Contents

Output - Trade Summary

Fields

RefFieldNameData TypeValuesUsageDescription
1header
2→ messageTypeMessage Typestring
  • TRD (Trade Summary)
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→ tradeSummary
19→ → aggressorSideAggressor Sidestring
  • BUY (Buy)
  • NO_AGGRESSOR (No aggressor)
  • NULL (Null)
  • SELL (Sell)
ALWAYS

Indicates which side is aggressor of the trade. If there is a zero value present, then there is no aggressor. Trades without aggressors occur:

  • At Market Open
  • after a Pre-Open or after a Pause
  • When the event includes customer order participation in a trade with a CME Globex-generated implied bid or offer.
20→ → mdTradeEntryIdMarket Data Trade Entry IDstringALWAYS

Common Trade ID that links each trade execution.

21→ → orderQty
22→ → → lastOrdQtyOrder QuantitystringALWAYS

Quantity of order

23→ → → orderIdVenue Order IDstringALWAYS

Unique ID assigned by CME Globex to identify orders.

24→ → tradeOrderCountTrade Order CountstringALWAYS

Identifies the total number of non-implied orders per instrument that participated in a match event.

25→ → tradePriceTrade PricestringALWAYS
26→ → tradeQtyTrade QuantitystringALWAYS

Quantity of trade

27→ → tradeUpdateActionTrade Update Actionstring
  • DELETE (Delete)
  • NEW (New)
  • UPDATE (Update)
ALWAYS
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