Indicates which side is aggressor of the trade. If there is no value present, then there is no aggressor. Note: Trades without aggressors occur at Market Open, after a Pre-Open or after a Pause. Trades without aggressors occur when the triggering order is a CME Globex-generated implied bid/offer.

Sequence number of first requested packet.

Sequence number of last requested packet.

The channel ID as defined in the XML Configuration file.

String field that indicates the underlying asset code (Product Code). Example: GE (Eurodollars), ES (E-Minis). Product Code was previously communicated in tag 1151-SecurityGroup.

ISO standard instrument categorization code.

The total cleared volume of instrument traded during the prior trading session.

Number of deliverable units per instrument, e.g., peak days in maturity month or number of calendar days in maturity month. The FIX Security Definition (tag 35-MsgType=d) message for the variable quantity spread will be populated with the value '0' for tag 231-ContractMultiplier. The FIX Security Definition (tag 35-MsgType=d) message is populated with values for the outright legs for tag 231-ContractMultiplier and customers must extract this value.

Indicates the type of multiplier being applied to the product. Optionally used in combination with tag 231-ContractMultiplier.

Identifies currency used for price. Absence of this field is interpreted as the default for the security. It is recommended that systems provide the currency value whenever possible.

Tag=37710. CurrentChunk.

Indicates the quantity that a contract will decay daily by once the decay start date is reached.

Indicates the date at which a decay contract will begin to decay.

Contains the multiplier to convert the CME Globex display price to the conventional price.

Date and Time of event expressed in UTC DateTime.

Indicates the time interval taken to process an event in number of microseconds.

Code to represent the type of event.

The schedule according to which the electricity is delivered in a physical contract, or priced in a financial contract. Specifies whether the contract is defined according to the Easter Peak, Eastern Off-Peak, Western Peak or Western Off-Peak.

Identifies the reason for the status change. State change may be invoked due to: - surveillance intervention - market event (Stop-Spike, Velocity Logic/ Request for Cross) - predetermined group status schedule - instrument activation/ expiration schedule

Tag=108. Heartbeat interval (seconds).

Allowable high limit price for the trading day. A key parameter in validating order price. Used as the upper band for validating order prices. Orders submitted with prices above the upper limit will be rejected. This price protects off prices for quoting.

Tag=332. Represents an indication of the high end of the price range for a security prior to the open or reopen.

Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain.

Bitmap field of 32 Boolean type indicators: 0 (least significant bit): Electronic Match Eligible 1: Order Cross Eligible 2: Block Trade Eligible 3: EFP Eligible 4: EBF Eligible 5: EFS Eligible 6: EFR Eligible 7: OTC Eligible 8: iLink Indicative Mass Quoting Eligible 9: Negative Strike Eligible 10: Negative Price Outright Eligible 11: Is Fractional (indicates product has fractional display price) 12: Volatility Quoted Option 13: RFQ Cross Eligible 14: Zero Price Outright Eligible 15: Decaying Product Eligibility 16: Variable Product Eligibility 17: Daily Product Eligibility 18: GT Orders Eligibility (Previously Tag 827) 19: Implied Matching Eligibility (Previously tag 1144) 20-31 –Reserved for future use

Tag=369. The last MsgSeqNum (34) value received by the FIX engine and processed by downstream application, such as trading engine or order routing system. Can be specified on every message sent. Useful for detecting a backlog with a counterparty.

Tag=32. Quantity bought or sold on this last fill.

Timestamp of when the instrument was last added, modified or deleted.

Delta used to calculate the quantity of futures used to cover the option or option strategy.

Price for a futures leg of a covered. See tag 44-Price for description.

The ratio of quantity for this individual leg relative to the entire multi-leg instrument.

Unique instrument ID for the leg.

Identifies source of tag 602-LegSecurityID value. This value is always '8' for CME.

The side of the leg for this repeating group.

The quantity type used for the leg of the spread. This tag is required to interpret the value in tag 1231-MinLotSize.

Allowable low limit price for the trading day. A key parameter in validating order price. Used as the lower band for validating order prices. Orders submitted with prices below the lower limit will be rejected. This price protects off prices for quoting.

Tag=333. Represents an indication of the low end of the price range for a security prior to the open or reopen.

Price Denominator of Main Fraction.

Tag=264. Depth of market for Book Snapshot / Incremental updates 0 - full book depth 1 - top of book 2 and above - book depth (number of levels).

Identifies the market segment. Populated for all CME Globex instruments.

Matching Algorithm - CME assigned values.

Bitmap field of eight Boolean type indicators reflecting the end of updates for a given Globex Event: Bit 0: (least significant bit) Last trade message for a given event Bit 1: Last electronic volume message for a given event Bit 2: Last real quote message for a given event Bit 3: Last statistic message for a given event Bit 4: Last implied quote message for a given event Bit 5: Reserved for future use Bit 6: Reserved for future use Bit 7: (most significant bit) Last message for a given event

This field provides the actual calendar date for contract maturity - month and year (used for standardized futures and options). Format YYYYMM (i.e. 200912) For futures strategies and options spreads, this field contains the first leg maturity. For packs and bundles, this value represents the rollover date. For daily products, this field contains the daily maturity (YYYYMMDD).

Differential value for price banding.

The maximum trading volume for a security.

Tag=37706. MDDisplayQty.

Tag=270. Price of the Market Data Entry.

Tag=271. Quantity or volume represented by the Market Data Entry.

Tag=269. Type Market Data entry. Valid values: 0 = Bid 1 = Offer 2 = Trade 3 = Index Value 4 = Opening Price 5 = Closing Price 6 = Settlement Price 7 = Trading Session High Price 8 = Trading Session Low Price 9 = Trading Session VWAP Price A = Imbalance B = Trade Volume C = Open Interest D = Composite Underlying Price E = Simulated Sell Price F = Simulated Buy Price G = Margin Rate H = Mid Price J = Empty Book K = Settle High Price L = Settle Low Price M = Prior Settle Price N = Session High Bid O = Session Low Offer P = Early Prices Q = Auction Clearing Price S = Swap Value Factor (SVP) for swaps cleared through a central counterparty (CCP) R = Daily value adjustment for long positions T = Cumulative Value Adjustment for long positions U = Daily Value Adjustment for Short Positions V = Cumulative Value Adjustment for Short Positions Y = Recovery Rate Z = Recovery Rate for Long a = Recovery Rate for Short W = Fixing Price X = Cash Rate.

Tag=1022. Maket data feed type.

Tag=37707. MDOrderPriority.

Tag=1023. Market Data Price Level

Identifies the current state of the instrument.

Tag=279. Type of Market Data update action. Valid values: 0 = New 1 = Change 2 = Delete 3 = Delete Thru 4 = Delete From 5 = Overlay.

Defines cabinet price for outright options products.

Minimum quantity accepted for order entry. If tag 1093-LotType=4, this value is the minimum quantity for order entry expressed in the applicable units, specified in tag 996-UnitOfMeasure, (e.g., megawatts).

Minimum constant tick for the instrument, sent only if instrument is non-VTT (Variable Tick table) eligible.

Monetary value equivalent to the minimum price fluctuation.

The minimum trading volume for a security.

Tag=34. Integer packet sequence number.

Tag=451. Net change from previous day's closing price vs. last traded price.

Tag=37709. NoChunks.

Number of repeating EventType entries. Indicates number of repeating groups and length of each repeating group in the message.

Number of repeating group InstrAttribType entries. Indicates number of repeating groups and length of each repeating group in the message.

Number of legs (repeating groups). Indicates number of repeating groups and length of each repeating group.

Tag=33. Identifies number of lines of text body.

Number of quantity types in the upcoming repeating group. Indicates number of repeating groups and length of each repeating group in the message.

Tag=268. Number of entries in Market Data message.

Tag=1141. Number of MDFeedType (1022) fields requested.

Tag=37705. Number of OrderID entries.

Indicates the number of repeating symbols specified. Indicates number of repeating groups and length of each repeating group in the message.

Number of underlying legs that make up the security. Indicates number of repeating groups and length of each repeating group.

Tag=346. Number of orders in the market.

Flag describing Open Price entry.

The total open interest for the market at the close of the prior trading session.

Tag=37. Unique order identifier as assigned by the exchange.

Quantity requested.

Tag=37708. OrderUpdateAction.

Fixed contract value assigned to a product.

Tag=554. Password or passphrase.

Number of Decimals in Displayed Price.

Used for price calculation in spread and leg pricing for Implied Intercommodity Ratio Spreads.

Quote request ID defined by the exchange.

Type of quote requested. A tradable quote can trade against other orders and quotes upon acceptance

Tag=9633. ReferenceID.

Tag 83. Instrument Report Sequence Number.

Tag=107. Security Description.

Exchange used to identify a security.

Tag=1151. Security Group.

Tag=48. Security identifier value of SecurityIDSource (22) type (e.g. CUSIP, SEDOL, ISIN, etc). Requires SecurityIDSource.

Identifies source of tag 48-SecurityID value. This value is always 8 for CME is required if tag 48-SecurityID is specified.

Strategy type. For a Covered options strategy, the covered strategy type will be preceded by 'CV:'. For a covered vertical, for example, this tag will contain 'CV:VT.'

Identifies an additional event or a rule related to the SecurityTradingStatus (326).

Tag=326. Identifies the trading status applicable to the transaction. Valid values: 1 = Opening delay 10 = Market on Close Imbalance Sell 11 = (not assigned) 12 = No Market Imbalance 13 = No Market on Close Imbalance 14 = ITS Pre-opening 15 = New Price Indication 16 = Trade Dissemination Time 17 = Ready to trade (start of session) 18 = Not available for trading (end of session) 19 = Not traded on this market 2 = Trading halt 20 = Unknown or Invalid 21 = Pre-open 22 = Opening Rotation 23 = Fast Market 3 = Resume 4 = No Open / No Resume 5 = Price indication 6 = Trading Range Indication 7 = Market Imbalance Buy 8 = Market Imbalance Sell 9 = Market on Close Imbalance Buy 24 = Pre-Cross - system is in a pre-cross state allowing market to respond to either side of cross 25 = Cross - system has crossed a percentage of the orders and allows market to respond prior to crossing remaining portion 26 = Post-close.

Security Type

Tag=980. Valid values: A = Add D = Delete M = Modify.

Tag=49. Assigned value used to identify firm sending message.

Tag=52. Time of message transmission (always expressed in UTC (Universal Time Coordinated, also known as "GMT").

Identifies currency used for settlement price, if different from trade price currency.

Bitmap field of eight Boolean type indicators representing settlement price type: Bit 0 (least significant bit): 1=Final 0=Preliminary Bit 1: 1=Actual, based on today’s security activity, 0=Theoretically calculated Bit 2: 1=Rounded 0=Non-Rounded Bit 3-6: Reserved for future use, set to 0 Bit 7: 1=Entire set is a NULL, 0= not NULL

Side requested.

Currency in which the StrikePrice is denominated.

Strike Price for an option.

Price Denominator of Sub Fraction.

Tag=147. The subject of an Email message.

Tag=55. Ticker symbol. Common, "human understood" representation of the security. SecurityID (48) value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles) Use "[N/A]" for products which do not have a symbol.

Tag=56. Assigned value used to identify receiving firm.

Tag=58. Free format text string (Note: this field does not have a specified maximum length).

VTT code. Provided for instruments with variable tick in addition to Tick Size in tag 969 MinPriceIncrement. For VTT ineligible instruments, this field will be sent as null.

Tag=911. Total number of reports.

Tag=75. Indicates date of trade referenced in this message in YYYYMMDD format. Absence of this field indicates current day (expressed in local time at place of trade).

Unique Trade Entry ID per Instrument and Trading Date. Required for a Trade.

Tag=1020. Trade Volume.

Indicates the date of trade session corresponding to a Statistic Entry in YYYYMMDD format.

Reference price for prelisted instruments or the last calculated Settlement, which can be Theoretical, Preliminary or a Final Settlement of the session.

Start of event processing time (UTC). This timestamp is the number of microseconds since the Unix Epoch.

Indicates the product complex.

Unique instrument ID as qualified by the exchange per tag 305-UnderlyingSecurityIDSource.

This value is always '8' for CME.

Underlying Instrument Symbol (Contract Name). * this value will be the same as that contained in Leg Instrument’s Security Definition Tag 55-Symbol.

Unit of measure for the products' original contract size. This will be populated for all products listed on CME Globex.

This field contains the contract size for each instrument. Use in combination with tag 996-UnitofMeasure. For example: Eurodollar futures -Tag 1147=1000000 -Tag 996=USD Live Cattle futures -Tag 1147=40000 -Tag 996=LBS For variable-quantity products, the contract size reflects the original contract size, before the application of the multiplier

Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined.

Tag=553. Userid or username.