The market data Security Definition (tag 35-MsgType=d) message identifies the instrument and provides instrument attributes such as expiration, strike price, etc. 

Market Data Security Definition - Futures

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

TagFIX NameTypeSemanticTypeValid ValuesDescription
5799MatchEventIndicatorMatchEventIndicator

MultipleCharValue


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

MatchEventIndicator is not supported on the Instrument Recovery feeds
911TotNumReportsuInt32NULL

int


Total number of instruments in the Replay loop.

Used on Replay Feed only.

980SecurityUpdateActionSecurityUpdateAction

char


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

A=Add

D=Delete

M=Modify

779LastUpdateTimeuInt64

UTCTimestamp


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.
1682MDSecurityTradingStatusSecurityTradingStatus

int


Identifies the current state of the instrument. In Security Definition message this tag is available in the Instrument Replay feed only.

2=Trading Halt

4=Close            

15=New Price Indication                       

17=Ready to trade (start of session)

18= Not available for trading

20=Unknown or Invalid       

21=Pre Open  

24=Pre-Cross

25=Cross

26=Post Close             

103=No Change

201=PrivateWorkup

202=PublicWorkup

More information regarding market states, including valid values, will will be provided at a later date.
1180ApplIDInt16

int


The channel ID as defined in the XML Configuration file
1300MarketSegmentIDuInt8

int


Identifies the market segment.

Populated for all CME Globex instruments.

462UnderlyingProductuInt8

int


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

207SecurityExchangeSecurityExchange

Exchange


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)

1151SecurityGroupSecurityGroup

String


Security Group Code.
6937AssetAsset

String


The underlying asset code also known as Product Code
55SymbolSymbol

String


Instrument Name or Symbol
48SecurityIDInt32

int


Unique instrument ID as qualified by the exchange per tag 22-SecurityIDSource.

The unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.

22SecurityIDSourceSecurityIDSource

char


Identifies source of tag 48-SecurityID value. This value is always 8 for CME is required if tag 48-SecurityID is specified.

167SecurityTypeSecurityType

String


Security Type

FUT=Future or Future Spread

OOF=Options on Futures or Options on Futures Spread

MLEG=Spread with mixed type leg

IRS=Interest Rate Swaps

FXSPOT=FX Spot

TBOND=US Treasury Bond

TBILL=US Treasury Bill

TNOTE=US Treasury Note

TB=Non-US Treasury Bill

TBA=To Be Announced

SOV=UK Gilts

EUSOV= EGB (Euro Government Bonds)

EUSUP=Euro Supranational

SUPRA= US Supranational

REPO=REPO instruments

TIPS=Treasury Inflation-Protected Securities

TINT=U.S. Treasury STRIPS

461CFICodeCFICode

String


ISO standard instrument categorization code.

Currently not supported in futures and options markets. Consult CME Reference Data API Version 3 for CFI values.

200MaturityMonthYearMaturityMonthYear

MonthYear


This field provides the calendar month reflected in the instrument symbol (tag 55-Symbol in MDP 3.0; tag 107-SecurityDesc in iLink). Format YYYYMM (e.g., 201912) 

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

For packs and bundles, this value represents the quarterly contract reflected in the instrument symbol.

For daily products, this tag contains the full calendar date as reflected in the instrument symbol. Format YYYYMMDD (e.g. 20191205).

For weekly options products, this tag contains the calendar month and week indicator reflected in the instrument symbol. Format YYYYMMwW (e.g., for the 4th week contracts, 2019124).

15CurrencyCurrency

Currency


Identifies currency used for price
120SettlCurrencyCurrency

Currency


Identifies currency used for settlement, if different from trading currency
1142MatchAlgorithmCHAR

char


Matching algorithm

F=First In, First Out (FIFO)

K=Configurable

C=Pro-Rata

A=Allocation

T=FIFO with LMM

O=Threshold Pro-Rata

S=FIFO with TOP and LMM

Q=Threshold Pro-Rata with LMM

Y=Eurodollar options

562MinTradeVoluInt32

Qty


The minimum trading volume for a security
1140MaxTradeVoluInt32

Qty


The maximum trading volume for a security
969MinPriceIncrementPRICE9

Price


Minimum constant tick for the instrument.

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

9787DisplayFactorDecimal9

float


Contains the multiplier to convert the CME Globex display price to the conventional price
37702MainFractionuInt8NULL

int


Price Denominator of Main Fraction
37703SubFractionuInt8NULL

int


Price Denominator of Sub Fraction
9800PriceDisplayFormatuInt8NULL

int


Number of digits to the right of tick mark; location of tick mark between whole and non-whole numbers.

Example: where tag 9800=3, display fractional price as: 112'200

996UnitOfMeasureUnitOfMeasure

String


Unit of measure for the products' original contract size. This will be populated for all products listed on CME Globex

1147UnitOfMeasureQtyDecimal9NULL

Qty


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

Eurodollar futures 
-Tag 1147=2500
-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

1150TradingReferencePricePRICENULL9

Price


Reference price for prelisted instruments or the last calculated Settlement whether it be Theoretical, Preliminary or a Final Settle of the session.
731SettlPriceTypeSettlPriceType

MultipleCharValue


Bitmap field of eight Boolean type indicators representing settlement price type:

Bit 0: (least significant bit):

1=Final

0=Preliminary

Bit 1:

1=Actual

0=Theoretical or Undefined

Note: Typically, there are two rounds of preliminary settlement prices disseminated. The early round of preliminary settlement prices will have Bit 1 set to 0 (Undefined).

Bit 2:

1=Settlement at Trading Tick

0=Settlement at Clearing Tick

Bit 3:

1=Intraday

0=Undefined

Bit 4-6: Reserved for future use, set to 0

Bit 7:

0=not NULL

1=entire set is a NULL

Settlements are not supported on BrokerTec markets.
5792OpenInterestQtyInt32NULL

Qty


The total open interest for the market at the close of the prior trading session.
5791ClearedVolumeInt32NULL

Qty


The total cleared volume of instrument traded during the prior trading session.
1149HighLimitPricePRICENULL9

Price


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.

1148LowLimitPricePRICENULL9

Price


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.

1143MaxPriceVariationPRICENULL9

Price


Differential value for price banding.
5818DecayQuantityInt32NULL

Qty


Indicates the quantity that a contract will decay daily by once the decay start date is reached
5819DecayStartDateLocalMktDate

LocalMktDate


Indicates the date at which a decaying contract will begin to decay
5849OriginalContractSizeInt32NULL

Qty


Fixed contract value assigned to each product
231ContractMultiplierInt32NULL

int


Number of deliverable units per instrument, e.g., peak days in expiration month or number of calendar days in expiration month.

The market data Security Definition (tag 35-MsgType=d) message for the variable quantity spread will be populated with the value '0' for tag 231-ContractMultiplier.

The market data Security Definition (tag 35-MsgType=d) message is populated with values for the outright legs for tag 231-ContractMultiplier and customers must extract this value.

1435ContractMultiplierUnitInt8NULL

int


Indicates the type of multiplier being applied to the product. Optionally used in combination with tag 231-ContractMultiplier.

1=multiplied by hour 
2=multiplied by day

1439FlowScheduleTypeInt8NULL

int


The schedule according to which the electricity is delivered in a physical contract, or priced in a financial contract. Specifies whether the contract is defined according to the Easter Peak, Eastern Off-Peak, Western Peak or Western Off-Peak.

0=NERC Eastern Off-Peak 
1=NERC Western Off-Peak 
2=Calendar-All Days in month 
3=NERC Eastern Peak 
4=NERC Western Peak

1146MinPriceIncrementAmountPRICENULL9

Price


Currently under development.

9779UserDefinedInstrumentUserDefinedInstrument

char


Identifies user-defined instruments.

Y=User defined instrument 
N=Not a user defined instrument

5796TradingReferenceDateLocalMktDate

LocalMktDate


Trading Session Date corresponding to the settlement price in tag 1150-TradingReferencePrice. Sent in number of days since Unix epoch.

May contain null value when Trading Reference Price is not available for the instrument.

37513InstrumentGUIDuInt64NULLint

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
865EventTypeEventTypeint

Code to represent the type of event

5=Activation 
7=Last eligible trade date

1145EventTimeuInt64UTCTimestamp
Date and Time of instrument Activation or Last Trade Datetime event sent as number of nanoseconds since Unix epoch
Repeating Group 2
1022MDFeedTypeMDFeedTypeString

Describes a class of service for a given data feed. 

GBX=CME Globex Book Depth 
GBI=CME Globex Implied Book Depth

264MarketDepthInt8int
Book depth
Repeating Group 3
871InstAttribTypeInstAttribTypeint
Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain.
872InstAttribValueInstAttribValueMultipleCharValue

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
1093LotTypeInt8int

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

2=minimum order entry quantity for an instrument

3=the minimum qty required for a block trade

4=Round lot (Variable Quantity Products)

1231MinLotSizeDecimalQtyQty
Minimum quantity accepted for order entry. If tag 1093-LotType=4, this value is the minimum quantity for order entry expressed in the applicable units, specified in tag 996-UnitOfMeasure, e.g. megawatts