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When the order is filled, CME Globex also broadcasts a Market Data - Incremental Refresh message for the spread and for each leg of the spread.
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For all filled spread orders, CME Globex sends the client system that submitted the order an Execution Report for the spread instrument and for each leg instrument. To enable client systems to link the spread instrument with each component leg, the Execution Report - Fill message implements the following tags:
Tag 393-TotalNumSecurities - contains the number of Fill messages sent for the spread minus the spread summary. This tag is sent only in the spread Execution Report.
Tag 527-SecondaryExecID - unique identifier associated with the spread trade and allows the client system to link leg fills and trade cancellation notices to the original spread transaction. This value is unique per instrument per trade per trading session.