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Contract Specifications messages may be sent, at the option of the exchange:  1) on the day trading is announced in the contract (before effective date); 2) whenever one (1) or more elements of the message is changed; or, 3) routinely a, such as daily, the first day of the month, or the last day of the month.

Valid Type Codes for Contract Specifications messages are as follows:

Type CodeMessage

O

Option

S

Session

Quote vendors should note that certain data in the messages is subject to change over the life of the contract.  For example, the closing time for some contracts is changed on the last day of trading.

The following conditions apply for the Category Code Z - Contract Specifications message:

  • Where Category Code Z (position 7) AND Session ID " " (position 24), CME Group will not send the message.
Options

The following sample message contains the Contract Specifications - type code O (Options):

aM   OZO500213070630360 b CJ  H12C                    03 010100000+0145000+50

          c


Position

Name

Length

Sample Values

Description

Type

1

SOH control character

(1)

Binary representation of the number 1

Control Character

Message Header

2 - 3

Exchange ID

(2)

‘M ‘

Exchange

Message Header

4 - 5

Vendor ID

(2)

‘  ‘

Vendor

Message Header

6

Product Classification Code

(1)

O

Product type

Message Header

7

Category Code

(1)

Z

Message type

Message Header

8

Type Code

(1)

O

Message sub-type

Message Header

9

Message Day Code

(1)

5

Day of month

Message Header

10 - 16

Message Sequence Number

(7)

0021307

Sequence number

Message Header

17 - 23

Message Time Stamp

(7)

0630360

Time will be represented as ‘HHMMSST’ for the time zone in which the exchange is located

Message Header

24

Session ID

(1)

‘ ‘

Session ID Blank = ETH & RTH

Message Header

25

STX control character

(1)

Binary representation of the number 2

Control Character

Message Header

26

Product Classification Type

(1)

‘ ‘

Space = No further definition included

Message Body

27 - 29

Option Commodity Code

(3)

‘CJ ‘           

ITC 2.1 product code

Message Body

30

Option Day Code

(1)

‘ ‘

Option maturity date

Message Body

32

Option Month Code

(1)

‘H’

Option maturity  month

Message Body

33-34

Option  Year Code

(2)

12

Option maturity  year

Message Body

34

Put/Call Code 

(1)

C

Identify put or call options

  • P = Put
  • C = Call

Message Body

35 - 54

Space

(20)

‘                    ‘

Blank

Message Body

55 -56

Strike Price Fractional Indicator

(2)

03

All fractions are expressed as fractions or in decimals as is customary for the particular commodity.

Message Body

57

Strike Price Indicator

(1)

‘ ‘

Identify the manner in which the Strike Prices are coded.

Message Body

58 - 59

Number of Intervals

(2)

01

Number of intervals

Message Body

60 - 66

Low Strike Price

(7)

0100000

Lowest value Strike Price

Message Body

67

Low Strike Sign

(1)

+

Lowest value Strike Sign

Message Body

68 - 74

High Strike Price

(7)

0145000

Highest value Strike Price

Message Body

75

High Strike Sign

(1)

+

Highest value Strike Sign

Message Body

76-77

Strike Price Interval

(2)

50

Used to  calculate Strike Prices

Message Body

78 - 89

Space

(12)

‘           ‘

Blank

Message Body

90

ETX

(1)

Binary representation of the number 3

Control character

Message Body

Sessions

The following sample message contains the Contract Specifications  - type code S (Sessions):

aM   FZS500129000630090 b BR         2G1700 1600 R0720 1400 c

PositionNameLengthSample ValuesDescriptionType

1

SOH control character

(1)

Binary representation of the number 1

Control Character

Message Header

2 - 3

Exchange ID

(2)

‘M ‘

Exchange

Message Header

4 - 5

Vendor ID

(2)

‘  ‘

Vendor

Message Header

6

Product Classification Code

(1)

F

Product type

Message Header

7

Category Code

(1)

Z

Message type

Message Header

8

Type Code

(1)

S

Message sub-type

Message Header

9

Message Day Code

(1)

5

Day of month

Message Header

10 - 16

Message Sequence Number

(7)

0012900

Sequence number

Message Header

17 - 23

Message Time Stamp

(7)

0630090

Time will be represented as ‘HHMMSST’ for the time zone in which the exchange is located

Message Header

24

Session ID

(1)

‘ ‘

Session ID Blank = ETH & RTH

Message Header

25

STX control character

(1)

Binary representation of the number 2

Control Character

Message Header

26

Product Classification Type

(1)

‘ ‘

Space = No further definition included

Message Body

27 - 29

Commodity Code

(3)

‘BR ‘

ITC 2.1 product code

Message Body

30 - 37

Space

(8)

‘       ‘

Blank

Message Body

38

Number of Sessions

(1)

2

Number of trading sessions

Message Body

39

Session ID

(1)

G

Session ID

Message Body

40 - 43

Session Opening Time

(4)

1700

Opening Time in HHMM Format

Message Body

44

Space

(1)

‘ ‘

Blank

Message Body

45 - 48

Session Closing Time

(4)

1600

Closing Time in HHMM Format

Message Body

50

Session ID

(1)

R

Session ID

Message Body

51 - 54

Session Opening Time

(4)

0720

Opening Time in HHMM Format

Message Body

55

Space

(1)

‘ ‘

Blank

Message Body

56 - 59

Session Closing Time

(4)

1400

Closing Time in HHMM Format

Message Body

60

Space

(1)

‘ ‘

Blank

Message Body

61

ETX

(1)

Binary representation of the number 3

Control character

Message Body


The following sample message contains the Contract Specifications - type code S (Sessions for option commodity codes).

aM   OZS500139540630110 b ND                             2G1530 0815 R0830 1515 c

PositionNameLengthSample ValuesDescription

1

SOH control character

(1)

Binary representation of the number 1

Control Character

2 - 3

Exchange ID

(2)

‘M ‘

Exchange

4 - 5

Vendor ID

(2)

‘  ‘

Vendor

6

Product Classification Code

(1)

O

Product type


7

Category Code

(1)

Z

Message type

8

Type Code

(1)

S

Message sub-type

9

Message Day Code

(1)

5

Day of month

10 - 16

Message Sequence Number

(7)

0013954

Sequence number

17 - 23

Message Time Stamp

(7)

0630110

Time will be represented as ‘HHMMSST’

for the time zone in which the exchange is located

24

Session ID

(1)

‘ ‘


Session ID which the data pertains, not

necessarily the current session                            Blank = ETH & RTH

25

STX control character

(1)

Binary representation of the number 2

Control Character

26

Product Classification Type

(1)

‘ ‘

Space = No further definition included

27 - 29

Commodity Code

(3)

ND            

ITC 2.1 product code

30 - 57

Space

(28)

‘                            ‘

Blank

58

Number of Sessions

(1)

2          

Number of trading sessions

59

Session ID


(1)

G

Session ID


60 - 63

Session Opening Time

(4)

1530

Opening Time in HHMM Format

64

Space

(1)

‘ ‘

Blank

65 - 68

Session Closing Time

(4)

0815

Closing Time in HHMM Format

69Space(1)' 'Blank

70

Session ID

(1)


Session ID

71 - 74

Session Opening Time

(4)

0830

Opening Time in HHMM Format

75

Space

(1)

‘ ‘

Blank

76 - 79

Session Closing Time

(4)

1515

Closing Time in HHMM Format

80

Space

(1)

‘ ‘

Blank

81

ETX

(1)

Binary representation of the number 3

Control character

The following sample message contains the Contract Specifications - type code S (Sessions with Commodity Code, Month and Year):

aM   FZS500219270630430 b VFF G14    0c

PositionNameLengthSample ValuesDescription

1

SOH control character

(1)

a

Control Character

2 - 3

Exchange ID

(2)

M

Exchange

6

Product Classification Code

(1)

F

Product type


7

Category Code

(1)

Z

Message type

8

Type Code

(1)

S

Message sub-type

9

Message Day Code

(1)

5

Day of month

10 - 16

Message Sequence Number

(7)

0021927

Sequence number

17 - 23

Message Time Stamp

(7)

0630430

Time will be represented as ‘HHMMSST’

for the time zone in which the exchange is located

25

STX control character

(1)

b

Control Character

27 - 29

Commodity Code

(3)

VFF

ITC 2.1 product code

31

Month Code


(1)

G

Maturity Month


32 - 33

Future Year Code

(1)

14

Maturity Year

38

Number of Sessions

(1)

0

Number of trading sessions

Note - This position will be populated with the value of ‘0’.

39

ETX

(1)

c

Control character



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