This Market Data Security Definition message is sent for Fixed Income markets. This message maps to the MDInstrumentDefinitionFixedIncome template in the SBE MDP Core schema. 

TagFIX NameTypeSemantic TypeValid ValuesDescription
5799MatchEventIndicatorMatchEventIndicatorMultipleCharValueexample: 10000000 – Security Definition message is the last message of the event

example:00000000 – Security Definition is not the last message of the event

Bitmap field of eight Boolean type indicators reflecting the end of updates for a given CME Globex Event:

Bit 0: (least significant bit) Last Trade Summary message for a given event

Bit 1: Last electronic volume message for a given event

Bit 2: Last customer order quote message for a given event

Bit 3: Last statistic message for a given event

Bit 4: Last implied quote message for a given event

Bit 5: Message resent during recovery

Bit 6: Reserved for future use

Bit 7: (most significant bit) Last message for a given event

911TotNumReportsuInt32NULLint
Total number of instruments in the Replay loop. Used on Replay Feed only
980SecurityUpdateActionSecurityUpdateActionchar

A=Add

D=Delete

M=Modify

Included in the message on the Incremental feed when a mid-week deletion or modification (i.e. extension) occurs.

Add represents Security Definition messages that are:

  • Newly added during the current week
  • Disseminated during the Sunday Startup period
  • Resent by the system during the week

Modify represents modifications to a Security Definition

Delete represents deletions of a Security Definition

779LastUpdateTimeuInt64UTCTimestamp
Timestamp of when the instrument was last added, modified or deleted. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.
1682MDSecurityTradingStatusSecurityTradingStatusint

2=Trading Halt

4=Close            

17=Ready to trade (start of session)

18=Not available for trading

21=Pre Open  

Identifies the current market state of the instrument

1180ApplIDInt16int
MD channel ID as defined in the XML Configuration file
1300MarketSegmentIDuInt8int

Identifies the market segment.

Populated for all CME Globex instruments.

462UnderlyingProductuInt8int

Indicates the product complex

2=Commodity/Agriculture
4=Currency
5=Equity
6=Government
10=Mortgage
12=Other
13=Financing
14=Interest Rate
15=FX Cash
16=Energy
17=Metals

207SecurityExchangeSecurityExchangeExchange


Exchange used to identify a security

XCBT=Chicago Board of Trade 

XCME=Chicago Mercantile Exchange 

XNYM=New York Mercantile Exchange 

XCEC=COMEX (Commodities Exchange Center) 

XMGE=Minneapolis Grain Exchange 

DUMX=Dubai Mercantile Exchange 

XKLS=Bursa Malaysia 

XKFE=Korea Exchange 

NYUM=XNYM-DUMX inter-exchange spread 

MGCB=XMGE-XCBT inter-exchange spread

CBCM=XCME-XCBT inter-exchange spread

XFXS=CME FX Link spread

GLBX=FX Spot leg

BTEC=BrokerTec US

BTEE=BrokerTec EU (UK Gilts & Notes)

BTAM=BrokerTec Amsterdam (All EU except UK Gilts & Notes)

1151SecurityGroupSecurityGroupString
Security Group Code
6937AssetAssetString
The underlying asset code also known as Product Code
55SymbolSymbolString
Instrument Name or Symbol
48SecurityIDInt32int
A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.
22SecurityIDSourceSecurityIDSourcechar8=Exchange symbolIdentifies class or source of Tag 48-SecurityID value
167SecurityTypeSecurityTypeString

TBOND=US Treasury Bond

TBILL=US Treasury Bill

TNOTE=US Treasury Note

TB=Non-US Treasury Bill

SOV=UK Gilts

Financing=EGB (Euro Government Bonds)

EUSUP=Euro Supranational

SUPRA=US Supranational

REPO=REPO instruments

TIPS=Treasury Inflation-Protected Securities

TINT=U.S. Treasury STRIPS

Security Types

461CFICodeCFICodeString

ISO standard instrument categorization code

15CurrencyCurrencyCurrency
Identifies the currency used for price
120SettlCurrencyCurrencyCurrency
Identifies currency used for settlement, if different from trade price currency
1142MatchAlgorithmCHARchar

F=First In, First Out (FIFO)

Matching Algorithm

562MinTradeVoluInt32Qty

The minimum trading volume for a security

The minimum order quantity for SPOT instruments

1140MaxTradeVoluInt32Qty
The maximum trading volume for a security
969MinPriceIncrementPRICENULL9Price

Minimum constant tick for the instrument.

For VTT-eligible products, this tag will contain 'NULL' for Options and '0' for User Defined Spreads (UDS).

9787DisplayFactorDecimal9float
Contains the multiplier to convert the CME Globex display price to the conventional price
37702MainFractionuInt8NULLint
Price Denominator of Main Fraction
37703SubFractionuInt8NULLint
Price Denominator of Sub Fraction
9800PriceDisplayFormatuInt8NULLint
Number of Decimals in Displayed Price
996UnitOfMeasureUnitOfMeasureString
Unit of measure for the products' original contract size. This will be populated for all products listed on CME Globex.
1147UnitOfMeasureQtyDecimal9NULLQty

This field contains the contract size for each instrument. Use in combination with tag 996-UnitofMeasure. 
For example:

SOFR futures 
-Tag 1147=1000000 
-Tag 996=USD 

Live Cattle futures 
-Tag 1147=40000 
-Tag 996=LBS 

For variable-quantity products, the contract size reflects the original contract size, before the application of the multiplier

1150TradingReferencePricePRICENULL9Price
Reference price for prelisted instruments or the last calculated Settlement whether it be Theoretical, Preliminary or a Final Settle of the session.
5796TradingReferenceDateLocalMktDateLocalMktDate
Indicates session date corresponding to the reference price in tag 1150-TradingReferencePrice
1149HighLimitPricePRICENULL9Price

Allowable high limit price for the trading day.

A key parameter in validating order price.

Used as the upper band for validating order prices. Orders submitted with prices above the upper limit will be rejected.

This price protects off prices for quoting.

Note: This value is indicative only and may not reflect the actual real-time high limit price.

1148LowLimitPricePRICENULL9Price

Allowable low limit price for the trading day.

A key parameter in validating order price.

Used as the lower band for validating order prices. Orders submitted with prices below the lower limit will be rejected.

This price protects off prices for quoting.

Note: This value is indicative only and may not reflect the actual real-time low limit price.

1143MaxPriceVariationPRICENULL9Price
Differential value for price banding
1146MinPriceIncrementAmountPRICENULL9Price
Currently under development.
225IssueDateLocalMktDateLocalMktDate
Issue Date.  Value is number of days since Unix epoch.
873DatedDateLocalMktDateLocalMktDate
Dated Date. Value is number of days since Unix epoch.
541MaturityDateLocalMktDateLocalMktDate
Maturity Date. Value is number of days since Unix epoch.
223CouponRateDecimal9NULLPercentage
The rate of interest that, when multiplied by the principal, par value, or face value of a bond, provides the currency amount of the periodic interest payment
37723ParValuePRICENULL9Price
The par value of the bond.
1949CouponFrequencyUnitString3String
Time unit associated with the frequency of the bond's coupon payment
1948CouponFrequencyPerioduInt16NULLint
Time unit multiplier for the frequency of the bond's coupon payment
1950CouponDayCountString20String
  • US30360
  • 30360BB
  • ACTACT
  • ACTAFB
  • ACT360
  • ACT365
  • EU30360
The day count convention used in interest calculations for a bond or an interest bearing security
470CountryOfIssueCountryCodeString
Country of Origin, ISO alpha-2 country code
106IssuerString25String
Name of security issuer or the Legal Entity Identifier (LEI - the International ISO standard 17442)
2714FinancialInstrumentFullNameLongNameString
Long name of the instrument
455SecurityAltIDString12String
Expanded instrument description. Will contain either ISIN or CUSIP
456SecurityAltIDSourceSecurityAltIDSourceint1=CUSIP
4=ISIN
Identifies class or source of the SecurityAltID (455) value
1196PriceQuoteMethodString5String
  • YIELD
  • PRICE
  • RATE 

Price quotation method

9736PartyRoleClearingOrgString5String
Clearing organization
9779UserDefinedInstrumentUserDefinedInstrumentcharY=User defined instrument
N=Not a user defined instrument
User-defined Instrument flag

37721

RiskSet

String6String

Risk Set identifies the list of instruments sharing credit limits set up

37722

MarketSet

String6String

Market Set defines the bilateral relationship and Self Match Prevention configuration for eligible markets

37513

InstrumentGUID

uInt64NULLint

Global unique instrument identifier. Additional product and instrument referential data can be gathered via CME Reference Data API using GUID fields. 

Currently unavailable for futures and options instruments.

Repeating Group 1
864NoEventsNuminGroup

Number of repeating entries.
865EventTypeEventTypeint5=Activation
7=Last eligible trade date
Code to represent the type of event
1145EventTimeuInt64UTCTimestamp
Date and Time of instrument Activation or Last Trade Datetime event sent as number of nanoseconds since Unix epoch
Repeating Group 2
1141NoMDFeedTypes


Number of repeating entries.
1022MDFeedTypeMDFeedTypeString
Describes a class of service for a given data feed. GBX- Real Book, GBI-Implied Book
264MarketDepthInt8int
Book depth
Repeating Group 3
870NoInstAttribNuminGroup

Number of repeating entries.
871InstAttribTypeInstAttribTypeint24=EligibilityInstrument eligibility attributes
872InstAttribValueInstAttribValueMultipleCharValue

Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain.

Bitmap field of 32 Boolean type indicators:

0 (least significant bit): Electronic Match Eligible

1: Order Cross Eligible

2: Block Trade Eligible

3: EFP Eligible

4: EBF Eligible

5: EFS Eligible

6: EFR Eligible

7: OTC Eligible

8: iLink Mass Quoting Eligible

9: Negative Strike Eligible

10: Negative Price Eligible

11: Is Fractional (indicates product has fractional display price)

13: RFQ Cross Eligible

14: Zero Price Eligible

15: Decaying Product Eligibility

16: Variable Quantity Product Eligibility

17: DailyProduct Eligibility

18: GT Orders Eligibility (Previously Tag 827)

19: Implied Matching Eligibility (Previously tag 1144)

21: Variable Cabinet Eligible

22: Inverted Book

23: All or None Instrument

24-31 – Reserved for future use

Repeating Group 4
1234NoLotTypeRulesNuminGroup

Number of repeating entries.
1093LotTypeInt8int

2=minimum order entry quantity for an instrument
5=order quantity increment

This tag is required to interpret the value in tag 1231-MinLotSize.

1231MinLotSizeDecimalQtyQty

If tag 1093-LotType=2, this value is minimum quantity accepted for order entry.

If tag 1093-LotType=5, the 1231-MinLotSize is order quantity increment.  For example, if 1093-LotType=2 & 1231-MinLotSize orders may be entered in increments of 2.  Therefore, order sizes of 1, 3, 5, etc can be entered.