML
    → FpML FpML
    EvntGrp (repeating) Evnt
    → Product Event Type EventTyp intCode to represent the type of event13 - 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 Dt LocalMktDateDate of event
    OptionExercise OptExer
    → OptionExerciseDates Dts
    →→ Option Exercise Frequency Period FreqPeriod intTime unit multiplier for the frequency of exercise dates. If present OptionExerciseFrequencyUnit(tbd) must be specified.
    →→ OptionExerciseFrequencyUnit FreqUnit StringTime unit associated with the frequency of exercise dates. If present OptionExerciseFrequencyPeriod(tbd) must be specified.D - Day

    Mo - Month

    Wk - Week

    Yr - Year

    StreamGrp (repeating) Strm


  • Page:
    CME STP - TradeCaptureReport - STP

    /TrdCaptRpt

    NameAbbrDatatypeDescriptionEnumerations
    Message ID RptID StringIdentifies 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 TrdID StringTrade 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 TrdID2 StringUsed to carry a secondary trade ID. Unlike TrdID, this is unique across all trade dates and all clearing firms.
    Package ID PackageID StringA value that identifies the group of trades or a portfolio of trades cleared simultaneously under the one Package ID.
    Transaction Type TransTyp intIndicates 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 - Replace

    Trade Report Type RptTyp intIndicates the purpose of the trade within the workflow and determines the action of the receiver of the trade.101 - Notification

    Trade Status TrdRptStat intIndicates the status of the trade in clearing.0 - Accepted

    7 - Terminated

    Request ID ReqID StringRequest ID returns the same value sent on the Trade Capture Report Request.
    Trade Type TrdTyp intSpecifies 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

    Trade Sub Type TrdSubTyp intThis 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

    42 - Auction Trade

    43 - TAM - Traded at marker

    48 - Multilateral Compression

    200 - Delivery Transfer

    Offset Instruction OfstInst intIndicates offset or onset due to allocation.0 - Offset

    1 - Onset

    Transfer Reason TrnsfrRsn StringReason 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 Transfer (OCC)

    Trade Match ID MtchID StringTrade 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 ExecID StringExchange 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 ExecID2 StringThis is used to communicate the execution ID of the originating platform, e.g. the ClearPort execution ID.
    Block ID BlckID StringContains the platform-assigned block ID for the trade.
    Price Type PxTyp intIndicates 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

    Venue Type VenuTyp charIdentifies 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

    Quantity Type QtyTyp intIndicates 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 term

    Trade Quantity LastQty QtyThe quantity of the trade.
    Trade Price LastPx PriceThe price of the trade. Will not be present for IRS/FRA trades.
    Calculation Currency Last QuantityCalcCcyLastQtyQtyUsed in calculating the quantity of the other side of the currency trade.
    Trade Date TrdDt LocalMktDateThe trade date assigned to an execution on the trading platform.
    Clear Date BizDt LocalMktDateThe date on which a trade is formally cleared and settled.
    Average Price AvgPx PriceCalculated average price. Will be populated for Average Price System (APS) transactions only.
    Multi Leg Reporting Type MLegRptTyp charIndicates 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

    Transaction Time TxnTm UTCTimestampThe 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 ExecMeth intSpecifies whether the transaction was executed via an automated execution platform or other method.1 - Manual

    2 - Automated

    Last Update Time LastUpdateTm UTCTimestampUsed 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 Clrd intIndicates whether the position or trade being reported was cleared through a clearing organization.0 - Not cleared

    1 - Cleared

    Clearing Intention ClrIntn intIndicates whether or not the parties intend the trade to clear.0 - Do not intend to clear

    1 - Intend to clear

    Clearing Requirement Exception ClrReqmtExcptn intSpecifies 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

    Collateralization TrdCollztn intIndication of trade collateralization.0 - Uncollateralized

    1 - Partially collateralized

    2 - One-way collateralized

    3 - Fully collateralized

    Differential Price DiffPx float

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

    Note:  Not supported for CPC-entered Calendar Spreads.


    Differential Price Type DiffPxTyp int

    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

    Original Time Unit OrigTmUnit StringSpecifies 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

    Trading Quantity TrdgQty QtyQuantity 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 MDTrdEntrID StringUnique Trade Identifier that will match to a CME Globex order execution, associated market data message and STP messaging
    ConfirmHubTradeType CHTrdTyp StringCustom field to represent specific Confirm Hub Trade Types
    Fee MultiplierFeeMultFloatMultiplier that Clearing (Fee system) will use to calculate fees and will be sent to the firms on their confirms.
    RootParties (repeating) Pty
    → Root Party ID ID StringUsed to identify the Party.
    → Root Party ID Source Src charUsed to identify the source of the Party.N - LEI

    → Root Party Role R intIndicates the type or role of the Party.73 - Execution Venue

    Instrument Instrmt
    PaymentGrp (repeating) Pmt
    UnderlyingInstrument (repeating) Undly
    PositionAmountData (repeating) Amt
    → Amount Type Typ StringThe 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 Amt AmtThe position amount represented.
    → Amount Currency Ccy StringThe currency associated with the position amount represented.
    TrdInstrmtLegGrp (repeating) TrdLeg
    TrdCapRptSideGrp (repeating) RptSide
  • Page:
    CME STP - Standard Header for BrokerTec Trades

    Standard Header for Request and Submissions

    Field Name

    FIXML Attribute NameData Type

    Description

    Supporting Values

    Sender ID

    SIDString

    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

    SSubString

    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

    TIDString

    This attribute identifies the receiver of the message. This must be set to CME.

    XPath

    /FIXML/TrdCaptRpt/Hdr/@TID

    CME

    Target Qualifier

    TSubString

    This qualifies the receiver of the message.

    XPath

    /FIXML/TrdCaptRpt/Hdr/@TSub

    STP

    Standard Header for Responses

    Field Name

    FIXML Attribute NameData Type

    Description

    Supporting Values

    Sender ID

    SIDString

    This attribute identifies the party or the Submitter of the message. This is set to CME.

    XPath

    /FIXML/TrdCaptRpt/Hdr/@SID

    CME

    Sender Qualifier

    SSubString

    This attribute qualifies the Sender.

    XPath

    /FIXML/TrdCaptRpt/Hdr/@SSub

    STP

    Target ID

    TIDString

    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

    TSubString

    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 - CommissionDataGrp - STP

    /TrdCaptRpt/RptSide/CommData

    NameAbbrDatatypeDescriptionEnumerations
    Commission Basis Basis intIndicates the method used to calculate broker fees.1 - Per Unit (implying shares, par, currency, etc.)

    2 - Percent

    8 - Amount per contract

    Commission Amount Amt AmtThe total commission amount.
    Commission Amount Type TypintType of Commission.Value = 0.
    Commission Currency Ccy CurrencyCurrency of broker fees. Default is USD.
    Commission Unit of Measure UOM StringUnit 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)

    Commission Unit of Measure Currency UOMCcy CurrencyUnit of measure currency for computing the broker fees. Used when Unit of Measure = Ccy.
    Commission RateRt floatRate used to calculate broker fees. For example, $1 per contract, or $0.01 per barrel.
    Commission Leg Ref IDLegRefIDStringTrade 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 - TradeCaptureReport - TrdInstrmtLegGrp - STP

    /TrdCaptRpt/TrdLeg (repeating)

    NameAbbrDatatypeDescriptionEnumerations
    Leg Order Quantity OrdQty QtyQuantity ordered for this leg as provided during order entry.
    Leg Report ID RptID StringThis represents the report ID for the leg as generated by the clearing system
    Leg Number LegNo intA 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 RefID StringA unique Trade ID generated by the clearing system for this leg.
    Leg Last Price LastPx PriceUsed to report the trade price or execution price assigned to the leg of the strategy or spread instrument.
    Leg Price Type PxTyp intIndicates 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

    LegPriceSubType PxSubTyp intThis is a further qualification of the Price Type, and determines whether this is an initial (preliminary) or final price.0 - Initial Price

    1 - Final Price

    Leg Original Time Unit OrigTmUnit StringSpecifies 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

    LegDifferentialPrice DiffPx PriceOffsetRepresents the differential price for spreads, or a TAS or TAM differental price.
    LegDifferentialPriceType DiffPxTyp intThis indicates the type of differential price represented in the Differential Price attribute.0 - Differential from SettlementPrice

    Leg Trading Quantity TrdgQty QtyLeg 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 QuantityQtyQtyQuantity ordered for this leg.
    InstrumentLeg Leg
    TradeCapLegUnderlyingsGrp (repeating) Undlys
    → UnderlyingLegInstrument Undly
    →→ Leg Underlying Product Code ID StringUsed as the primary identifier for the leg's underlying instrument.
    →→ Leg Underlying Product Code Source Src StringIdentifies the source of the leg's underlying instrument.H - Clearing House / Clearing Organization

    →→ Leg Underlying Security Type SecTyp StringUsed to indicate the type of the leg's underlying security being reported.FUT - Future

    FWD - Forward

    MLEG - Multi Leg (Combo)

    →→ Leg Underlying Maturity MMY MonthYearThe expiration period code of the leg's underlying instrument.
    YYYYMM (i.e. 201403)
    YYYYMMDD (20140323)
    YYYYMMwN (201403w1)

    →→ Leg Underlying Product Exchange Exch StringThe 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


    → Leg Position AmountAmtAmtUsed to capture the FX premium amount.
    → Leg Position Amount TypeTypStringThe 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 CurrencyCcyCurrencyThe currency of the amount specified.
  • Page:
    CME STP - TradeCaptureReport - UnderlyingInstrument - STP

    /TrdCaptRpt/Undly (repeating)

    NameAbbrDatatypeDescriptionEnumerations
    Underlying SymbolSymStringUnderlying security's Symbol. [N/A] when TrdCaptRpt/Undly/@Sym in FIXML is absent or empty.
    UnderlyingSymbolSfxSfxStringUnderlying 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 ID StringUsed as the primary identifier for the underlying instrument.
    Underlying Product Code Source Src StringIdentifies the source of the underlying instrument.H - Clearing House / Clearing Organization

    Underlying Security Type SecTyp StringUsed to indicate the type of underlying security being reported.CMDTYSWAP - Commodity Swap

    FUT - Future

    FWD - Forward

    MLEG - Multi Leg (Combo)

    Underlying Maturity MMY MonthYearThe expiration period code of an underlying instrument.
    YYYYMM (i.e. 201403)
    YYYYMMDD (20140323)
    YYYYMMwN (201403w1)

    Underlying Product Exchange Exch ExchangeThe 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 - TradeCaptureReport - InstrumentLeg - STP

    /TrdCaptRpt/TrdLeg/Leg

    NameAbbrDatatypeDescriptionEnumerations
    Leg Symbol Sym StringSymbol for a leg, which is a CME contract, e.g. CLX05.
    Leg Product Code ID StringLeg symbol for CME product, e.g. CL.
    Leg Product ID Source Src StringIdentifies 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 CFI StringIndicates the type of leg security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values.
    Leg Security Type SecTyp StringIndicates type of instrument or security for this leg.FUT - Future

    FWD - Forward

    MLEG - Multi Leg (Combo)

    OPT - Option

    Leg Maturity MMY MonthYearSpecifies the month and year of maturity of this leg.
    YYYYMM (i.e. 201403)
    YYYYMMDD (20140323)
    YYYYMMwN (201403w1)

    Leg Maturity DateMatLocalMktDateMultileg instrument's individual securitys MaturityDate.
    Leg Strike Price Strk PriceStrike price for a leg that is an option.
    Leg Contract Multiplier Mult floatPrice multiplier used to convert the change in price (sell - buy) into P&L per contract leg.
    Leg Unit of Measure UOM StringThe 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)

    Leg Unit of Measure Quantity UOMQty QtyContract's defined quantity, used to calculate total traded notional quantity per spread leg.
    Leg Unit of Measure Currency UOMCcy CurrencyCurrency of the leg unit of measure. Conditionally available when UOM=Ccy. Will be populated where appropriate.
    Leg Product Exchange Exch ExchangeThe 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

    Leg Security DescriptionDescstringMultileg instrument's individual security's SecurityDesc.
    Leg Buy Sell Code Side charIndicates the side of this leg within the spread or strategy.1 - Buy

    2 - Sell

    Leg Put Or Call PutCall intIndicates whether a leg that is an option contract is a put or call.0 - Put

    1 - Call

    Leg Settlement MethodSettlMethstringSettlement method for a contract. Can be used as an alternative to CFI Code value.
    LegSecAltIDGrp (repeating) LegAID
    → Leg Security Alternate ID SecAltID StringAlternate Security identifier value for this security of SecurityAltIDSource type (e.g. CUSIP, SEDOL, ISIN, etc).
    → Leg Security Alternate ID Source SecAltIDSrc StringIdentifies class or source of the LegSecurityAltID value. Required if LegSecurityAltID is specified.112 - TAM Marker Price Symbol
  • Page:
    CME STP - TradeCaptureReport - TrdCapRptSideGrp - STP

    /TrdCaptRpt/RptSide (repeating)

    NameAbbrDatatypeDescriptionEnumerations
    Buy Sell Code Side charThe side of the trade.1 - Buy

    2 - Sell

    Secondary Client Order ID ClOrdID2 StringA secondary or an addiional qualifier for the order assigned by the side.
    Client Order ID ClOrdID StringUnique identifier assigned for the trade side.
    Side Currency Ccy CurrencyUsed to identify the currency of the trade side. Will not be present for IRS/FRA trades.
    Input Source InptSrc StringThe original system from which the trade originated. CME Clearing will treat this as a pass through field on cleared trade confirmations.
    CTI CustCpcty intThe customer capacity for this trade1 - Member trading for their own account

    2 - Clearing Firm trading for its proprietary account

    3 - Member trading for another member

    4 - All other

    Free Form Text Txt StringMay be used by the executing market to record any execution Details that are particular to that market
    Allocation Indicator AllocInd intIdentifies 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 Offset

    Average Pricing Indicator AvgPxInd intIndicates 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 SideAvgPxGroupID

    Original Platform Side ID OrigTrdID StringTies the trade back to one of the report sides of the IRS trade submission. (IRS Trades Only)
    Strategy Link ID StrategyLinkID StringUnique 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 GrpID2 StringIndicates 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.
    Customer Order Handling InstructionCustOrdHdlInstStringDefines 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 FieldMemString

    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 ID StringUsed to identify the Party.
    → Party ID Source Src charUsed to identify the source of PartyID value.C - Generally accepted market participant identifier

    H - Clearing house participant/member code

    N - LEI

    → Party Role R intIndicates the type or role of the Party. Note: A FIX "Executing Firm" is a CME Group "Clearing Trade Management Firm"1 - Executing Firm

    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

    49 - Asset Manager

    55 - Session ID

    62 - Report originator

    73 - Execution Venue

    102 - Data Repository (e.g. SDR)

    → PtysSubGrp (repeating) Sub
    →→ Party Qualifier ID ID StringA Sub ID provides additional information about the Party. For example, the account origin would be specified when Typ = 26.
    →→ Party Qualifier Type Typ intIndicates the type of Party Sub ID.5 - Full legal name of firm

    9 - Contact name

    26 - Account type or Origin

    SideRegulatoryTradeIDGrp (repeating) RegTrdID
    CommissionDataGrp CommData
    SideTrdRegTS (repeating) TrdRegTS
    → Timestamp TS UTCTimestampUsed to send a regulatory timestamp. Will not be present for IRS/FRA trades.
    → Timestamp Type Typ intIndicates the type of regulatory timestamp.1 - Execution Time

    RelatedTradeGrp ReltdTrd
    → Related Trade ID ID StringIdentifier of a related trade. This is used to link trades together for IRS netting and blending.
    → Related Trade ID Source Src intDescribes the source of the identifier that Related Trade ID represents.2 - Secondary trade ID
  • Page:
    CME STP - Standard Header

    Standard Header for Request and Submissions

    Name

    AbbrDatatype

    Description

    Enumerations

    Sender ID

    SIDString

    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

    SSubString

    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

    TIDString

    This attribute identifies the receiver of the message. This must be set to CME.

    XPath

    /FIXML/TrdCaptRpt/Hdr/@TID

    CME

    Target Qualifier

    TSubString

    This qualifies the receiver of the message.

    XPath

    /FIXML/TrdCaptRpt/Hdr/@TSub

    STP

    Standard Header for Responses

    Name

    AbbrDatatype

    Description

    Enumerations

    Sender ID

    SIDString

    This attribute identifies the party or the Submitter of the message. This is set to CME.

    XPath

    /FIXML/TrdCaptRpt/Hdr/@SID

    CME

    Sender Qualifier

    SSubString

    This attribute qualifies the Sender.

    XPath

    /FIXML/TrdCaptRpt/Hdr/@SSub

    STP

    Target ID

    TIDString

    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

    TSubString

    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 - StreamGrp - STP

    /TrdCaptRpt/Instrmt/Strm (repeating)

    NameAbbrDatatypeDescriptionEnumerations
    Stream Type Typ intType of swap stream.0 - Payment / cash settlement

    1 - Physical delivery

    Stream Pay Side PaySide intSide value of party paying the stream.1 - Buy

    2 - Sell

    Stream Receive Side RcvSide intSide value of party receiving the stream.1 - Buy

    2 - Sell

    Stream Notional Notl AmtNotional, or initial notional value for the payment stream. Use <PaymentSchedule> for steps. 
    Stream Notional Frequency Period NotlPeriod intTime unit multiplier for the notional frequency. If present StreamNotionalFrequencyUnit(tbd) must be specified. 
    Stream Notional Frequency Unit NotlUnit StringTime 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

    Stream Notional Unit of Measure NotlUOM StringStream 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 TotNotl QtyTotal notional or delivery quantity over the term of the contract. 
    Stream Total Notional Unit of Measure TotNotlUOM StringStream 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 Base StringSpecifies 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 Desc StringDescription of the commodity asset. 
    → StreamAssetAttributeGrp (repeating) AssetAttrb  
    →→ Stream Asset Attribute Type Typ StringName 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 Val StringValue of the attribute 
    → StreamCommoditySettlementPeriodGrp (repeating) SettlPeriod  
    →→ Stream Commodity Settlement Time Zone TZ StringCommodity delivery timezone specified as prevailing rather than standard or daylight . E.g. CPT for Central (US) Prevailing Time. 
    →→ Stream Commodity Settlement Flow Type FlowTyp intCommodity 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 Holidays intIndicates whether holidays are included in the settlement periods. Required for electricity contracts.0 - Do not include holidays

    1 - Include holidays

    StreamEffectiveDate EfctvDt  
    → Adjusted Effective Date Dt LocalMktDateAdjusted effective date. 
    StreamTerminationDate TrmtnDt  
    → Adjusted Termination Date Dt LocalMktDateAdjusted Termination Date. 
    PaymentStream PmtStrm  
    → PaymentStreamPaymentDates PmtDts  
    →→ Payment Stream Payment Frequency Period FreqPeriod intThe period of frequency of payments. 
    →→ Payment Stream Payment Frequency Unit FreqUnit StringThe unit of frequency of payments.D - Day

    Mo - Month

    T - Term

    Wk - Week

    Yr - Year

    → PaymentStreamFixedRate Fixed  
    →→ Rate Rt PercentageRate if the payment stream is a fixed rate stream. 
    →→ Rate or Amount Currency Ccy CurrencySpecifies the currency in which PaymentStreamFixedAmount(40785) or PaymentStreamRate(40784) is denomincated. Uses ISO 4271 currency codes. 
    → PaymentStreamFloatingRate Float  
    →→ Floating Rate Index Ndx StringFloating Rate Index. 
    →→ Floating Rate Index Location NdxLctn StringSpecifies the location of the floating rate index. 
    →→ Floating Rate Multiplier RtMult floatA 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 Spread PriceOffsetSpread from floating rate index. 
    DeliveryStream DlvryStrm  
    → Delivery Point DlvryPnt StringThe 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 DlvryRstctn intSpecifies 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 - TradeCaptureReportRequest - STP

    /TrdCaptRptReq

    NameAbbrDatatypeDescriptionEnumerations
    Request ID ReqID StringRequired identifier for the trade query or subscription request. Will be echoed back on the response.
    Trade ID TrdID StringUsed to query for a specific Trade ID (TrdID).
    Secondary Trade ID TrdID2 StringUsed to query for a specific Secondary Trade ID (TrdID2).
    Request Type ReqTyp intRequired. 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 criteria

    Subscription Request Type SubReqTyp charRequired. 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 ClOrdID StringUsed to query for a specific Client Order ID (ClOrdID).
    Clear Date BizDt LocalMktDateLimits the subscription or query to a specific clearing business date.
    Multi Leg Reporting Type MLegRptTyp charRequired. 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 security

    Input Source InptSrc StringUsed to limit queries and subscriptions to a specific trade input source.
    Start Time StartTm UTCTimestampIndicates 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 EndTm UTCTimestampIndicates the ending time of the query.
    StandardHeader Hdr
    → Sender ID SID StringIdentifies the entity which is sending the message.
    → Target ID TID StringSet to CME
    → MsgSeqNum SeqNum SeqNum(Can be embedded within encrypted data section.)
    → Sender Qualifier SSub StringAssigned value used to identify specific message originator (user, etc.)
    → Target Qualifier TSub StringSet to STP
    Parties (repeating) Pty
    → Party ID ID StringUsed 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 R intIndicates 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 Manager

    Instrument Instrmt
    → Product Code ID StringUsed to limit a subscription or query to a specific CME product, e.g. CL.
    → Security Type SecTyp StringUsed 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 Exch ExchangeUsed 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 Trades

    TrdCapDtGrp (repeating) TrdCapDt
    → Trade Date TrdDt LocalMktDateLimits the subscription or query to a specific trade date. Only one date may be specified.
  • Page:
    CME STP - TradeCaptureReport - SideRegulatoryTradeIDGrp - STP

    /TrdCaptRpt/RptSide/RegTrdID (repeating)

    NameAbbrDatatypeDescriptionEnumerations
    Side Regulatory Trade ID ID StringRegulatory 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 Src StringID of reporting entity assigned by regulatory agency. 
    Side Regulatory Trade ID Event Evnt intEvent causing origination of the ID, e.g. Clearing.2 - Clearing

    Side Regulatory Trade ID Type Typ intThe type of Regulatory Trade ID being sent.0 - Current (the default)

    Side Regulatory Leg Reference ID LegRefID StringWhen 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 Scope intIncluded 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 - TradeCaptureReport - PaymentGrp - STP

    /TrdCaptRpt/Pmt (repeating)

    NameAbbrDatatypeDescriptionEnumerations
    Payment Type Typ intType of payment.10 - Option premium

    Payment Pay Side PaySide intSide value of party paying the payment.1 - Buy

    2 - Sell

    Payment Receive Side RcvSide intSide value of party receiving the payment.1 - Buy

    2 - Sell

    Payment Currency Ccy CurrencySpecifies the currency in which PaymentAmount(tbd) and/or PaymentRate(tbd) is denominated. Uses ISO 4271 currency codes.
    Payment Amount Amt AmtThe total payment amount.
    Payment Date Adjusted DtLocalMktDateAdjusted Payment date.

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