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The Margin Service API supports multiple formats for transaction payloads, depending on the asset class.

CME CORE supports FIXML, FpML, and CSV as transaction formats.  At this time, multiple formats are not supported for each asset class.  

Transactions are converted into an internal representation upon being loaded into CME CORE.  Additional attributes supplied by the client will not be retained by CME CORE and will not be returned by the get transaction or list transactions requests.

FpML

This API supports a CME-specific flavor of FpML based on the FpML 5.4 specification. This mapping is meant to convey the supported FPML fields, not necessarily their order.  See the FpML schema for ordering details.

Download the CME extension for the FpML schema here.

 Interest Rate Swap
XPathNameRequiredNotes
/cme:FpML/clearingConfirmed/account[@id="account1"]/
accountId[@accountIdScheme="clearing_firm_account"]
Customer Account IDNo 
/cme:FpML/clearingConfirmed/party[@id="clearing_firm"]/
partyId[@partyIdScheme="clearing_member_firms"]
Clearing Member Firm IDNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream@id
Swap Stream IDYesDefines legs
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodAmount/calculation/compoundingMethod
Compounding MethodNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodAmount/calculation/dayCountFraction
Day CountNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodAmount/calculation/fixedRateSchedule/initialValue
Fixed Rate (Initial)NoFixed-rate streams only
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodAmount/calculation/fixedRateSchedule/step/stepValue
Fixed Rate (Schedule)NoFixed-rate streams only
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodAmount/calculation/floatingRateCalculation/floatingRateIndex
Floating Rate IndexNoFloating-rate streams only
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodAmount/calculation/floatingRateCalculation/indexTenor/period
Floating Rate Index PeriodYesFloating-rate streams only
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodAmount/calculation/floatingRateCalculation/indexTenor/periodMultiplier
Floating Rate Index MultiplierNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodAmount/calculation/floatingRateCalculation/spreadSchedule/step
Rate SpreadNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodAmount/calculation/notionalSchedule/notionalStepSchedule/currency
CurrencyYes 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodAmount/calculation/notionalSchedule/notionalStepSchedule/initialValue
Notional AmountYes 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodAmount/calculation/notionalSchedule/notionalStepSchedule/step/stepValue
Notional AmountNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodDates/calculationPeriodDatesAdjustments/businessCenters/businessCenter
Calculation Period Business CenterNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodDates/calculationPeriodDatesAdjustments/businessDayConvention
Calculation Period Date ConventionNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodDates/calculationPeriodFrequency/period
Calculation Period Frequency PeriodNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodDates/calculationPeriodFrequency/periodMultiplier
Calculation Period Frequency MultiplierNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodDates/calculationPeriodFrequency/rollConvention
Calculation Period Roll ConventionNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodDates/effectiveDate/unadjustedDate
Unadjusted Start DateYes 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodDates/firstRegularPeriodStartDate
Calculation Period Regular Start DateNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodDates/lastRegularPeriodEndDate
Calculation Period Regular End DateNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodDates/terminationDate/adjustedDate
Adjusted End DateYes 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
calculationPeriodDates/terminationDate/unadjustedDate
Unadjusted End DateYes 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
payerPartyReference@href
Payer Party ReferenceYes 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
paymentDates/paymentDatesAdjustments/businessCenters/businessCenter
Payment Date Business CentersNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
paymentDates/paymentDatesAdjustments/businessDayConvention
Payment Date ConventionNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
paymentDates/paymentFrequency/period
Payment Frequency PeriodYes 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
paymentDates/paymentFrequency/periodMultiplier
Payment Frequency MultiplierNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
paymentDates/payRelativeTo
Payment Date Relationship TypeNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
resetDates/fixingDates/businessCenters/businessCenter
Fixing Date Business CenterNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
resetDates/fixingDates/businessDayConvention
Fixing Date ConventionNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
resetDates/fixingDates/dayType
Fixing Date Day TypeNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
resetDates/fixingDates/period
Fixing Date Offset PeriodNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
resetDates/fixingDates/periodMultiplier
Fixing Date Offset MulitplierNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
resetDates/resetDatesAdjustments/businessCenters/businessCenter
Reset Business CentersNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
resetDates/resetDatesAdjustments/businessDayConvention
Reset Date ConventionNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
resetDates/resetFrequency/period
Reset Frequency PeriodNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
resetDates/resetFrequency/periodMultiplier
Reset Frequency MultiplierNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
resetDates/resetRelativeTo
Reset Date Relationship TypeNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/finalStub/floatingRate[0]/floatingRateIndex
End Stub - Floating Rate Index 1No 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/finalStub/floatingRate[0]/indexTenor/period
End Stub - Floating Rate Period 1No 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/finalStub/floatingRate[0]/indexTenor/periodMultiplier
End Stub - Floating Rate Multiplier 1No 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/finalStub/floatingRate[1]/floatingRateIndex
End Stub - Floating Rate Index 2No 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/finalStub/floatingRate[1]/indexTenor/period
End Stub - Floating Rate Period 2No 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/finalStub/floatingRate[1]/indexTenor/periodMultiplier
End Stub - Floating Rate Multiplier 2No 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/finalStub/stubRate
End Stub - RateNo 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/initialStub/floatingRate[0]/floatingRateIndex
Start Stub - Floating Rate Index 1No 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/initialStub/floatingRate[0]/indexTenor/period
Start Stub - Floating Rate Period 1 No 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/initialStub/floatingRate[0]/indexTenor/periodMultiplier
Start Stub - Floating Rate Multiplier 1 No 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/initialStub/floatingRate[1]/floatingRateIndex
Start Stub - Floating Rate Index 2 No 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/initialStub/floatingRate[1]/indexTenor/period
Start Stub - Floating Rate Period 2 No 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/initialStub/floatingRate[1]/indexTenor/periodMultiplier
Start Stub - Floating Rate Multiplier 2 No 
/cme:FpML/clearingConfirmed/trade/swap/swapStream/
stubCalculationPeriodAmount/initialStub/stubRate
Start Stub - RateNo 
Sample

This is a standard fixed/float swap.

<cme:FpML>
    <clearingConfirmed>
      <trade>
        <swap>
          <swapStream id="fixedLeg">
            <payerPartyReference href="clearing_firm"></payerPartyReference>
            <calculationPeriodDates id="fixedCalcPeriodDates">
              <effectiveDate>
                <unadjustedDate>2013-02-04</unadjustedDate>
              </effectiveDate>
              <terminationDate>
                <unadjustedDate>2018-02-04</unadjustedDate>
              </terminationDate>
            <paymentDates>
              <paymentFrequency>
                <period>M</period>
                <periodMultiplier>6</periodMultiplier>
              </paymentFrequency>
            </paymentDates>
            <calculationPeriodAmount>
              <calculation>
                <notionalSchedule>
                  <notionalStepSchedule>
                    <initialValue>100000000.00</initialValue>
                    <currency>USD</currency>
                  </notionalStepSchedule>
                </notionalSchedule>
				<fixedRateSchedule>
                  <initialValue>0.0125</initialValue>
                </fixedRateSchedule>
              </calculation>
            </calculationPeriodAmount>
          </swapStream>
          <swapStream id="floatLeg">
            <calculationPeriodAmount>
              <calculation>
                <floatingRateCalculation>
                  <floatingRateIndex>USD-LIBOR</floatingRateIndex>
                  <period>M</period>
                  <periodMultiplier>3</periodMultiplier>
                </floatingRateCalculation>
              </calculation>
            </calculationPeriodAmount>
          </swapStream>
        </swap>
      </trade>
    </clearingConfirmed>
  </cme:FpML>

FIXML

This API supports standard FIXML following the FIXML 5.0 SP2 specification and schema.

Credit Default Swap
XPathNameRequiredNotes
/FIXML/TrdCaptRpt@LastQtyQuantity/Notional AmountYes 
/FIXML/TrdCaptRpt/Instrmt@CpnRtCoupon RateYes 
/FIXML/TrdCaptRpt/Instrmt@ExchExchange IDYes 
/FIXML/TrdCaptRpt/Instrmt@IDInstrument ID/Commodity CodeYes 
/FIXML/TrdCaptRpt/Instrmt@IssrReference EntityNo 
/FIXML/TrdCaptRpt/Instrmt@MMYContract Period Code/MaturityYes 
/FIXML/TrdCaptRpt/Instrmt@RstrctTypRestructuring TypeNo 
/FIXML/TrdCaptRpt/Instrmt@SecTypProduct TypeYes 
/FIXML/TrdCaptRpt/Instrmt@SnrtySeniorityNo 
/FIXML/TrdCaptRpt/Instrmt/AID[@AltIDSrc="104"]@AltIDRED CodeNo 
/FIXML/TrdCaptRpt/RptSide@SideMarket Side IndicatorYes 
/FIXML/TrdCaptRpt/RptSide/Pty[@R="4"]@IDClearing Member Firm IDNo 
/FIXML/TrdCaptRpt/RptSide/Pty[@R="24"]@IDCustomer Account IDNo 
Example
<FIXML>
  <TrdCaptRpt LastQty="10000000">
    <Instrmt Exch="CMD" SecTyp="CDS" ID="ROHRXU" MMY="201306" CpnRt="1" Issr="ReferenceEntity" RstrctTyp="FR" Snrty="SR">
      <AID AltIDSrc="104" AltID="REDCODE" />
    </Instrmt>
    <RptSide Side="1">
      <Pty R="4" ID="123" />
      <Pty R="24" ID="CUSTACCT1" />
    </RptSide>
  </TrdCaptRpt>
</FIXML>
Forward
XPathNameRequiredNotes
/FIXML/TrdCaptRpt@LastQtyQuantityYes 
/FIXML/TrdCaptRpt/Instrmt@ExchExchange IDYes 
/FIXML/TrdCaptRpt/Instrmt@IDInstrument IDYes 
/FIXML/TrdCaptRpt/Instrmt@MMYContract Period CodeYes 
/FIXML/TrdCaptRpt/Instrmt@SecTypProduct TypeYes 
/FIXML/TrdCaptRpt/RptSide@SideMarket Side IndicatorYes 
/FIXML/TrdCaptRpt/RptSide/Pty[@R="4"]@IDClearing Member Firm IDNo 
/FIXML/TrdCaptRpt/RptSide/Pty[@R="24"]@IDCustomer Account IDNo 
Example

CME USD/CAD forward:

<FIXML>
  <TrdCaptRpt LastQty="4">
    <Instrmt Exch="CME" SecTyp="FWD" ID="USDCAD" MMY="20130301" />    
    <RptSide Side="2">
      <Pty R="4" ID="123" />
      <Pty R="24" ID="CUSTACCT1" />
    </RptSide>
  </TrdCaptRpt>
</FIXML>
Future
XPathNameRequiredNotes
/FIXML/TrdCaptRpt@LastQtyQuantityYes 
/FIXML/TrdCaptRpt/Instrmt@ExchExchange IDYes 
/FIXML/TrdCaptRpt/Instrmt@IDInstrument IDYes 
/FIXML/TrdCaptRpt/Instrmt@MMYContract Period CodeYes 
/FIXML/TrdCaptRpt/Instrmt@SecTypProduct TypeYes 
/FIXML/TrdCaptRpt/RptSide@SideMarket Side IndicatorYes 
/FIXML/TrdCaptRpt/RptSide/Pty[@R="4"]@IDClearing Member Firm IDNo 
/FIXML/TrdCaptRpt/RptSide/Pty[@R="24"]@IDCustomer Account IDNo 
Example

CME Eurodollar future:

<FIXML>
  <TrdCaptRpt LastQty="4">
    <Instrmt Exch="CME" SecTyp="FUT" ID="ED" MMY="201303" />
    <RptSide Side="1">
      <Pty R="4" ID="123" />
      <Pty R="24" ID="CUSTACCT1" />
    </RptSide>
  </TrdCaptRpt>
</FIXML>
Option
XPathNameRequiredNotes
/FIXML/TrdCaptRpt@LastQtyQuantityYes 
/FIXML/TrdCaptRpt/Instrmt@ExchExchange IDYes 
/FIXML/TrdCaptRpt/Instrmt@IDInstrument ID/Commodity CodeYes 
/FIXML/TrdCaptRpt/Instrmt@MMYContract Period CodeYes 
/FIXML/TrdCaptRpt/Instrmt@PutCallPut/Call IndicatorYes 
/FIXML/TrdCaptRpt/Instrmt@SecTypProduct TypeYes 
/FIXML/TrdCaptRpt/Instrmt@StrkPxStrike PriceYes 
/FIXML/TrdCaptRpt/RptSide@SideMarket Side IndicatorYes 
/FIXML/TrdCaptRpt/RptSide/Pty[@R="4"]@IDClearing Member Firm IDNo 
/FIXML/TrdCaptRpt/RptSide/Pty[@R="24"]@IDCustomer Account IDNo 
/FIXML/TrdCaptRpt/Undly@IDUnderlying Instrument IDNo 
/FIXML/TrdCaptRpt/Undly@MMYUnderlying Contract Period CodeNo 
Example

CME Eurodollar option:

<FIXML>
  <TrdCaptRpt LastQty="10">
    <Instrmt Exch="CME" SecTyp="OOF" ID="ED" MMY="201303" PutCall="P" StrkPx="100">
      <Undly ID="ED" MMY="201203" />
    </Instrmt>
    <RptSide Side="2">
      <Pty R="4" ID="123" />
      <Pty R="24" ID="CUSTACCT1" />
    </RptSide>
  </TrdCaptRpt>
</FIXML>

CSV

Delta Ladder
ColumnNameRequiredNotes
IndexName
0Value DateValue DateYesThe date must be in MM/DD/YYYY format.
1CMF IDClearing Member Firm IDNo 
2PB AccountCustomer Account IDNo 
3Curve NameCurve NameYes 
4CurrencyCurrencyYes 
591D91 Days/3 MonthsNoThe values in columns 5-27 represent the amount of money the holder of a position with the given maturity will gain or lose based on a parallel shift in the yield curve.























6183D183 Days/6 MonthsNo
7274D274 Days/9 MonthsNo
8365D365 Days/12 MonthsNo
9457D457 Days/15 MonthsNo
10548D548 Days/18 MonthsNo
11639D639 Days/21 MonthsNo
12731D731 Days/2 YearsNo
131096D1,096 Days/3 YearsNo
141461D1,461 Days/4 YearsNo
151826D1,826 Days/5 YearsNo
162192D2,192 Days/6 YearsNo
172557D2,557 Days/7 YearsNo
182922D2,992 Days/8 YearsNo
193287D3,287 Days/9 YearsNo
203653D3,653 Days/10 YearsNo
214383D4,383 Days/12 YearsNo
225479D5,479 Days/15 YearsNo
237305D7,305 Days/20 YearsNo
249131D9,131 Days/25 YearsNo
2510958D10,958 Days/30 YearsNo
2614610D14,610 Days/40 YearsNo
2718263D18,263 Days/50 YearsNo
Example
Value Date,CMF ID,PB Account,Curve Name,Currency,91D,183D,274D,365D,457D,548D,639D,731D,1096D,1461D,1826D,2192D,2557D,2922D,3287D,3653D,4383D,5479D,7305D,9131D,10958D,14610D,18263D
12/19/2012,370,TEST,GBP_SONIA_1D_ERS,GBP,1.259281222,20.76525023,3.465603536,42.06051445,6.283750536,61.02984956,8.46213416,125.3130612,237.1899163,268.8585818,261.9443043,227.7187867,164.0846059,101.8959109,28.02228836,-82.28976317,-267.0751157,-628.6599712,-564.7170309,0,0,0,0                                                               
12/19/2012,370,TEST,EUR_EURIBOR_6M_ERS,EUR,-23.86144403,-503.8325898,-0.012342894,-0.109441629,0.056223172,0.889136286,0.190284323,5.320121523,17.61191748,41.69369937,76.53479732,116.5582631,155.7398315,199.1134546,424.4469821,9555.998135,0,0,0,0,0,0,0                                                                                 
12/19/2012,370,TEST,USD_LIBOR_3M_ERS,USD,1295.348262,-0.947378425,-1.507154652,-2.225674175,-3.790210125,-5.348897812,-5.123161447,-30.79241436,-106.5422871,-174.757589,4253.547932,-828.2373279,-1122.159443,-1325.38267,-10230.54327,-38611.60815,-970.6118909,-1733.127909,-15870.1614,0,0,0,0                                                      
12/19/2012,370,TEST,USD_FEDFUNDS_1D_ERS,USD,-5.952118396,-3.976646163,-17.75223842,-7.936085488,-28.16528605,-10.20066844,-38.78231391,-47.1974095,-95.56009177,-14.94260527,154.1852705,342.9522899,548.6102746,740.6938355,918.3396562,601.3185352,636.5864455,1094.560435,807.8897466,0,0,0,0                                                                     
12/19/2012,370,TEST,GBP_LIBOR_6M_ERS,GBP,-89.33347124,-1473.087861,0.411748914,5.242664916,0.804199476,8.33752525,1.417096505,25.24656019,72.44794565,145.605333,251.7102313,372.2033202,528.1370162,677.6290944,814.3180617,1428.937946,2795.373043,5293.852463,42608.97393,0,0,0,0                                                                  
12/19/2012,370,TEST,JPY_TONAR_1D_ERS,JPY,-18.71594834,-395.1858388,-53.5088762,-855.3238861,-102.3792524,-1273.611851,-140.7688785,-2670.863615,-5383.476942,-6587.315195,-7184.161494,-6924.80635,-5971.991452,-4687.688642,-3056.503915,-112.3961059,10461.76639,36296.69839,52734.60429,39614.53775,18379.56104,0,0
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