Page History

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CLOB: MarketData

Supported Instruments

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MDBookType

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MDEntryType

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YYYYMM,

YYYYMMDD

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PriceDepth

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Bid

Offer

ImpliedBid

ImpliedOffer

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Bid

Offer

ImpliedBid

ImpliedOffer

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Table Filter

totalrow	,,,,,,,,,,,,
hidelabels	false
sparkName	Sparkline
hidePane	true
sparkline	false
default	cme_mdp3_sbe_udp,ExecutionVenue&&OrdType(OrderSession)&&TimeInForce(OrderSession)&&OrdType (SessionType == Orders)&&Products&&TimeInForce (SessionType == Orders)&&client_role&&target_platform&&OrdType&&TimeInForce
isFirstTimeEnter	false
cell-width	250,250
hideColumns	true
disabled	false
enabledInEditor	false
globalFilter	false
id	1687961284347_1716083809
order	0,1
hideControls	false
inverse	false,false
column	Venue
disableSave	false
separator	Point (.)
labels	Venue‚Hide columns
ddOperator	OR
datepattern	dd M yy
updateSelectOptions	false
worklog	365\|5\|8\|y w d h m\|y w d h m
isOR	AND

Table Excerpt Include

name	SupportedInstruments
merge-tables	true
page	Supported Instruments
type	page

Please refer to Supported Instruments to view across all venues.

PartyIDs

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Table Filter

hideControls	true
inverse	false
sparkName	Sparkline
hidePane	true
isNew	false
separator	Point (.)
ddSeparators	true
default	cme_mdp3_sbe_udp
isFirstTimeEnter	false
userfilter	Venue
datepattern	dd M yy
id	1688037643971_-1944595209
worklog	5\|8\|w d h m\|w d h m
isOR	AND
order	0

Table Excerpt Include

copytable	true
name	PartyIDs
page	PartyIDs
type	page

Please refer to PartyIDs to view across all venues.

Regulatory Fields

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Table Filter

hideControls	true
inverse	false
sparkName	Sparkline
hidePane	true
isNew	false
separator	Point (.)
ddSeparators	true
default	cme_mdp3_sbe_udp
isFirstTimeEnter	false
userfilter	Venue
datepattern	dd M yy
id	1688037643973_393736941
worklog	5\|8\|w d h m\|w d h m
isOR	AND
order	0

Table Excerpt Include

copytable	true
name	RegulatoryFields
page	Regulatory Fields
type	page

Please refer to Regulatory Fields to view across all venues.

Passthru Fields

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Table Filter

hideControls	true
inverse	false
sparkName	Sparkline
hidePane	true
isNew	false
separator	Point (.)
ddSeparators	true
default	cme_mdp3_sbe_udp
isFirstTimeEnter	false
userfilter	Venue
datepattern	dd M yy
id	1688037643975_-1065866384
worklog	5\|8\|w d h m\|w d h m
isOR	AND
order	0

Table Excerpt Include

copytable	true
name	PassthruFields
page	Passthru Fields
type	page

Please refer to Passthru Fields to view across all venues.

Details

Future Expiry Codes

Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
F	G	H	J	K	M	N	Q	U	V	X	Z

FX Instrument Nomenclature

Note

title	Nomenclature

Clients can chose the CCY pair format eg EUR/USD or the CME Globex Symbols eg, 6E for FX products including Single Leg Futures, Spreads, FXLink. Please contact MarketFactory Support to set up the preference on the sessions.

SecurityGroup

Note

title	Usage

Note

title	SecurityGroup

The SecurityGroup field is used for symbols where

globex symbols are of format <Asset><M><YY> => Product code + 1 digit month + 2 digit year.
FX Mini or FX Micro instruments will have the SecurityGroup populated with "MINI" or "MICRO"

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.

ImpliedLiquidity

Info

title	Implied LiquidityExplicit MDEntries

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.

On subscription to new symbol supporting the implied liquidity, there will be only one snapshot. The implied Bids and implied offers just come in as individual MDEntries.

When clients recieve MarketDataIncrementals with EmptyBook, It applies to both the implied and regular bids and offers.

Implied Liquidity may or may notbe not be 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.

More information on CME Implied liquidity available at:

TradeDate

Info

title	TradeDateDeferred Delivery

TradeDate may or may not be published on the initial SecurityStatus messages, however it will be updated as it becomes available.

Spread Representation

Noteinfo

title	FX Products

Clients can chose the CCY pair format eg EUR/USD or the CME Globex Symbols eg, 6E for FX products including Single Leg Futures, Spreads, FXLink. Please contact MarketFactory Support to set up the preference on the sessions.

CME Convention

Whilst vanilla FX legs are ordered by value date, our supported CME spread legs typically represent trade side. Whisperer honours the CME convention, with Calendar Spreads (SP

Info

title	Spreads

Calendar Spreads (SP, EQ, FX, SD, EC) and FXLink are supported. supported as per the table below:

Types of spread as classified by CME	Leg1 Side	Leg2 Side	Leg1 Expiry	Leg2 Expiry	Buy Spread	Sell Spread	Comment
SP Standard [SP]	Buy leg	Sell Leg	Near	Far	Buying a Standard a Standard Calendar Spread buys Spread buys leg1, sells leg2	Selling a Standard a Standard Calendar Spread sells Spread sells leg1, buys leg2	User Defined Spreads are not supported.
EQ EC TAS Calendar Spread [EQEX]	Buy	Sell Leg	Near	Buy LegFar	Buying this an EC Calendar Spread sells buys leg1, buys sells leg2	Selling this an EC Calendar Spread buys sells leg1, sells buys leg2	Not supported currently.
Deferred Calendar Spread [FX]	Buy leg	Sell Leg	Far	Near	Buying a Deferred Calendar Spread buys leg1, sells leg2	Selling a Deferred Calendar Spread sells leg1, buys leg2
SD Calendar [SD]	Buy leg	Sell Leg	Far	Near	Buying this Calendar buys leg1, sells leg2	Selling this Calendar sells leg1, buys leg2EC TAS

Note: EQ Calendar Spread [

EX]

Buy leg

Sell Leg

Buying an EC Calendar Spread buys leg1, sells leg2

Selling an EC Calendar Spread sells leg1, buys leg2

PartyIDs

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Table Filter

hideControls	true
inverse	false
sparkName	Sparkline
hidePane	true
isNew	false
separator	Point (.)
ddSeparators	true
default	cme_mdp3_sbe_udp
isFirstTimeEnter	false
userfilter	Venue
datepattern	dd M yy
id	1652096289926_-383091678
worklog	5\|8\|w d h m\|w d h m
isOR	AND
order	0

Table Excerpt Include

copytable	true
name	PartyIDs
page	PartyIDs
type	page

Please refer to Whisperer Enterprise - PartyIDs for the full Enterprise table across all venues.

Regulatory Fields

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Table Filter

hideControls	true
inverse	false
sparkName	Sparkline
hidePane	true
isNew	false
separator	Point (.)
ddSeparators	true
default	cme_mdp3_sbe_udp
isFirstTimeEnter	false
userfilter	Venue
datepattern	dd M yy
id	1652096308581_-1391025755
worklog	5\|8\|w d h m\|w d h m
isOR	AND
order	0

Table Excerpt Include

copytable	true
name	RegulatoryFields
page	Regulatory Fields
type	page

Please refer to or Regulatory Fields for the full Enterprise table across all venues.

Passthru Fields

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Table Filter

hideControls	true
inverse	false
sparkName	Sparkline
hidePane	true
isNew	false
separator	Point (.)
ddSeparators	true
default	cme_mdp3_sbe_udp
isFirstTimeEnter	false
userfilter	Venue
datepattern	dd M yy
id	1652096323041_1312864364
worklog	5\|8\|w d h m\|w d h m
isOR	AND
order	0

Table Excerpt Include

copytable	true
name	PassthruFields
page	Passthru Fields
type	page

...

EQ] is not currently supported.

Price Limits and Price Banding

CME rules for price limits and banding are outlined below.

It is important to note that traders can place trades outside the daily price limits. These trades will be executed when price limits and price bands move within the specified range. So, traders still have the ability to place good-till-canceled or good-till-date orders inside and outside daily price limits.

Info

title	Price Limits

Price limits are the maximum price range permitted for a futures contract in each trading session. These price limits are measured in ticks and vary from product to product:

When markets hit the price limit, different actions occur depending on the product being traded. Some markets may temporarily halt until price limits can be expanded or trading may be stopped for the day based on regulatory rules.
Different futures contracts will have different price limit rules; e.g. Equity Index futures have different rules than Agricultural futures.
When price reaches any of those levels the market will go "limit up" or "limit down".

When populated by the CME, these values are available as the following BodyPassthruFields in SecurityStatus messages:

HighLimitPrice
LowLimitPrice

More information on this is available at:

Info

title	Price Banding

Price banding is a similar mechanism which subjects all orders to price validation and rejects orders outside the given band to maintain orderly markets:

Bands are calculated dynamically for each product based on the last price (TradingReferencePrice), plus or minus a fixed band value (MaxPriceVariation).
Thus, if markets quickly move in one direction, the price bands dynamically adjust to accommodate new trading ranges.

When populated by the CME, these values are available as the following BodyPassthruFields in SecurityStatus messages:

TradingReferencePrice
MaxPriceVariation

More information on this is available at:

Versions Compared

Old Version 5

New Version Current

Key

Supported Instruments

PartyIDs

Regulatory Fields

Passthru Fields

Details

Future Expiry Codes

FX Instrument Nomenclature

SecurityGroup

ImpliedLiquidity

TradeDate

Spread Representation

PartyIDs

Regulatory Fields

Passthru Fields

Price Limits and Price Banding