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

TagFIX NameTypeSemantic TypeValid ValuesDescription
5799MatchEventIndicatorMatchEventIndicatorMultipleCharValue
Bitmap field of eight Boolean type indicators reflecting the end of updates for a given Globex event
911TotNumReportsuInt32NULLint
Total number of instruments in the Replay loop. Used on Replay Feed only.
980SecurityUpdateActionSecurityUpdateActionchar
Last Security update action on Incremental feed, 'D' or 'M' is used when a mid-week deletion or modification (i.e. extension) occurs.
779LastUpdateTimeuInt64UTCTimestamp
Timestamp of when the instrument was last added, modified or deleted. Sent in number of nanoseconds since Unix epoch
1682MDSecurityTradingStatusSecurityTradingStatusint

2=Trading Halt

4=Close

17=Ready to trade (start of session)

18=Not available for trading

Identifies the current state of the instrument


1180ApplIDInt16int
The channel ID as defined in the XML Configuration file
1300MarketSegmentIDuInt8int
Identifies the market segment for all CME Globex instruments
462UnderlyingProductuInt8int

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
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.
22SecurityIDSourceSecurityIDSourcechar
Identifies class or source of the SecurityID (Tag 48) value
167SecurityTypeSecurityTypeString

REPO=REPO instruments

Security Type

461CFICodeCFICodeString
ISO standard instrument categorization code.
15CurrencyCurrencyCurrency
Identifies the currency for the instrument traded
120SettlCurrencyCurrencyCurrency
Identifies currency used for settlement
1142MatchrithmCHARchar

F=First In, First Out (FIFO)

Matching Algorithm

562MinTradeVoluInt32Qty
The minimum trading volume for a security
1140MaxTradeVoluInt32Qty
The maximum trading volume for a security
969MinPriceIncrementPRICE9Price
Minimum constant tick for the instrument
9787DisplayFactorDecimal9float
Contains the multiplier to convert the CME Globex display price to the conventional 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
1150TradingReferencePricePRICENULL9Price
Trading Reference price
5796TradingReferenceDateLocalMktDateLocalMktDate
Indicates session date corresponding to the price in tag 1150-TradingReferencePrice
1149HighLimitPricePRICENULL9Price
Allowable high limit price for the trading day
1148LowLimitPricePRICENULL9Price
Allowable low limit price for the trading day
1143MaxPriceVariationPRICENULL9Price
Differential value for price banding
2714FinancialInstrumentFullNameLongNameString
Long name of the instrument
9736PartyRoleClearingOrgString5String
Clearing organization
916StartDateLocalMktDateLocalMktDate
Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral
917EndDateLocalMktDateLocalMktDate
End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral
788TerminationTypeString8String

For Repos the timing or method for terminating the agreement.  For US, there are 2 Terms - Cash and Reg. For those 2 term codes there can be multiple period code combinations - 1 Week, 2 Week or 2 Month, 3 Month, etc. For EU there are Overnight, Tomorrow, Spot and Corporate types. For those 4 term codes there can be multiple period code combinations - 1 Week, 2 Week or 2 Month, 3 Month, etc.

Type

Examples

US - Overnight Cash

C


C-1W


C-1M


C-1Y

US - REG

REG


REG-1W


REG-1M


REG-1Y

US - Cash with repo end date as 12/31

C-12/31

EGB – Overnight

O


O-W


O-M


O-Y

EGB – Tomorrow

T-N


T-W


T-M


T-Y

EGB - Spot

S-N


S-W


S-M


S-Y

EGB - Spot with 12/31 end Date

S-12/31

EGB – Corporate

C-N


C-W


C-M


C-Y



762SecuritySubTypeRepoSubTypeint0=Special
1=GC
2=GCForDBV

Repo Sub Security Type


Special=Repo on a single underlying instrument for which we will generate start cash/end cash based on the underlying price and repo rate                     

GC=Repo on a single or basket of eligible underlyings that will require allocation at BrokerTec

GCForDBV=Repo on a single or basket of eligible underlyings that will require allocation outside of BrokerTec, such as at the clearer/triparty agent, etc

37714MoneyOrParMoneyOrParint
Money or Par indicates if the GC is filled by par amount or by money amount
37715MaxNoOfSubstitutionsuInt8int
Max number of substitutions allowed. The value of 0 indicates that substitutions are not allowed
1196PriceQuoteMethodString5String
  • YIELD
  • PRICE
  • RATE 
Price quotation method
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.

37716

TermCode

String20

String

Full Repo Term Code

6651

BrokenDateTermType

uInt8NULL

intNull = Not applicable
0 = Custom
1 = Quarterly 
2 = Monthly

Optionally used in tailor-made repo contracts and defines the type of broken dates as requested by trader. Null = Not applicable, 0 = Custom, 1 = Quarterly, 2 = Monthly

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
1141NoMDFeedTypesNuminGroup

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.
1093LotTypeInt8int2=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.
Repeating Group 5
711NoUnderlyingsNuminGroup

Number of repeating entries.
311UnderlyingSymbolUnderlyingSymbolString
Underlying Instrument Symbol (Short Name). When the underlying is a Globex listed Fixed Income instrument this value will be the same as that contained in Security Definition Tag 55-Symbol of the underlying instrument
309UnderlyingSecurityIDInt32NULLint
Underlying Security ID as qualified by tag 305-UnderlyingSecurityIDSource. Provided only if the underlying is a Globex listed instrument, this value will be the same as that contained in Security Definition Tag 48-SecurityID.
305UnderlyingSecurityIDSourceSecurityIDSourcechar
Identifies the class or source of UnderlyingSecurityID Tag 309 value. Always '8' for CME assigned IDs
458UnderlyingSecurityAltIDString12String
Underlying Alternate Security identifier value as qualified by Tag 305-UnderlyingSecuityAltIDSource (e.g. CUSIP, ISIN, etc). For Repo special will contain underlying CUSIP or ISIN. For GC Repo may contain a synthetic CUSIP or ISIN representing a basket
459UnderlyingSecurityAltIDSourceSecurityAltIDSourceint1=CUSIP
4=ISIN

Identifies class or source of the UnderlyingSecurityAltID (458) value

2720UnderlyingFinancialInstrumentFullNameLongNameString
Long Name of the Underlying Instrument. For the instruments listed on Globex this value will be the same as of that contained in Security Definition Tag 2714-FinancialInstrumentFullName
310UnderlyingSecurityTypeSecurityTypeString

TBOND = US Treasury Bond

TBILL = US Treasury Bill

TNOTE = US Treasury Note

TB = Non-US Treasury Bill

SOV = UK Gilts

EUSOV= EGB (Euro Government Bonds)

EUSUP=Euro Supranational

SUPRA= US Supranational

FAC = Non-mortgaged backed Agency Securities

FADN = Agency Discount Notes

TIPS = Treasury Inflation-Protected Securities

TINT = U.S. Treasury STRIPS

CLBSKT = GC basket with mixed instrument types

Underlying Security Type
592UnderlyingCountryOfIssueCountryCodeString
Underlying Security's CountryOfIssue. See CountryOfIssue (470) field for description
306UnderlyingIssuerString25String
Underlying Security's Issuer. See Tag 106-Issuer field for description
37717UnderlyingMaxLifeTimeuInt8NULLint
Max life time of the underlying instruments qualifying for the GC basket in number of year. Will contain null value for Repo specials
37718UnderlyingMinDaysToMaturityuInt16NULLint
Minimum days to maturity remaining of the underlying instruments to qualify for GC basket. Will contain null value for Repo specials
→37519UnderlyingInstrumentGUIDuInt64NULLint
Underlying GUID. For Repo specials populated with individual instrument GUID of the underlying security. For GC Repo, will be populated with Basket GUID.
→542UnderlyingMaturityDateLocalMktDateLocalMktDate
Underlying Security's Maturity Date. Will be populated with Maturity Date of the underlying security instrument for Repo Specials only
Repeating Group 6
1647NoRelatedInstrumentsNuminGroup

Number of repeating entries.

1650

RelatedSecurityID

Int32int

Related Security ID. For regular Repo contract will contain SecurityID of AoN Repo for the same underlying product, term, start and end dates. And vice versa - for AoN Repo will contain the related regular Repo SecurityID

1651

RelatedSecurityIDSource

SecurityIDSourcechar

Related Security ID Source

1649

RelatedSymbol

SymbolString

Related Instrument Symbol

37724

RelatedInstrumentGUID

uInt64NULLint

Related Instrument GUID

Repeating Group 7
39026NoBrokenDatesNuminGroup

This group indicates the number of broken dates and references individual broken contracts in user defined tailor made repo. Applicable only to tailor made repos requested by traders with broken dates

39031BrokenDateGUIDuInt64int
External unique broken date Instrument ID
39027BrokenDateSecurityIDInt32char
Broken date Instrument Globex Security ID
6748BrokenDateStartLocalMktDateLocalMktDate
Start date of a broken date period
6741BrokenDateEndLocalMktDateLocalMktDate
End date of a broken date period