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Use the filters below to query MDP 3.0 message specification tags by Tag, Name, FIX Type, and Required.

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 - FIX Message Header
    TagNameFIX TypeEnumerationReqDescription

    35

    MsgType

    Int

    0=Heartbeat

    X= Incremental Refresh

    W=Snapshot

    d=Security Definition

    f=Security Status

    R=Request for Quote

    Y

    FIX Message Type.

  • Page:
    MDP 3.0 - Heartbeat
    TagNameFIX TypeEnumerationReqDescription

    35

    MsgType

    Int

    0=Heartbeat

    Y

    FIX Message Type

  • Page:
    MDP 3.0 - Market Data Incremental Refresh

    Tag

    Name

    FIX Type

    Enumeration

    Req

    Description

    60

    TransactTime

    UTCTimestamp


    Y

    Start of event processing time (UTC). UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

    5799

    MatchEventIndicator

    String

    ex. 00000001 – end of trade summaries, not end of event messages

    ex. 10000100 – end of quotes, end of event

    ex. 00001000 – end of statistics, not the end of event

    Y

    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

    268

    NoMDEntries

    NumInGroup


    Y

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

    →279

    MDUpdateAction


    Char

    0 = New

    1 = Change

    2 = Delete

    Y

    MD Update Action

    →269

    MDEntryType



    Char

    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

    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

    Y

    Market Data Entry Type.

    MD Entry Type “e” - Electronic Volume block.

    Electronic Volume entry provides Cumulative Trade Volume updated with the event.

    →48

    SecurityID

    Int


    C

    Unique instrument ID.

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

    →83

    RptSeq

    Int


    C

    MD Entry sequence number per instrument update. Reset weekly.

    →270

    MDEntryPx

    Price


    C

    Price of the MD Entry. 

    →271

    MDEntrySize


    Qty


    C

    Quantity of the MD Entry.

    • In a Book Entry– order quantity
    • In a Trade Entry – traded quantity
    • In Electronic Volume - represents cumulative traded volume of the Daily Trade session.
    • In an Indicative Opening - the indicative opening quantity

    →346

    NumberOfOrders

    Int


    C

    • In Book Entry - aggregate number of orders at the given price level.

    • In Trade Entry - identifies the total number of non-implied orders per instrument that participated in this match event.

    →1023

    MDPriceLevel

    Int


    C

    Aggregate book level, any number from 1 to 10.

    →286

    OpenCloseSettlFlag

    Int

    0 = Daily Open Price

    5 = Indicative Opening Price (IOP)


    Flag describing  Open Price entry.

    →731SettlPriceTypeString

    Examples:

    00000110 – Preliminary Actual Settlement at Trading Tick

    00000010 – Preliminary Actual Settlement at Clearing Tick

    00000101 – Final Theoretical Settlement at Trading Tick

    00000111 – Final Actual Settlement at Trading Tick

    00000011 – Final Actual Settlement at Clearing Tick

    C

    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

    →5797

    AggressorSide

    Int

    0 = No aggressor

    1 = Buy
    2 = Sell

    C

    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.

    →37711MDTradeEntryIDChar
    C

    Common Trade ID that links each trade execution.

    →5796

    TradingReferenceDate

    LocalMktDate


    C

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

    →1149

    HighLimitPrice

    Price


    C

    Upper price threshold for the instrument. Orders submitted with prices above the upper limit will be rejected.

    →1148

    LowLimitPrice

    Price


    C

    Lower price threshold for the instrument. Orders submitted with prices below the lower limit will be rejected.

    →1143

    MaxPriceVariation

    Price


    C

    Differential static value for price banding.

    In continuous trading mode:

    Buy orders submitted above (Last Best Price + Max Price Variation) will be rejected. Sell orders submitted bellow (Last Best Price - Max Price Variation) will be rejected.

    In pre-open state multiplier may be applied to base static value to expand the bands, multiplier value is not provided on market data.

    Note: Max Price Variation is not provided for option instruments with dynamic Banding Values.

    →1180ApplIDInt
    CThe value indicates the channel ID as defined in the XML configuration file. The Market Data Incremental Refresh (tag 35-MsgType=X) message Channel Reset data block references the channel ID to be reset.
    →9633ReferenceID uInt8
    CReference to corresponding Price and Security ID, sequence of 268-NoMDEntries in a message.
    →32LastQtyInt
    CQty bought or sold on this last fill.
    →37OrderIDInt
    C

    Unique ID assigned by CME Globex to identify orders.

    →37707MDOrderPriorityuInt64
    COrder 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.
    →37706MDDisplayQtyInt32

    C

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

    37705NoOrderIDEntries

    CRepeating group of MBO book updates included in an event. Repeating group used for MBP and MBO combined updates.
    →37OrderIDInt
    C

    Unique ID assigned by CME Globex to identify orders.

    →37706MDDisplayQtyInt32

    C

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

    →37707MDOrderPriorityuInt64
    COrder 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.
    →37708OrderUpdateActionuInt8

    0=New
    1=Update
    2=Delete

    COrder book update action to be applied to the order referenced by OrderID.
    →9633ReferenceID uInt8
    CReference to corresponding Price and Security ID, sequence of 268-NoMDEntries in a message.
  • Page:
    MDP 3.0 - Market Data Security Status
    TagNameFIX TypeEnumerationReqDescription

    60

    TransactTime

    UTCTimestamp


    Y

    Start of event processing time (UTC). UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

    75

    TradeDate

    LocalMktDate


    Y

    Indicates the date of the trade session. Sent as number of days since Unix epoch (Jan. 1, 1970) local time.

    5799MatchEventIndicatorString

    ex. 10000000 - last message in the event

    ex. 00000000 - not last message in the event

    Y

    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

    1151

    SecurityGroup

    String


    C

    If this tag is present, 35=f message is sent for the Product Code.

    6937

    Asset

    String


    C

    Product code.

    48

    SecurityID

    Int


    C

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

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

    326

    SecurityTradingStatus

    Int

    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

    Y

    Identifies the trading status applicable to the instrument or the Product Code.

    327

    HaltReason

    Int

    0 = Group schedule (default)

    1 = Surveillance intervention

    2 = Market event

    3 = Instrument activation

    4 = Instrument expiration

    5 = Unknown

    6 = Recovery in Process

    Y

    Identifies the reason for the status change.

    State change may be invoked due to:

    • surveillance intervention
    • market event (i.e. Velocity Logic, Request for Cross)
    • predetermined group status schedule
    • instrument activation/ expiration schedule

    1174

    SecurityTradingEvent

    Int

    0 = No Event (default)

    1 = No Cancel

    4= Change of Trading Session (reset statistics)

    5 = Implied matching ON

    6 = Implied matching OFF

    Y

    Identifies an additional event or a rule related to the SecurityTradingStatus (326).

    See MDP 3.0 - Implied Matching Status for additional information on the relationship between Security Group, Asset, and Security ID for implied instruments & groups.

  • Page:
    MDP 3.0 - Market Data Snapshot Full Refresh

    Message Body

    TagNameFIX TypeEnumerationReqDescription

    369

    LastMsgSeqNumProcessed

    SeqNum


    Y

    The last processed packet sequence number of the real-time channel as of the time the snapshot was generated. This value is used to synchronize the snapshot with the real-time feed.

    911

    TotNumReports

    Int


    Y

    Total number of instruments replayed in the loop.

    48

    SecurityID

    Int


    Y

    Unique Security ID.

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

    83

    RptSeq

    Int


    Y

    Sequence Number of the last Instrument Entry reflected in the message.

    37709

    NoChunks

    uInt32


    C

    Total number of packets that constitute a single instrument order book.
    37710CurrentChunkuInt32

    C

    Chunk sequence.

    60

    TransactTime

    UTCTimestamp


    Y

    Start Transaction Time of the last event security participated in. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

    1682

    MDSecurityTradingStatus

    Int

    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

    N

    Identifies the current state of the instrument.

    75

    TradeDate

    LocalMktDate


    Y

    Indicates the date of the trade session. Sent as number of days since Unix epoch (Jan. 1, 1970) local time.

    779LastUpdateTimeUTCTimestamp
    Y

    Date and Time of Last Security Definition Add/Modify or Delete on a given channel. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

    Note: If the client system experiences a mid-week failure, this tag value can be used to identify if any instrument updates have been missed.

    1149HighLimitPricePrice
    CUpper price threshold for the instrument. Orders submitted with prices above the upper limit will be rejected.
    1148LowLimitPricePrice
    CLower price threshold for the instrument. Orders submitted with prices below the lower limit will be rejected

    1143

    MaxPriceVariation

    Price


    C

    Differential static value for price banding.

    In continuous trading mode:

    Buy orders submitted above (Last Best Price + Max Price Variation) will be rejected.

    Sell orders submitted bellow (Last Best Price - Max Price Variation) will be rejected.

    Note: Max Price Variation will not be provided for option instruments with dynamic Price Banding Values.

    268

    NoMDEntries

    NumInGroup


    Y

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

    Market by Price (MBP) Data Block

    TagNameFIX TypeEnumerationReqDescription

    →269

    MDEntryType



    Char

    0 = Bid

    1 = Offer

    E = Implied Bid

    F = Implied Offer

    2 = Trade

    4 = Opening Price

    6 = Settlement Price

    7 = Session High Trade Price

    8 = Session Low Trade Price

    N = Session High Bid
    O = Session Low Offer

    B = Cleared Trade Volume

    C = Open Interest

    W = Fixing Price

    e = Electronic Volume

    Y

    Market Data Entry Type.



    →270

    MDEntryPx


    Price


    C

    Price of the MD Entry. 

    →271

    MDEntrySize


    Qty


    C

    Quantity of the MD Entry.

    In a Book Entry– order quantity

    In a Trade Entry – traded quantity

    In Electronic Volume represents cumulative traded volume of the Daily Trade session.

    →346

    NumberOfOrders

    Int


    C

    Aggregate number of orders at the given price level.

    →1023

    MDPriceLevel

    Int


    C

    Aggregate book position.

    Any number from 1 to 10 is acceptable.

    →286OpenCloseSettlFlagInt

    0 = Daily Open Price

    5 = Indicative Opening Price (IOP)

    CCondition describing a quote, trade or statistic entry

    →731

    SettlPriceType

    String

    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

    C

    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

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

    Market by Order (MBO) Data Block

    Tag

    Name

    FIX Type

    Enumeration

    Req

    Description

    →37 OrderID Int
    CUnique ID assigned by CME Globex to identify orders.
    →269 MDEntryTypeChar

    0 = Bid

    1 = Offer

    YMarket Data Entry Type.
    →270 MDEntryPx Price
    CPrice of the MD Entry. 
    →37706 MDDisplayQty Qty
    CVisible quantity of an order to the market. Orders may have additional hidden display quantity.
    →37707 MDOrderPriority Int
    COrder 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.
  • Page:
    MDP 3.0 - Request for Quote
    TagNameFIX TypeEnumerationReqDescription

    60

    TransactTime

    UTCDateTime


    Y

    Start Time of Quote Request event. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

    5799MatchEventIndicatorString

    ex. 10000001 – end of trade summaries, end of event


    ex. 10000100 – end of quotes, end of event


    ex. 00001000 – end of statistics, not the end of event
    Y

    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

    131

    QuoteReqID

    String


    N

    Quote request ID defined by the exchange.

    146

    NoRelatedSym

    Int

    1

    Y

    Indicates the number of repeating symbols specified.

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

    →55

    Symbol

    String


    Y

    Instrument Name or Symbol  (ex. 6EN2 P1220)

    →48

    SecurityID

    Int


    Y

    Unique instrument ID.

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

    →537

    QuoteType

    Int

    1=Tradable

    Y

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

    →38

    OrderQty

    Int


    N

    Quantity requested.

    →54

    Side

    Int

    1=Buy

    2=Sell

    8=Cross

    N

    Side requested.

  • Page:
    MDP 3.0 - Security Definition
    TagNameFIX TypeReqEnumerationDescription
    5799MatchEventIndicatorStringY

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

    ex. 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

    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:

    • 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 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

    • 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.

    201PutOrCallIntC0=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
    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.

    1682MDSecurityTradingStatusIntN

    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
    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

    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.
    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


    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

    5796TradingReferenceDateLocalMktDateC

    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.

    1647NoRelatedInstrumentsIntN
    Number of related instruments group
    →1649RelatedSymbolStringN

    Related Instrument Symbol

    • For premium option, the volatility strike symbol will be referenced
    • For volatility option, the premium strike symbol will be referenced
    →1650RelatedSecurityIDInt

    Related Security ID

    • For premium option, the volatility strike ISIN will be referenced
    • For volatility option, the premium strike ISIN will be referenced
    →1651RelatedSecurityIDSourceCharN
    Related Security ID source
  • Page:
    MDP 3.0 - TCP Replay Messages

    Logon from Client System to MDP

    The Market Data Logon (tag 35-MsgType=A) message is sent by the client system to MDP to initiate logon.

    Required fields are:

    TagNameFIX TypeEnumerationReqDescription

    35

    MsgType

    Char

    A

    Y

    Message Type

    553

    Username

    String

     

    Y

    User ID or username.

    554

    Password

    String

     

    Y

    Password or pass phrase.

    10CheckSumString YAlways last tag in message. Functions as end-of-message delimiter.

    Logon from MDP to Client System

    The Market Data Logon (tag 35-MsgType=A) message is sent from MDP to the client system to confirm logon. This message is SBE encoded.

    TagNameFIX TypeEnumerationReqDescription

    35

    MsgType

    Char

    A

    Y

    Message Type

    108

    HeartBtlnt

    Int

     

    Y

    Heartbeat interval (seconds).

    Market Data Replay Request

    The Market Data - Replay Request (tag 35-MsgType=V) message is sent by the client system to request a range of messages for recovery. Required fields:

    TagNameFIX TypeEnumerationReqDescription

    35

    MsgType

    Char

    V

    Y

    Message Type

    1180

    AppIID

    String

     

    Y

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

    262

    MDReqID

    String

     

    Y

    Unique identifier for Market Data Request.

    1182

    ApplBeginSeqNo

    SeqNum

     

    Y

    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

     

    Y

    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.

    10CheckSumString YAlways last tag in message. Functions as end-of-message delimiter.

    Logout

    The Market Data Logout (tag 35-MsgType=5) message is sent from MDP to confirm logout. This message is SBE encoded.

    TagNameFIX TypeEnumerationReqDescription

    35

    MsgType

    Char

    5

    Y

    Message Type

    58

    Text

    String

     

    Y

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