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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 for BrokerTec 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 - FIXML TradeCaptureReportRequest for BrokerTec Trades
    FIX TagField NameFIXML Attribute NameData TypeDescriptionNew for BrokerTecOMnet MappingGenium FIX MappingSupported Values
    568TradeRequestIDReqIDStringRequired Trade Capture Report Request ID 

    568
    1003TradeIDTrdIDStringThe unique ID assigned to the trade entity once it is received or matched by the exchange or central counterparty.



    1040SecondaryTradeIDTrdID2StringUsed to carry an internal trade entity ID which may or may not be reported to the firm



    569TradeRequestTypeReqTypintType of Trade Capture Report.


    0 - All Trades (NOTE: this is only available for the FIX API, not the FIXML API)
    1 - Matched trades matching criteria provided on request (Parties, ExecID, TradeID, OrderID, Instrument, InputSource, etc.)
    3 - Unreported trades that match criteria

    263SubscriptionRequestTypeSubReqTypcharSubscription Request Type

    263

    0 - Snapshot
    1 - Snapshot + Updates (Subscribe)

    11ClOrdIDClOrdIDStringUnique identifier for Order as assigned by the buy-side (institution, broker, intermediary etc.) (identified by SenderCompID (49) or OnBehalfOfCompID (5) as appropriate). Uniqueness must be guaranteed within a single trading day. Firms, particularly those that electronically submit multi-day orders, trade globally or throughout market close periods, should ensure uniqueness across days, for example by embedding a date within the ClOrdID field.



    715ClearingBusinessDateBizDtLocalMktDateThe "Clearing Business Date" referred to by this maintenance request.



    442MultiLegReportingTypeMLegRptTypcharUsed to indicate what an Execution Report represents (e.g. used with multi-leg securities, such as option strategies, spreads, etc.).


    2 - Individual leg of a multi-leg security
    3 - Multi-leg security

    578TradeInputSourceInptSrcStringType of input device or system from which the trade was entered. Possible values include: BTC - BrokerTec Clearing, BTD - BrokerTec Direct, GLBX - Globex, XPIT - Externally registeredBTC, BTD


    779LastUpdateTimeLastUpdateTmUTCTimestamp

    Date/time which subscription should start pull data from.

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

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

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

    Example: 20200514-06:20:37





    9593StartTimeStartTmUTCTimestamp

    Start date/time of snapshot request.

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

    Required for Snapshot requests (tag 263 - SubscriptionRequestType = 0)

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





    9594EndTimeEndTmUTCTimestamp

    End date/time of snapshot or subscription request.

    Optional for 

    Snapshot requests .(tag 263- SubscriptionRequestType =0)

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

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





    10059IncludeCollateralIndicatorCollIndcharIndicates whether collateral should be returned in request result.New field.

    Y - Yes
    N - No

    453PartiesPty





    448→PartyIDIDStringParty identifier/code. See PartyIDSource (447) and PartyRole (452).



    452→PartyRoleRintIdentifies the type or role of the PartyID (448) specified.


    7 - Trading (Entering) Firm

    30 - Inter Dealer Broker

    49 - Asset Manager

    79 - Prime Broker


    InstrumentInstrmt





    55→SymbolSymStringTicker symbol. Common, "human understood" representation of the security. SecurityID (48) value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles)Use "[N/A]" for products which do not have a symbol.New field.


    48→SecurityIDIDStringThe Clearing Product ID.



    167→SecurityTypeSecTypStringIndicates type of security. Security type enumerations are grouped by Product(460) field value. NOTE: Additional values may be used by mutual agreement of the counterparties.New values BOND, EUSOV, EUSUPRA, FUT, MLEG, REPO, SOV, SUPRA, TB, TBA, TBILL, TBOND, TNOTE

    BOND - Bond (generic)

    EUSOV - Euro Sovereigns

    EUSUPRA - Euro Supranational Coupons

    FRA - Forward Rate Agreement

    FUT - Future

    FWD - Forward

    IRS - Interest Rate Swap

    MLEG - Multi Leg (Combo)

    OPT - Option

    REPO - Repurchase

    SOV - UK Gilt

    SUPRA - USD Supranational Coupons

    SWAPTION - Swaption

    TB - Treasury Bill - non US

    TBA - To Be Announced

    TBILL - US Treasury Bill

    TBOND - US Treasury Bond

    TNOTE - US Treasury Note

    207→SecurityExchangeExchExchangeMarket used to help identify a security.New values BTEU, BTUS

    BTEU - BrokerTec EU

    BTUS - BrokerTec US

    CBT - Chicago Board of Trade

    CEE - Stock Exchange Group

    CMD - Credit Default Swap Exchange

    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

    580TrdCapDtGrpTrdCapDt





    75→TradeDateTrdDtLocalMktDateIndicates date of trade referenced in this message in YYYYMMDD format. Absence of this field indicates current day (expressed in local time at place of trade).



  • Page:
    CME STP - FIXML CollateralReport for BrokerTec Trades
    FIX TagField NameFIXML Attribute NameData TypeDescriptionNew for BrokerTecOMnet MappingGenium FIX MappingSupported Values
    908CollRptIDRptIDStringCollateral Report Identifier



    894CollReqIDReqIDStringCollateral Request Identifier 



    20048CollateralAllocationIDCollIDStringGlobally unique identifier of the collateral allocation.



    20049CollateralAllocationNumberCollNoStringHuman-readable identifier for the collateral allocation.
    allocation_item_number_n

    20051OriginalCollateralAllocationIDOrigCollIDStringIn a substitution, this is the CollID of the allocation that was substituted.



    20052OriginalCollateralAllocationNumberOrigCollNoStringIn a substitution, this is the CollNo of the allocation that was substituted.
    orig_item_number_n

    60TransactTimeTxnTmUTCTimestampTimestamp when the business transaction represented by the message occurred.
    created_date_s + created_time_s

    779LastUpdateTimeLastUpdateTmUTCTimestampTimestamp of last update to data item (or creation if no updates made since creation).
    modified_date_s + modified_time_s

    20012CollateralReportTransactionTypeTransTypStringTransaction type of the Collateral Report
    broadcast_reason

    1 - Trade registered

    2 - Allocation registered

    3 - Substitution registered

    6 - Trade is cancelled

    7 - Substitution/allocation cancelled

    8 - Replace

    910CollStatusStatintCollateral Status
    is_substitution_c

    0 - Unassigned
    3 - Assigned (Accepted)
    1001 - Substituted

    1002 - Cancelled

    20015TradeCollateralStatusTrdCollStatStringCollateral status of the trade.
    allocation_state

    0 - Unallocated
    1 - Partially allocated
    2 - Fully allocated

    20016MaximumCollateralCountMaxCollIntMaximum number of different securities that can be allocated to the trade.
    max_nbr_securities_c

    1040SecondaryTradeIDTrdID2StringUsed to carry an internal trade entity ID which may or may not be reported to the firm



    53QuantityQtyQtyOverall/total quantity (e.g. number of shares)(Prior to FIX 4.2 this field was of type int)
    allocated_quantity_i

    54SideSidecharSide of order
    bought_or_sold

    1 - Buy
    2 - Sell

    44PricePxPricePrice per unit of quantity (e.g. per share)
    clean_value_i

    20050DirtyPriceDirtPxPriceDirty price
    collateral_value_i

    159AccruedInterestAmtAcrdIntAmtAmtAmount of Accrued Interest for convertible bonds and fixed income
    accrued_money_q

    921StartCashStartCshAmtStarting dirty cash consideration of a financing deal, i.e. paid to the seller on the Start Date.
    start_consideration_q

    922EndCashEndCshAmtEnding dirty cash consideration of a financing deal. i.e. reimbursed to the buyer on the End Date.
    end_consideration_q

    20054TotalStartCashTotStartCshAmtTotal start cash of the trade.



    20053TotalEndCashTotEndCshAmtTotal end cash of the trade.
    end_consideration_q

    715ClearingBusinessDateBizDtLocalMktDateThe "Clearing Business Date" referred to by this maintenance request.
    start_consideration_q

    75TradeDateTrdDtLocalMktDateIndicates date of trade referenced in this message in YYYYMMDD format. Absence of this field indicates current day (expressed in local time at place of trade).
    created_date_s

    20028SubstitutionIndicatorSubIndStringIndicates the status of the substitution.
    is_alloc_new_c

    2 - Original
    3 - Substitution
    4 - Remainder

    20031SubstitutionsRemainingSubRmngintNumber of remaining rights of substitution.
    remaining_subs_i

    5149MemoMemString

    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.

    customer_info_s

    20056SettlementTradeIDSettlTrdIDStringTrade identifier as assigned by BrokerTec Clearing.



    30LastMktLastMktExchangeMarket of execution for last fill, or an indication of the market where an order was routed.New Field


    453Parties(repeating)Pty






    InstrumentInstrmt





    55→SymbolSymStringTicker symbol. Common, "human understood" representation of the security. SecurityID (48) value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles)Use "[N/A]" for products which do not have a symbol.
    long_name

    48→SecurityIDIDStringThe Clearing Product ID.
    coll_isin_code_s

    22→SecurityIDSourceSrcStringIdentifies class or source of the SecurityID value.


    1 - CUSIP
    4 - ISIN number

    167→SecurityTypeSecTypStringIndicates type of security. Security type enumerations are grouped by Product(460) field value. NOTE: Additional values may be used by mutual agreement of the counterparties.


    BOND - Bond (generic)

    EUSOV - Euro Sovereigns

    EUSUP - Euro Supranational Coupons

    FUT - Future

    REPO - Repurchase

    SOV - UK Gilt

    SUPRA - USD Supranational Coupons

    TINT - Interest Strip

    TB - Treasury Bill - non US

    TBA - To Be Announced

    TIPS - Treasury Inflation Protected Security

    TBILL - US Treasury Bill

    TBOND - US Treasury Bond

    TNOTE - US Treasury Note

    FAC - US Federal Agency Coupon

    TFRN - US Treasury Floating Rate Note

    107→SecurityDescDescStringCan be used to provide an optional textual description for a financial



    37513→GUIDGUIDStringGlobally unique identifier.




    FinancingDetailsFinDetls





    916→StartDateStartDtLocalMktDateStart date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral
    start_date_s

    917→EndDateEndDtLocalMktDateEnd date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral
    end_date_s

    1907RegulatoryTradeIDGrpRegTrdID





    1903→RegulatoryTradeIDIDStringRegulatory Trade ID. Will be used to communicate the Unique Swap Identifier associated with a trade execution as required by the CFTC.



    1905→RegulatoryTradeIDSourceSrcStringID of reporting entity assigned by regulatory agency.



    1904→RegulatoryTradeIDEventEvntintEvent causing origination of the ID. For combinations, use the higher enumeration value. E.g. for Allocation plus Clearing use the value 2.


    0 - Initial block trade
    1906→RegulatoryTradeIDTypeTypintPosition of ID in trade hierarchy.New value: 5

    0 - Current (the default)

    5 - Trading venue transaction identifier

    1647RelatedInstrumentGrpReltdInstrmt





    1651→RelatedSecurityIDSourceSrcStringIdentifies class or source of the RelatedSecurityID (1650) value.


    1 - CUSIP 
    4 - ISIN number

    H - Clearing House / Clearing Organization

    1649→RelatedSymbolSymStringSymbol of the related security.
    long_name

    1650→RelatedSecurityIDIDStringRelated security identifier. Value of RelatedSecurityIDSource (1651) type.
    Depending on SecTyp and Src values this can be is_cusip, isin_code_s, subst_isin_code_s

    1652→RelatedSecurityTypeSecTypStringSecurity type of the related instrument.


    GC - General Collateral

    SUB - Substituted Collateral

    20055→RelatedSecurityGUIDGUIDStringGlobally unique identifier of the security




    StandardTrailer







    →SignatureLength
    LengthNumber of bytes in signature field




    →Signature
    dataElectronic signature




    →CheckSum
    StringThree byte, simple checksum (see Volume 2: "Checksum Calculation" for description). ALWAYS LAST FIELD IN MESSAGE; i.e. serves, with the trailing <SOH>, as the end-of-message delimiter. Always defined as three characters. (Always unencrypted)



  • Page:
    CME STP - FIXML TradeCaptureReportRequestAck

    FIX Tag

    Field NameFIXML Attribute NameData TypeDescriptionNew for BrokerTecOMnet MappingGenium FIX MappingSupported Values
    568TradeRequestIDReqIDStringTrade Capture Report Request ID

    568
    569TradeRequestTypeReqTypintType of Trade Capture Report.

    569

    0 - All Trades (NOTE: this is only available for the FIX API, not the FIXML API) 

    1 - Matched trades matching criteria provided on request (Parties, ExecID, TradeID, OrderID, Instrument, InputSource, etc.)

    3 - Unreported trades that match criteria

    263SubscriptionRequestTypeSubReqTypcharSubscription Request Type

    263

    0 - Snapshot
    1 - Snapshot + Updates (Subscribe)

    749TradeRequestResultReqRsltintResult of Trade Request

    749

    0 - Successful (default)
    1 - Invalid or unknown instrument
    2 - Invalid type of trade requested
    3 - Invalid parties
    9 - Not authorized

    99 - Other

    750TradeRequestStatusReqStatintStatus of Trade Request.


    0 - Accepted
    1 - Completed
    2 - Rejected

    58TextTxtStringFree format text string(Note: this field does not have a specified maximum length)

    58
  • Page:
    CME STP - FIXML CollateralReport - Parties for BrokerTec Trades
    FIX TagField NameFIXML Attribute NameData TypeDescriptionNew for BrokerTecOMnet MappingGenium FIX MappingSupported Values
    448PartyIDIDStringParty identifier/code. See PartyIDSource (447) and PartyRole (452).
    Depending on R and Src values this can map to trading_code, bic_code_s, party, cust_info_s

    447PartyIDSourceSrccharIdentifies class or source of the PartyID (448) value. Required if PartyID is specified. Note: applicable values depend upon PartyRole (452) specified.


    C - Generally accepted market participant identifier
    D - Proprietary / Custom code
    H - Clearing house participant/member code
    N - LEI

    452PartyRoleRintIdentifies the type or role of the PartyID (448) specified.


    1 - Executing Firm

    7 - Trading (Entering) Firm

    17 - Contra Firm

    36 - Entering trader

    79 - Prime Broker

    802PtysSubGrpSub





    523→PartySubIDIDStringSub-identifier (e.g. Clearing Account for PartyRole (452)=Clearing Firm, Locate ID # for PartyRole=Locate/Lending Firm, etc). Not required when using PartyID (448), PartyIDSource (447), and PartyRole.



    803→PartySubIDTypeTypintType of PartySubID (523) value4000+ = Reserved and available for bi-laterally agreed upon user defined values


    5 - Full legal name of firm

    17 - Clearing house participant/member code

    84 - Executing Firm LEI

  • Page:
    CME STP - FIXML TradeCaptureReport - TrdInstrmtLegGrp for BrokerTec Trades
    FIX TagField NameFIXML Attribute NameData TypeDescriptionNew for BrokerTecOMnet MappingGenium FIX MappingSupported Values
    685LegOrderQtyOrdQtyQtyQuantity ordered of this leg.See OrderQty (38) for description and valid values.



    687LegQtyQtyQtyQuantity of this leg, e.g. in Quote dialog.See Quantity (53) for description and valid values.



    990LegReportIDRptIDStringAdditional attribute to store the Trade ID of the Leg.



    1152LegNumberLegNointAllow sequencing of Legs for a Strategy to be captured



    654LegRefIDRefIDStringUnique indicator for a specific leg.



    637LegLastPxLastPxPriceExecution price assigned to a leg of a multileg instrument.See LastPx (31) field for description and values



    686LegPriceTypePxTypintThe price type of the LegBidPx (681) and/or LegOfferPx (684). See PriceType (423) for description.


    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

    10051LegPriceSubTypePxSubTypintThis is a further qualification of the Price Type.


    0 - Initial Price
    1 - Final Price

    1001LegOrigTimeUnitOrigTmUnitStringSpecifies the Time Unit of the original trade leg.


    D - Day

    H - Hour

    Min - Minute

    Mo - Month

    S - Second

    Wk - Week

    Yr - Year

    2492LegDifferentialPriceDiffPxPriceOffsetRepresents the differential price for spreads, or a TAS or TAM differential price.



    10052LegDifferentialPriceTypeDiffPxTypintThis indicates the type of differential price represented in the Differential Price attribute.


    0 - Differential from Settlement Price
    1 - Differential between legs

    10038LegTradingQuantityTrdgQtyQtyIndicates the trading quantity entered, in unit terms (e.g. in MWh), for a leg of a spread trade. This may differ from the cleared quantity, especially in the case of contracts like electricity that follow delivery schedules.



    10055LegAlternatePriceLastPx2PriceLeg alternate price




    InstrumentLegLeg





    1342TradeCapLegUnderlyingsGrpUndlys





    →1332→UnderlyingLegSecurityIDIDStringRefer to definition for SecurityID(48)



    →1333→UnderlyingLegSecurityIDSourceSrcStringRefer to definition for SecurityIDSource(22)


    H - Clearing House / Clearing Organization

    →1337→UnderlyingLegSecurityTypeSecTypStringRefer to definition for SecurityType(167)


    FUT - Future 

    FWD - Forward

    MLEG - Multi Leg (Combo)

    →1339→UnderlyingLegMaturityMonthYearMMYMonthYearRefer to definition for MaturityMonthYear(200)



    →1341→UnderlyingLegSecurityExchangeExchStringRefer to definition for SecurityExchange(207)


    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 

    1586LegPositionAmountDataAmt





    →1587→TrdInstrmtLegPosAmtAmtAmtUsed to capture the FX premium amount.



    →1588→TrdInstmLegPosAmtTypeTypStringThe type of monetary amount associated with a transaction.



    →1589→TrdInstrmtLegPosCurrencyCcyCurrencyThe currency of the amount specified.



  • Page:
    CME STP - FIXML TradeCaptureReport - Instrument for BrokerTec Trades

    FIX Tag

    Field NameFIXML Attribute NameData TypeDescriptionNew for BrokerTecOMnet MappingGenium FIX MappingSupported Values
    55Symbol SymStringTicker symbol. Common, "human understood" representation of the security. SecurityID (48) value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles)Use "[N/A]" for products which do not have a symbol.

    455 where 456=8
    48SecurityIDIDStringThe Clearing Product ID.



    22SecurityIDSourceSrcStringIdentifies class or source of the SecurityID value.


    H - Clearing House / Clearing Organization
    461CFICodeCFIString

    Indicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. ISO 10962 is maintained by ANNA (Association of National Numbering Agencies) acting as Registration Authority.

    See also the Product (460) and SecurityType (167) fields. It is recommended that CFICode be used instead of SecurityType (167) for non-Fixed Income instruments. 





    167SecurityTypeSecTypStringIndicates type of security. Security type enumerations are grouped by Product(460) field value. NOTE: Additional values may be used by mutual agreement of the counterparties.New values BOND, EUSOV, EUSUP, REPO, SOV, SUPRA, TB, TBA, TBILL, TBOND, TNOTE

    BOND - Bond (generic)

    CMDTYSWAP - Commodity Swap

    EUSOV - Euro Sovereigns

    EUSUP- Euro Supranational Coupons

    FRA - Forward Rate Agreement

    FUT - Future

    FWD - Forward

    FXSPOT - FX Spot

    IRS - Interest Rate Swap

    MLEG - Multi Leg (Combo)

    OPT - Option

    REPO - Repurchase

    SOV - UK Gilt

    SUPRA - USD Supranational Coupons

    SWAPTION - Swaption

    TB - Treasury Bill - non US

    TBA - To Be Announced

    TBILL - US Treasury Bill

    TBOND - US Treasury Bond

    TNOTE - US Treasury Note

    762SecuritySubTypeSubTypStringSub-type qualification/identification of the SecurityType. For spreads, indicates the strategy type. For BrokerTec, values include: GC - General Collateral GCF - General Collateral FinancingNew valid values GC, GCF, RV, SPEC


    200MaturityMonthYearMMYMonthYearCan be used with standardized derivatives vs. the MaturityDate (54) field. Month and Year of the maturity (used for standardized futures and options).Format:YYYYMM (e.g. 199903)YYYYMMDD (e.g. 20030323) YYYYMMwN (e.g. 200303w) for week. A specific date or can be appended to the MaturityMonthYear. For instance, if multiple standard products exist that mature in the same Year and Month, but actually mature at a different time, a value can be appended, such as "w" or "w2" to indicate week as opposed to week 2 expiration. Likewise, the date (0-3) can be appended to indicate a specific expiration (maturity date).



    541MaturityDateMatDtLocalMktDateMaturity Date or Settlement Date of the CDS contract.



    224CouponPaymentDateCpnPmtLocalMktDateThis is used to indicate the next date on which Coupon Premium is due. Primarily used for CDS instruments



    202StrikePriceStrkPxPriceStrike Price for an Option.



    967StrikeMultiplierStrkMultfloatUsed for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.



    1866StrikeIndexStrkNdxStringSpecifies the index used to calculate the strike price.



    10046StrikeIndexLocationStrkNdxLctnStringLocation of the strike price index.



    1481UnderlyingPriceDeterminationMethodPxDtrmnMethintSpecifies 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)

    6070ContractMultiplierMultfloatThe value when multiplied to the Price will give you the $ value of a single Position. It is also known as the Price multiplier.



    996UnitOfMeasureUOMStringThe unit of measure of the underlying commodity upon which the contract is based. For CDS it indcates the notional currency.


    Alw - Allowances

    Bbl - Barrels

    Bcf - Billion cubic feet

    BDFT - Board feet

    Bu - Bushels

    CBM - Cubic Meters

    Ccy - Amount of currency

    CER - Certified Emissions Reduction

    CRT - Climate Reserve Tonnes

    cwt - Hundredweight (US)

    day - Days

    dt - Dry metric tons

    EnvCrd - Environmental Credit

    EnvOfst - Environmental Offset

    g - Grams

    Gal - Gallons

    GJ - Gigajoules

    GT - Gross Tons Also known as long tons or imperial tons, equal to 2240 lbs

    IPNT - Index point

    kg - Kilograms

    kL - Kiloliters

    kW-h - Kilowatt-Hour (electrical capacity)

    kW-M - Kilowatt-Month (electrical capacity)

    kWh - Kilowatt hours

    L - Liters

    lbs - pounds

    MMbbl - Million Barrels

    MMBtu - One Million BTU

    MW-h - Megawatt-Hour (electrical capacity)

    MW-M - Megawatt-Month (electrical capacity)

    MWh - Megawatt hours

    oz_tr - Troy Ounces

    PRINC - Principal with relation to debt instrument 

    t - Metric Tons (aka Tonne)

    thm - Therms

    tn - Tons (US)

    1716UnitOfMeasureCurrencyUOMCcyCurrencyIndicates the currency of the unit of measure. Conditionally required when UnitOfMeasure = Ccy



    1147UnitOfMeasureQtyUOMQtyQtyUsed to indicate the quantity of the underlying commodity unit of measure on which the contract is based, such as, 2500 lbs of lean cattle, 1000 barrels of crude oil, 1000 bushels of corn, etc. UnitOfMeasureQty is required for UnitOfMeasure(996) Variable Quantity UOMs enumerations. Refer to the definition of UnitOfMeasure(996) for more information on the use of UnitOfMeasureQty.



    1191PriceUnitOfMeasurePxUOMStringUsed to express the UOM of the price if different from the contract. In futures, this can be different for cross-rate products in which the price is quoted in units differently from the contract


    Alw - Allowances

    BDFT - Board feet

    Bbl - Barrels

    Bcf - Billion cubic feet

    Bu - Bushels

    CBM - Cubic Meters

    CER - Certified Emissions Reduction

    CRT - Climate Reserve Tonnes

    Ccy - Amount of currency

    EnvCrd - Environmental Credit

    EnvOfst - Environmental Offset

    GJ - Gigajoules

    GT - Gross Tons 

    Also known as long tons or imperial tons, equal to 2240 lbs

    Gal - Gallons

    IPNT - Index point

    L - Liters

    MMBtu - One Million BTU

    MMbbl - Million Barrels

    MW-M - Megawatt-Month (electrical capacity)

    MWh - Megawatt hours

    PRINC - Principal with relation to debt instrument

    cwt - Hundredweight (US)

    day - Days

    dt - Dry metric tons

    g - Grams

    kL - Kiloliters

    kW-M - Kilowatt-Month (electrical capacity)

    kWh - Kilowatt hours

    kg - Kilograms

    lbs - pounds

    oz_tr - Troy Ounces

    t - Metric Tons (aka Tonne)

    thm - Therms

    tn - Tons (US)

    USD - US Dollars

    1193SettlMethodSettlMethcharSettlement 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 required

    1194ExerciseStyleExerStyleintType of exercise of a derivatives security


    0 - European
    1 - American
    2 - Bermuda

    201PutOrCallPutCallintIndicates whether an option contract is a put or call


    0 - Put
    1 - Call

    207SecurityExchangeExchExchangeMarket used to help identify a security.New values BTEU, BTUS

    BTEU - BrokerTec EU

    BTUS - BrokerTec US

    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

    107SecurityDescDescStringCan be used to provide an optional textual description for a financial instrument.



    10026PriceQuoteCurrencyPxQteCcyCurrencyPrice Quote Currency



    37513GUIDGUIDStringGlobally unique identifier.New field


    454SecAltIDGrpAID





    →455→SecurityAltIDAltIDStringAlternate Security identifier value for this security of SecurityAltIDSource (456) type (e.g. CUSIP, SEDOL, ISIN, etc). Requires SecurityAltIDSource.

    455
    →456→SecurityAltIDSourceAltIDSrcStringIdentifies class or source of the SecurityAltID (455) value. Required if SecurityAltID is specified.Valid values:SameNew values 1, 4is_cusip or isin_code_s456

    1 - CUSIP

    4 - ISIN number

    104 - Red Code

    105 - Preferred Reference Obligation

    106 - Pair Clip

    112 - TAM Marker Price Symbol

    N - Markit RED entity CLIP

    P - Markit RED pair CLIP


    SecurityXMLSecXML





    1184→SecurityXMLLen
    LengthLenght of the SecurityXML data block.



    1185→SecurityXMLFpMLXMLDataActual XML data stream describing a security, normally FpML.



    864EvntGrpEvnt





    →865→EventTypeEventTypintCode 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

    →866→EventDateDtLocalMktDateDate of event




    OptionExercise(repeating)OptExer






    → OptionExerciseDatesDts





    41122→→ Option Exercise Frequency PeriodFreqPeriodintTime unit multiplier for the frequency of exercise dates. If present OptionExerciseFrequencyUnit(tbd) must be specified.



    41123→→ OptionExerciseFrequencyUnitFreqUnitStringTime unit associated with the frequency of exercise dates. If present OptionExerciseFrequencyPeriod(tbd) must be specified.


    D - Day 

    H - Hour 

    Min - Minute

    Mo - Month  

    S - Second 

    Wk - Week 

    Yr - Year

    40049StreamGrpStrm





  • Page:
    CME STP - FIXML TradeCaptureReport - TrdCapRptSideGrp for BrokerTec Trades
    FIX TagField NameFIXML Attribute NameData TypeDescriptionNew for BrokerTecOMnet MappingGenium FIX MappingSupported Values
    54SideSidecharSide of order
    bought_or_sold54

    1 - Buy

    2 - Sell

    5 - Sell short

    6 - Sell short exempt

    H - Sell Undisclosed

    526SideSecondaryClOrdIDClOrdID2StringSecondary Client Order ID



    11SideClOrdIDClOrdIDStringClient Order ID



    1154SideCurrencyCcyCurrencyUsed to identify the trading currency on the Trade Capture Report Side



    578TradeInputSourceInptSrcStringType of input device or system from which the trade was entered. Values include: BTC - BrokerTec Clearing, BTD - BrokerTec Direct, GLBX - Globex, XPIT - Externally registeredNew accepted value BTC, BTDmatch_type_c + big_attention[16]20009 + 20034
    582CustOrderCapacityCustCpctyintCapacity of customer placing the orderPrimarily used by futures exchanges to indicate the CTICode (customer type indicator) as required by the US CFTC (Commodity Futures Trading Commission).


    1 - Member trading for their own account

    2 - Clearing Firm trading for its proprietary account

    3 - Member trading for another member

    4 - All other

    921StartCashStartCshAmtStarting dirty cash consideration of a financing deal, i.e. paid to the seller on the Start Date.New fieldconsideration_u921
    922EndCashEndCshAmtEnding dirty cash consideration of a financing deal. i.e. reimbursed to the buyer on the End Date.New fieldend_consideration_u922
    58TextTxtStringFree format text string(Note: this field does not have a specified maximum length)



    826TradeAllocIndicatorAllocIndintIdentifies how the trade is to be allocated


    0 - Allocation not required
    1 - Allocation required (give-up trade) allocation information not provided (incomplete)
    100 - SGX Offset
    2 - Use allocation provided with the trade
    3 - Allocation give-up executor
    4 - Allocation from executor
    5 - Allocation to claim account

    100 - SGX Offset

    1853SideAvgPxIndicatorAvgPxIndintAverage Pricing Indicator for the trade side.



    1057AggressorIndicatorAgrsrIndBooleanUsed to identify whether or not the order initiator is an aggressor in the trade.New fieldbig_attention[5]1057

    Y - Order initiator is aggressor
    N - Order initiator is passive

    10039SideOrigTradeIDOrigTrdIDStringThis field points (backward) to SecondaryTradeID on the predecessor trade. This will appear on replacement trades (828=0) and clearing offsets (828=3)



    1851StrategyLinkIDStrategyLinkIDStringIdentifies the multileg strategy (e.g. spread) to which the trade belongs. This links together trade legs executed as part of a strategy during a single match event.
    box_number_i20033
    1031CustOrderHandlingInstCustOrdHdlInstMultipleStringValueCodes that apply special information that the Broker / Dealer needs to report, as specified by the customer.NOTE: This field and its values have no bearing on the ExecInst and TimeInForce fields. These values should not be used instead of ExecInst or TimeInForce. This field and its values are intended for compliance reporting only.


    A - Phone simple
    B - Phone complex
    C - FCM-provided screen
    D - Other-provided screen
    E - Client provided platform controlled by FCM
    F - Client provided platform direct to exchange
    G - FCM API or FIX
    H - Algo Engine
    J - Price at Execution (price added at Initial order entry, trading, middle office or time of give-up)
    W - Desk - Electronic
    X - Desk - Pit
    Y - Client - Electronic
    Z - Client - Pit

    37OrderIDOrdIDStringUnique 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.New fieldorder_number_u37
    793SecondaryAllocGroupIDGrpID2StringIndicates the CCP-assigned secondary allocation ID for the average price group.



    2361CompressionGroupIDCmprsnGrpIDStringIdentifies all trades in a netting or compression group, including both terminating trades and any remnant trades that result from the operation.



    9373Liquidity FlagLqdtyFlgint

    Indicates if an order was submitted for market making obligation as required for MiFID.

    Applicable only for EU fixed income markets.



    0=False

    1=True


    5149MemoMemString

    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.

    customer_info_s58
    158AccruedInterestRateAcrdIntRtPercentageThe amount the buyer compensates the seller for the portion of the next coupon interest payment the seller has earned but will not receive from the issuer because the issuer will send the next coupon payment to the buyer. Accrued Interest Rate is the annualized Accrued Interest amount divided by the purchase price of the bond.New fieldextended_accrued_interest_q158
    453PartiesPty





    10034SideRegulatoryTradeIDGrpRegTrdID





    2639CommissionDataGrpCommData





    1016SideTrdRegTSTrdRegTS





    →1012→SideTrdRegTimestampTSUTCTimestampWill be used in a multi-sided message. Traded Regulatory timestamp value. Used to store time information required by government regulators or self regulatory organizations such as an exchange or clearing house.
    execution_timestamp769 + 20042 + 770=1
    →1013→SideTrdRegTimestampTypeTypintSame as TrdRegTimeStampType


    1 - Execution Time

    1855RelatedTradeGrpReltdTrd





    →1856→RelatedTradeIDIDStringIdentifier of a related trade.



    →1857→RelatedTradeIDSourceSrcintDescribes the source of the identifier that RelatedTradeID(1856) represents.


    2 - Secondary trade ID

  • Page:
    CME STP - FIXML TradeCaptureReport - UndInstrmtGrp for BrokerTec Trades
    FIX TagField NameFIXML Attribute NameData TypeDescriptionNew for BrokerTecOMnet MappingGenium FIX MappingSupported Values
    311UnderlyingSymbolSymString 'Sym'



    309UnderlyingSecurityIDIDString'ID'



    305UnderlyingSecurityIDSourceSrcString'Src'


    H - Clearing House / Clearing Organization

    310UnderlyingSecurityTypeSecTypString'SecTyp'


    FWD - Forward
    FUT - Future
    MLEG - Multi Leg (Combo)
    CMDTYSWAP - Commodity Swap

    313UnderlyingMaturityMonthYearMMYMonthYear'MMY'



    308UnderlyingSecurityExchangeExchExchange'Exch'


    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

    810UnderlyingPxPxPriceUnderlying price associate with a derivative instrument.New fieldclean_value

    5481


    882UnderlyingDirtyPriceDirtPxPricePrice (percent-of-par or per unit) of the underlying security or basket. "Dirty" means it includes accrued interestNew field

    dirty_market_price

    7166
    312UnderlyingSymbolSfxSfxString'Sfx'


    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

    40540UnderlyingStreamGrpStrm





  • Page:
    CME STP - FIXML TradeCaptureReport - PaymentGrp for BrokerTec Trades
    FIX TagField NameFIXML Attribute NameData TypeDescriptionNew for BrokerTecOMNet MappingGenium FIX MappingSupported Values
    40213Payment Type Typ intType of payment. 


    10 - Option premium

    40214Payment Pay Side PaySide intSide value of party paying the payment.


    1 - Buy

    2 - Sell

    40215Payment Receive Side RcvSide intSide value of party receiving the payment.


    1 - Buy

    2 - Sell

    40216Payment Currency Ccy CurrencySpecifies the currency in which PaymentAmount(tbd) and/or PaymentRate(tbd) is denominated. Uses ISO 4271 currency codes.



    40217Payment Amount Amt AmtThe total payment amount.



    40222Payment Date Adjusted DtLocalMktDateAdjusted Payment date.



  • Page:
    CME STP - FIXML TradeCaptureReport - InstrumentLeg for BrokerTec Trades
    FIX TagField NameFIXML Attribute NameData TypeDescriptionNew for BrokerTecOMnet MappingGenium FIX MappingSupported Values
    600LegSymbolSymString'Sym' 



    602LegSecurityIDIDString'ID'



    603LegSecurityIDSourceSrcString'Src'


    H - Clearing House / Clearing Organization

    608LegCFICodeCFIString'CFI'



    609LegSecurityTypeSecTypStringRefer to definition of SecurityType(167)


    BOND - Bond (generic)

    EUSOV - Euro Sovereigns

    EUSUPRA - Euro Supranational Coupons

    FUT - Future

    FWD - Forward

    MLEG - Multi Leg (Combo)

    OPT - Option

    REPO - Repurchase

    SOV - UK Gilt

    SUPRA - USD Supranational Coupons

    TB - Treasury Bill - non US

    TBA - To Be Announced

    TBILL - US Treasury Bill

    TBOND - US Treasury Bond

    TNOTE - US Treasury Note

    IRS - Interest Rate Swap
    PROV - Canadian Provincial Bonds

    764LegSecuritySubTypeSecSubTypStringSecuritySubType of the leg instrument.See SecuritySubType (762) field for description. Values include: GC - General Collateral GCF - General Collateral FinancingNew Field


    610LegMaturityMonthYearMMYMonthYear'MMY'



    611LegMaturityDateMatLocalMktDate'Mat'



    612LegStrikePriceStrkPrice'Strk'



    10045LegContractMultiplierMultfloat'Mult'



    999LegUnitOfMeasureUOMStringRefer to defintion of UnitOfMeasure(996)


    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)

    MW-h - Megawatt-Hour (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)

    kW-h - Kilowatt-Hour (electrical capacity)

    kWh - Kilowatt hours

    kg - Kilograms

    lbs - pounds

    oz_tr - Troy Ounces

    t - Metric Tons (aka Tonne)

    thm - Therms

    tn - Tons (US)

    1224LegUnitOfMeasureQtyUOMQtyQtyRefer to definition of UnitOfMeasureQty(1147)



    1720LegUnitOfMeasureCurrencyUOMCcyCurrencyIndicates the currency of the unit of measure. Conditionally required when LegUnitOfMeasure(999) = Ccy



    616LegSecurityExchangeExchExchange'Exch'New values BTEU, BTUS

    BTEU - BrokerTec EU

    BTUS - BrokerTec US

    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

    620LegSecurityDescDescStringDescription of a leg of a multileg instrument.See SecurityDesc(107).



    624LegSideSidecharThe side of this individual leg (multileg security).See Side (54) field for description and values


    1 - Buy

    2 - Sell

    1358LegPutOrCallPutCallintRefer to definition of PutOrCall(201)


    0 - Put
    1 - Call

    2192LegSettlMethodSettlMethcharSettlement method for a contract or instrument. Additional values may be used with bilateral agreement.


    P - Physical settlement required
    C - Cash settlement required
    E - Election at exercise

    10056LegInstrumentGUIDGUIDStringLeg globally unique identifierNew Field


    604LegSecAltIDGrpLegAID





    →605→LegSecurityAltIDSecAltIDString'SecAltID'



    →606→LegSecurityAltIDSourceSecAltIDSrcString'SecAltIDSrc'New values 1, 4

    1 - CUSIP

    4 - ISIN number

    112 - TAM Marker Price Symbol

  • Page:
    CME STP - FIXML TradeCaptureReport - StreamGrp for BrokerTec Trades
    FIX TagField NameFIXML Attribute NameData TypeDescriptionNew for BrokerTecOMnet MappingGenium FIX MappingSupported Values
    40050StreamTypeTypintType of swap stream. 


    0 - Payment / cash settlement
    1 - Physical delivery

    40052StreamPaySidePaySideintSide value of party paying the stream.


    1 - Buy
    2 - Sell

    40053StreamReceiveSideRcvSideintSide value of party receiving the stream.


    1 - Buy
    2 - Sell

    40054StreamNotionalNotlAmtNotional, or initial notional value for the payment stream. Use <PaymentSchedule> for steps.



    41306StreamNotionalFrequencyPeriodNotlPeriodintTime unit multiplier for the notional frequency. If present StreamNotionalFrequencyUnit(tbd) must be specified.



    41307StreamNotionalFrequencyUnitNotlUnitStringTime 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

    41309StreamNotionalUnitOfMeasureNotlUOMStringStream notional UOM.


    Alw - Allowances

    AUD - Australian Dollars

    Bbl - Barrels

    Bcf - Billion cubic feet

    BDFT - Board feet

    BRL - Brazil Real

    Bu - Bushels

    CAD - Canadian Dollars

    CBM - Cubic Meters

    Ccy - Amount of currency

    CER - Certified Emissions Reduction

    CHF - Swiss Franc

    CLP - Chilean Peso

    CNY - Chinese Renminbi

    COP - Colombian Pesos

    CRT - Climate Reserve Tonnes

    cwt - Hundredweight (US)

    CZK - Czech Koruna

    day - Days

    DEM - Deutsche Mark

    dt - Dry metric tons

    EnvCrd - Environmental Credit

    EnvOfst - Environmental Offset

    ESP - Spanish Peseta

    EUR - Euro

    FRF - French Franc

    g - Grams

    Gal - Gallons

    GBP - British Pound

    GJ - Gigajoules

    GT - Gross Tons Also known as long tons or imperial tons, equal to 2240 lbs

    HUF - Hungarian Forint

    ILS - Israel Shekel

    IPNT - Index point

    ITL - Italian Lira

    JPY - Japanese Yen

    kg - Kilograms

    kL - Kiloliters

    KRW - Korean Won

    kW-h - Kilowatt-Hour (electrical capacity)

    kW-M - Kilowatt-Month (electrical capacity)

    kWh - Kilowatt hours

    L - Liters

    lbs - pounds

    MMbbl - Million Barrels

    MMBtu - One Million BTU

    MW-h - Megawatt-Hour (electrical capacity)

    MW-M - Megawatt-Month (electrical capacity)

    MWh - Megawatt hours

    MXN - Mexican Peso

    MYR - Malaysia Ringgits

    NOK - Norway Krone

    NZD - New Zealand Dollars

    oz_tr - Troy Ounces

    PLN - Polish Zloty

    PRINC - Principal with relation to debt instrument

    RCER - Relevant Certified Emission Reduction

    RUB - Russian Ruble

    SEK - Swedish Kroner

    t - Metric Tons (aka Tonne)

    thm - Therms

    tn - Tons (US)

    TRY - Turkish Lira

    USD - US Dollars

    ZAR - South African Rand

    41310StreamTotalNotionalTotNotlAmtTotal notional or delivery quantity over the term of the contract.



    41311StreamTotalNotionalUnitOfMeasureTotNotlUOMStringStream total notional UOM.


    Alw - Allowances

    AUD - Australian Dollars

    Bbl - Barrels

    Bcf - Billion cubic feet

    BDFT - Board feet

    BRL - Brazil Real

    Bu - Bushels

    CAD - Canadian Dollars

    CBM - Cubic Meters

    Ccy - Amount of currency

    CER - Certified Emissions Reduction

    CHF - Swiss Franc

    CLP - Chilean Peso

    CNY - Chinese Renminbi

    COP - Colombian Pesos

    CRT - Climate Reserve Tonnes

    cwt - Hundredweight (US)

    CZK - Czech Koruna

    day - Days

    DEM - Deutsche Mark

    dt - Dry metric tons

    EnvCrd - Environmental Credit

    EnvOfst - Environmental Offset

    ESP - Spanish Peseta

    EUR - Euro

    FRF - French Franc

    g - Grams

    Gal - Gallons

    GBP - British Pound

    GJ - Gigajoules

    GT - Gross Tons Also known as long tons or imperial tons, equal to 2240 lbs

    HUF - Hungarian Forint

    ILS - Israel Shekel

    IPNT - Index point

    ITL - Italian Lira

    JPY - Japanese Yen

    kg - Kilograms

    kL - Kiloliters

    KRW - Korean Won

    kW-h - Kilowatt-Hour (electrical capacity)

    kW-M - Kilowatt-Month (electrical capacity)

    kWh - Kilowatt hours

    L - Liters

    lbs - pounds

    MMbbl - Million Barrels

    MMBtu - One Million BTU

    MW-h - Megawatt-Hour (electrical capacity)

    MW-M - Megawatt-Month (electrical capacity)

    MWh - Megawatt hours

    MXN - Mexican Peso

    MYR - Malaysia Ringgits

    NOK - Norway Krone

    NZD - New Zealand Dollars

    oz_tr - Troy Ounces

    PLN - Polish Zloty

    PRINC - Principal with relation to debt instrument

    RCER - Relevant Certified Emission Reduction

    RUB - Russian Ruble

    SEK - Swedish Kroner

    t - Metric Tons (aka Tonne)

    thm - Therms

    tn - Tons (US)

    TRY - Turkish Lira

    USD - US Dollars

    ZAR - South African Rand


    StreamCommodity(repeating)Cmdty






    StreamEffectiveDateEfctvDt





    40914→StreamEffectiveDateAdjustedDtLocalMktDateAdjusted effective date.




    StreamTerminationDateTrmtnDt





    40072→StreamTerminationDateAdjustedDtLocalMktDateAdjusted Termination Date.




    PaymentStream(repeating)PmtStrm






    DeliveryStreamDlvryStrm





    41062→DeliveryStreamDeliveryPointDlvryPntStringThe 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 



    41063→DeliveryStreamDeliveryRestrictionDlvryRstctnintSpecifies 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 - FIXML TradeCaptureReport - StreamCommodity for BrokerTec Trades
    FIX TagField NameFIXML Attribute NameData TypeDescriptionNew for BrokerTecOMnet MappingGenium FIX MappingSupported Values
    41251StreamCommodityBase BaseStringSpecifies the general base type of the commodity traded. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions.



    41255StreamCommodityDescriptionDescStringDescription of the commodity asset.



    41237StreamAssetAttributeGrpAssetAttrb





    →41238→StreamAssetAttributeTypeTypStringName 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.
    →41239→StreamAssetAttributeValueValStringValue of the attribute



    41289StreamCommoditySettlementPeriodGrpSettlPeriod





    →41291→StreamCommoditySettlementTimeZoneTZStringCommodity delivery timezone specified as prevailing rather than standard or daylight . E.g. CPT for Central (US) Prevailing Time.



    →41292→StreamCommoditySettlementFlowTypeFlowTypintCommodity delivery flow type.


    0 - All times
    1 - On-peak
    2 - Off-peak
    3 - Base
    4 - Block hours
    5 - Other

    →41300→StreamCommoditySettlementHolidaysProcessingInstructionHolidaysintIndicates whether holidays are included in the settlement periods. Required for electricity contracts.


    0 - Do not include holidays
    1 - Include holidays

  • Page:
    CME STP - FIXML TradeCaptureReport - PaymentStream for BrokerTec Trades
    FIX TagField NameFIXML Attribute NameData TypeDescriptionNew for BrokerTecOMnet MappingGenium FIX MappingSupported Values

    PaymentStreamPaymentDatesPmtDts





    42615→PaymentStreamPaymentFrequencyPeriodFreqPeriodintThe period of frequency of payments. 



    42616→PaymentStreamPaymentFrequencyUnitFreqUnitStringThe unit of frequency of payments.


    D - Day

    Mo - Month
    T - Term
    Wk - Week
    Yr - Year


    PaymentStreamFixedRateFixed





    40784→PaymentStreamRateRtPercentageRate if the payment stream is a fixed rate stream.



    40786→PaymentStreamRateOrAmountCurrencyCcyCurrencySpecifies the currency in which PaymentStreamFixedAmount(40785) or PaymentStreamRate(40784) is denomincated. Uses ISO 4271 currency codes.




    PaymentStreamFloatingRateFloat





    40789→PaymentStreamRateIndexNdxStringFloating Rate Index.



    41196→PaymentStreamRateIndexLocationNdxLctnStringSpecifies the location of the floating rate index.



    40793→PaymentStreamRateMultiplierRtMultfloatA 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.



    40794→PaymentStreamRateSpreadSpreadPriceOffsetSpread from floating rate index.



  • Page:
    CME STP - FIXML TradeCaptureReport - SideRegulatoryTradeIDGrp for BrokerTec Trades
    FIX TagField NameFIXML Attribute NameData TypeDescriptionNew for BrokerTecOMnet MappingGenium FIX MappingSupported Values
    10027Side 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. 


    • If bilateral trade (1832=0) indicates Unique Trade Identifier (UTI)
    • If Centrally Cleared trade (1832=1) it indicates the Report Tracking Number (RTN).

    Note: Only applies to EU Repos

    10028Side Regulatory Trade ID Source Src StringID of reporting entity assigned by regulatory agency.



    10029Side Regulatory Trade ID Event Evnt intEvent causing origination of the ID, e.g. Clearing.


    0 - Initial block trade

    2 - Clearing

    10030Side Regulatory Trade ID Type Typ intThe type of Regulatory Trade ID being sent.


    0 - Current (the default)
    5 - Trading venue transaction identifier
    10031Side 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.



    10032Side 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 - FIXML TradeCaptureReport - Parties for BrokerTec Trades
    FIX TagField NameFIXML Attribute NameData TypeDescriptionNew for BrokerTecOMnet MappingGenium FIX MappingSupported Values
    448PartyIDIDStringParty identifier/code. See PartyIDSource (447) and PartyRole (452).
    Depending on Src and R values, this can map to trading_code, bic_code_s, party, cust_info_s, clearer_code_s, account_id_s, user_id448
    447PartyIDSourceSrcchar

    Identifies class or source of the PartyID (448) value. Required if PartyID is specified. Note: applicable values depend upon PartyRole (452) specified.

    Note:  R=1/Src=N (LEI) is required for EU trades but is optional for US trades.  

    New values B, D, P
    447

    C - Generally accepted market participant identifier

    D - Proprietary / Custom code

    H - Clearing house participant/member code

    N - LEI

    P - Short code identifier

    452PartyRoleRint

    Identifies the type or role of the PartyID (448) specified. 

    Note:  R=1/Src=N (LEI) is required for EU trades but is optional for US trades.

    New values 17, 122
    452

    1 - GFID, where applicable (Trades executed through CME Globex and group allocations that share a SenderComp ID)

    4 - Clearing Firm

    7 - Trading (Entering) Firm

    12 - Executing Trader (associated with Executing Firm - actually executes)

    17 - Contra Firm

    21 - Clearing Organization

    22 - Exchange

    24 - Customer Account

    30 - Inter Dealer Broker

    36 - Entering trader

    44 - Order Entry Operator ID

    For Brokertec, this is iLink SenderID, also known as GUS (Global User Signature)

    49 - Asset Manager

    55 - Session ID

    62 - Report originator

    73 - Execution Venue

    79 - Prime Broker

    102 - Data Repository (e.g. SDR)

    122 -  Investment decision maker

    1001 - 

    Trading Member Firm ID (Futures and Options only)

    802PtysSubGrpSub





    523→PartySubIDIDStringSub-identifier (e.g. Clearing Account for PartyRole (452)=Clearing Firm, Locate ID # for PartyRole=Locate/Lending Firm, etc). Not required when using PartyID (448), PartyIDSource (447), and PartyRole.

    523
    803→PartySubIDTypeTypintType of PartySubID (523) value4000+ = Reserved and available for bi-laterally agreed upon user defined values

    803

    5 - Full legal name of firm

    9 - Contact name

    16 - BIC (Bank Identification Code - SWIFT managed)

    26 - Account type or Origin

  • Page:
    CME STP - FIXML TradeCaptureReport - CommissionDataGrp for BrokerTec Trades
    FIX TagField NameFIXML Attribute NameData TypeDescriptionNew for BrokerTecOMnet MappingGenium FIX MappingSupported Values
    2642Commission Basis Basis int Indicates the method used to calculate broker fees.


    1 - Per Unit (implying shares, par, currency, etc.)

    2 - Percent

    3 - Absolute

    7 - Basis Points

    8 - Amount per contract

    2640Commission Amount Amt AmtThe total commission amount.



    2641Commission Amount Type TypintType of Commission.


    Value = 0.
    2643Commission Currency Ccy CurrencyCurrency of broker fees. Default is USD.



    2644Commission 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)

    2645Commission Unit of Measure Currency UOMCcy CurrencyUnit of measure currency for computing the broker fees. Used when Unit of Measure = Ccy.



    2646Commission RateRt floatRate used to calculate broker fees. For example, $1 per contract, or $0.01 per barrel.



    2649Commission 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.



    10054Commission Adjusted PricePxPriceCommission adjusted price.New fieldextended_adj_trade_price7165
  • Page:
    CME STP - FIXML TradeCaptureReport - UnderlyingStreamGrp for BrokerTec Trades
    FIX TagField NameFIXML Attribute NameData TypeDescriptionNew for BrokerTECOMnet MappingGenium FIX MappingSupported Values
    40541UnderlyingStreamTypeTypintType of swap stream. 


    0 - Payment / cash settlement
    1 - Physical delivery

    40543UnderlyingStreamPaySidePaySideintSide value of party paying the stream.


    1 - Buy
    2 - Sell

    40544UnderlyingStreamReceiveSideRcvSideintSide value of party receiving the stream.


    1 - Buy
    2 - Sell

    40545UnderlyingStreamNotionalNotlAmtNotional, or initial notional value for the payment stream. Use <SwapSchedule> for steps.



    42019UnderlyingStreamNotionalFrequencyPeriodNotlPeriodintTime unit multiplier for the notional frequency. If present UnderlyingStreamNotionalFrequencyUnit(tbd) must be specified.



    42020UnderlyingStreamNotionalFrequencyUnitNotlUnitStringTime unit associated with the notional frequency. If present UnderlyingStreamNotionalFrequencyPeriod(tbd) must be specified.


    D - Day

    H - Hour

    Min - Minute

    Mo - Month

    S - Second

    Wk - Week

    Yr - Year

    42022UnderlyingStreamNotionalUnitOfMeasureNotlUOMStringDelivery UnderlyingStream quantity UOM.


    Alw - Allowances

    AUD - Australian Dollars

    Bbl - Barrels

    Bcf - Billion cubic feet

    BDFT - Board feet

    BRL - Brazil Real

    Bu - Bushels

    CAD - Canadian Dollars

    CBM - Cubic Meters

    Ccy - Amount of currency

    CER - Certified Emissions Reduction

    CHF - Swiss Franc

    CLP - Chilean Peso

    CNY - Chinese Renminbi

    COP - Colombian Pesos

    CRT - Climate Reserve Tonnes

    cwt - Hundredweight (US)

    CZK - Czech Koruna

    day - Days

    DEM - Deutsche Mark

    dt - Dry metric tons

    EnvCrd - Environmental Credit

    EnvOfst - Environmental Offset

    ESP - Spanish Peseta

    EUR - Euro

    FRF - French Franc

    g - Grams

    Gal - Gallons

    GBP - British Pound

    GJ - Gigajoules

    GT - Gross Tons Also known as long tons or imperial tons, equal to 2240 lbs

    HUF - Hungarian Forint

    ILS - Israel Shekel

    IPNT - Index point

    ITL - Italian Lira

    JPY - Japanese Yen

    kg - Kilograms

    kL - Kiloliters

    KRW - Korean Won

    kW-a - Kilowatt-Year (electrical capacity)

    kW-d - Kilowatt-Day (electrical capacity)

    kW-h - Kilowatt-Hour (electrical capacity)

    kW-M - Kilowatt-Month (electrical capacity)

    kW-min - Kilowatt-Minute (electrical capacity)

    kWh - Kilowatt hours

    L - Liters

    lbs - pounds

    MMbbl - Million Barrels

    MMBtu - One Million BTU

    MW-a - Megawatt-Year (electrical capacity)

    MW-d - Megawatt-Day (electrical capacity)

    MW-h - Megawatt-Hour (electrical capacity)

    MW-M - Megawatt-Month (electrical capacity)

    MW-min - Megawatt-Minute (electrical capacity)

    MWh - Megawatt hours

    MXN - Mexican Peso

    MYR - Malaysia Ringgits

    NOK - Norway Krone

    NZD - New Zealand Dollars

    oz_tr - Troy Ounces

    PLN - Polish Zloty

    PRINC - Principal with relation to debt instrument

    RCER - Relevant Certified Emission Reduction

    RUB - Russian Ruble

    SEK - Swedish Kroner

    t - Metric Tons (aka Tonne)

    thm - Therms

    tn - Tons (US)

    TRY - Turkish Lira

    USD - US Dollars

    ZAR - South African Rand

    42023UnderlyingStreamTotalNotionalTotNotlAmtTotal notional or delivery quantity over the term of the contract.



    42024UnderlyingStreamTotalNotionalUnitOfMeasureTotNotlUOMStringDelivery UnderlyingStream quantity UOM.


    Alw - Allowances

    AUD - Australian Dollars

    Bbl - Barrels

    Bcf - Billion cubic feet

    BDFT - Board feet

    BRL - Brazil Real

    Bu - Bushels

    CAD - Canadian Dollars

    CBM - Cubic Meters

    Ccy - Amount of currency

    CER - Certified Emissions Reduction

    CHF - Swiss Franc

    CLP - Chilean Peso

    CNY - Chinese Renminbi

    COP - Colombian Pesos

    CRT - Climate Reserve Tonnes

    cwt - Hundredweight (US)

    CZK - Czech Koruna

    day - Days

    DEM - Deutsche Mark

    dt - Dry metric tons

    EnvCrd - Environmental Credit

    EnvOfst - Environmental Offset

    ESP - Spanish Peseta

    EUR - Euro

    FRF - French Franc

    g - Grams

    Gal - Gallons

    GBP - British Pound

    GJ - Gigajoules

    GT - Gross Tons Also known as long tons or imperial tons, equal to 2240 lbs

    HUF - Hungarian Forint

    ILS - Israel Shekel

    IPNT - Index point

    ITL - Italian Lira

    JPY - Japanese Yen

    kg - Kilograms

    kL - Kiloliters

    KRW - Korean Won

    kW-a - Kilowatt-Year (electrical capacity)

    kW-d - Kilowatt-Day (electrical capacity)

    kW-h - Kilowatt-Hour (electrical capacity)

    kW-M - Kilowatt-Month (electrical capacity)

    kW-min - Kilowatt-Minute (electrical capacity)

    kWh - Kilowatt hours

    L - Liters

    lbs - pounds

    MMbbl - Million Barrels

    MMBtu - One Million BTU

    MW-a - Megawatt-Year (electrical capacity)

    MW-d - Megawatt-Day (electrical capacity)

    MW-h - Megawatt-Hour (electrical capacity)

    MW-M - Megawatt-Month (electrical capacity)

    MW-min - Megawatt-Minute (electrical capacity)

    MWh - Megawatt hours

    MXN - Mexican Peso

    MYR - Malaysia Ringgits

    NOK - Norway Krone

    NZD - New Zealand Dollars

    oz_tr - Troy Ounces

    PLN - Polish Zloty

    PRINC - Principal with relation to debt instrument

    RCER - Relevant Certified Emission Reduction

    RUB - Russian Ruble

    SEK - Swedish Kroner

    t - Metric Tons (aka Tonne)

    thm - Therms

    tn - Tons (US)

    TRY - Turkish Lira

    USD - US Dollars

    ZAR - South African Rand


    UnderlyingStreamCommodity(repeating)Cmdty






    UnderlyingStreamEffectiveDateEfctvDt





    40064→UnderlyingStreamEffectiveDateAdjustedDtLocalMktDateAdjusted effective date.




    UnderlyingStreamTerminationDateTrmtnDt





    40555→UnderlyingStreamTerminationDateAdjustedDtLocalMktDateAdjusted Termination Date.




    UnderlyingPaymentStream(repeating)PmtStrm






    UnderlyingDeliveryStreamDlvryStrm





    41781→UnderlyingDeliveryStreamDeliveryPointDlvryPntStringThe 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



    41782→UnderlyingDeliveryStreamDeliveryRestrictionDlvryRstctnintSpecifies 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 - FIXML TradeCaptureReport - UnderlyingStreamCommodity for BrokerTec Trades
    FIX TagField NameFIXML Attribute NameData TypeDescriptionNew for BrokerTECOMnet MappingGenium FIX MappingSupported Values
    41964UnderlyingStreamCommodityBase BaseStringSpecifies the general base type of the commodity traded. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions.



    41968UnderlyingStreamCommodityDescriptionDescStringDescription of the commodity asset.



    41800UnderlyingStreamAssetAttributeGrpAssetAttrb





    41801→UnderlyingStreamAssetAttributeTypeTypStringName 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.

    41802→UnderlyingStreamAssetAttributeValueValStringValue of the attribute



    42002UnderlyingStreamCommoditySettlementPeriodGrpSettlPeriod





    42004→UnderlyingStreamCommoditySettlementTimeZoneTZStringCommodity delivery timezone specified as prevailing rather than standard or daylight . E.g. CPT for Central (US) Prevailing Time.



    42005→UnderlyingStreamCommoditySettlementFlowTypeFlowTypintCommodity delivery flow type.


    0 - All times
    1 - On-peak
    2 - Off-peak
    3 - Base
    4 - Block hours
    5 - Other

    42013→UnderlyingStreamCommoditySettlementHolidaysProcessingInstructionHolidaysintIndicates whether holidays are included in the settlement periods. Required for electricity contracts.


    0 - Do not include holidays
    1 - Include holidays

  • Page:
    CME STP - FIXML TradeCaptureReport - UnderlyingPaymentStream for BrokerTec Trades
    STP TagField NameFIXML Attribute NameData TypeDescriptionNew for BrokerTECOMnet MappingGenium FIX MappingSupported Values

    UnderlyingPaymentStreamPaymentDatesPmtDts





    40583→UnderlyingPaymentStreamPaymentFrequencyPeriodFreqPeriodint The period of frequency of payments.



    40584→UnderlyingPaymentStreamPaymentFrequencyUnitFreqUnitStringThe unit of frequency of payments.


    D - Day

    Mo - Month
    T - Term
    Wk - Week
    Yr - Year


    UnderlyingPaymentStreamFixedRateFixed





    40615→UnderlyingPaymentStreamRateRtPercentageRate if the payment stream is a fixed rate stream.



    40617→UnderlyingPaymentStreamRateOrAmountCurrencyCcyCurrencySpecifies the currency in which UnderlyingPaymentStreamFixedAmount(40616) or UnderlyingPaymentStreamRate(40615) is denominated. Users ISO 4271 currency codes.




    UnderlyingPaymentStreamFloatingRateFloat





    40620→UnderlyingPaymentStreamRateIndexNdxStringFloating Rate Index.



    41913→UnderlyingPaymentStreamRateIndexLocationNdxLctnStringSpecifies the location of the floating rate index.



    40624→UnderlyingPaymentStreamRateMultiplierRtMultfloatA 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.



    40625→UnderlyingPaymentStreamRateSpreadSpreadPriceOffsetSpread from floating rate index.



  • Page:
    CME STP - FIXML TradeCaptureReport for BrokerTec Trades
    FIX TagField NameFIXML Attribute NameData TypeDescriptionNew for BrokerTecOMnet MappingGenium FIX MappingSupported Values
    571TradeReportIDRptIDString Unique identifier of trade capture Acknowledgement message.

    571
    1003TradeIDTrdIDString

    The unique ID assigned to the trade entity once it is received or matched by the exchange or central counterparty.

    However this value is not unique across all BTEC products i.e. Repo GC, Repo Special/GCF, and cash. 


    trade_number_i1003
    1040SecondaryTradeIDTrdID2String

    Globally unique across different BrokerTec products and recommended to be used to uniquely identify a trade.

    For GC Repo, this tag in TradeCaptureReport (35=AE) ties to it's CollateralReport (35=BA).





    10036PackageIDPackageIDStringThis field points (forward) to SecondaryTradeID on the trade replacing this trade. This field is only populated when the trade has been replaced as a result of an amendment



    487TradeReportTransTypeTransTypintIdentifies Trade Report message transaction type(Prior to FIX 4.4 this field was of type char)New value 4 - Reversal
    487

    0 - New
    1 - Cancel
    2 - Replace
    4 - Reverse

    856TradeReportTypeRptTypintType of Trade Report

    856101 - Notification
    939TrdRptStatusTrdRptStatintTrade Report Status


    0 - Accepted
    7 - Terminated

    568TradeRequestIDReqIDStringTrade Capture Report Request ID

    568
    828TrdTypeTrdTypintType of Trade:
    trade_type_c828

    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

    829TrdSubTypeTrdSubTypintFurther qualification to the trade type
    deal_source_c855

    7 - Differential spread
    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

    Note: 8 - Implied spread leg executed against an outright (not published for BTec markets).

    10021OffsetInstructionOfstInstintIndicates offset or onset due to allocation.


    0 - Offset
    1 - Onset

    830TransferReasonTrnsfrRsnStringReason 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)

    880TrdMatchIDMtchIDStringIdentifier assigned to a trade by a matching system.
    match_id880
    820TradeLinkIDLinkIDStringUsed to link a group of trades together. Useful for linking a group of trades together for average price calculations.New fieldworkup_id_n820
    2490TradeNumberTrdNumString
    New fieldtrade_number_i

    20011DealIDDealIDStringBrokerTec Deal ID, common to all participants within an entire trade (not only a match)New fielddeal_number_i20011
    17ExecIDExecIDStringUnique identifier of execution message as assigned by sell-side (broker, exchange, ECN) (will be 0 (zero) for ExecType (150)=I (Order Status)).Uniqueness must be guaranteed within a single trading day or the life of a multi-day order. Firms which accept multi-day orders should consider embedding a date within the ExecID field to assure uniqueness across days.(Prior to FIX 4.1 this field was of type int).



    527SecondaryExecIDExecID2StringAssigned by the party which accepts the order. Can be used to provide the ExecID (17) used by an exchange or executing system.



    10035BlockIDBlckIDStringIndicates the Platform ID of the block trade. Used for IRS.



    423PriceTypePxTypintCode to represent the price type.(For Financing transactions PriceType implies the "repo type" - Fixed or Floating - 9 (Yield) or 6 (Spread) respectively - and Price (44) gives the corresponding "repo rate".New values 9 - Yield, 1005 - Yield Diffpremium_unit_n423

    1 - Percentage (i.e. percent of par)

    2 - Per unit (i.e. per share or contract)

    6 - Spread (basis points spread)
    9 - Yield

    10 - Fixed cabinet trade price (primarily for listed futures and options)

    11 - Variable cabinet trade price (primarily for listed futures and options)
    24 - Interest rate

    100 - Tentative placeholder price
    101 - Updated actual price

    102 - Derived Price Block
    1005 - Yield Diff

    1430VenueTypeVenuTypcharIdentifies the type of venue where a trade was executedNew value Q - Quote-driven Marketmatch_type_c20009

     
    C - Clearing house
    E - Electronic
    O - Off facility swap

    P - Pit

    Q - Quote-driven market

    R - Registered Market (SEF)

    X - Ex-Pit

    854QtyTypeQtyTypintType of quantity specified in a quantity field:


    0 - Notional / Units
    1 - Contract term

    32LastQtyLastQtyQtyQuantity (e.g. shares) bought/sold on this (last) fill.(Prior to FIX 4.2 this field was of type int)
    trade_quantity_i32
    31LastPxLastPxPricePrice of this (last) fill.
    deal_price_i31
    1056CalculatedCcyLastQtyCalcCcyLastQtyQtyUsed for the calculated quantity of the other side of the currency trade. Can be derived from LastQty and LastPx.



    75TradeDateTrdDtLocalMktDateThe trade date assigned to an execution on the trading platform.
    created_date_s75
    715ClearingBusinessDateBizDtLocalMktDateThe "Clearing Business Date" referred to by this maintenance request.
    clearing_date_s715
    6AvgPxAvgPxPriceCalculated average price of all fills on this order.For Fixed Income trades AvgPx is always expressed as percent-of-par, regardless of the PriceType (423) of LastPx (31). I.e., AvgPx will contain an average of percent-of-par values (see LastParPx (669)) for issues traded in Yield, Spread or Discount.



    442MultiLegReportingTypeMLegRptTypcharUsed to indicate what an Execution Report represents (e.g. used with multi-leg securities, such as option strategies, spreads, etc.).


    1 - Single security (default if not specified)
    2 - Individual leg of a multi-leg security
    3 - Multi-leg security

    60TransactTimeTxnTmUTCTimestampTimestamp when the business transaction represented by the message occurred.
    asof_date_s + asof_time_s60
    2405ExecMethodExecMethintSpecifies whether the transaction was executed via an automated execution platform or other method.


    1 - Manual
    2 - Automated
    64SettlDateSettlDtLocalMktDateSpecific date of trade settlement (SettlementDate) in YYYYMMDD format.If present, this field overrides SettlType (63). This field is required if the value of SettlType (63) is 6 (Future) or 8 (Sellers Option). This field must be omitted if the value of SettlType (63) is 7 (When and If Issued)(expressed in local time at place of settlement)New fieldsettlement_date_s64
    779LastUpdateTimeLastUpdateTmUTCTimestamp

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

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

    Example:  20200520-01:14:39.126000000Z 

    modified_date_s + modified_time_s779
    1832ClearedIndicatorClrdintIndicates whether the position or trade being reported was cleared through a clearing organization.


    0 - Not cleared
    1 - Cleared

    1924ClearingIntentionClrIntnintIndicates whether or not the parties intend the trade to clear.


    0 - Do not intend to clear
    1 - Intend to clear

    1932ClearingRequirementExceptionClrReqmtExcptnintSpecifies 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
    1936TradeCollateralizationTrdCollztnintIndication of trade collateralization.


    0 - Uncollateralized
    1 - Partially collateralized
    2 - One-way collateralized
    3 - Fully collateralized

    10033DifferentialPriceDiffPxfloatRepresents the Differential Price for Spreads.



    10024DifferentialPriceTypeDiffPxTypintThis indicates the type of differential price represented in the Differential Type attribute.


    0 - Differential from Settlement Price
    1 - Differential between legs

    997OrigTimeUnitOrigTmUnitStringSpecifies the Time Unit of the original trade.


    D - Day
    H - Hour

    Min - Minute

    Mo - Month
    S - Second
    Wk - Week
    Yr - Year

    10037TradingQuantityTrdgQtyQtyIndicates the trading quantity entered, in unit terms (e.g. in MWh), for a trade. This may differ from the cleared quantity, especially in the case of contracts like electricity that follow delivery schedules.



    10047ConfirmHubTradeTypeCHTrdTypStringCustom field to represent specific Confirm Hub Trade Types



    37711MarketDataTradeEntryIDMDTrdEntrIDintUnique Trade Identifier that will match to a CME Globex order execution, associated market data message and STP messaging



    1832ClearedIndicatorClrdint

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

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



    0 - Not cleared

    1 - Cleared
    1329FeeMultiplierFeeMultfloatThis is a multiplier that Clearing (Fee system) will use to calculate fees and will be sent to the firms on their confirms.



    10053SplitIndicatorSplitIndcharIndicates whether or not a trade is splitNew field

    Y - Split trade
    N - Whole trade

    20043AlternatePriceLastPx2PriceAlternate PriceNew fieldalternate_price_i20043
    20056SettlementTradeIDSettlTrdIDStringTrade identifier as assigned by BrokerTec Clearing.New field


    99400Clearing Transformation TypeClrTransTypintIndicates the type of Clearing Transformation that generated this Trade.


    1- Exercise

    2-Assignment

    3-General Transformation

    4-Delivery Transformation

    5-Fungible

    719Contrary Instruction IndicatorCntraryInstrctnIndBooleanUsed to indicate when a contrary instruction for exercise or abandonment is being submitted


    Y-YES

    N-NO

    99401Option Exercise Time FrameOptExerTmFmintFor 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

    30LastMktLastMktExchangeMarket of execution for last fill, or an indication of the market where an order was routedNew field


    1116RootPartiesPty





    →1117→RootPartyIDIDStringPartyID value within a root parties component. Same values as PartyID (448)



    →1118→RootPartyIDSourceSrccharPartyIDSource value within a root parties component. Same values as PartyIDSource (447)


    N - LEI

    →1119→RootPartyRoleRintPartyRole value within a root parties component. Same values as PartyRole (452)


    73 - Execution Venue


    InstrumentInstrmt






    FinancingDetailsFinDetls





    916→StartDateStartDtLocalMktDateStart date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateralNew fieldstart_date_s916
    917→EndDateEndDtLocalMktDateEnd date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateralNew fieldend_date_s917
    40212PaymentGrpPmt





    711UndInstrmtGrpUndly





    753PositionAmountDataAmt





    →707→PosAmtTypeTypStringType of Position amount


    CRES - Cash Residual Amount
    ICPN - Initial Trade Coupon Amount
    IPMT - Upfront Payment
    PREM - Premium Amount

    TVAR - Trade Variation Amount

    →708→PosAmtAmtAmtPosition amount



    →1055→PositionCurrencyCcyStringThe Currency in which the position Amount is denominated



    555TrdInstrmtLegGrpTrdLeg





    552TrdCapRptSideGrpRptSide





    2668TrdRegPublicationGrpTrdRegPublctn





    →2669→TrdRegPublicationTypeTypint
    New field

    2 - Exempt from publication
    →2670→TrdRegPublicationReasonRsnint
    New field

    12 - Exempted due to European System of Central Banks (ESCB) policy transactions

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