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Table of Contents
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Scheduled CME UAT maintenance window - every Wednesday 5am-12noon CST. Please refrain from testing during this time as environment may be unstable. |
Workflow
CLOB: MarketData
Supported Instruments
| SecurityType | LegSettlType | MDBookType | MDEntryType |
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| FUT | YYYYMM, YYYYMMDD | PriceDepth | Bid Offer ImpliedBid ImpliedOffer |
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| The SecurityGroup field is used for symbols with broken dates, weekly expires etc.. If the SecurityGroup is populated on SecurityStatus messages, it will be expected to be populated back on all the client requests. |
| Info | ||
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If Implied Liquidity is available for the subscribed instrument, then it will be delivered as as separate MDEntries to regular Bids and Offers. The book update message for a Market by Price (MBP) multiple-depth book reports modifications to prices, quantities, and order count; the data block for an implied prices book reports modifications to prices and quantities only. The MBP multiple-depth book should be used in conjunction with the implied prices book to create an accurate book for all contracts with implied functionality. To create a consolidated book, the multiple-depth book and the implied book must be built and managed separately, then consolidated to reflect the current state of the market. Implied Liquidity may or may notbe available during the day, depending on market activities. If no Implied updades are delivered, it implies that no Implied Book is currently available for the security. |
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TradeDate may or may not be published on the initial SecurityStatus messages, however it will be updated as it becomes available. |
PartyIDs
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Please refer to Whisperer Enterprise - PartyIDs for the full Enterprise table across all venues.
Regulatory Fields
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Please refer to or Regulatory Fields for the full Enterprise table across all venues.
Passthru Fields
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Please refer to Passthru Fields for the full Enterprise table across all venues.
Overview
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