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

This Market Data Security Definition message is sent for spreads. This message maps to the MDInstrumentDefinitionSpread 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 even

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
1682MDSecurityTradingStatusSecurityTradingStatusint

2=Trading Halt

4=Close            

17=Ready to trade (start of session)

18=Not available for trading

21=Pre Open  

103= No Change

Identifies the current state of the instrument. The data is available in the Instrument Replay feed only
1180ApplIDInt16int
The channel ID as defined in the XML Configuration file
1300MarketSegmentIDuInt8int
Identifies the market segment, populated for all CME Globex instruments
462UnderlyingProductuInt8NULLint
Product complex
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. Previously used as Group Code
48SecurityIDInt32int
Unique instrument ID
22SecurityIDSourceSecurityIDSourcechar8=Exchange symbolIdentifies class or source of the security ID (Tag 48) value
167SecurityTypeSecurityTypeString
Security Type
461CFICodeCFICodeString

ISO standard instrument categorization code.

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

200MaturityMonthYearMaturityMonthYearMonthYear
This field provides the actual calendar date for contract maturity
15CurrencyCurrencyCurrency
Identifies currency used for price
762SecuritySubTypeSecuritySubTypeString
Strategy type
9779UserDefinedInstrumentUserDefinedInstrumentcharY=User defined instrument
N=Not a user defined instrument
User-defined instruments flag
1142MatchAlgorithmCHARcharF=First In, First Out (FIFO)Matching algorithm
562MinTradeVoluInt32Qty
The minimum trading volume for a security
1140MaxTradeVoluInt32Qty
The maximum trading volume for a security
969MinPriceIncrementPRICENULL9Price
Minimum constant tick for the instrument, sent only if instrument is non-VTT (Variable Tick table) eligible
9787DisplayFactorDecimal9float
Contains the multiplier to convert the CME Globex display price to the conventional price
9800PriceDisplayFormatuInt8NULLint
Number of decimals in fractional display price
5770PriceRatioPRICENULL9Price
Used for price calculation in spread and leg pricing
6350TickRuleInt8NULLint
Tick Rule
996UnitOfMeasureUnitOfMeasureString
Unit of measure for the products' original contract size
1150TradingReferencePricePRICENULL9Price
Reference price - the most recently available Settlement whether it be Theoretical, Preliminary or a Final Settle of the session
731SettlPriceTypeSettlPriceTypeMultipleCharValue
Bitmap field of eight Boolean type indicators representing settlement price type
5792OpenInterestQtyInt32NULLQty

The total open interest for the market at the close of the prior trading session.  The field will be null for Brokertec instruments,

Settlements are not supported on BrokerTec markets.
5791ClearedVolumeInt32NULLQty
The total cleared volume of instrument traded during the prior trading session
1149HighLimitPricePRICENULL9Price
Allowable high limit price for the trading day
1148LowLimitPricePRICENULL9Price
Allowable low limit price for the trading day
1143MaxPriceVariationPRICENULL9Price
Differential value for price banding
37702MainFractionuInt8NULLint
Price Denominator of Main Fraction
37703SubFractionuInt8NULLint
Price Denominator of Sub Fraction
5796TradingReferenceDateLocalMktDateLocalMktDate
Indicates session date corresponding to the settlement price in tag 1150-TradingReferencePrice
1196PriceQuoteMethodString5String
Price quotation method
37721RiskSetString6String
Risk Set identifies the list of instruments sharing credit limits set up
37722MarketSetString6String
Market Set defines the bilateral relationship and Self Match Prevention configuration for eligible markets
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.

2714FinancialInstrumentFullNameLongNameString
Long name of the instrument
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
Identifies the depth of book
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.  
Repeating Group 5
555NoLegsNuminGroup

Number of repeating entries.
602LegSecurityIDInt32int
Leg Security ID
603LegSecurityIDSourceSecurityIDSourcechar
Identifies source of tag 602-LegSecurityID value
624LegSideLegSideint
Leg side
623LegRatioQtyInt8Qty
Leg ratio of quantity for this individual leg relative to the entire multi-leg instrument
566LegPricePRICENULL9Price
Price for the future leg of a UDS Covered instrument
1017LegOptionDeltaDecimalQtyQty
Delta used to calculate the quantity of futures used to cover the option or option strategy