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CLOB: MarketData
Supported Instruments
| SecurityType | LegSettlType | MDBookType | MDEntryType |
|---|---|---|---|
| SPT | SPT | PriceDepth | Bid Offer BestBid BestOffer Trade TradePaid TradeGiven |
| NDF | M1, M2, M3, EOMF, EOMG, EOMH, EOMJ, EOMK, EOMM, EOMN, EOMQ, EOMU, EOMV, EOMX, EOMZ | PriceDepth | Bid Offer BestBid BestOffer Trade TradePaid TradeGiven |
SecurityGroup
The SecurityGroup field is used to
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identify eFix
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, Precious Metals and EOM instruments. If the SecurityGroup is populated on SecurityStatus messages, it will be expected to be populated in all client MarketDataRequest messages.
eFix
The SecurityGroup field must be populated as per the format "BaseCCY/TermCCY <Benchmark Fixing details>"
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| Note | ||
|---|---|---|
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MarketData subscriptions for eFIX instruments are of limited value, since there is by definition no published book. However the SecurityStatus information does still provide the user with Important SecurityStatus information. |
| Note | ||
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For products which have an early trade date roll on Fridays for Monday eg, PHP, CME will not publish updated instrument definition until start of the new session on Sunday. In this case, the LegSettlDate and MaturityDate will be be NULL for these products for the intervening period from the trade date roll to Friday close. |
Precious Metals
Allowed symbol and security group combinations for Metals are as per the table below:
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