Contents

Output - Top of Book

Fields

RefFieldNameData TypeValuesUsageDescription
1header
2→ messageTypeMessage Typestring
  • TOB (Top of Book)
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→ askLevel[]
8→ → lastUpdateTimeAsk Level Last Update TimestamptimestampALWAYS

Last update time for ask price

9→ → orderCntAsk Level Order CountstringALWAYS

Aggregate number of orders at the given price level.

10→ → priceAsk Level PricestringALWAYS

Price of the entry

11→ → qtyAsk Level QuantitystringALWAYS

Quantity of the entry

12→ bidLevel[]
13→ → lastUpdateTimeBid Level Last Update TimestamptimestampALWAYS

Last update time for ask price

14→ → orderCntBid Level Order CountstringALWAYS

Aggregate number of orders at the given price level.

15→ → priceBid Level PricestringALWAYS

Price of the entry

16→ → qtyBid Level QuantitystringALWAYS

Quantity of the entry

17→ instrument
18→ → 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.

19→ → 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.

20→ → 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.

21→ → marketSegmentIdMarket Segment IDstringALWAYS

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

22→ → 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.

23→ → productCodeInstrument Product CodestringALWAYS

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

24→ → productGroupProduct Group CodestringALWAYS
25→ → productTypeProduct Typestring
  • FUT (Future)
  • OOF (Option)
  • OPT (Option)
ALWAYS
26→ → symbolInstrument SymbolstringALWAYS
  • No labels