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This page lists all MDP 3.0 message types in a set order. Message types may be blank if the filter is not applicable.

Please scroll through the list of messages to see full results.

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  • Page:
    MDP 3.0 - Admin Heartbeat

    Tag

    FIX Name

    Type

    Valid Values

    Description

    35

    MsgType

    Int8

    0=Heartbeat

    FIX Message Type

  • Page:
    MDP 3.0 - Market Data Incremental Refresh - Channel Reset


    Tag

    FIX Name

    Type

    Semantic Type

    Valid Values

    Description

    60

    TransactTime

    uInt64

    UTCTimestamp


    Start of event processing time in number of nanoseconds since Unix epoch

    5799

    MatchEventIndicator

    MatchEventIndicator

    MultipleCharValue

    example: 10000000 - last message in the event

    example: 00000000 - not last message in 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

    Repeating Group 1

    268NoMDEntriesNumInGroup

    Number of entries in Market Data message

    →279

    MDUpdateAction

    MDUpdateTypeNew

    int

    0=New

    Market Data update action

    →269

    MDEntryType

    MDEntryTypeChannelReset

    char

    J=Empty Book

    Market Data Entry Type

    →1180

    ApplID

    Int16

    int


    Indicates the channel ID as defined in the XML configuration file

  • Page:
    MDP 3.0 - Market Data Incremental Refresh - Collateral Market Value
    TagFIX NameTypeSemantic TypeValid ValuesDescription
    60

    TransactTime

    uInt64

    UTCTimestamp

    Time of execution/order creation; expressed in UTC.

    5799

    MatchEventIndicator

    MatchEventIndicator

    MultipleCharValue

    10000000 - all collateral messages will have this value

    Bitmap field of eight Boolean type indicators reflecting the end of updates for a given 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

    Repeating Group 1

    268NoMDEntriesNumInGroup

    Number of entries in Market Data message
    →458

    UnderlyingSecurityAltID

    String12

    String

    Will contain either CUSIP or ISIN value identifying REPO collateral security

    →459

    UnderlyingSecurityAltIDSource

    SecurityAltIDSource

    int1=CUSIP
    4=ISIN

    Identifies class or source of the UnderlyingSecurityAltID (458) value

    →2689

    CollateralMarketPrice

    PRICE9

    Price

    Market price of the collateral, either from external market sources or a result of trading activity on the platform. Clean price

    →37001

    DirtyPrice

    PRICE9

    Price

    Dirty Price

    →37519

    UnderlyingInstrumentGUID

    uInt64

    int

    Underlying Instrument GUID. Collateral security identifier in Reference Data API services

    →1500

    MDStreamID

    PriceSource

    int

    Source of the Clean Price

  • Page:
    MDP 3.0 - Market Data Incremental Refresh - Daily Statistics
    Tag

    FIX Name

    Type

    SemanticTypeValid Values

    Description

    60TransactTimeuInt64UTCTimestamp
    Start of event processing time in number of nanoseconds since Unix epoch
    5799MatchEventIndicatorMatchEventIndicatorMultipleCharValue

    example: 00000000=end of event

    example: 10000000=not end of 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

    Repeating Group 1
    270MDEntryPxPRICENULL9Price
    Market Data entry price
    271MDEntrySizeInt32NULLQty
    Market Data entry size
    48SecurityIDInt32int

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

    83RptSequInt32int
    Market Data entry sequence number per instrument update
    5796TradingReferenceDateLocalMktDateLocalMktDate
    Indicates trade session date corresponding to a statistic entry
    731SettlPriceTypeSettlPriceTypeMultipleCharValue


    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

    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

    279MDUpdateActionMDUpdateActionint0=New

    Market Data update action


    269MDEntryTypeMDEntryTypeDailyStatisticschar

    6=Settlement Price

    B=Trade Volume

    C=Open Interest

    W=Fixing Price

    Market Data entry type.

    0=Bid

    1=Offer

    E=Implied Bid

    F=Implied Offer

    2=Trade Summary

    4=Opening Price

    6=Settlement Price

    7=Trading Session High Price

    8=Trading Session Low Price

    9=VWAP 

    N=Session High Bid

    O=Session Low Offer

    B=Trade Volume

    C=Open Interest

    W=Fixing Price

    J=Empty Book

    e=Electronic Volume

    g =Threshold Limits and Price Band Variation

  • Page:
    MDP 3.0 - Market Data Incremental Refresh - LimitsBanding

    Tag

    FIX Name

    Type

    Semantic Type

    Valid Values for EBS

    Description

    60

    TransactTime

    uInt64

    UTCTimestamp


    Start of event processing time in number of nanoseconds since Unix epoch

    5799

    MatchEventIndicator

    MatchEventIndicator

    MultipleCharValue

    example: 10000000 - last message in the event

    example: 00000000 - not last message in 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 5: Message resent during recovery

    Bit 6: Reserved for future use

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

    Repeating Group 1

    268NoMDEntriesNumInGroup

    Number of entries in Market Data message

    →1149

    HighLimitPrice

    PRICENULL9

    Price


    Upper price threshold for the instrument

    →1148

    LowLimitPrice

    PRICENULL9

    Price


    Lower price threshold for the instrument

    →1143

    MaxPriceVariation

    PRICENULL9

    Price


    Differential static value for price banding

    →48

    SecurityID

    Int32

    int


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

    →83

    RptSeq

    uInt32

    int


    MD Entry sequence number per instrument update. The MDP Conflated TCP market data group sends a RptSeq value of zero.

    →279

    MDUpdateAction

    MDUpdateActionNew

    int

    0=New

    Market Data update action

    →269

    MDEntryType

    MDEntryTypeLimits

    char

    g=Threshold Limits and Price Band Variation

    Market Data entry type.

  • Page:
    MDP 3.0 - Market Data Incremental Refresh - MBOFD
    TagFIX NameTypeSemantic TypeValid Values for BrokerTecDescription

    60

    TransactTime

    uInt64

    UTCTimestamp


    Start of event processing time in number of nanoseconds since Unix epoch

    5799

    MatchEventIndicator

    MatchEventIndicator

    MultipleCharValue

    example: 00000100 – end of quotes, not end of event

    example: 10010000 – end of implied quotes, end of 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

    Repeating Group 1

    268NoMDEntriesNumInGroup

    Number of entries in Market Data message

    →37

    OrderID

    uInt64NULL

    int


    Unique ID assigned by CME Globex to identify orders.

    →37707

    MDOrderPriority

    uInt64NULL

    int


    Order priority for execution on the order book. A lower value is a higher priority. Value is unique for all orders within a market segment and assigned for all orders.

    →270

    MDEntryPx

    PRICENULL9

    Price


    Order price

    →37706

    MDDisplayQty

    Int32NULL

    Qty


    Visible quantity of an order to the market. Orders may have additional hidden display quantity.

    →48

    SecurityID

    Int32

    int


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

    →279

    MDUpdateAction

    MDUpdateAction

    int

    0=New

    1=Change

    2=Delete

    Order book update action to be applied to the order referenced by OrderID.

    →269

    MDEntryType

    MDEntryTypeBook

    char

    0=Bid

    1=Offer

    Market Data entry type

  • Page:
    MDP 3.0 - Market Data Incremental Refresh - MBP - LongQty

    Tag

    FIX Name

    Type

    Semantic Type

    Valid Values for EBS

    Description

    60

    TransactTime

    uInt64

    UTCTimestamp


    Start of event processing time in number of nanoseconds since Unix epoch

    5799

    MatchEventIndicator

    MatchEventIndicator

    MultipleCharValue

    example: 00000100 – end of quotes, not end of event

    example: 10010000 – end of implied quotes, end of 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. Note: EBS Market does not support implied functionality.

    Bit 5: Message resent during recovery

    Bit 6: Reserved for future use

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

    Repeating Group 1

    268NoMDEntriesNumInGroup

    Number of entries in Market Data message

    →270

    MDEntryPx

    PRICENULL9

    Price


    Market Data entry price

    →271

    MDEntrySize

    uInt64NULL

    Qty


    Market Data entry quantity

    This field is in a notional format

    →48

    SecurityID

    Int32

    int


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

    →83

    RptSeq

    uInt32

    int


    Market Data entry sequence number per instrument update. The MDP Conflated TCP market data group sends a RptSeq value of zero.

    →346

    NumberOfOrders

    Int32NULL

    int


    In Book entry - aggregate number of orders at given price level

    →1023

    MDPriceLevel

    uInt8

    int


    Aggregate book level

    →279

    MDUpdateAction

    MDUpdateAction

    int

    0=New

    1=Change

    2=Delete

    Market Data update action

    →269

    MDEntryType

    MDEntryTypeBook

    char

    0=Bid

    1=Offer

    w=MarketBestOffer

    x=MarketBestBid

    Market Data entry type

    Repeating Group 2

    37705NoOrderIDEntriesNoOrderIDEntries
    0

    Not used for EBS markets.


    Repeating group of MBO book updates included in an event. Repeating group used for MBP and MBO combined updates.

    →37

    OrderID

    uInt64

    int


    Unique ID assigned by CME Globex to identify orders.

    →37707

    MDOrderPriority

    uInt64NULL

    int


    Order priority for execution on the order book

    →37706

    MDDisplayQty

    Int32NULL

    Qty


    Visible quantity of an order to the market. Orders may have additional hidden display quantity.

    →9633

    ReferenceID

    uInt8NULL

    int


    Reference to corresponding Price and Security ID, sequence of MD entry in the message

    →37708

    OrderUpdateAction

    OrderUpdateAction

    int

    0=New

    1=Change

    2=Delete

    Order book update action to be applied to the order referenced by OrderID

  • Page:
    MDP 3.0 - Market Data Incremental Refresh - MBP and MBOFD

    Tag

    FIX Name

    Type

    Semantic Type

    Valid Values

    Description

    60

    TransactTime

    uInt64

    UTCTimestamp


    Start of event processing time in number of nanoseconds since Unix epoch

    5799

    MatchEventIndicator

    MatchEventIndicator

    MultipleCharValue

    example: 00000100 – end of quotes, not end of event

    example: 10010000 – end of implied quotes, end of 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

    Repeating Group 1

    268NoMDEntriesNumInGroup

    Number of entries in Market Data message

    →270

    MDEntryPx

    PRICENULL9

    Price


    Market Data entry price

    →271

    MDEntrySize

    Int32NULL

    Qty


    Market Data entry size

    →48

    SecurityID

    Int32

    int


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

    →83

    RptSeq

    uInt32

    int


    Market Data entry sequence number per instrument update. The MDP Conflated TCP market data group sends a RptSeq value of zero.

    →346

    NumberOfOrders

    Int32NULL

    int


    In Book entry - aggregate number of orders at given price level

    →1023

    MDPriceLevel

    uInt8

    int


    Aggregate book level

    →279

    MDUpdateAction

    MDUpdateAction

    int

    0=New

    1=Change

    2=Delete

    Market Data update action

    →269

    MDEntryType

    MDEntryTypeBook

    char

    0=Bid

    1=Offer

    E=Implied Bid

    F=Implied Offer

    Market Data entry type. 

    →37719

    TradeableSize

    Int32NULL

    Qty


    Bilateral product tradeable quantity specific to a firm

    Repeating Group 2

    37705NoOrderIDEntriesNoOrderIDEntries

    Repeating group of MBO book updates included in an event. Repeating group used for MBP and MBOFD combined updates.

    →37

    OrderID

    uInt64

    int


    Unique ID assigned by CME Globex to identify orders.

    →37707

    MDOrderPriority

    uInt64NULL

    int


    Order priority for execution on the order book

    →37706

    MDDisplayQty

    Int32NULL

    Qty


    Visible quantity of an order to the market. Orders may have additional hidden display quantity.

    →9633

    ReferenceID

    uInt8NULL

    int


    Reference to corresponding Price and Security ID, sequence of MD entry in the message

    →37708

    OrderUpdateAction

    OrderUpdateAction

    int

    0=New

    1=Change

    2=Delete

    Order book update action to be applied to the order referenced by OrderID

  • Page:
    MDP 3.0 - Market Data Incremental Refresh - Session Statistics

    Tag

    FIX Name

    Type

    Semantic Type

    Valid Values

    Description

    60

    TransactTime

    uInt64

    UTCTimestamp


    Start of event processing time in number of nanoseconds since Unix epoch

    5799

    MatchEventIndicator

    MatchEventIndicator

    MultipleCharValue

    example: 00001000 – end of statistics, not end of event

    example: 10001000 – end of statistics, end of event

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

    Repeating Group 1

    268NoMDEntriesNumInGroup

    Number of entries in Market Data message

    →270

    MDEntryPx

    PRICE9

    Price


    Market Data entry price

    →48

    SecurityID

    Int32

    int


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

    →83

    RptSeq

    uInt32

    int


    MD Entry sequence number per instrument update. The MDP Conflated TCP market data group sends a RptSeq value of zero.

    →286

    OpenCloseSettlFlag

    OpenCloseSettlFlag

    int

    0=DailyOpenPrice

    5=IndicativeOpeningPrice

    100=IntradayVWAP

    101=RepoAverage8_30AM

    102=RepoAverage10AM

    103=PrevSessionAverage10AM

    Flag describing entry type


    VWAP and Repo values are BrokerTec only.

    →279

    MDUpdateAction

    MDUpdateAction

    int

    0=New

    2=Delete (trading session prices only)

    Market Data update action

    →269

    MDEntryType

    MDEntryTypeStatistics

    char

    4=Opening Price

    7=Trading Session High Price

    8=Trading Session Low Price

    9=VWAP

    N=Highest Bid

    O=Lowest Offer

    Market Data entry type


    VWAP value are BrokerTec only.

    →271

    MDEntrySize

    Int32NULL

    Qty


    Indicative Opening Quantity

  • Page:
    MDP 3.0 - Market Data Incremental Refresh - Trade Summary

    Tag

    FIX Name

    Type

    Semantic Type

    Valid Values

    Description

    60

    TransactTime

    uInt64

    UTCTimestamp


    Start of event processing time in number of nanoseconds since Unix epoch

    5799

    MatchEventIndicator

    MatchEventIndicator

    MultipleCharValue

    example: 00000001 – end of trades, not end of 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

    For conflated TCP MDP channels, end of trades (Bit 0) will be one for each trade summary message.

    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

    Repeating Group 1

    268NoMDEntriesNumInGroup

    Number of entries in Market Data message

    →270

    MDEntryPx

    PRICE9

    Price


    Trade price

    →271

    MDEntrySize

    Int32

    Qty


    Consolidated trade quantity

    →48

    SecurityID

    Int32

    int


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

    →83

    RptSeq

    uInt32

    int


    Sequence number per instrument update. The MDP Conflated TCP market data group sends a RptSeq value of zero.

    →346

    NumberOfOrders

    Int32

    int


    The total number of real orders per instrument that participated in a match step within a match event

    →5797

    AggressorSide

    AggressorSide

    int

    0=No aggressor

    1=Buy

    2=Sell

    Indicates which side is aggressor of the trade. If there is a zero value present, then there is no aggressor.

    Note: Trades without aggressors occur at Market Open, after a Pre-Open or after a Pause, and also when the event includes customer order participation in a trade with a CME Globex-generated implied bid or offer.

    →279

    MDUpdateAction

    MDUpdateAction

    int

    0=New (new trade)

    1=Change (adjustment)

    2=Delete (cancel)

    Market Data update action

    →269

    MDEntryType

    MDEntryTypeTrade

    char

    2=Trade Summary

    Market Data entry type.

    →37711

    MDTradeEntryID

    uInt32NULL

    int


    Market Data Trade entry ID

    Repeating Group 2

    37705NoOrderIDEntriesNoOrderIDEntries

    Number of OrderID entries

    →37

    OrderID

    uInt64

    int


    Unique ID assigned by CME Globex to identify orders.

    →32

    LastQty

    Int32

    Qty


    Quantity bought or sold on this last fill

  • Page:
    MDP 3.0 - Market Data Incremental Refresh - Trade Summary - LongQty

    Tag

    FIX Name

    Type

    Semantic Type

    Valid Values for EBS

    Description

    60

    TransactTime

    uInt64

    UTCTimestamp


    Start of event processing time in number of nanoseconds since Unix epoch

    5799

    MatchEventIndicator

    MatchEventIndicator

    MultipleCharValue

    example: 00000001 – end of trades, not end of 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

    For conflated TCP MDP channels, end of trades (Bit 0) will be one for each trade summary message.

    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 5: Message resent during recovery

    Bit 6: Reserved for future use

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

    Repeating Group 1

    268NoMDEntriesNumInGroup

    Number of entries in Market Data message

    →270

    MDEntryPx

    PRICE9

    Price


    Trade price

    →271

    MDEntrySize

    uInt64

    Qty

    0

    Always set to zero

    This field is in a notional format

    →48

    SecurityID

    Int32

    int


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

    →83

    RptSeq

    uInt32

    int


    Sequence number per instrument update. The MDP Conflated TCP market data group sends a RptSeq value of zero.

    →346

    NumberOfOrders

    Int32

    int

    0

    Always set to zero.

    →37711

    MDTradeEntryID

    uInt32

    int


    Market Data Trade Entry ID.

    →5797

    AggressorSide

    AggressorSide

    int

    0=No aggressor

    1=Buy

    2=Sell

    Indicates which side is aggressor of the trade. If there is a zero value present, then there is no aggressor.

    Note: Trades without aggressors occur at Market Open, after a Pre-Open or after a Pause, and also when the event includes customer order participation in a trade with a CME Globex-generated implied bid or offer.

    Note: EBS Market does not support implied functionality.

    →279

    MDUpdateAction

    MDUpdateAction

    int

    0=New (new trade)

    1=Change (adjustment)

    2=Delete (cancel)

    Market Data update action

    →269

    MDEntryType

    MDEntryTypeTrade

    char

    2=Trade Summary

    Market Data entry type.

    Repeating Group 2

    37705NoOrderIDEntriesNoOrderIDEntries
    0Number of OrderID entries

    →37

    OrderID

    uInt64

    int


    Unique ID assigned by CME Globex to identify orders.

    →32

    LastQty

    Int32

    Qty


    Quantity bought or sold on this last fill

  • Page:
    MDP 3.0 - Market Data Incremental Refresh - Volume
    TagFIX NameTypeSemantic TypeValid ValuesDescription
    60TransactTimeuInt64UTCTimestamp
    Start of event processing time in number of nanoseconds since Unix epoch
    5799MatchEventIndicatorMatchEventIndicatorMultipleCharValueexample: 00000010 – end of volume, not the end of 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

    Repeating Group 1
    268NoMDEntriesNumInGroup

    Number of entries in Market Data message
    →271MDEntrySizeInt32Qty
    Cumulative traded volume
    →48SecurityIDInt32int
    A unique instrument ID value across markets will not be reused until the next trade date following an instrument expiration or deletion.
    →83RptSequInt32int

    Market Data entry sequence number per instrument update.  The The MDP Conflated TCP market data group sends a RptSeq value of zero.

    →279MDUpdateActionMDUpdateActionint0=NewMarket Data update action.
    →269MDEntryTypeMDEntryTypeVolchare=Electronic VolumeElectronic Volume entry provides cumulative session trade volume updated with the event
  • Page:
    MDP 3.0 - Market Data Logon from Client System to MDP for Futures and Options
    TagFIX NameValid ValuesFormatDescription

    35

    MsgType

    A

    Char (1)

    Message Type

    553

    Username


    String (100)

    User ID or username.

    554

    Password


    String (100)

    Password or pass phrase.

  • Page:
    MDP 3.0 - Market Data Logon from MDP to Client System for Futures and Options
    TagFIX NameValid ValuesFromatDescription

    35

    MsgType

    A

    Char (1)

    Message Type.

    108

    HeartBtlnt


    Int (3)

    Heartbeat interval (seconds).

  • Page:
    MDP 3.0 - Market Data Logout for Futures and Options
    TagFIX NameValid ValuesFormatDescription

    35

    MsgType

    5

    Char (1)

    Message Type.

    58

    Text


    String (180)

    Free format text string. May include logout confirmation or reason for the request reject and logout.

  • Page:
    MDP 3.0 - Market Data Replay Request for Futures and Options
    TagFIX NameValid ValuesFormatDesription

    35

    MsgType

    V

    Char (1)

    Message Type.

    1180

    AppIID


    String (5)

    The channel ID from the XML Configuation file for which this request is made.

    262

    MDReqID


    String (32)

    Unique identifier for Market Data Request.

    1182

    ApplBeginSeqNo


    SeqNum (9)

    Message sequence number of the first message in range to be re-sent. If the request is for a single message, tag 1182-ApplBeginSeqNo and tag 1183-ApplEndSeqNo are the same.

    1183

    ApplEndSeqNo


    SeqNum (9)

    Message sequence number of last message in range to be re-sent. The maximum number of messages that can be requested in a given request is 2000.

  • Page:
    MDP 3.0 - Market Data Request
    TagFIX NameTypeSemantic TypeValid ValuesDescription
    262MDReqIDuInt32int
    Unique identifier for Market Data Request. Must be unique per session so it can be referenced in Request Ack or Request Reject responses from the exchange
    263SubscriptionReqTypeSubscriptionReqTypeint

    0=Snapshot

    1=Snapshot and updates

    2=Disable previous subscription

    Subscription Request Type indicates to the type of response expected
    Repeating Group 1
    37022NoSecurityGroupsNuminGroup

    Number of SecurityGroups specified in subscription request. Should be equal 0, when subscription is requested for all groups on the segment or individual Security IDs are listed in the criteria for subscription
    →1151SecurityGroupSecurityGroupString
    Security Group
    Repeating Group 2
    146NoRelatedSymNuminGroup

    Number of instruments requested. When NoSecurityGroups > 0 specified in the request, the NoRelatedSym should be equal 0
    →48SecurityIDInt32int
    Security ID
  • Page:
    MDP 3.0 - Market Data Security Definition - Fixed Income
    Tag

    FIX Name

    Type

    Semantic TypeValid Values

    Description

    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:

    Eurodollar 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.
  • Page:
    MDP 3.0 - Market Data Security Definition - Futures
    Tag

    FIX Name

    Type

    SemanticType

    Valid Values

    Description

    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 2 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
  • Page:
    MDP 3.0 - Market Data Security Definition - FX
    TagFIX NameTypeSemantic TypeValid Values for EBSDescription
    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 Note: EBS Market does not support implied functionality.

    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  

    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
    207SecurityExchangeSecurityExchangeExchangeEBSC = EBS MarketExchange or market 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
    15CurrencyCurrencyCurrency
    Identifies currency used for price e.g. for EUR/USD spot this field will contain EUR
    120SettlCurrencyCurrencyCurrency

    Currency used for settlement, which may be different from Local currency specified in Tag 1524 PriceQuoteCurrency.

    Example - Local currency is different from SettlCurrency for NDF (always settle in USD).

    1524PriceQuoteCurrencyCurrencyCurrency

    Local (counter) currency.

    For EUR/USD spot this field will contain USD.

    1142MatchAlgorithmCHARchar

    F=First In, First Out (FIFO)

    V=Institutional Prioritization

    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
    2349PricePrecisionuInt8int
    Specifies price decimal precision for EBS instrument
    996UnitOfMeasureUnitOfMeasureString
    Unit of measure for the products' original contract size
    1147UnitOfMeasureQtyDecimal9NULLQty
    This field contains the contract size for each instrument. Used in combination with tag 996-UnitofMeasure
    1149HighLimitPricePRICENULL9Price
    Allowable high limit price for the trading day
    1148LowLimitPricePRICENULL9Price
    Allowable low limit price for the trading day
    1143MaxPriceVariationPRICENULL9Price
    Differential value for price banding
    9779UserDefinedInstrumentUserDefinedInstrumentcharY=User defined instrument
    N=Not a user defined instrument
    User-defined instruments flag
    2714FinancialInstrumentFullNameLongNameString
    Long name of the instrument
    37725FXCurrencySymbolString7String
    Base/Local. Denotes the currency pair in CCY1/CCY2 convention
    63SettlTypeString3String
    For SPOTs will contain 0. For Fixed date NDFs will contain the value 'B'. For the standard NDFs tenors expressed using Dx, Mx, Wx, and Yx values, where 'x' does not denote business days, but calendar days
    37730InterveningDaysuInt16int
    For SPOT, number of business days between trade date and value (settlement) date. For NDF, number of business days between NDF valuation (fixing) and settlement
    2796FXBenchmarkRateFixString20String
    Fixing Rate Description
    1446RateSourceString12String
    Fixing Rate Source
    37726FixRateLocalTimeString8String
    Fixing Rate Local Time, denoted in HH:MM:SS format
    37727FixRateLocalTimeZoneString20String
    Fixing Rate Local Time Zone corresponding to Fixing Local Time.
    37731MinQuoteLifeuInt32int
    Minimum Quote Life in number of microseconds
    37728MaxPriceDiscretionOffsetPRICE9Price
    Max allowed discretionary offset from Limit order price. When the value in this field = 0, discretionary price cannot be submitted for the instrument
    37513InstrumentGUIDuInt64NULLint
    External unique instrument ID
    200MaturityMonthYearMaturityMonthYearMonthYear
    Fixed Date NDF Maturity
    37734SettlementLocaleString8String
    Settlement Locale. Optionally used to differentiate settlement location
    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.
    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) Note: EBS Market does not support implied functionality.

    21: Variable Cabinet Eligible

    22: Inverted Book

    23: All or None Instrument

    24: SEFRegulated (1=ON-SEF, 0=OFF-SEF)

    25: MTFRegulated (1=ON-MTF, 0=OFF-MTF)

    26: eFixInstrument (1=eFix Instrument)

    28-31 – 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
    1231MinLotSizeuInt64Qty

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

    For FX contracts, if tag 1093-LotType=2, this value is a Regular Amount used as default order quantity on the Workstation screen.

    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
    386NoTradingSessionsNuminGroup

    Number of scheduled Trading Dates
    75TradeDateLocalMktDate

    Trade Date
    64SettlDateLocalMktDate

    Settle (Value) Date corresponding to Trade Date
    541MaturityDateLocalMktDate

    For Spot instruments will not contain the value. For NDFs, the valuation (fixing) date of the NDF. For Fixed Date NDFs Value Date and Maturity Date remain constant for all Trade Dates
    455SecurityAltIDString12

    ISIN value as provided by ANNA, Association of National Numbering Agencies. This field is populated for MTF-Regulated NDFs and is unique for each Settle Date
    456SecurityAltIDSourceSecurityAltIDSourceISIN

    Identifies class or source of the SecurityAltID (455) value
  • Page:
    MDP 3.0 - Market Data Security Definition - Options
    Tag

    FIX Name

    Type

    SemanticTypeValid Values

    Description

    5799MatchEventIndicatorMatchEventIndicatorMultipleCharValue

    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
    911TotNumReportsuInt32NULLint

    Total number of instruments in the Replay loop.

    Used on Replay Feed only.

    980SecurityUpdateActionSecurityUpdateActionchar


    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

    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


    Identifies the current state of the instrument. The data 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

    1180ApplIDInt16int
    The 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. Previously used as Instrument Group Code
    48SecurityIDInt32int

    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.

    22SecurityIDSourceSecurityIDSourcechar
    Identifies source of tag 48-SecurityID value. This value is always 8 for CME is required if tag 48-SecurityID is specified.
    167SecurityTypeSecurityTypeString


    Security Type

    FUT=Future or Future Spread

    OOF=Options on Futures or Options on Futures Spread

    MLEG=Spread with mixed type legs

    IRS=Interest Rate Swaps

    FXSPOT=FX Spot

    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

    461CFICodeCFICodeString

    ISO standard instrument categorization code.

    Currently not supported in futures and options markets. Consult CME Reference Data API Version 2 for CFI values.

    201PutOrCallPutOrCallint

    Indicates whether an option instrument is a put or call

    0=Put
    1=Call 

    200MaturityMonthYearMaturityMonthYearMonthYear

    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).

    15CurrencyCurrencyCurrency
    Identifies currency used for price
    202StrikePricePRICENULL9Price
    Strike Price for an option instrument
    947StrikeCurrencyCurrencyCurrency
    Currency in which the StrikePrice is denominated
    120SettlCurrencyCurrencyCurrency
    Identifies currency used for settlement, if different from trade price currency
    9850MinCabPricePRICENULL9Price
    Defines cabinet price for outright options products
    1142MatchAlgorithmCHARchar


    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

    562MinTradeVoluInt32Qty
    The minimum trading volume for a security.
    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).

    1146MinPriceIncrementAmountPRICENULL9Price
    Currently under development.
    9787DisplayFactorDecimal9float
    Contains the multiplier to convert the CME Globex display price to the conventional price
    6350TickRuleInt8NULLint
    VTT code referencing variable tick table
    37702MainFractionuInt8NULLint
    Price Denominator of Main Fraction
    37703SubFractionuInt8NULLint
    Price Denominator of Sub Fraction
    9800PriceDisplayFormatuInt8NULLint
    Number of decimals in fractional display 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. Used in combination with tag 996-UnitofMeasure
    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:

    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.
    5791ClearedVolumeInt32NULLQty
    The total cleared volume of instrument traded during the prior trading session
    5792OpenInterestQtyInt32NULLQty
    The total open interest for the market at the close of the prior trading session.
    1148LowLimitPricePRICENULL9Price
    Allowable low limit price for the trading day
    1149HighLimitPricePRICENULL9Price
    Allowable high limit price for the trading day
    9779UserDefinedInstrumentUserDefinedInstrumentchar

    Identifies user-defined instruments. 

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

    5796TradingReferenceDateLocalMktDateLocalMktDate
    Indicates session date corresponding to the settlement price in tag 1150-TradingReferencePrice
    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- Real Book, GBI-Implied Book

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

    264MarketDepthInt8int
    Book depth
    Repeating Group 3
    871InstAttribTypeInstAttribTypeint
    Instrument 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
    1093LotTypeInt8int


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

    2=minimum order entry quantity for an instrument

    3=the minimum qty required for a block trade

    4=Round lot (Variable Quantity Products)

    Repeating Group 5
    309UnderlyingSecurityIDInt32int

    Underlying instrument ID.

    This value will be the same as that contained in underlying instrument’s Security Definition tag 48-SecurityID.

    It is recommended this tag be used to identify the underlying tradable futures instrument of the option. This method will not work for options on futures spreads (Calendar Spread Options), since the underlying future is synthetic and non-tradable. To identify the underlying tradable future, customers should contact GCC.
    305UnderlyingSecurityIDSourceSecurityIDSourcechar
    This value is always '8' for CME
    311UnderlyingSymbolUnderlyingSymbolString

    Underlying instrument symbol (Contract Name).

    This value will be the same as that contained in underlying instrument’s Security Definition Tag 55-Symbol and may be used to identify the underlying future instrument of the option.

    CME Group recommends to identify the underlying futures instrument of the option, it is recommended customers use tag 309-UnderlyingSecurityID, which maps to the tag 48-SecurityID of the underlying futures instrument.
    This tag is available for option Instruments. It is not available for UDS or Futures Instrument
  • Page:
    MDP 3.0 - Market Data Security Definition - Repo
    Tag

    FIX Name

    Type

    Semantic Type

    Valid Values

    Description

    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

    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

  • Page:
    MDP 3.0 - Market Data Security Definition - Spreads
    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 2 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
  • Page:
    MDP 3.0 - Market Data Security Status
    Tag

    FIX Name

    Type

    Semantic TypeValid Values

    Description

    60TransactTimeuInt64UTCTimestamp
    Start of event processing time in number of nanoseconds since Unix epoch.
    1151SecurityGroupSecurityGroupString
    If this tag is present, 35=f message is sent for the Product Code.
    6937AssetAssetString

    Product Code within Security Group specified.

    48SecurityIDInt32NULLint

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

    If this tag is present, 35=f message is sent for an instrument

    75TradeDateLocalMktDateLocalMktDate
    Trade Session Date
    5799MatchEventIndicatorMatchEventIndicatorMultipleCharValue

    example: 10000000 - last message in the event

    example: 00000000 - not last message in 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

    326SecurityTradingStatusSecurityTradingStatusint

    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

    Identifies the trading status applicable to the instrument or Security Group


    327HaltReasonHaltReasonint

    0=Group schedule (default)

    1=Surveillance intervention

    2=Market event

    3=Instrument activation

    4=Instrument expiration

    5=Unknown

    6=Recovery in Process

    Identifies the reason for the status change

    1174SecurityTradingEventSecurityTradingEventint

    0=No Event (default)

    1=No Cancel

    4=Change of Trading Session (reset statistics)

    5=Implied matching ON

    6=Implied matching OFF

    Identifies an additional event or a rule related to the status

  • Page:
    MDP 3.0 - Market Data Security Status - Workup
    Tag

    FIX Name

    Type

    Semantic Type

    Valid Values

    Description

    60TransactTimeuInt64UTCTimestamp
    Time of execution/order creation; expressed in UTC.
    270MDEntryPxPRICENULL9Price
    Workup price
    48SecurityIDInt32int
    A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.
    75TradeDateLocalMktDateLocalMktDate
    Trade Date
    820TradeLinkIDuInt32int

    Contains the workup ID; unique per instrument per day. TradeLinkID is also available on the iLink execution report for workups.

    5799MatchEventIndicatorMatchEventIndicatorMultipleCharValue
    Bitmap field of eight Boolean type indicators reflecting the end of updates for a given Globex event
    326SecurityTradingStatusWorkupTradingStatusint

    17=Ready to trade (start of session)

    18=Not available for trading

    201=PrivateWorkup

    202=PublicWorkup

    Identifies the trading status applicable to the instrument                


    327HaltReasonHaltReasonint

    0=Group schedule (default)

    2=Market event

    Indicates halt reason status due to surveillance activity

    1174SecurityTradingEventSecurityTradingEventint

    0=No Event (default)

    7=End Of Workup

    Indicates the trading status applicable to the transaction

    Repeating Group 1
    37705NoOrderIDEntriesNuminGroup

    Number of repeating entries.
    37OrderIDuInt64int
    Unique ID assigned by CME Globex to identify orders.
    54SideSideint1=Buy
    2=Sell
    Side of order
    1057AggressorIndicatorAggressorFlagint

    0=Not Aggressor

    1=Aggressor

    Aggressor Indicator 

  • Page:
    MDP 3.0 - Negotiate
    Tag

    FIX Name

    Type

    Semantic TypeValid Values

    Description

    39003HMACVersionHMACVersionStringCME-1-SHA-256Constant value representing CME HMAC version
    39005HMACSignatureString32ReqString
    Contains the HMAC signature.
    39004AccessKeyIDString20ReqString
    Contains the AccessKeyID assigned to this session on this port.
    39001UUIDuInt64int
    Session Identifier defined as type long (uInt64); recommended to use timestamp as number of microseconds since epoch (Jan 1, 1970)
    39002RequestTimestampuInt64UTCTimestamp
    Time of request (UTC) recommended to use timestamp as number of nanoseconds since epoch (Jan 1, 1970)
    39006SessionString5String
    Session ID
    39007FirmString5String
    Firm ID
  • Page:
    MDP 3.0 - Negotiation Reject
    Tag

    FIX Name

    Type

    Semantic TypeValid Values

    Description

    39011ReasonString48String
    Reject reason details
    39001UUIDuInt64int
    Matches Negotiate.UUID
    39002RequestTimestampuInt64UTCTimestamp
    Matches Negotiate.RequestTimestamp
    39012ErrorCodesErrorCodesint

    0=Unknown Security

    1=Unknown or Invalid Message

    2=Unsupported Scope

    3=Other

    Error code for reject reason
  • Page:
    MDP 3.0 - Negotiation Response
    Tag

    FIX Name

    Type

    Semantic TypeValid Values

    Description

    39001UUIDuInt64int
    Matches Negotiate.UUID
    39002RequestTimestampuInt64UTCTimestamp
    Matches Negotiate.RequestTimestamp
    39022SecretKeySecureIDExpirationuInt16NULLint
    This indicates in how many days the HMAC secret key will expire
  • Page:
    MDP 3.0 - Request Acknowledgement
    Tag

    FIX Name

    Type

    Semantic TypeValid Values

    Description

    262MDReqIDuInt32int
    Unique identifier for Market Data Request.
    263SubscriptionReqTypeSubscriptionReqTypeint0=Snapshot

    1=Snapshot and updates

    2=Disable previous subscription
    Subscription ReqType
    37720MDReqIDStatusRequestIDStatusint0=Requested subscription scope is fully acknowledged

    1=Requested subscription scope is partially acknowledged
    Status of the request acknowledgement
    Repeating Group 1
    37022NoSecurityGroupsNuminGroup

    Number of SecurityGroups acknowledged
    →1151SecurityGroupSecurityGroupString
    Security Group
    Repeating Group 2
    146NoRelatedSymNuminGroup

    Number of securities acknowledged
    →48SecurityIDInt32int
    Security ID
  • Page:
    MDP 3.0 - Request for Quote

    Tag

    FIX Name

    Type

    Semantic Type

    Valid Values

    Description

    60TransactTimeuInt64UTCTimestamp
    Start of event processing time in number of nanoseconds since Unix epoch
    131QuoteReqIDQuoteReqIdString
    Quote Request ID defined by the exchange
    5799MatchEventIndicatorMatchEventIndicatorMultipleCharValue

    example: 10000000 - last message in the event

    example: 00000000 - not last message in 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

    Repeating Group 1
    146NoRelatedSymNuminGroup

    Number of repeating entries.
    55SymbolSymbolString
    Instrument Name or Symbol
    48SecurityIDInt32int
    A unique instrument ID value across markets will not be reused until the next trade date following an instrument expiration or deletion.
    38OrderQtyInt32NULLQty
    Quantity requested
    537QuoteTypeInt8int1=Tradable

    Type of quote requested. A tradable quote can trade against other orders and quotes upon acceptance

    54SideInt8NULLint

    1=Buy

    2=Sell

    8=Cross

    Side requested

  • Page:
    MDP 3.0 - Request Reject
    Tag

    FIX Name

    Type

    Semantic TypeValid Values

    Description

    262MDReqIDuInt32NULLint
    Unique identifier for Market Data Request.
    281MDReqRejReasonMDReqRejReasonint

    0=Unknown Security

    1=Unknown or Invalid Message

    2=Unsupported Scope

    3=Other

    Market Data Request Reject reason code
    58TextString100String
    Reject reason details
  • Page:
    MDP 3.0 - Security List Request
    Tag

    FIX Name

    Type

    Semantic TypeValid Values

    Description

    262MDReqIDuInt32int
    Unique identifier of the Request. Must be unique per session so it can be referenced in Request Acknowledgment or Request Reject responses from the exchange
    263SubscriptionReqTypeSubscriptionReqTypeint0=Snapshot

    1=Snapshot and updates

    2=Disable previous subscription
    Subscription Request Type indicates to the type of response expected
    Repeating Group 1
    37022NoSecurityGroupsNuminGroup

    Number of SecurityGroups specified in subscription request. Should be equal 0, when subscription is requested for all groups on the segment or individual Security IDs are listed in the criteria for subscription
    →1151SecurityGroupSecurityGroupString
    Security Group
    Repeating Group 2
    146NoRelatedSymNuminGroup

    Number of instruments requested. When NoSecurityGroups > 0 specified in the request, the NoRelatedSym should be equal 0
    →48SecurityIDInt32int
    Security ID
  • Page:
    MDP 3.0 - Security Status Request
    Tag

    FIX Name

    Type

    Semantic Type

    Valid Values

    Description

    262MDReqIDuInt32int
    Unique identifier of the Request. Must be unique per session so it can be referenced in Request Acknowledgment or Request Reject responses from the exchange
    263SubscriptionReqTypeSubscriptionReqTypeint0=Snapshot

    1=Snapshot and updates

    2=Disable previous subscription
    Subscription Request Type indicates to the type of response expected
    Repeating Group 1
    37022NoSecurityGroupsNuminGroup

    Number of SecurityGroups specified in subscription request. Should be equal 0, when subscription is requested for all groups on the segment or individual Security IDs are listed in the criteria for subscription
    →1151SecurityGroupSecurityGroupString
    Security Group
    Repeating Group 2
    146NoRelatedSymNuminGroup

    Number of instruments requested. When NoSecurityGroups > 0 specified in the request, the NoRelatedSym should be equal 0
    →48SecurityIDInt32int
    Security ID
  • Page:
    MDP 3.0 - Subscriber Heartbeat
    Tag

    FIX Name

    Type

    Semantic TypeValid Values

    Description

  • Page:
    MDP 3.0 - TCP Market Data Replay Request
    TagFIX NameValid ValuesFormatDesription

    35

    MsgType

    V

    Char (1)

    Message Type.

    1180

    AppIID


    String (5)

    The channel ID from the XML Configuation file for which this request is made.

    262

    MDReqID


    String (32)

    Unique identifier for Market Data Request.

    1182

    ApplBeginSeqNo


    SeqNum (9)

    Message sequence number of the first message in range to be re-sent. If the request is for a single message, tag 1182-ApplBeginSeqNo and tag 1183-ApplEndSeqNo are the same.

    1183

    ApplEndSeqNo


    SeqNum (9)

    Message sequence number of last message in range to be re-sent. The maximum number of messages that can be requested in a given request is 2000.

  • Page:
    MDP 3.0 - TCP Recovery Logon from Client System to MDP
    TagFIX NameValid ValuesFormatDescription

    35

    MsgType

    A

    Char (1)

    Message Type

    553

    Username


    String (100)

    User ID or username.

    554

    Password


    String (100)

    Password or pass phrase.

  • Page:
    MDP 3.0 - TCP Recovery Logon from MDP to Client System
    TagFIX NameValid ValuesFormatDescription

    35

    MsgType

    A

    Char (1)

    Message Type.

    108

    HeartBtlnt


    Int (3)

    Heartbeat interval (seconds).

  • Page:
    MDP 3.0 - TCP Recovery Market Data Logout
    TagFIX NameValid ValuesFormatDescription

    35

    MsgType

    5

    Char (1)

    Message Type.

    58

    Text


    String (180)

    Free format text string. May include logout confirmation or reason for the request reject and logout.

  • Page:
    MDP 3.0 - TCP Recovery Market Data Logout for Futures and Options
    TagFIX NameValid ValuesFormatDescription

    35

    MsgType

    5

    Char (1)

    Message Type.

    58

    Text


    String (180)

    Free format text string. May include logout confirmation or reason for the request reject and logout.

  • Page:
    MDP 3.0 - Terminate
    Tag

    FIX Name

    Type

    Semantic TypeValid Values

    Description

    39011ReasonString48String
    Reject reason details
    39001UUIDuInt64int
    Matches Negotiate.UUID used to establish the connection
    39002RequestTimestampuInt64UTCTimestamp
    Time of request; recommended to use timestamp as number of nanoseconds since Unix epoch (Jan 1, 1970)
    39012ErrorCodesErrorCodesint

    0=Unknown Security

    1=Unknown or Invalid Message

    2=Unsupported Scope

    3=Other

    Error code for reject reason

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