Contents

Output - Statistics

Fields

RefFieldNameData TypeValuesUsageDescription
1header
2→ messageTypeMessage Typestring
  • STAT (Trade Statistics)
ALWAYS

Denotes trade summary message.

3→ sentTimeSent TimestamptimestampALWAYS

CME MDP gateway sends the message (UTC).

4→ sequenceNumbersequence NumberstringALWAYS
5→ versionAPI Versionstring
  • 1.0 (1.0)
ALWAYS
6payload
7→ instrument
8→ → definitionSourceInstrument Definition Sourcestring
  • E (Exchange Defined)
  • U (User Defined)
ALWAYS

Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined.

9→ → exchangeMicExchange MICstring
  • DUMX (Dubai Mercantile Exchange)
  • XCBT (Chicago Board of Trade)
  • XCEC (COMEX (Commodities Exchange Center))
  • XCME (Chicago Mercantile Exchange)
  • XNYM (New York Mercantile Exchange)
ALWAYS

Exchange used to identify a security.

10→ → idInstrument IDstringALWAYS

Unique instrument ID as qualified by the exchange per market segment. The unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.

11→ → marketSegmentIdMarket Segment IDstringALWAYS

Identifies the market segment. Populated for all CME Globex instruments.

12→ → periodCodeInstrument Period CodestringALWAYS

This field provides the calendar month reflected in the instrument symbol. Format YYYYMM (e.g., 201912) 

For futures spreads, this field contains the first leg's calendar month reflected in the instrument symbol.

13→ → productCodeInstrument Product CodestringALWAYS

String field that indicates the underlying asset code (Product Code). Example: GE (Eurodollars), ES (E-Minis).

14→ → productGroupProduct Group CodestringALWAYS
15→ → productTypeProduct Typestring
  • FUT (Future)
  • OOF (Option)
  • OPT (Option)
ALWAYS
16→ → symbolInstrument SymbolstringALWAYS
17→ lastUpdateTimeLast Update TimestamptimestampALWAYS
18→ tradeStatistics
19→ → clearedVolumeOpen Interest Quantityint32OPTIONAL
20→ → clearedVolumeDateSettlement Price DatestringOPTIONAL
21→ → clearedVolumeTimestampSettlement Price Timestampint32OPTIONAL
22→ → openInterestOpen Interest Quantityint32OPTIONAL
23→ → openInterestDateSettlement Price DatestringOPTIONAL
24→ → openInterestTimestampSettlement Price Timestampint32OPTIONAL
25→ → settlementActualSettlement Actual IndicatorbooleanOPTIONAL
26→ → settlementFinalSettlement Final IndicatorbooleanOPTIONAL
27→ → settlementPriceSettlement PricedoubleOPTIONAL
28→ → settlementPriceDateSettlement Price DatestringOPTIONAL
29→ → settlementPriceTimestampSettlement Price TimestamptimestampOPTIONAL
30→ → settlementRoundedSettlement Rounded IndicatorbooleanOPTIONAL
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