FXO: Expiration Time Changes Security Definition File

1 Aug 2018
By CME Group
Topics: FX

How to read the expiration time within the Security Definition file:

→865	EventType	Int	Y	5=Activation 7=Last eligible trade date	Code to represent the type of event.
→1145	EventTime	UTCTimestamp	Y		Date and Time of event expressed in UTC DateTime. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

The two tags that matter are 865 and 1145. When 865=7, then 1145=expiration date and time. Below is an example of tags provided for a particular instrument:

ADUM8 C0635 strike has Last Trade Date = 20180608 and 1900 UTC time which is 2 pm CST. This 1900 will be 1400 for instruments with expiration beyond the target date.

35=d 5799=00000000 980=A 779=20180527160850000421 1180=315 1300=88 462=4 207=XCME 1151=XA 6937=ADU 55=ADUM8 C0635 48=390776 22=8 167=OOF 461=OCEFPS 201=1 200=201806 15=USD 202=6350.0000000 947=USD 9850=0.5000000 1142=F 562=1 1140=9999 1146=0.0000000 9787=0.0001000 6350=2 996=AUD 1147=100000.0000000 1150=1224.0000000 731=00000011 5796=20180530 1148=0.5000000 1149=9999900.0000000 9779=N 864=2 865=5 1145=20170609220000000000 865=7 1145=20180608190000000000 1141=2 1022=GBX 264=3 1022=GBI 264=1 870=1 871=24 872=00000000000011000010000000000111 1234=0 711=1 309=174106 305=8 311=6AM8 1647=1 1650=646551651=8 1649=VXAM8 C0635

About CME Group

As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. Comprised of four exchanges - CME, CBOT, NYMEX and COMEX - we offer the widest range of global benchmark products across all major asset classes, helping businesses everywhere mitigate the myriad of risks they face in today's uncertain global economy.

CME Group on Twitter

CME Group on Facebook

CME Group on LinkedIn

Send Us Feedback

Who We Are

CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.