• Update - CME Reference Data API Enhancements

      • To
      • Reference Data API Customers
      • From
      • Global Market Solutions and Services
      • #
      • 20191031
      • Notice Date
      • 31 October 2019

    • Effective Sunday, November 17 (trade date Monday, November 18), in response to customer requests the following CME Reference Data API Updates will be implemented:

      These enhancements include the following new attributes as well as TAS, TAM and BTIC relationship enrichments.

      Product or Instrument Attribute Name Description Type
      Product isSyntheticProduct Boolean flag to identify Synthetic products ("Y", "N"). String
      Instrument tccAlias TCC alias String
      Instrument itcAlias ITC alias String
      Instrument gbxAlias CME Globex alias String
      Instrument clrAlias Clearing alias String
      Instrument pxUomCcy Price unit of measure currency String
      Instrument uomCcy Unit of measure currency String
      Instrument lastIntDate Last intent date Date
      Instrument fnlInvDate Final inventory date Date
      Instrument firstPositionDate First position date Date
      Instrument isTasProduct Boolean flag to identify whether the overlying product is a TAS product ("Y", "N"). String
      Instrument isBticProduct Boolean flag to identify whether the overlying product is a BTIC product ("Y", "N"). String
      Instrument isTamProduct Boolean flag identify whether the overlying product is a TAM product ("Y", "N"). String
      Instrument isSyntheticInstrument Boolean flag to identify Synthetic instruments ("Y", "N"). String

      TAS, TAM and BTIC Relationship Enrichment

      A "type" attribute will be added to the relationship record for underlyingInstruments and overlyingInstruments to indicate whether the underlying is a "TAS," "TAM," or "BTIC". Type will be "null" if the underlying is none of these.

      Example of relationships for TAS product:

      {
        "_embedded" : {
          "relationships" : [ {
            "marketSide" : null,
            "legNumber" : null,
            "ratio" : null,
            "type" : "TAS",
            "_links" : {
              "underlyingInstrument" : {
                "href" : "_/v1/instruments/UNEE4CUUUUUU"
              },
              "overlyingInstrument" : {
                "href" : "_/v1/instruments/A5JMRD555555"
              }
            }
          } ]
        },
        "_links" : {
          "self" : {
            "href" : "_/v1/instruments/A5JMRD555555/underlyings?page=0&size=20"
          }
        },
        "_metadata" : {
          "size" : 20,
          "totalElements" : 1,
          "totalPages" : 1,
          "number" : 0,
          "type" : "page"
        }
      }

      These enhancements are currently available for testing in New Release.

      Additional Enhancements

      † Denotes update to the article

      • †The following options unique attributes will be available at the product level:
      Attribute Description Type
      itmOtm

      Describes status of in-the-money / out-of-the-money. 

      Values:

      • CALL-ITM
      • PUT-ITM
      • PUT/CALL-ITM
      • OTM
      		 String
      contraryInstructionsAllowed

      Boolean flag to identify whether Contrary Instructions are allowed ("Y", "N").

      		 String
      settleUsingFixingPx

      Boolean flag to identify whether settled using fixed price ("Y", "N").

      		 String
      settlementType

      Type of settlement:

      • FUT
      • CASH
      		 String
      optStyle

      Style of option: Future or Equity

      • FUTOP
      • EQTY
      		 String
      tradingCutOffTime Cut off time for trading.

      String

      Samples:

      •  "05:00:00 - QUARTERLY /16:00:00 - NON-QUARTERLY , 05:00:00"
      • "13:20:00"
      • † A new attribute will be added to indicate TACO products:
      Attribute Description Type
      isTacoProduct Boolean flag to identify TACO products ("Y", "N"). String
      • † modifiedBefore and modifiedAfter will function as described in the specifications.

      These additional enhancements will be available for testing in New Release on Thursday, November 7.

       

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