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Finding CME Security IDs in FIX Security Definition Messages

Article Quant Q&A · Author: user997112
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Summary

The document explains where to obtain the meaning of a CME FIX SecurityID. The identifier appears in the Security Definition message, which carries reference data such as symbol, asset class, exchange, and expiration. This reference information is distinct from Incremental Refresh messages, which carry live market data. The answer says users must subscribe to the relevant definition feed or loop to receive the definitions.

A static security-definition file is also mentioned, but the document warns that it is not refreshed during the trading day and may omit instruments added intraday. It therefore describes the live definition channels as the reliable source for current instrument reference data. The discussion is specific to CME FIX market data and does not detail connection setup, message parsing, or the applicable network configuration.

Key ideas

  • CME SecurityIDs are mapped to instrument details in Security Definition messages.
  • Security Definition reference data is separate from live Incremental Refresh market data.
  • Live definition channels help capture instruments added during the trading day.
  • A static security-definition file can become outdated and miss intraday additions.

Tags

FuturesMarket microstructureExecution
Full text
# Where does CME store Security IDs for FIX messages?


# Where does CME store Security IDs for FIX messages?












Where does CME store Security IDs for FIX messages? I cannot find them anywhere? So given Security ID XX I can go and work out what product this actually is?

## Answer by chrisaycock (score 4, accepted)

https://quant.stackexchange.com/a/8902

The SecurityID is in the Security Definition message (`35=d`). This is reference data and is separate from the Incremental Refresh message (`35=X`) that contains the live market data. You'll need to listen to a special IP address to get these messages. (See the config file for the Instrument Replay.)

The Security Definition will tell you symbol, asset class, exchange, expiration, and anything else you may wish to know.

It is also possible to statically get the security definition file, but CME cautions against using this:

> This file is static and not refreshed throughout the trading day. It should NOT BE USED as the primary source for Security Definition information. Best practices require that CME Globex users obtain all Security Definition information from the Incremental Data channel or the Instrument Definition loop channel to ensure that intra-day instrument additions are not missed.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.