PatsEmu-CME的商品篩選設定方式 - FTW (Flat-Top Work , 思構易平台系統)

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PatsEmu-CME的商品篩選設定方式

張貼者：2011年7月3日下午5:48Wei-Xiuang Wang [ 已更新 2017年12月30日清晨5:26 ]

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

IncludeSpreadTrade=Yes 的設定下,DMA原始Tick資料

DMA原始資料

Raw Data: TemplateId = 105 ,SecurityId = 3968 ,EntryType = 2

3/7/2012           03:21:02    15740.0    4    -    105:3968 20120307

092102 [2](15740) :13444(2)


3/7/2012           03:21:02    15740.0    1    -    105:3968 20120307 092102 [2](15740) :13445(1)


3/7/2012

03:21:02


15740.0

2 - 105:3968 20120307 092102 [2](15740) :13449(4)


3/7/2012           03:21:02    15740.0    1    -    105:3968 20120307 092102 [2](15740) :13450(1)


3/7/2012           03:21:04    15740.0    1    -    105:3968 20120307 092104 [2](15740) :13451(1)


3/7/2012           03:21:04    15739.0    1    -    105:3968 20120307 092104 [2](15740) :13452(1)


3/7/2012           03:21:04    15739.0    1    -    105:3968 20120307 092104 [2](15739) :13453(1)


3/7/2012           03:21:04    15740.0    1    -    105:3968 20120307 092104 [2](15739) :13454(1)


3/7/2012           03:21:19    15740.0    1    -    105:3968 20120307 092119 [2](15740) :13455(1)


3/7/2012           03:21:19    15740.0    1    -    105:3968 20120307 092119 [2](15740) :13456(1)

105:3968 20120307 092132 [2](15706) :13859(403)

105:3968 20120307 092132 [2](15706) :13959(100)

105:3968 20120307 092132 [2](15706) :14059(100)

105:3968 20120307 092132 [2](15706) :14109(50)

105:3968 20120307 092132 [2](15706) :14119(10)


3/7/2012           03:21:36    15741.0    2    -    105:3968 20120307 092136 [2](15741) :14120(1)


3/7/2012           03:21:36    15741.0    1    -    105:3968 20120307 092136 [2](15741) :14121(1)


3/7/2012           03:21:36    15741.0    1    -    105:3968 20120307 092136 [2](15741) :14123(2)


3/7/2012           03:21:36    15741.0    2    -    105:3968 20120307 092136 [2](15741) :14124(1)


3/7/2012           03:21:36    15741.0    1    -    105:3968 20120307 092136 [2](15741) :14126(2)


3/7/2012           03:21:36    15741.0    5    -    105:3968 20120307 092136 [2](15741) :14127(1)


3/7/2012           03:21:36    15741.0    1    -    105:3968 20120307 092136 [2](15741) :14132(5)


3/7/2012           03:21:37    15741.0    1    -    105:3968 20120307 092137 [2](15741) :14133(1)


3/7/2012           03:21:38    15741.0    8    -    105:3968 20120307 092138 [2](15742) :14134(1)


3/7/2012           03:21:38    15742.0    1    -    105:3968 20120307 092138 [2](15742) :14135(1)


3/7/2012           03:21:38    15742.0    1    -    105:3968 20120307 092138 [2](15742) :14136(1)


3/7/2012           03:21:38    15742.0    1    -    105:3968 20120307 092138 [2](15741) :14138(2)


3/7/2012           03:21:38    15741.0    1    -    105:3968 20120307 092138 [2](15741) :14139(1)


3/7/2012           03:21:38    15741.0    2    -    105:3968 20120307 092138 [2](15741) :14142(3)


3/7/2012           03:21:38    15741.0    1    -    105:3968 20120307 092138 [2](15741) :14143(1)


3/7/2012           03:21:38    15741.0    1    -    105:3968 20120307 092138 [2](15741) :14144(1)


3/7/2012           03:21:38    15741.0    3    -    105:3968 20120307 092138 [2](15741) :14145(1)


3/7/2012           03:21:38    15741.0    1    -    105:3968 20120307 092138 [2](15741) :14146(1)


3/7/2012           03:21:38    15741.0    1    -    105:3968 20120307 092138 [2](15741) :14154(8)

IncludeSpreadTrade=No 的設定下,修改後Tick的內容

修改後的內容

3/7/2012           03:21:02    15740.0    4    -    105:3968 20120307

092102 [2](15740) :13444(2)


3/7/2012           03:21:02    15740.0    1    -    105:3968 20120307 092102 [2](15740) :13445(1)


3/7/2012

03:21:02


15740.0

2 - 105:3968 20120307 092102 [2](15740) :13449(4)


3/7/2012           03:21:02    15740.0    1    -    105:3968 20120307 092102 [2](15740) :13450(1)


3/7/2012           03:21:04    15740.0    1    -    105:3968 20120307 092104 [2](15740) :13451(1)


3/7/2012           03:21:04    15739.0    1    -    105:3968 20120307 092104 [2](15740) :13452(1)


3/7/2012           03:21:04    15739.0    1    -    105:3968 20120307 092104 [2](15739) :13453(1)


3/7/2012           03:21:04    15740.0    1    -    105:3968 20120307 092104 [2](15739) :13454(1)


3/7/2012           03:21:19    15740.0    1    -    105:3968 20120307 092119 [2](15740) :13455(1)


3/7/2012           03:21:19    15740.0    1    -    105:3968 20120307 092119 [2](

15740) :13456(1)

105:3968 20120307 092132 [2](15740) :13859(403)

105:3968 20120307 092132 [2](15740) :13959(100)

105:3968 20120307 092132 [2](15740) :14059(100)

105:3968 20120307 092132 [2](15740) :14109(50)

105:3968 20120307 092132 [2](15740) :14119(10)


3/7/2012           03:21:36    15741.0    2    -    105:3968 20120307 092136 [2](15741) :14120(1)


3/7/2012           03:21:36    15741.0    1    -    105:3968 20120307 092136 [2](15741) :14121(1)


3/7/2012           03:21:36    15741.0    1    -    105:3968 20120307 092136 [2](15741) :14123(2)


3/7/2012           03:21:36    15741.0    2    -    105:3968 20120307 092136 [2](15741) :14124(1)


3/7/2012           03:21:36    15741.0    1    -    105:3968 20120307 092136 [2](15741) :14126(2)


3/7/2012           03:21:36    15741.0    5    -    105:3968 20120307 092136 [2](15741) :14127(1)


3/7/2012           03:21:36    15741.0    1    -    105:3968 20120307 092136 [2](15741) :14132(5)


3/7/2012           03:21:37    15741.0    1    -    105:3968 20120307 092137 [2](15741) :14133(1)


3/7/2012           03:21:38    15741.0    8    -    105:3968 20120307 092138 [2](15742) :14134(1)


3/7/2012           03:21:38    15742.0    1    -    105:3968 20120307 092138 [2](15742) :14135(1)


3/7/2012           03:21:38    15742.0    1    -    105:3968 20120307 092138 [2](15742) :14136(1)


3/7/2012           03:21:38    15742.0    1    -    105:3968 20120307 092138 [2](15741) :14138(2)


3/7/2012           03:21:38    15741.0    1    -    105:3968 20120307 092138 [2](15741) :14139(1)


3/7/2012           03:21:38    15741.0    2    -    105:3968 20120307 092138 [2](15741) :14142(3)


3/7/2012           03:21:38    15741.0    1    -    105:3968 20120307 092138 [2](15741) :14143(1)


3/7/2012           03:21:38    15741.0    1    -    105:3968 20120307 092138 [2](15741) :14144(1)


3/7/2012           03:21:38    15741.0    3    -    105:3968 20120307 092138 [2](15741) :14145(1)


3/7/2012           03:21:38    15741.0    1    -    105:3968 20120307 092138 [2](15741) :14146(1)


3/7/2012           03:21:38    15741.0    1    -    105:3968 20120307 092138 [2](15741) :14154(8)

ċ

CMESecurityDefinition20110704.lst.txt

(371k)

Wei-Xiuang Wang,

2011年7月3日晚上7:43

ċ

CMESecurityDefinition20120216-Option.rar

(1654k)

Wei-Xiuang Wang,

2012年2月21日上午11:21

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