Skip to end of metadata
Go to start of metadata

Settlement price is updated throughout the trading week for an instrument and disseminated by means of the Market Data Incremental Refresh (tag 35-MsgType=X) message on the incremental feed.

For a settlement price overview, refer to the Settlement Prices topic.

Market Data Incremental Refresh (tag 35-MsgType=X) Message - Settlement Price

CME Globex sends the following types of settlement prices in the Market Data Incremental Refresh (tag 35-MsgType=X) message:

  • Final/Preliminary
  • Actual/Theoretical
  • Settlement at Trading Tick/Settlement at Clearing Tick (See example below)

FIX Syntax for Settlement Price

Tag

FIX Name

Format

Valid Values

Description

279MDUpdateActionChar0 = New

Market data update action.

269

MDEntryType

Char

6 = Settlement Price

Identifies price as a settlement price.

48SecurityIDInt Unique instrument ID.
83ReptSeqInt 

MD Entry sequence number per instrument update. Reset weekly.

270MDEntryPxPrice Price of the MD Entry.

731

SettlPriceType

String

Examples

Binary Code value of 731

Decimal Version

Meaning

00000110

731 = 6

Preliminary Actual Settlement at Trading Tick

00000010

731 = 2

Preliminary Actual Settlement at Clearing Tick

00000101

731 = 5

Final Theoretical Settlement at Trading Tick

00000111

731 = 7

Final Actual Settlement at Trading Tick

00000011

731 = 3

Final Actual 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

Bit 2:

1=Settlement at Trading Tick

0=Settlement at Clearing Tick

Bit 3: (under development)

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

5796TradingReferenceDate

LocalMktDate

 Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.

Settlement at Trading Tick / Settlement at Clearing Tick

If no rounding occurs (the product is not subject to rounding and the CME Globex trading tick is the same as the settlement tick for the product), a single Market Data Incremental Refresh (tag 35-MsgType=X) message is sent on the incremental feed with:

  • tag 269-MDEntryType=6 (Settlement Price)
  • tag 270-MDEntryPx - the price value on the CME Clearing settlement tick
  • tag 731-SettlPriceType Bit 2 = 0 (Settlement at Clearing Tick)
  • tag 5796-TradingReferenceDate

If rounding occurs, two Market Data Incremental Refresh (tag 35-MsgType=X) messages are sent on the Incremental feed.

Message with unrounded price value:

  • tag 269-MDEntryType=6 (Settlement Price)
  • tag 270-MDEntryPX - price value on CME Clearing settlement tick
  • tag 731-SettlPriceType Bit 2 = 0 (Settlement at Clearing Tick)
  • tag 5796-TradingReferenceDate

Message with rounded price value:

  • tag 269-MDEntryType=6 (Settlement Price)
  • tag 270-MDEntryPX - price value rounded to CME Globex trading tick
  • tag 731-SettlPriceType Bit 2 = 1 (Settlement at Trading Tick)
  • tag 5796-TradingReferenceDate

Settlement at Trading Tick Example

Some CME Group products have a mini-sized product listed along with the full-sized product (e.g., e-mini, e-micro, and miNY products). In many cases, mini-sized products are marked to market and margined using their corresponding full-sized contract settlement.

The trading tick of the mini-product is not always equal to the settlement/trading tick of the full-sized product. For example, given:

  • S&P 500 (SP) future ticks at .10
  • E-mini S&P 500 (ES) future ticks at .25
  • S&P 500 (SP) settles to an actual preliminary settlement price at 1225.30

Settlement price sent for the standard or full-sized contract.

Tag

FIX Name

Format

Sample Value

Description

731

SettlPriceType

String

00000010

Bitmap field of eight Boolean type indicators representing settlement price type.

00000010 = Preliminary Actual Settlement at Clearing Tick

270

MDEntryPx

Price

1225.30

Price of the MD Entry.

Unrounded price value on clearing settlement tick.

269

MDEntryType

Int

6

Type of Market Data entry.

6 = Settlement Price

5796

TradingReferenceDate

LocalMktDate

17093

(19 Oct 2016)

Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.

 

The e-mini S&P 500 (ES) instrument will have two settlement prices disseminated.

Settlement price on instrument’s settlement tick.

Tag

FIX Name

Format

Sample Value

Description

731

SettlPriceType

String

00000010

Bitmap field of eight Boolean type indicators representing settlement price type.

00000010=Preliminary Actual Settlement at Clearing Tick

270

MDEntryPx

Price

1225.30

Price of the MD Entry.

Unrounded price value on clearing settlement tick.

269

MDEntryType

Char

6

Type of Market Data entry.

6=Settlement Price

5796

TradingReferenceDate

LocalMktDate

17093

(19 Oct 2016)

 

Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.

 

Settlement price rounded to trading tick

Tag

FIX Name

Format

Sample Value

Description

731

SettlPriceType

String

00000110

Bitmap field of eight Boolean type indicators representing settlement price type.

00000110 = Preliminary Actual Settlement at Trading Tick

270

MDEntryPx

Price

1213.25

Price of the MD Entry.

Rounded to the nearest price on trading tick price.

269

MDEntryType

Char

6

Type of Market Data entry.

6 = Settlement Price

5796

TradingReferenceDate

LocalMktDate

17093

(19 Oct 2016)

Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.

17093 = 10/19/2016

  • No labels