CBOT Futures Enumerations#

The CME Chicago Board of Trade (CBOT) offers trading in futures on agricultural commodities, interest rates, and equity indices.

The following fields have Enumerations:

AGGRESSOR_SIDE - Indicates whether a trade resulted from an incoming buy or sell order.
BOOK_TYPE - Type of order book or trading mechanism through which a trade was executed.
CALL_PUT_IND - “C” - Call option, “P” - Put option
EVENT_CODE - Event that triggered an instrument status update
MKT_PHASE - Indicates the instrument’s current market phase, as specified by the trading venue
ORDER_TYPE - Type of order.
REASON_CODE - Reason for an instrument status update
TRADE_PERIOD - Market period during which a trade was executed.
TRADE_TYPE - Type of trade
UPDATE_TYPE - Type of update

AGGRESSOR_SIDE - Enumeration#
Enumeration ID	Enumeration Description
‘””’	Undefined (e.g. auction trades, implied trades, off-book trades)
B	Buy
S	Sell

BOOK_TYPE - Enumeration#
Enumeration ID	Enumeration Description
0	Lit order book
1	Off-book

CALL_PUT_IND - Enumeration#
Enumeration ID	Enumeration Description
C	Call option
P	Put option

ORDER_TYPE - Enumeration#
Enumeration ID	Enumeration Description
I	Implied order
L	Limit order

TRADE_PERIOD - Enumeration#
Enumeration ID	Enumeration Description
-	Regular trading
A	Auction

TRADE_TYPE - Enumeration#
Enumeration ID	Enumeration Description
-	Regular trade
BLK	Block trade [Note: price may be null for block trades in spreads - this is because CME does not always publish a price]
BLKL	Leg of a strategy block trade
IMP	Implied trade [Trade where either the buy or the sell side was an implied price]
LEG	Strategy leg trade [Synthetic trade reported on each outright leg when two spread orders are matched - price is always null]
RFC	Request for Cross (RFC) trade