Page History
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Scheduled CME UAT maintenance window - every Wednesday 5am5 am-12noon 12 noon CST. Please refrain from testing during this time as the environment may be unstable. unavailable, or exhibit erroneous behaviour, such as:
These issues are isolated to the New Release environment and will not occur in Production. |
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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PriceDepth
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Bid
Offer
BestBid
BestOffer
Trade
TradePaid
TradeGiven
SecurityGroup
The SecurityGroup field is used to discriminate eFix and Precious Metals instruments.
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. |
Precious Metals
Allowed symbol and security group combinations for Metals are as per the table below:
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Please refer to Whisperer Enterprise - Supported Instruments for the full Enterprise table across all venues.
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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.
Details
Configuration
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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:
| Metal | Symbol | SecurityGroup | Comment |
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| Silver | XAG/USD | Unpopulated | Standard |
| Small Silver | XAG/USD | XAG/USD SM | Used to be traded as SAG/USD prior to EBS migration. |
| Gold (EUR) | XAU/EUR | Unpopulated | Does not exist! |
| Small Gold (EUR) | XAU/EUR | XAU/EUR SM | Used to be traded as SAU/EUR prior to EBS migration. |
| Gold | XAU/USD | Unpopulated | Does not exist! |
| Small Gold | XAU/USD | XAU/USD SM | Used to be traded as SAU/USD prior to EBS migration. |
| Palladium (Zurich) | XPD/USD | Unpopulated | Settles via loco Zurich. |
| Palladium (London) | XPD/USD | XPD/USD LN | Settles via loco London. Used to be traded as LPD/USD prior to EBS migration. |
| Platinum (Zurich) | XPT/USD | Unpopulated | Settles 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. |
Conditional Price Increment
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Whisperer clients will receive the below fields as
Supported instruments, minimum tick, and minimum quote life as per the Conditional Price Increment CME confluence page. With this launch, the price dissemination precision for the eligible EBS products will be increased from 5dp to 6dp. |
Test Instruments
Please note that clients should ignore test instruments that contain # or $.
Eg: BRS36# EOM MAY 22 S
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