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rootPagePortfolio Manager API

This page describes supported Portfolio Manager API message types:

Table of Contents
 

Trade Capture Report and Notifications

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The PM API supports the following information in Trade Capture Report messages:

  • Cleared Trade Notifications and Trade Cancellations
  •  Allocations
    1. Allocation Notifications (single trade allocations are treated as group allocations, where the group has just one trade)
    2. Allocation Release/ Reversal Notifications
  • Spread and Leg level messages
  • Change of Firm. When the Trading Firm is changed on the transaction, the PM API sends a Cancel Notification to the previous Trading Firm and a New Trade Notification is sent to the new Trading Firm.
  • MOS Allocations - the Mutual Offset System allows foreign exchanges to allocate to a CME Firm and vice versa 

Subscriptions and Queries

Retrieve data using subscriptions and queries.  Queries return trade messages only up to the date and time that the query request was received by the API.  Subscriptions continue to send trade messages to the user as long as this information becomes available; there is no end date time.

Continuing a Subscription or Query

The PM API sends a token to a user for as long as information is available for the subscription or query. The subscription or query response continues as long as the user returns the token to the API.

If the PM API receives a subscription or query response without the token, it returns a complete set of unfiltered trade messages.

API InputAPI Output

Subscription/Query Request for all Data

Successful Subscription Response for all data

Subscription Error Response – Inappropriate Permission

Subscription/Query Request with Filters

Successful Subscription Response with Filtered Messages

Subscription Error Response – Inappropriate Permission

Subscription/Query Continuation with TokenSubscription Response with Token

Subscription and Query Parameters

Use ONLY the following parameters to filter the query and/ or subscription results.

  • Party Role (R) <<Broker, Asset Manager, Trading Firm>>
  • Trade Date (TrdDt)
  • Venue (InptSrc)
  • Product (Instrmt.ID)
  • Product Type <<SecTyp eg. FUT, OPT, MLEG>>
  • Exchange (Exch)
  • Firm's Internal System Trade ID (FirmTradeId)
  • Clearing Side ID (ClearingSideId)
  • Customer Order ID (CustomerOrderId)
  • Cycle.Date
  • SpreadType - indicates whether the physical representation of a message is an outright, a leg of a spread, or a multi-legged spread message (SpreadType)