MDP 3.0 - Security Definition

ex. 10000000 – Security Definition message is the last message of the event

ex. 00000000 – Security Definition is not the last message of the event

911

TotNumReports

Int

N

Total number of instruments in the Replay loop.

Used on Replay Feed only.

980

SecurityUpdateAction

Char

Y

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

779

LastUpdateTime

UTCTimestamp

Y

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.

1180

ApplID

String

Y

The channel ID as defined in the XML Configuration file.

1300

MarketSegmentID

Int

C

Identifies the market segment.

Populated for all CME Globex instruments.

55

Symbol

String

Y

 e.g. ‘6EN2 P1220’, 6AZ4 …

Instrument Name or Symbol.

Previously used as Instrument Group Code.

48

SecurityID

Int

Y

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.

22

SecurityIDSource

String

Y

8=Exchange symbol

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

200

MaturityMonthYear

Month-year

C

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 4^th week contracts, 2019124).

1151

SecurityGroup

String

Y

Security Group Code.

This tag was previously used as Product Code.

An exchange specific code assigned to a group of related securities, which are concurrently affected by market events.

6937

Asset

String

Y

String field that indicates the underlying asset code (Product Code). Example: GE (Eurodollars), ES (E-Minis).

Product Code was previously communicated in tag 1151-SecurityGroup.

167

SecurityType

String

C

• 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

Security Type

461

CFICode

String

Y

ISO standard instrument categorization code.

762

SecuritySubType

String

C

Indicates Spread or Combo type.

Covereds

For a Covered options spread, the covered spread type will be preceded by 'CV:' followed by the Spread Type code; for example, for a Covered vertical, this tag will contain 'CV:VT.'

For a covered option outright, this tag will contain 'CV:FO.'

9779

UserDefinedInstrument

String

C

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

Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined.

462

UnderlyingProduct

Int

Y

2=Commodity/Agriculture
4=Currency
5=Equity
12=Other
14=Interest Rate
15=FX Cash
16=Energy
17=Metals

Indicates the product complex.

207

SecurityExchange

Exchange

Y

XCBT = Chicago Board of Trade
XCME = Chicago Mercantile Exchange
XNYM = New York Mercantile Exchange
XCEC= COMEX (Commodities Exchange Center)
XKBT = Kansas City Board of Trade
XMGE = Minneapolis Grain Exchange
DUMX = Dubai Mercantile Exchange
XKLS = Bursa Malaysia
XKFE = Korea Exchange
NYUM = XNYM-DUMX inter-exchange spread
MGKB = XMGE-XKBT inter-exchange spread
MGCB = XMGE-XCBT inter-exchange spread
CBCM = XCME-XCBT inter-exchange spread
XFXS = CME FX Link spread
GLBX = FX Spot leg

Exchange used to identify a security.

21 = Pre Open

15 = New Price Indication

17 = Ready to trade (start of session)

2 =Trading halt

18 = Not available for trading

4 = Close

26 = Post Close     

20 = Unknown or Invalid

24 = Pre-Cross

25 = Cross

202

StrikePrice

Price

C

Strike Price for an option.

947

StrikeCurrency

Currency

C

Currency in which the StrikePrice is denominated.

15

Currency

Currency

Y

Identifies currency used for price.

120

SettlCurrency

Currency

C

Identifies currency used for settlement price, if different from trade price currency.

9850

MinCabPrice

Price

C

Defines cabinet price for outright options products.

5770

PriceRatio

Float

C

Used for price calculation in spread and leg pricing for Implied Intercommodity Ratio Spreads.

1142

MatchAlgorithm

String

Y

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

Matching Algorithm - CME assigned values.

562

MinTradeVol

Qty

Y

The minimum trading quantity for a security.

1140

MaxTradeVol

Qty

Y

The maximum trading quantity for a security.

969

MinPriceIncrement

Float

C

Minimum constant tick for the instrument.

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

1146

MinPriceIncrementAmount

Amt

N

UNDER DEVELOPMENT

9787

DisplayFactor

Float

Y

Contains the multiplier to convert the CME Globex display price to the conventional price.

6350

TickRule

uInt

C

1, 2, ….12

See Variable Tick Table for full list of values.

VTT code. Provided for instruments with variable tick in addition to Tick Size in tag 969 MinPriceIncrement. For VTT ineligible instruments, this field will be sent as null.

37702

MainFraction

uInt

C

Valid values: 1, 2, 4, 8, 16, 32, 64

Price denominator of main fraction.

37703

SubFraction

uInt

C

Valid values: 1, 2, 4, 8, 16, 32, 64

Price denominator of sub fraction.

9800

PriceDisplayFormat

Int

C

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

711

NoUnderlyings

NumInGroup

C

Indicates the number of underlying futures instruments that make up the option instrument.

→311

UnderlyingSymbol

String

C

e.g. ESU3, 6AZ4 …

→309

UnderlyingSecurityID

Int

C

→305

UnderlyingSecurityIDSource

String

C

8

This value is always '8' for CME.

555

NoLegs

NuminGroup

C

Number of legs (repeating groups).

Indicates number of repeating groups and length of each repeating group.

→602

LegSecurityID

Int

C

Unique instrument ID for the leg.

→603

LegSecurityIDSource

String

C

8=CME

Identifies source of tag 602-LegSecurityID value. This value is always '8' for CME.

→624

LegSide

Char

C

1=Buy
2=Sell

The side of the leg for this repeating group.

→623

LegRatioQty

Int

C

The ratio of quantity for this individual leg relative to the entire multi-leg instrument.

→566

LegPrice

Price

C

Price for a futures leg of a covered.
See tag 44-Price of the iLink New Order message for description.

→1017

LegOptionDelta

Float

C

Delta used to calculate the quantity of futures used to cover the option or option spread.

1141

NoMdFeedTypes

Int

Y

Number of repeating FeedType repeating group entries.

Indicates number of repeating groups and length of each repeating group in the message.

→1022

MDFeedType

String

Y

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

Describes a class of service for a given data feed.

→264

MarketDepth

Int

Y

Identifies the depth of book.

864

NoEvents

NuminGroup

Y

Number of repeating EventType entries.

Indicates number of repeating groups and length of each repeating group in the message.

→865

EventType

Int

Y

5=Activation
7=Last eligible trade date

Code to represent the type of event.

→1145

EventTime

UTCTimestamp

Y

Date and Time of event expressed in UTC DateTime. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

870

NoInstAttrib

NumInGroup

Y

Number of repeating group InstrAttribType entries.

Indicates number of repeating groups and length of each repeating group in the message.

→871

InstAttribType

Int

Y

 24=Eligibility

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

→872

InstAttribValue

String

Y

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)

12: Volatility Quoted Option

13: RFQ Cross Eligible

14: Zero Price Eligible

15: Decaying Product Eligibility

16: Variable Quantity Product Eligibility

17: Under development

18: GT Orders Eligibility (Previously Tag 827)

19: Implied Matching Eligibility (Previously tag 1144)

20-31 – Reserved for future use

1234

NoLotTypeRules

NuminGroup

C

Number of quantity types in the upcoming repeating group.

Indicates number of repeating groups and length of each repeating group in the message.

→1093

LotType

Char

C

2=minimum order entry quantity for an instrument
3=the minimum qty required for a block trade

4=Round lot (Variable Quantity Products)

The quantity type used for the leg of the spread. This tag is required to interpret the value in tag 1231-MinLotSize.

→1231

MinLotSize

Qty

C

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).

1435

ContractMultiplierUnit

Int

C

1=multiplied by hour
2=multiplied by day

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

1439

FlowScheduleType

Int

C

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

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.

231

ContractMultiplier

Int

C

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.

996

UnitOfMeasure

String

C

See Tag 996-UnitOfMeasure Table of Valid Values

1147

UnitOfMeasureQty

Float

C

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

5818

DecayQty

Qty

C

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

5819

DecayStartDate

Date

C

Indicates the date at which a decay contract will begin to decay.

5849

OriginalContractSize

Qty

C

Fixed contract value assigned to a product.

1149

HighLimitPrice

Price

N

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.

1148

LowLimitPrice

Price

N

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.

1143

MaxPriceVariation

Price

C

Differential value for price banding.

1150

TradingReferencePrice

Price

C

731

SettlPriceType

String

C

Examples:

00000111 – Final Actual Settlement at Trading Tick

00000101 – Final Theoretical Settlement at Trading Tick

00000100 – Preliminary Settlement at Trading Tick

00000000 – Preliminary Settlement at Clearing Tick

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

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.

5792

OpenInterestQty

Int

C

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

5791

ClearedVolume

Int

C

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

Related Instrument Symbol

• For premium option, the volatility strike symbol will be referenced
• For volatility option, the premium strike symbol will be referenced

Related Security ID

• For premium option, the volatility strike ISIN will be referenced
• For volatility option, the premium strike ISIN will be referenced