...
| Expand |
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| Table Filter |
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| totalrow | ,,,,,,,,,,,, |
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| hidelabels | false |
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| sparkName | Sparkline |
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| hidePane | true |
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| sparkline | false |
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| default | cme_mdp3_sbe_udp,ExecutionVenue&&OrdType(OrderSession)&&TimeInForce(OrderSession)&&OrdType (SessionType == Orders)&&Products&&TimeInForce (SessionType == Orders)&&client_role&&target_platform&&OrdType&&TimeInForce |
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| isFirstTimeEnter | false |
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| cell-width | 250,250 |
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| hideColumns | true |
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| disabled | false |
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| enabledInEditor | false |
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| globalFilter | false |
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| id | 16862449303021687961284347_-1089610121716083809 |
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| order | 0,1 |
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| hideControls | false |
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| inverse | false,false |
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| column | Venue |
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| disableSave | false |
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| separator | Point (.) |
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| labels | Venue‚Hide columns |
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| ddOperator | OR |
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| datepattern | dd M yy |
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| updateSelectOptions | false |
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| worklog | 365|5|8|y w d h m|y w d h m |
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| isOR | AND |
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| | Table Excerpt Include |
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| name | SupportedInstruments |
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| merge-tables | true |
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| page | Supported Instruments |
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| type | page |
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Please refer to Supported Instruments to view across all venues.
PartyIDs
| Expand |
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| Table Filter |
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| hideControls | true |
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| inverse | false |
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| sparkName | Sparkline |
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| hidePane | true |
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| isNew | false |
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| separator | Point (.) |
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| ddSeparators | true |
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| default | cme_mdp3_sbe_udp |
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| isFirstTimeEnter | false |
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| userfilter | Venue |
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| datepattern | dd M yy |
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| id | 1688037643971_-1944595209 |
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| worklog | 5|8|w d h m|w d h m |
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| isOR | AND |
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| order | 0 |
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| | Table Excerpt Include |
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| copytable | true |
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| name | PartyIDs |
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| page | PartyIDs |
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| type | page |
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|
Please refer to
...
PartyIDs to view across all venues.
Regulatory Fields
| Expand |
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| Table Filter |
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| hideControls | true |
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| inverse | false |
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| sparkName | Sparkline |
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| hidePane | true |
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| isNew | false |
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| separator | Point (.) |
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| ddSeparators | true |
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| default | cme_mdp3_sbe_udp |
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| isFirstTimeEnter | false |
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| userfilter | Venue |
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| datepattern | dd M yy |
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| id | 1688037643973_393736941 |
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| worklog | 5|8|w d h m|w d h m |
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| isOR | AND |
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| order | 0 |
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| | Table Excerpt Include |
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| copytable | true |
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| name | RegulatoryFields |
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| page | Regulatory Fields |
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| type | page |
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Please refer to Regulatory Fields to view across all venues.
Passthru Fields
| Expand |
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| Table Filter |
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| hideControls | true |
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| inverse | false |
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| sparkName | Sparkline |
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| hidePane | true |
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| isNew | false |
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| separator | Point (.) |
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| ddSeparators | true |
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| default | cme_mdp3_sbe_udp |
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| isFirstTimeEnter | false |
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| userfilter | Venue |
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| datepattern | dd M yy |
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| id | 1688037643975_-1065866384 |
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| worklog | 5|8|w d h m|w d h m |
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| isOR | AND |
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| order | 0 |
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| | Table Excerpt Include |
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| copytable | true |
|---|
| name | PassthruFields |
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| page | Passthru Fields |
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| type | page |
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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 |
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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 |
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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. |
...
| Info |
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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. 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 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 |
|---|
|
TradeDate may or may not be published on the initial SecurityStatus messages, however it will be updated as it becomes available. |
FX Products
| Note |
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| 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. |
Spread Representation
| Info |
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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, FX, SD, EC) and FXLink 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 | Sell | Near | Far | Buying a Standard Calendar Spread buys leg1, sells leg2 | Selling a Standard Calendar Spread sells leg1, buys leg2 | User Defined Spreads are not supported. | EC TAS Calendar Spread [EX] | Buy | Sell | Near | Far | Buying an EC Calendar Spread buys leg1, sells leg2 | Selling an EC Calendar Spread sells leg1, buys leg2 | | Deferred Calendar Spread [FX] | Buy | Sell | Far | Near | Buying a Deferred Calendar Spread buys leg1, sells leg2 | Selling a Deferred Calendar Spread sells leg1, buys leg2 |
| SD Calendar [SD] | Buy | Sell | Far | Near | Buying this Calendar buys leg1, sells leg2 | Selling this Calendar sells leg1, buys leg2 |
|
Note: EQ Calendar Spread [EQ] is not currently supported. |
PartyIDs
...
| Table Filter |
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| hideControls | true |
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| inverse | false |
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| sparkName | Sparkline |
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| hidePane | true |
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| isNew | false |
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| separator | Point (.) |
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| ddSeparators | true |
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| default | cme_mdp3_sbe_udp |
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| isFirstTimeEnter | false |
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| userfilter | Venue |
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| datepattern | dd M yy |
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| id | 1652096289926_-383091678 |
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| worklog | 5|8|w d h m|w d h m |
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| isOR | AND |
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| order | 0 |
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| Table Excerpt Include |
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| copytable | true |
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| name | PartyIDs |
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| page | PartyIDs |
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| type | page |
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|
Please refer to Whisperer Enterprise - PartyIDs for the full Enterprise table across all venues.
Regulatory Fields
...
| Table Filter |
|---|
| hideControls | true |
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| inverse | false |
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| sparkName | Sparkline |
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| hidePane | true |
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| isNew | false |
|---|
| separator | Point (.) |
|---|
| ddSeparators | true |
|---|
| default | cme_mdp3_sbe_udp |
|---|
| isFirstTimeEnter | false |
|---|
| userfilter | Venue |
|---|
| datepattern | dd M yy |
|---|
| id | 1652096308581_-1391025755 |
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| worklog | 5|8|w d h m|w d h m |
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| isOR | AND |
|---|
| order | 0 |
|---|
|
| Table Excerpt Include |
|---|
| copytable | true |
|---|
| name | RegulatoryFields |
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| page | Regulatory Fields |
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| type | page |
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|
Please refer to or Regulatory Fields for the full Enterprise table across all venues.
Passthru Fields
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 |
|---|
|
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: HighLimitPriceLowLimitPrice
More information on this is available at: |
| Info |
|---|
|
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: TradingReferencePriceMaxPriceVariation
More information on this is available at: |
...
| 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 |
|---|
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...