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The streamlined SBE messages in this section are sent for Equity Indices. 

Heartbeat

There is no body for this message.

This message is only the header with the message type 0.

This message is sequenced like any other message.

TCP Replay Messages

The messages included below are used for streamlined SBE TCP Recovery.

Logon from Client System to MDP

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

Required fields:

Tag

FIX Name

Type

Valid Values

Description

553

Username

String


Userid or username.

554

Password

String


Password or passphrase.

1137

DefaultApplVerID

String

9 = FIX50SP2

Specifies the service pack release being applied, by default, to message at the session level.

Logon from MDP to Client System

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

Tag

FIX Name

Type

Valid Values

Description

1180

ApplID

String

REPLAY

Used to identify a replayed message.

98

EncryptMethod

Int

0 = None

CME does not use encryption, so this value is always set to 0.

108

HeartBtInt

Int


Heartbeat interval (seconds).

1137

DefaultApplVerID

String

9 = FIX50SP2

Specifies the service pack release being applied, by default, to message at the session level.

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:

Tag

FIX Name

Type

Valid Values

Description

1180

ApplID

String


The channel ID from the XML Configuration File for which this request is made.

262

MDReqID

String


Unique identifier for Market Data Request.

1182

ApplBeginSeqNo

SeqNum


Message sequence number of first message in range to be re-sent. If the request is for a single message, ApplBeginSeqNo (tag 1182) and ApplEndSeqNo (tag 1183) are the same.

1183

ApplEndSeqNo

SeqNum


Message sequence number of last message in range to be re-sent. If the request is for a single message, BeginSeqNo (tag 7) and EndSeqNo (tag 16) are the same. The maximum number of messages that can be requested is 2000.

Logout

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

Tag

FIX Name

Type

Valid Values

Description

1180

ApplID

String

REPLAY

Used to identify a replayed message.

58

Text

String


Free Format text string. May include logout confirmation or reason for logout.

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

TagFIX NameTypeValid Values Description

Body

60

TransactTime

UTCTimeStamp


Trade date and time in number of nanoseconds since Unix epoch

5799

MatchEventIndicator

String

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

Bitmap field of eight Boolean type indicators reflecting the end of updates for a given Event:

Bit 0: (least significant bit) Last Trade message for a given event

Bit 1: Reserved for future use

Bit 2: Reserved for future use

Bit 3: Reserved for future use

Bit 4: Reserved for future use

Bit 5: Reserved for future use

Bit 6: Reserved for future use

Bit 7: (most significant bit) Last message for a given event

50001

BatchTotalMessages

Int


Total number of messages contained within batch which is defined by match event indicator (5799)

268

NoMDEntries

NumInGroup


Number of entries in Market Data message.

279

MDUpdateAction

Char

0 = New
1 = Change
2 = Delete

Market data update action.

269

MDEntryType

Char

2 = Trade

Market data entry type.

48

SecurityID

Int

null

Reserved for future use.

83

RptSeq

Int


Sequence number per instrument update. Reset weekly

270

MDEntryPx

Price


Price of the market data entry.

271

MDEntrySize

Qty (64)


Traded quantity.

346

NumberOfOrders

Int

0

The total number of non-implied orders per instrument that participated in a match step within a match event.

Value is always zero.

1003

TradeID

Int

0

Unique Trade Entry ID per Instrument and Trading Date.

Value is always zero.

5797

AggressorSide

Char

0 = No aggressor

Indicates which side is aggressor of the trade. If there is no value present, then there is no aggressor.

Value is always zero.

55

Symbol

String


Instrument/Index/Swap Name

1151

SecurityGroup

String


Indicates the product code for the instrument.

167

SecurityType

String

FUT = Future
OPT = Option
MLEG = Spread 

Identifies the type of instrument.

762

SecuritySubType

String


Reserved for future use.

200

MaturityMonthYear

MonthYear


This field provides the actual calendar date for contract maturity month and year (used for standardized futures and options) Format: YYYYMM (i.e. 200712). For daily products, this field contains the daily maturity Format: YYYYMMDD (i.e. 20071215).

207

SecurityExchange

String

XCBT = Chicago Board Of Trade
XCME = Chicago Mercantile Exchange
XNYM = New York Mercantile Exchange
XCEC = Commodities Exchange Center
DUMX = Dubai Mercantile Exchange
IES = Inter-Exchange Spread

Exchange used to identify a security.

541

MaturityDate

LocalMktDate


Maturity date of instrument.

Format: YYYYMMDD (i.e. 20071215)

996

UnitOfMeasure

String


Unit of measure for the products' original contract size

1716

UnitOfMeasureCurrency

Currency


Indicates the ISO Currency code if it is a currency product.

1147

UnitOfMeasureQty

Float


This field contains the notional value for each instrument. The notional value is equivalent to the corresponding premium-quoted contract.

223

CouponRate

Percentage

null

Reserved for future use.

423

PriceType

Int

2 = Contract Units

Valid price types for intraday trade.

828

TrdType

Int

1 = Block Trade

Valid trade types for intraday trade.

278

MDEntryID

String


Market data entry identifier to map multiple prices of a single trade.

201

PutOrCall

Int

0 = Put
1 = Call

Indicates whether an option instrument is a put or call.

202

StrikePrice

Price


Strike price for an option instrument.

Note: Strike price precision may not be the same as instruments sent on CME Globex.

1449

RestructuringType

String

null

Reserved for future use.

1450

Seniority

String

null

Reserved for future use.

9633

ReferenceID

String


Reserved for future use.

1851

StrategyLinkID

String


Identifies the multi-leg strategy (e.g. spread) to which the trade belongs. This links together trade legs executed as part of a strategy during a single match event.

Leg Repeating Groups

654

LegRefID

String


Used to correlate leg instrument definitions with their executions. Cross referenced to Tag 1788-LegID.

711

NoUnderlyings

NumInGroup


Number of underlying legs that make up the security.

311

UnderlyingSymbol

String


Underlying Security's symbol.

313

UnderlyingMaturityMonthYear

MonthYear


Underlying Security's MaturityMonthYear.

310

UnderlyingSecurityType

String


Underlying Security's SecurityType.

308

UnderlyingSecurityExchange

String

CBTS = CBOT Swap Execution Facility
XCEC = COMEX
XCME = CME
XNYM = New York Mercantile Exchange
DUMX = Dubai Mercantile Exchange
XCBT = Chicago Board Of Trade

Underlying Security's SecurityExchange.

453

NoPartyIDs

NumInGroup


Number of party roles.

448

PartyID

String


Party identifier/code.

452

PartyRole

Int

21 = Clearing Organization

Identifies the type or role of the PartyID specified.

555

NoLegs

NumInGroup


Number of legs (repeating groups).

600

LegSymbol

String


Multi-leg instrument's individual security's Symbol

602

LegSecurityID

Int


Multi-leg instrument's individual security's SecurityID.

603

LegSecurityIDSource

Char

H = CME

Identifies source of tag 602-LegSecurityID value.

This value is always 'H' for CME.

5795

LegSecurityGroup

String


Leg equivalent of body tag 1151-SecurityGroup (i.e. leg 'product code').

1788

LegID

String


Used to correlate leg instrument definitions with their executions. Cross referenced in tag 654-LegRefID.

609

LegSecurityType

String

OOC = Option on Combo
OPT = Option
OOF = Option on Future
FUT = Future
IRS = Interest Rate Swap 

Identifies the type of leg instrument.

610

LegMaturityMonthYear

MonthYear


Multi-leg instrument's individual security's leg MaturityMonthYear.

611

LegMaturityDate

LocalMktDate


Multi-leg instrument's individual security's leg MaturityDate.

612

LegStrikePrice

Price


Multi-leg instrument's individual security's StrikePrice

999

LegUnitOfMeasure

String


Multi-leg instrument's individual security's leg UnitOfMeasure

1224

LegUnitOfMeasureQty

Float


Multi-leg instrument's individual security's leg UnitOfMeasureQty

616

LegSecurityExchange

String

CBTS = CBOT Swap Execution Facility
XCEC = COMEX
XCME = CME
XNYM = New York Mercantile Exchange,
DUMX = Dubai Mercantile Exchange
XCBT = Chicago Board Of Trade

Multi-leg instrument's individual security's leg Security Exchange.

623

LegRatioQty

Int


The ratio of quantity for this individual leg relative to the entire multi-leg security.

624

LegSide

Char

1=Buy
2=Sell

The side of this individual leg (multi-leg security).

1358

LegPutOrCall

Int

0 = Put
1 = Call

Identifies whether leg option contract is a put or a call..

1720

LegUnitOfMeasureCurrency

Currency


Indicates the currency of the unit of measure. Conditionally required when LegUnitOfMeasure (999) = Ccy.