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CME CF Cryptocurrency Indices and Daily Reference Price support the following message types.

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

This section describes the streamlined Market Data Incremental Refresh Message (35=X) for CME CF Real Time Index and the daily Reference Rate.

The → symbol indicates a repeating group tag.

Header
TagFIX NameFormatValid ValuesDescription

35

MsgType

String (2)

X=Market Data Incremental Refresh

Defines message type.

34

MsgSeqNum

SeqNum (9)

 -

Integer message sequence number.

52

SendingTime

UTCTimeStamp (21)

 -

Time of message transmission (always expressed in UTC) Format: YYYYMMDDHHMMSSsss.

UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

Body

60

TransactTime

UTCTimeStamp (21)

 -

Indicates time of trade referenced in this message Format: YYYYMMDDHHMMSSsss.

UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

5799

MatchEventIndicator

Boolean (1)

N – Not end of event

Y – End of event

Boolean flag which indicates if the message denotes the start of an event or end of event. For CryptoFacilities this should be set to Y if there is no need to maintain continuity between messages to infer when a particular event started and ended.

→50001BatchTotalMessagesInt(3)

Total number of messages contained within batch

→235YieldTypeString

Reserved for future use.

→9633ReferenceIDString

Reserved for future use.

1022

MDFeedType

NULL

--

Describes a class of service for a given data feed.

268

NoMDEntries

NumInGroup   (5)


Number of FIX Market Data Incremental Refresh Data Blocks in the Market Data Incremental Refresh message.

Repeating Group

→279

MDUpdateAction

Char (1)

0 = New

Indicates the type of Market Data update action.

→269

MDEntryType

Char (1)

3 = Index Value

6 = Settlement Price

Indicates the type of market data entry.

→83

RptSeq

Int (3)


Sequence number per Instrument update or index.

→55

Symbol

String (50)

BRR

BRTI

Index identifier.

→270

MDEntryPx

Price(20)


Price of the Market Data Entry

→451NetChgPrevDay

PriceOffset(20)


Net change from previous day's closing price.

Applies to BRR only.

→6119NetPctChangePercentage (20)

Index percentage change with respect to previous close

Applies to BRR only.

→7017PercentTradingNULL--Percent trading of the underlying index constituents.

1022

MDFeedType

NULL

--

Describes a class of service for a given data feed.

→286

OpenCloseSettlFlag

Int(3)

102 = Settlement Index value 

Flag that identifies a market data entry. Indicates whether price is daily open/close/settle from current trading session or from previous trading session.

→235

YieldType

String(50)


Reserved for future use.

→9633

ReferenceID

String(50)


Reserved for future use.

→9988

MDEntryCode

MultipleValueString (2)

 5 = Close

List of conditions describing an index value.

See Streamlined Market Data tag 9988-MDEntryCode Valid Values Description.

→272

MDEntryDate

UTC_DATE_ONLY  (8)

--

Date of the Market Data Entry. Value is the number of days since UNIX epoch.

→273

MDEntryTime

UTC_TIMEONLY (12)

--

Timestamp of Market Data Entry. Value is the number of milliseconds since GMT midnight.

Streamlined Market Data tag 9988-MDEntryCode Valid Values Description

ValueDescription

1=Indicative

Index computed using alternate prices of the underlying constituents to provide an indicative index level.

2=Pre-Market

Pre-market index data for certain key   headline indices will be generated typically one hour prior to the actual start of trading day.

The pre-market index data will contain: Index values flat-lined with previous   day's index close levels. Index Bid & Ask values computed using real-time   pre-market quotes of the underlying constituents. The pre-market index ticks   should be considered as an initialization phase for the index before the   start of the trading day. The pre-market index ticks serve the purpose of a   system health check prior to the actual open of the index. All market data   vendors are encouraged to distribute the pre-market index ticks with an   appropriate pre-market indicator. The index values produced during pre-market   do not contribute to the Daily Open, High and Low. Additionally, the Index   Bid and Ask values computed using pre-market quotes provides an early   indication of the index spread before the start of trading day.

3=Preliminary Close

The index tick computed using real-time prices just before the official index close is published.

4=Session Close

The index level computed using the mid-day close prices of the underlying constituents.

5=Close

The index close value computed using the official close prices of the underlying constituents.

Security Definition Request (tag 35-MsgType=c)

Tag
FIX Name
Format
Valid Values
Description

1180

ApplID

String (50)


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

320SecurityReqIDString (32)
Unique ID of a Security Definition Request.

321

SecurityRequestType

String (1)

8 = All Securities 

Type of Security Definition Request.

1301

MarketID

Exchange

CRYP = Crypto Facilities

Identifies the Market.

Security Definition (tag 35-MsgType=d)


Tag

Field Name

DataType

Valid Values

Comment

55

Symbol

String (50)

BRR

BRTI

Index identifier.

460

Product

Int (2)

7 = Index

Identifies the type of product
Always ‘7’

207

SecurityExchange

Exchange (4)

CRYP

Market used to help identify a security/Index
This is the ISO MIC code as defined in à http://www.iso15022.org/mic/homepagemic.htm

15

Currency

Currency (3)


Identifies currency used for price

864

NoEvents

NumInGroup (1)


Number of repeating EventType entries

865

EventType

Int (3)

5 = Activation
6 = Inactivation
120 = Modification

Code to represent the type of event

→1145

EventTime

UTC_TIMEONLY (8)


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

870

NoInstrAttrib

NumInGroup (2)


Number of repeating group InstrAttribType entries

→871

InstrAttribType

Int (3)


Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain.

See Tag 871-InstAttribType and Tag 872-InstAttribValue Table of Values.

→872

InstrAttribValue

String (500)


Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain. Attribute value appropriate to the tag 871-InstrAttribType field.

See Tag 871-InstAttribType and Tag 872-InstAttribValue Table of Values.

980

SecurityUpdateAction

Char (1)

M = Modify
D = Delete

Included in the message on the incremental feed when a mid-week modification/deletion occurs.  Not sent by default for new indices

1180

ApplID

String (50)


The channel ID as defined in the XML Configuration File

1022

MDFeedType

NULL

--

Describes a class of service for a given data feed.


Tag 871-InstAttribType and Tag 872-InstAttribValue Table of Values

Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain. The following Index attributes may be included in the Security Definition Message:

Tag 871-InstrAttribType Valid Values

Description/Tag 872 Valid Values

27 = Display Price Precision

Number of Decimals in Displayed Price

117 = Index Long Name

Name of the Index

118 = Index Key

Unique ID

119 = Fee Code

When the preceding tag 871=119 (Fee Code), the following value is valid for tag 872:

  • XW = All Fee Waived Indices

122 = Frequency

Publishing frequency

  • Index Price (e.g. BRTI) - seconds
  • Settlement Index Price (e.g. BRR) - days

123 = Start Publish Time

Time of calendar day that the message(s) will begin to be published. 
UTC Format: HHMMSSsss

UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

124 = End Publish Time

Time of calendar day that the message(s) will no longer be published.
UTC Format: HHMMSSsss

UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

Heartbeat (tag 35-MsgType=0)

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 (tag 35-MsgType=A)

The Market Data Logon message is sent by the client system to CME Globex to initiate logon.

Required fields:

553

Username

String


Userid or username.

554

Password

String


Password or passphrase.

Tag

FIX Name

Type

Valid Values

Description

Logon Acknowledgment from MDP to Client System (tag 35-MsgType=A)

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.

108

HeartBtInt

Int


Heartbeat interval (seconds).

Tag

FIX Name

Type

Valid Values

Description

Market Data Replay Request (tag 35-MsgType=V)

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:

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.

Tag

FIX Name

Type

Valid Values

Description

Logout (tag 35-MsgType=5)

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

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.

Tag

FIX Name

Type

Valid Values

Description

Message Layout per Pricing Data (tag 35-MsgType=x)

Tag

Field Name

Index Price (BRTI)

Settlement Index Price (BRR)

60

TransactTime

Y

Y

5799

MatchEventIndicator

Y

Y

→→279

MDUpdateAction

0

0

→→269

MDEntryType

3

6

→→83

RptSeq

Y

Y

→→55

Symbol

Y

Y

→→270

MDEntryPx

Y

Y

→→271

MDEntrySize

N/A

N/A

→→451

NetChgPrevDay

N

Y

→→6119

NetPctChange

N

Y

→→286

OpenCloseSettlFlag

N/A

102

→→272

MDEntryDate

Y

Y

→→273

MDEntryTime

Y

Y

→→9988

MDEntryCode

N/A

5

Y = Required, C = Conditional, N/A = Not Applicable 

Sample Messages

Settlement Index Price (BRR)

8=FIXT.1.1| 9=273 | 35=d | 55=BRR | 460=7 | 207=CRYP | 15=USD | 1022= | 1180=213 | 870=7

| 871=27 | 872=2

| 871=117 | 872=Crypto Facilities Limited Daily BRR Index

| 871=118 | 872=BRR

| 871=119 | 872=XW

| 871=122 | 872=1

| 871=123 | 872=160000000

| 871=124 | 872=160000000 | 864=1 | 865=5 | 1145=17554 | 34=5741 | 52=20180123-04:11:13.059246614 | 10=000 | 

BRR - Market Data Incremental Refresh (35=X)

35=X | 60=20180329-15:01:00.094000000| 268=1 | 55=BRR | 83=5 | 235= | 236= | 269=6 | 270=738991 | 271= | 272=17619 | 273=54000000 | 279=0 |
286=102 | 451=-10311 | 6119=-138 | 7017= | 9633= | 9988=5 | 1022= | 5799=136 | 52=20180329-15:01:00.094944715 | 50001=1 | 10=202 |

Index Price (BRTI)

8=FIXT.1.1 | 9=273 | 35=d | 55=BRTI | 460=7 | 207=CRYP | 15=USD | 1022= | 1180=213 | 870=7

| 871=27 | 872=2

| 871=117 | 872=Crypto Facilities Limited RT BRTI Index

| 871=118 | 872=BRTI

| 871=119 | 872=XW

| 871=122 | 872=1

| 871=123 | 872=000000001

| 871=124 | 872=235959999 | 864=1 | 865=5 | 1145=17554 | 34=5742 | 52=20180123-04:11:13.062036353 | 10=000 |

BRTI - Market Data Incremental Refresh (35=X)

35=X | 60=20180329-18:45:07.648000000 | 268=1 | 55=BRTI | 83=401069 | 235= | 236= | 269=3 | 270=743403 | 271= | 272=17619 | 273=67507000 | 279=0 |
286= | 451= | 6119= | 7017= | 9633= | 9988= | 1022= | 5799=136 | 34=401078 | 52=20180329-18:45:07.649485664 | 50001=1 | 10=202 |