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The Margin Service API defines the following objects.

 

Error

The error object is used to represent an error that occurred.

NameXML NameXML TypeData TypeMin OccursMax OccursDescription
MessagemsgAttributeString11A string describing the error.
CodecodeAttributeInteger11A numeric code for the error.

Margin

The margin object is used to represent a margin calculation for a portfolio.

NameXML NameXML TypeData TypeMin OccursMax OccursDescription
AmountsamountsElement

Margin Amounts

01The amounts calculated.
As-of TimeasOfTimeAttributeDate/Time01The point in time at which the margin is calculated.
Create TimecreateTimeAttributeDate/Time01The time the margin record was created in the system.
IDidAttributeString01The unique identifier for the margin assigned by CME CORE.
Portfolio IDportfolioIdAttributeString11The unique identifier for the portfolio for which the margin is calculated.
Settlement IndicatorsettleIndAttributeSettlement Indicator01Indicates whether a margin is for settlement or not.
Settlement QualifiersettleQualAttributeSettlement Qualifier01Indicates the status of settlement for margins.
Update TimeupdateTimeAttributeDate/Time01The time the margin record was last updated.
TransactionstransactionsElementTransactions0unboundThe transactions that will be added to the portfolio for margin calculation.

Margin Amounts

The margin amounts object is used to represent the various amounts determined during margin calculation.

NameXML NameXML TypeData TypeMin OccursMax OccursDescription
ConcentrationconcAttributeDecimal11Concentration or liquidity risk.
CurrencyccyAttributeCurrency11The currency in which the amounts are calculated and expressed.
InitialinitAttributeDecimal11The margin required to be collateralized in order to open a position.
MaintenancemaintAttributeDecimal11The minimum amount to be collateralized in order to keep an open position.
Non-option ValuenonOptValAttributeDecimal11The profit or loss on the day of a position is then paid to or debited from the holder by the futures exchange.
Option ValueoptValAttributeDecimal11The premium that they would need to pay to buy back the option and close out their position.

Optimize Amounts

The optimize amounts object is used to represent the various amounts determined during optimize calculation.

NameXML NameXML TypeData TypeMin OccursMax OccursDescription
ConcentrationconcAttributeDecimal11Concentration or liquidity risk.
InitialinitAttributeDecimal11The margin required to be collateralized in order to open a position.
MaintenancemaintAttributeDecimal11The minimum amount to be collateralized in order to keep an open position.
Futures margin current portfoliofutCurrAmtAttributeDecimal11SPAN®margin for the current allocation of futures in the SEG account.
Futures margin baseline portfoliofutPreAmtAttributeDecimal11SPAN®margin for all futures (OTC and SEG futures) in account.
Futures margin post-optimized portfoliofutPostAmtAttributeDecimal11SPAN®margin for SEG futures allocation identified by the Optimizer.
OTC margin current portfoliootcCurrAmtAttributeDecimal11OTC IRS margin for the current allocation of IRS+OTC futures in the account.
OTC margin baseline portfoliootcPreAmtAttributeDecimal11OTC IRS margin for IRS positions only.
OTC margin post-optimized portfoliootcPostAmtAttributeDecimal11OTC IRS margin for IRS + OTC futures identified by the Optimizer.

Portfolio

The portfolio object is used to group transactions together for margining and analytics.

NameXML NameXML TypeData TypeMin OccursMax OccursDescription
Create TimecreateTimeAttributeDate/Time01The time the portfolio record was created in the system.
DescriptiondescAttributeString01

A textual description of the contents or usage of the portfolio.

The following characters are allowable, some special characters are not:

space !#%&'()+,-./0123456789:ABCDEFGHIJKLMNOPQRSTUVWXYZ_`abcdefghijklmnopqrstuvwxyz|

EntitiesentitiesElementPortfolio Entities11Entities associated with the portfolio.
IDidAttributeString01The unique identifier for the portfolio assigned by CME CORE.
NamenameAttributeString01

The display name for the portfolio.

The following characters are allowable, some special characters are not:

space !#%&'()+,-./0123456789:ABCDEFGHIJKLMNOPQRSTUVWXYZ_`abcdefghijklmnopqrstuvwxyz|

Reporting CurrencyrptCcyAttributeCurrency01The currency used for reporting on the portfolio. Amounts calculated in the base currency for each transaction will be converted to this currency. The default value is USD.
Update TimeupdateTimeAttributeDate/Time01The time the portfolio was last updated.

Portfolio Entities

The portfolio entities entity describes the various entities which are associated with a portfolio.

NameXML NameXML TypeData TypeMin OccursMax OccursDescription
Clearing Member Firm IDclrMbrFirmIdAttributeString01The identifier of the clearing member firm to which the portfolio is associated.
Customer Account IDcustAcctIdAttributeString01The identifier of the customer account to which the portfolio is associated.

Portfolio Margin Amounts

The portfolio entities entity describes the various entities which are associated with a portfolio. These are available in CORE schema 1.2 and above (http://cmegroup.com/schema/core/1.2)

NameXML NameXML TypeData TypeMin OccursMax OccursDescription
Futures Pre-Portfolio Margining AmountfutPreAmtAttributeDecimal01The margin amount for futures prior to portfolio margining.
Futures Post-Portfolio Margining AmountfutPostAmtAttributeDecimal01The margin amount for futures after portfolio margining.
IRS Pre-Portfolio Margining AmountfutPreAmtAttribute Decimal01 The margin amount for IRS prior to portfolio margining.
IRS Post-Portfolio Margining AmountotcPostAmtAttributeDecimal01The margin amount for IRS after portfolio margining.
Difference AmountdiffAmtAttributeDecimal01Margin Savings amount due to portfolio margining.

Transaction

The transaction object is used to represent entities (such as trades, positions, and delta ladders) which can be used in margin calculations.

NameXML NameXML TypeData TypeMin OccursMax OccursDescription
IDidAttributeString01The unique identifier for the transaction assigned by CME CORE.
Create TimecreateTimeAttributeDate/Time01The time the transaction record was created in the system.
StatusstatusAttributeEntity Status01Indicates the status of the transaction.
Update TimeupdateTimeAttributeDate/Time01The time the transaction record was updated in the system.
Portfolio IDportfolioIdAttributeString01The unique identifier for the portfolio to which the analytic belongs.
TypetypeAttributeTransaction Type11The type of transaction.
ErrorerrorElementError01The error for the transaction.
PayloadpayloadElementTransaction Payload01The payload containing the actual transaction.

Transaction Payload

The transaction payload object is used to contain the actual contents of a transaction, and contains the transaction in a format such as FIXML or FpML.

NameXML NameXML TypeData TypeMin OccursMax OccursDescription
FormatformatAttributeTransaction Format11The format for the transaction payload.
Format VersionformatVerAttributeString01Version name for the format. This is not currently required.
StringstringElementString01Payload content in raw string encoding. Content must be wrapped a CDATA block.