• CME Reference Data API Notices: October 22, 2020

      • To
      • Reference Data API Customers
      • From
      • Global Market Solutions & Services
      • #
      • 20201022
      • Notice Date
      • 22 October 2020

    • Topics in this issue include:

      New - CME Reference Data API Enhancements for Adjusted Interest Rate Products

      Effective Sunday, November 22 (trade date Monday, November 23), to better support Adjusted Interest Rate products the following changes will be made to Reference Data APIv1 and Reference Data APIv2.  Additional information can also be found in CME Clearing Advisory Notice #20-314.

      Accrued Funding Attributes

      The Accrued and Daily Funding values for the business date, currently available in a CSV-format datafile at ftp.cmegroup.com/pub/settle/air, will be supported in the CME Reference Data API. These new fields on the Instrument service will define the preliminary and final Funding information.

      Product or Instrument Attribute Name Description Type
      Instrument airAccruedFunding  The accrued funding value for this contract for the specified business date, to seven decimal places. Number
      Instrument airDailyFunding   Today’s contribution to that aggregate Accrued Funding value, likewise to seven decimal places. Number
      Instrument airBusinessDate  The business date to which these values pertain. Date
      Instrument airFundingStatus

      An indicator that specifies whether these are the final or preliminary values for the specified business date.

      Valid Values:

      • Prelim
      • Final
      		 VARCHAR2

      The values will cycle throughout the business day:

      • When the final funding values for the day are set, CME Reference Data API will reflect the values with airBusinessDate=current date and airFundingStatus=Final
      • When the final funding values for the day are not yet know, CME Reference Data API will reflect the preliminary values with airBusinessDate=trade date and airFundingStatus=Prelim

      This change will be available for customer testing in New Release on Monday, November 16.

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      CME Reference Data API Version 1 Decommission

      Effective December 31, CME Reference Data API version 1 will be decommissioned.  CME Group recommends customers should migrate to CME Reference Data API version 2 as soon as possible. CME Reference Data API version 2 will require customer authorization using a CME Group Login and a registered OAuth 2.0 API ID to access the service. Customers that require access to BrokerTec content must also complete API ID entitlement registration.

      The Client Impact Assessment is available and provides detailed functionality and message specifications.

      The Reference Data API version 2 service is currently available for customer testing in New Release and has been available in production since June 7, 2020.

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