CME Group (PCAP) Sample Enumerations#

A subset of symbols from the CME Group exchanges ( CBOT COMEX NYMEX CME Globex ), covering the Futures for products: CL (Crude Oil), ES (E-Mini S&P 500), GC (Gold), NG (Henry Hub Natural Gas), NQ (E-Mini Nasdaq 100), ZC (Corn). Between January 2,2024 and March 31, 2024.

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