When reading FIX (Financial Information eXchange) messages from CME one thing you will need to keep in mind is the monthly code chart that shows what month a future is for. (or if you are trading them of course)
For instance lets say in your FIX if you have the following:
Then you know by the security identifier (48) that this is CL (Crude Future on NYMEX) The symbol tag (55) is a bit more interesting though. You can see the security identifier in there but with a V and 6 after. The position of the V indicates the delivery month of the future, and 6 position is the year. So in this case it’s for October 2016.
Here is the monthly codes:
- F – January
- G – February
- H – March
- J – April
- K – May
- M – June
- N – July
- Q – August
- U – September
- V – October
- X – November
- Z – December
Keep in mind the CME Group runs, CME, CBOT, NYMEX and COMEX, so if your looking to do FIX messaging with any of them you will need this.
Need help finding a specific symbol on one of those exchanges? CME Group Products
Need help with FIX? FIX Trading Community . Also if you need a good resource to lookup tags check out FIXimate . (remember as of this article CME is using FIX 4.4 just like the Intercontinental Exchange (ICE).
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