CME Group Futures & Options Enumerations#

The CME Group operates derivatives exchanges ( CBOT COMEX NYMEX CME Globex ) offering trading in futures and options across asset classes like agriculture, energy, metals, interest rates, equities, and cryptocurrencies. MGEX is for trading agricultural futures and options. This CME Database includes Book Depth MBO data and additional fields that are not supported in the other CME Databases.

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
EVENT_CODE - Enumeration#

Enumeration ID

Enumeration Description

0

No special event

1

No cancel

4

New trading day

5

Implied matching on

6

Implied matching off
MKT_PHASE - Enumeration#

Enumeration ID

Enumeration Description

15

New price indication

17

Trading

18

Not available for trading

2

Halted

20

Unspecified

21

Pre-open

24

Pre-cross

25

Cross

26

Post-close

4

Closed
ORDER_TYPE - Enumeration#

Enumeration ID

Enumeration Description

I

Implied order

L

Limit order
REASON_CODE - Enumeration#

Enumeration ID

Enumeration Description

0

Scheduled transition

1

Surveillance intervention

2

Market event

3

Instrument activation

4

Instrument expiration

5

Unspecified

6

Recovery
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
UPDATE_TYPE - Enumeration#

Enumeration ID

Enumeration Description

A

Add

D

Delete

F

Fill

M

Modify

P

Partial fill

R

Refresh