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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 2016年12月22日 上午5:04 ]

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(40
3)
                                                    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(40
3)
                                                    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 下午7:43
ċ
CMESecurityDefinition20120216-Option.rar
(1654k)
Wei-Xiuang Wang,
2012年2月21日 上午11:21
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