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CLOB: MarketData
Supported Instruments
| SecurityType | LegSettlType | MDBookType | MDEntryType | Comment |
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| FUT | YYYYMM, YYYYMMDD | PriceDepth | Bid Offer ImpliedBid ImpliedOffer | Futures and Calendar Spreads |
| FUT | SPT, YYYYMM | PriceDepth | Bid Offer ImpliedBid ImpliedOffer | FXLink |
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The SecurityGroup field is used for symbols where
If the SecurityGroup is populated on SecurityStatus messages, it will be expected to be populated back on all the client requests (Pricing and Orders session). The full list of products with securityGroup populated will be available on the SecurityStatus message on the Pricing Channel. |
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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TradeDate may or may not be published on the initial SecurityStatus messages, however it will be updated as it becomes available. |
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FX products including Single Leg Futures, Spreads, FXLink will use the symbol in CCY pair format eg EUR/USD rather than the CME Globex symbols. |
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Calendar Spreads (SP, EQ, FX, SD, EC) and FXLink are supported.
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PartyIDs
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