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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
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MDBookType
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MDEntryType
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PriceDepth
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Bid
Offer
BestBid
BestOffer
Trade
TradePaid
TradeGiven
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M1, M2, M3,
EOM0, EOM1
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PriceDepth
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Bid
Offer
BestBid
BestOffer
Trade
TradePaid
TradeGiven
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The client needs to provide clear requirements as to which of the various Market Data Groups they wish to subscribe against. The table EBS on CME Globex Market Data Services Overview should be referenced and provides details such as:
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SecurityGroup
The SecurityGroup field is used to identify eFix and Precious Metals 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>"
- Eg:
EUR/USD BFIX 1030 LN - Available benchmark fixing details:
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| Not all combinations of Benchmark/fixing time might be available for all instruments. This will be validated at runtime. |
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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. |
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For products which have an early trade date roll which moves the trade date to the following week, 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
If you wish to trade Precious Metals, you must ensure that you specify the correct Symbol and SecurityGroup combination for the instrument.
The allowed symbol and security group combinations for Metals are as per the table below:
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XPT/USD LN
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Test Instruments
Please note that clients should ignore test instruments that contain # or $.
Eg: BRS36# EOM MAY 22 S
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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