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Table of Contents

Warning
titleUAT Maintenance Window

Scheduled CME UAT maintenance window - every Wednesday 5 am-12 noon CST. Please refrain from testing during this time as the environment may be unavailable, or exhibit erroneous behaviour, such as:

  • Duplicate entries in a Price Depth book.
  • Receive SnaphotFullRefresh messages without a TradeDate and MDSecurityTradingStatus.
  • Incorrect SecurityStatus messages.

These issues are isolated to the New Release environment and will not occur in Production.

Workflow

CLOB: MarketData

Supported Instruments

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Table Excerpt Include
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pageSupported Instruments
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Please refer to Whisperer Enterprise - Supported Instruments for the full Enterprise table across all venues.

PartyIDs

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Table Excerpt Include
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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.

Details

Configuration

Tip
titleMarket Data Groups

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:

  • Conflation Interval
  • Book Depth (see also PassthruFields, below)
  • Credit Screened, or not
  • Etc

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>"

Note
titleValidation
Not all combinations of Benchmark/fixing time might be available for all instruments. This will be validated at runtime. 


Note
titleNo Book
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
titleLegSettlDate/LegMaturityDate

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:

MetalSymbolSecurityGroupComment
SilverXAG/USDUnpopulatedStandard
Small SilverXAG/USDXAG/USD SMUsed to be traded as SAG/USD prior to EBS migration.
Gold (EUR)XAU/EURUnpopulatedDoes not exist!
Small Gold (EUR)XAU/EURXAU/EUR SMUsed to be traded as SAU/EUR prior to EBS migration.
GoldXAU/USDUnpopulatedDoes not exist!
Small GoldXAU/USDXAU/USD SMUsed to be traded as SAU/USD prior to EBS migration.
Palladium (Zurich)XPD/USDUnpopulatedSettles via loco Zurich.
Palladium (London)XPD/USDXPD/USD LNSettles via loco London. Used to be traded as LPD/USD prior to EBS migration.
Platinum (Zurich)XPT/USDUnpopulatedSettles via loco Zurich.
Platinum (London)XPT/USD

XPT/USD LN

Settles via loco London.  Used to be traded as LPT/USD prior to EBS migration.


Test Instruments

Please note that clients should ignore test instruments that contain # or $. 

  • Eg: BRS36# EOM MAY 22 S