PatsEmu-CME的商品篩選設定方式

CME Group的商品檔數非常多,可以是數十萬檔~百多萬檔,

即便是單一channel,通常也不會是所有的檔次都是想要的,

因此要有個分類篩選的機制來協助系統能易於規劃與管理。

CME_Work.cfg 內容

CME_Work.cfg

ExpiryDay=20001231 //YYYYMMDD 所有商品到期日比這個小的過濾掉,可設負值代表依系統時間往前保留天數

CFI_Byte1=F //僅收期貨

CFI_Byte2=F,C,X //不收'M'(價差),但'X'也會有部分價差商品

SecurityExchange=DUMX,GREE,XBMF,XCBT,XCEC,XCME,XKBT,XKFE,XMGE,XNYM //接收的交易所

UnderlyingProduct=2,4,5,14,16,17 //商品範圍

Channel=7,9,11,13,21,24,28,30,31,32,33,35,111,113,115,118,120,801 //Channel範圍

Symbol=05,08,6A,6B,6C,6E,6J,6K,6L,6M,...,ZB,ZS,ZW //Groupe Code範圍

SecurityGroup=TUF,TUT,TUB,FYT,FOB,NOB //Product Code範圍

//以上對應設定不存在則代表針對該項目不進行過濾篩選,全部收入的意思

//是否包含Spread Trade 預設為否, 可用 Yes/Y/y 來設定包含所有DMA提供之交易訊息

IncludeSpreadTrade=No

//是否於收到新(當日)結算價時同時清盤,如同CME網站的模式有DMA提供之交易訊息, 可用 Yes/Y/y 來設定啟用

ClearBySettlementDate=No

//是否於交易日異動時,同時將相同SecurityGroup(Product Code,即#94欄位之ContractName)的商品一起做清盤動作

ClearByGroupTradeDate=No

因為PDF真難用,把所需參考的部分節錄出來於下方

(CME改版MDP3.0之後, 可以參考 MDP 3.0 - CFICode Table of Values )

CFICode (461)

6 bytes populated as follows:

Future Outright

Byte 1 = F

Byte 2 = F, C, or X

Byte 3 = I, C, D, A, M, or X

Byte 4 = X

Byte 5 = S

Byte 6 = X

Option Outright

Byte 1 = O

Byte 2 = C, P, or X

Byte 3 = A, E, or X

Byte 4 = F, or X

Byte 5 = P

Byte 6 = S

6 bytes populated as follows:

Future Spread

Byte 1 = F

Byte 2 = M

Byte 3 = I, C, D, A, M, or X

Byte 4 = X

Byte 5 = S

Byte 6 = X

Option Spread

Byte 1 = O

Byte 2 = M

Byte 3 = X

Byte 4 = F, or X

Byte 5 = P

Byte 6 = S

Indicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values.

ISO 10962 is maintained by ANNA (Association of National Numbering Agencies) acting as Registration Authority.

Please note that BM&F CFICodes do not follow these conventions, and are listed in the Appendix below.

Byte 1:

Future Outright or Future Spread:

F = Futures

Option Outright or Option Spread:

O = Options

Byte 2:

Future Outright or Future Spread:

F = Financial Futures

C = Commodity Futures

X = Unknown

Option Outright or Option Spread:

C = Call

P = Put

X = Unknown

M = Other

Byte 3:

Future Outright or Future Spread:

I = Indices

C = Currencies

D = Interest rate/notional debt. sec

A = Agriculture

M = Other

Option Outright or Option Spread:

A = American

E = European

X = Unknown

Byte 4:

Future Outright or Future Spread:

X = Unknown

Option Outright or Option Spread:

F = Futures

X = Unknown

Byte 5:

Future Outright or Future Spread:

S = Standardized terms

Option Outright or Option Spread:

P = Physical

Byte 6:

Future Outright or Future Spread:

X = Not applicable

Option Outright or Option Spread:

S = Standardized terms

SecurityExchange (207, Exchange)

SecurityExchange (207, Exchange)

XCBT = Chicago Board Of Trade

XCME = Chicago Mercantile Exchange

XNYM = New York Mercantile Exchange

XCEC = Commodities Exchange Center

XKBT = Kansas City Board Of Trade

XMGE = Minneapolis Grain Exchange

DUMX = Dubai Mercantile Exchange

XBMF = BM&F BOVESPA SA

XMEX = Bolsa Mexicana de Valores

XKLS = Bursa Malaysia

XKRX = Korea Exchange

GREE = the Green Exchange

NYUM = NYMEX vs DME Inter-Exchange

XKLS = B

UnderlyingProduct (462)

UnderlyingProduct (462)

2 = Commodity/Agriculture

4 = Currency

5 = Equity

12 = Other

14 = Interest Rate

15 = FX Cash

16 = Energy

17 = Metals

List of BM&F CFICodes: Tag 461

List of BM&F CFICodes: Tag 461

Spot

MMXXXX

Future, Term

FCSPSX

FFDCSX

FFICSX

FCAPSX

FFFCSX

FXXXXX

FFCCSX

MMXXXX

Option, Spot Option, Future Option

OPEMCS

OCEACS

OCEMCS

OCEMCS

OPAMCS

OPASCS

OCAMCS

OPAICS

OPESCS

OPAFCS

OPEICS

OPACCS

OPEFCS

OPADCS

OPECCS

OPAACS

OPEDCS

OPAMCS

OPEACS

OCASCS

OPEMCS

OCAICS

OCESCS

OCAFCS

OCEICS

OCACCS

OCEFCS

OCADCS

OCECCS

OCAACS

OCEDCS

OCAMCS

MMXXXX

All Others

MMXXXX

附件 CME Security Definition 20110704.lst.txt 是PatsEmu-CME產生的商品表供參考

附件 CMESecurityDefinition20120216-Option.rar 則是針對選擇權的部分,約25萬檔商品供參考

群益轉碼設定(DL file)

41407_CME==============================================

FCME Aus DollerXCME 6A CME 澳幣 000106001900

FCME BRIT POUNDXCME 6B CME 英磅 000106001900

FCME CD Dollar XCME 6C CME 加幣 000106001900

FCME EURO FX XCME 6E CME 歐元 000106001900

FCME GFCATTLE XCME GF CME 肉牛 000106001900

FCME GLBX EURO XCME GE CME 歐洲美元 000106001900

FCME GLCATTLE XCME LE CME 活牛 000106001900

FCME GLEANHOG XCME HE CME 瘦豬 000106001900

FCME GmEUROFX XCME E7 CME 小歐元 000106001900

FCME GmicEURUS XCME M6E CME 微型歐元 000106001900

FCME GMPESO XCME 6M CME 墨西哥披索 000106001900

FCME GNZEALND XCME 6N CME 紐西蘭幣 000106001900

FCME J-Yen XCME 6J CME 日元 000106001900

FCME MINI NSDQ XCME NQ CME 小那斯達克 000106001900

FCME MINI S&P XCME ES CME 小SP指數 000106001900

FCME NASDAQ 100XCME ND CME 大那斯達克 000106001900

FCME Nikkei US XCME NKD CME 美元日經 000106001900

FCME S F XCME 6S CME 瑞朗 000106001900

FCME S&P 500 XCME SP CME 大SP指數 000106001900

FeCBOT C30DFEDF XCBT ZQ CBOT 30天利率 000106001900

FeCBOT CmCORN XCBT XC CBOT 小玉米 000106001900

FeCBOT CmSOYBEAN XCBT XK CBOT 小黃豆 000106001900

FeCBOT CORN XCBT ZC CBOT 玉米 000106001900

FeCBOT CRRICE XCBT ZR CBOT 粗米 000106001900

FeCBOT DOW XCBT ZD CBOT 道瓊 000106001900

FeCBOT MINIDOW XCBT YM CBOT 小道瓊 000106001900

FeCBOT OATS XCBT ZO CBOT 燕麥 000106001900

FeCBOT SOYABEAN XCBT ZS CBOT 黃豆 000106001900

FeCBOT SOYAMEAL XCBT ZM CBOT 黃豆粉 000106001900

FeCBOT SOYAOIL XCBT ZL CBOT 黃豆油 000106001900

FeCBOT TBOND XCBT ZB CBOT 30年債券 000106001900

FeCBOT TNOTE10 XCBT ZN CBOT 十年債券 000106001900

FeCBOT TNOTE2 XCBT ZT CBOT 二年債券 000106001900

FeCBOT TNOTE5 XCBT ZF CBOT 五年債券 000106001900

FeCBOT WHEAT XCBT ZW CBOT 小麥 000106001900

FNYMEX CMX GC XCEC GC MYMEX 紐約黃金 000106001900

FNYMEX CMX HG XCEC HG MYMEX 紐約銅 000106001900

FNYMEX CMX SI XCEC SI MYMEX 紐約白銀 000106001900

FNYMEX NY MNY CR XNYM QM MYMEX 紐約小輕原油000106001900

FNYMEX NY NG XNYM NG MYMEX 紐約天然氣 000106001900

FNYMEX NY PA XNYM PA MYMEX 紐約鈀金 000106001900

FNYMEX NY PL XNYM PL MYMEX 紐約白金 000106001900

FNYMEX NY PYS CR XNYM CL MYMEX 紐約輕原油 000106001900

FNYMEX NY PYS HO XNYM HO MYMEX 紐約熱燃油 000106001900

FNYMEX NY PYS RB XNYM RB MYMEX 紐約無鉛汽油000106001900

透過 IncludeSpreadTrade=Yes 的設定方式,

可以真實呈現Spread Trade的資訊揭示如圖, 價差交易熱絡很快就能看出來, 明細也易於確認是一般交易還是延展交易