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Contents
Table of Contents
Common Identifier
A common identifier tag 37711-MDTradeEntryID associates order routing, market data, and Clearing messages for a given trade.
Trade Adjustment for Outrights and Spreads
Trade price adjustments for trades can be performed by CME Operations during a given trading session and are communicated to customers via iLink and MDP 3.0 messages.
iLink Messaging
Original Secondary Execution ID
Tag 9703-OriginalSecondaryExecID will contain the tag 527-SecondaryExecID value from the original trade.
Secondary Execution ID
Of the four trade correction scenarios listed below, tag 527-SecondaryExecID will increment in scenarios 1 and 2 in the Trade Correction message.
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- Spread and all legs
- Spread and some legs
- All legs only
- Some legs only
iLink Trade Correction Identifiers
A trade correction is assigned a new tag 17-ExecID value, with the 9 right-most characters from the previous tag 17-ExecID value sent in tag 19-ExecRefID.
Spread Trade Adjustment Illustrated Example
The following diagram shows an example of a Trade Correction for a spread and one leg and how the new common identifier and other trade correction values populate across iLink order entry and MDP 3.0 market data messages.
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| Gliffy | ||||
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Trade Correction Scenarios and Messaging Examples
The following examples show how trade summary data is sent according to various types of order matching scenarios.
Scenario 1 - Outright Trade Correction - Many Trades
Given the following:
- The instrument has traded four times since the beginning of the session:
- TradeID=1, TradePx =100, TradeQty=5, MDTradeEntryID=1123
- TradeID=2, TradePx =99, TradeQty=25, MDTradeEntryID=1179
- TradeID=3, TradePx =92, TradeQty=31, MDTradeEntryID=1267
- TradeID=4, TradePx =99, TradeQty=29, MDTradeEntryID=1399
- Market data statistics prior to modification:
electronic volume=90
high trade px=100
low trade px=92
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- electronic volume=90
- high trade px=99
- low trade px=92
Scenario 2 - Trade Cancellation of Previously Adjusted Trade & Electronic Volume Update
Previously adjusted trade is later canceled by GCC.
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