The market data Security Definition (tag 35-MsgType=d) message identifies the instrument and provides all instrument attributes such as expiration, strike price, etc.
This topic includes:
See also:
MDP 3.0 - CFICode Table of Values
Tag 762-SecuritySubType Table of Values
MDP 3.0 - Tag 996-UnitOfMeasure Table of Values
MDP 3.0 Variable Tick Table
Message Layout
Repeating Tag Groups
Y = FIX required N = Not required C=conditional
Tag | Name | FIX Type | Req | Enumeration | Description |
---|---|---|---|---|---|
5799 | MatchEventIndicator | String | Y | ex. 10000000 – Security Definition message is 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 Note MatchEventIndicator is not supported on the Instrument Recovery feed. |
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:
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 4th 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 |
| Security Type |
461 | CFICode | String | Y | ISO standard instrument categorization code. | |
201 | PutOrCall | Int | C | 0=Put 1=Call | Indicates whether an option instrument is a put or call. |
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 | Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined. |
462 | UnderlyingProduct | Int | Y | 2=Commodity/Agriculture | Indicates the product complex. |
207 | SecurityExchange | Exchange | Y | XCBT = Chicago Board of Trade | Exchange used to identify a security. |
1682 | MDSecurityTradingStatus | Int | N | 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 | Identifies the current state of the instrument. |
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 … | 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. Recommended 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 Instruments. |
→309 | UnderlyingSecurityID | Int | C | 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. | |
→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 | 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. | |
→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 | 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 | 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 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. | |
1435 | ContractMultiplierUnit | Int | C | 1=multiplied by hour | 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 | 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 | Unit of measure for the product's original contract size. This will be populated for all products listed on CME Globex. USD unit of measure can be in U.S. dollars or cents. | |
1147 | UnitOfMeasureQty | Float | C | This field contains the contract size for each instrument. Use in combination with tag 996-UnitofMeasure. Eurodollar futures Live Cattle futures | |
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 | Trading reference price. For instruments with activity this price is Actual. For pre-listed instruments and instruments with no activity, this price is Theoretical. | |
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 |
5796 | TradingReferenceDate | LocalMktDate | C | 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. | |
1647 | NoRelatedInstruments | Int | N | Number of related instruments group | |
→1649 | RelatedSymbol | String | N | Related Instrument Symbol
| |
→1650 | RelatedSecurityID | Int | Related Security ID
| ||
→1651 | RelatedSecurityIDSource | Char | N | Related Security ID source |
Tag Usage by Security Type
X=sent, " - " =not sent, c=conditional, FUT=future, OOF=option on future, MLEG=multileg
Tag | FIX Name | Future Outright | NYMEX Decay/Variable Future | Future Spread | Option Outright | Option Spread | UDS Combo | UDS |
---|---|---|---|---|---|---|---|---|
Application Sequence Control | ||||||||
5799 | MatchEventIndicator | X | X | X | X | X | X | X |
911 | TotNumReports | c | c | c | c | c | c | c |
980 | SecurityUpdateAction | X | X | X | X | X | X | X |
779 | LastUpdateTime | X | X | X | X | X | X | X |
1180 | ApplID | X | X | X | X | X | X | X |
Instrument Data | ||||||||
1300 | MarketSegmentID | X | X | X | X | X | X | X |
55 | Symbol | X | X | X | X | X | X | X |
48 | SecurityID | X | X | X | X | X | X | X |
22 | SecurityIDSource | X | X | X | X | X | X | X |
200 | MaturityMonthYear | X | X | X | X | X | X | X |
1151 | SecurityGroup | X | X | X | X | X | X | X |
6937 | Asset | X | X | X | X | X | X | X |
167 | SecurityType | FUT | FUT | FUT | OOF | OOF | OOF | MLEG |
762 | SecuritySubType | – | – | X | – | X | X | X |
461 | CFI Code | X | X | X | X | X | X | X |
201 | PutOrCall | – | – | – | X | – | – | – |
462 | UnderlyingProduct | X | X | X | X | – | – | – |
207 | SecurityExchange | X | X | X | X | X | X | X |
1682 | MDSecurityTradingStatus | c | c | c | c | c | c | c |
202 | StrikePrice | – | – | – | X | – | – | – |
947 | StrikeCurrency | – | – | – | X | – | – | – |
15 | Currency | X | X | X | X | X | X | X |
120 | SettlCurrency | – | - | c | – | – | – | |
9850 | MinCabPrice | – | – | – | c | – | – | – |
9779 | UserDefinedInstrument | – | – | – | – | – | Y | Y |
Underlying (options only) | ||||||||
711 | NoUnderlyings | - | - | - | X | - | - | - |
→311 | UnderlyingSymbol | - | - | - | X | - | - | - |
→309 | UnderlyingSecurityID | - | - | - | X | - | - | - |
→305 | UnderlyingSecurityIDSource | - | - | - | X | - | - | - |
Leg Group (spreads only) | ||||||||
555 | NoLegs | - | - | X | - | X | X | X |
→602 | LegSecurityID | - | - | X | - | X | X | X |
→624 | LegSide | - | - | X | - | X | X | X |
→623 | LegRatioQty | - | - | X | - | X | X | X |
→566 | LegPrice | - | - | - | - | - | - | X |
→1017 | LegOptionDelta | - | - | - | - | - | - | X |
Trading Rules | ||||||||
1141 | NoMdFeedTypes | X | X | X | X | X | X | X |
→1022 | MDFeedType | X | X | X | X | X | X | X |
→264 | MarketDepth | X | X | X | X | X | X | X |
864 | NoEvents | X | X | X | X | X | X | X |
→865 | EventType | X | X | X | X | X | X | X |
→1145 | EventTime | X | X | X | X | X | X | X |
1142 | MatchAlgorithm | X | X | X | X | X | X | X |
1234 | NoLotTypeRules | X | X | X | X | X | X | X |
→1093 | LotType | X | X | X | X | X | X | X |
→1231 | MinLotSize | X | X | X | X | X | X | X |
562 | MinTradeVol | X | X | X | X | X | X | X |
1140 | MaxTradeVol | X | X | X | X | X | X | X |
969 | MinPriceIncrement | X | X | X | c | X | X | X |
1146 | MinPriceIncrementAmount | X | X | - | X | - | - | - |
9787 | DisplayFactor | X | X | X | X | X | X | X |
5770 | PriceRatio (Implied Intercommodity Ratio Spreads only) | – | – | c | – | – | – | – |
6350 | TickRule | – | – | – | c | c | – | – |
37702 | MainFraction | c | – | – | c | – | – | – |
37703 | SubFraction | c | – | – | c | – | – | – |
9800 | PriceDisplayFormat | c | _ | – | c | – | – | – |
Instrument Attribute Group | ||||||||
870 | NoInstAttrib | X | X | X | X | X | X | X |
→871=24 | InstAttribType | X | X | X | X | X | X | X |
→872 | InstAttribValue | X | X | X | X | X | X | X |
Contract Lot Size/Measure/Unit | ||||||||
1435 | ContractMultiplierUnit | - | X | - | - | - | - | - |
1439 | FlowScheduleType | - | X | - | - | - | - | - |
231 | ContractMultiplier | - | X | - | - | - | - | - |
996 | UnitOfMeasure | X | X | X | X | X | X | X |
1147 | UnitOfMeasureQty | X | X | - | X | - | - | - |
5818 | DecayQty | - | c | - | - | - | - | - |
5819 | DecayStartDate | - | c | - | - | - | - | - |
5849 | OriginalContractSize | - | c | - | - | - | - | - |
Statistics and Limits | ||||||||
1150 | TradingReferencePrice | c | c | c | c | c | c | c |
731 | SettlPriceType | c | c | c | c | c | c | c |
5796 | TradingReferenceDate | c | c | c | c | c | c | c |
5792 | OpenInterestQty | c | c | c | c | c | c | c |
5791 | ClearedVolume | c | c | c | c | c | c | c |
1149 | HighLimitPrice | c | c | c | c | c | c | c |
1148 | LowLimitPrice | c | c | c | c | c | c | c |
1143 | MaxPriceVariation | c | c | c | – | – | – | – |