This table presents the front-end audit trail specifications required to represent data exchanged between a trading system and CME Globex in your front-end audit trail. This data must be captured in .csv.
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The order of the columns must be followed in the file submission. |
Additional columns may be added at the end of the file for the internal use for the firm.
Specifications representing each message type supported on CME Globex are available in this section. For further description of data elements to capture on Tier 1, please refer to the iLink 3 message specification.
Blank table cell = Not Applicable
| Position | Columns | Description | Associated Tag on iLink |
|---|---|---|---|
| 1 | Sending Timestamps | Time at which the message leaves the customer trading system towards the CME Globex platform. The time stamp must be in UTC Timestamp format (YYYYMMDD-HH:MM:SS.sss) and must have at least millisecond precision. | Tag 5297 - SendingTime |
| 2 | Message Direction | Explicit labeling of the direction of the captured message. "TO CME" : for messages leaving Tier 1 component towards the CME Globex platform "FROM CME" : for messages received by Tier 1 component from the CME Globex platform | N/A |
| 3 | Operator ID | Identifier of the operator, who submitted the message or is responsible for its submission. | Tag 5392 - SenderID |
| 4 | Session ID | Identifier of the iLink Order Entry session. | |
| 5 | Manual Order Indicator | Identifies if the captured message was submitted manually or automatically. | Tag 1028 - ManualOrderIndictor |
| 6 | Message Type | Identifies the type of the message captured. | N/A |
| 7 | Instrument | Identifier of the instrument/contract. | Tag 48 - SecurityID |
| 8 | Order Flow ID | Identifier linking all inbound and outbound messages associated with a New Order Messages. (This ID must be generated as part of the audit trail, it is not part of the data captured). (This ID is not required for Mass Quote related messages.) | N/A |
| 9 | CME Globex Order ID | CME Globex-assigned code uniquely identifying an order. This code does not change regardless of the changes applied to it. | Tag 37 - OrderID |
| 10 | Client Order ID | Customer-generated code uniquely identifying an order. | Tag 11 - ClOrdID |
| 11 | Order Request ID | Use OrderRequestID to identify a request to enter, modify or delete an order and echo the value on the ExecutionReport representing the response | Tag 2422 - OrderRequestID |
| 12 | Buy/Sell Indicator | Side of the order. | Tag 54 - Side |
| 13 | Quantity | Quantity of the order. | Tag 38 - OrderQty |
| 14 | Limit Price | Limit price of the order. | Tag 44 - Price |
| 15 | Stop Price | Stop (trigger) price of the order. | Tag 99 - StopPx |
| 16 | Order Type | Type of the order: limit, market with protection, market-limit, stop with protection or stop-limit. | Tag 40 - OrdType |
| 17 | Order Qualifier | Qualifier of the order: day, gtc, gtd, fak | Tag 59 - TimeInForce |
| 18 | IFM Flag | Modification flag identifying if in-flight-mitigation functionality is activated or not. | Tag 9768 - OFMOverride |
| 19 | Display Quantity | Display quantity of an order to be shown in the order book at any given time. | Tag 1138 - DisplayQty |
| 20 | Minimum Quantity | Minimum quantity of an order to be executed. | Tag 110 - MinQty |
| 21 | Country of Origin | Location of the operator. | Tag 9537 - Location |
| 22 | Fill Price | Price at which the order has been executed. | Tag 31 - LastPx |
| 23 | Fill Quantity | Quantity at which the order has been executed. | Tag 32 - LastQty |
| 24 | Cumulative Quantity | Cumulated fill quantity for the order. | Tag 14 - CumQty |
| 25 | Remaining Quantity | Remaining open quantity on the order book for the order. | Tag 151 - LeavesQty |
| 26 | Aggressor Flag | Flag indicating whether the order was the aggressor in the match. | Tag 1057 - AggressorIndicator |
| 27 | Source of Cancellation | CME Globex-generated code identifying the source of a cancel when triggered by CME Group. | Tag 378 - ExecRestatementReason |
| 28 | Reject Reason | Code or text identifying the reason why an order was rejected. Refer to the child page specifications of the reject message to determine the tag content to include in this field. | |
| 29 | CME Globex Message ID | Execution Report identifier. | Tag 1506 - SideTradeID |
| 30 | Cross ID | Customer-generated code uniquely identifying an order Cross (RFC). | Tag 548 - CrossID |
| 31 | Quote Request ID | Customer-generated code uniquely identifying a Request for Quote (RFQ). | Tag 131 - QuoteReqID |
| 32 | Message Quote ID | Customer-generated code uniquely identifying a Mass Quote message. | Tag 117 - QuoteID |
| 33 | Quote Set ID | Customer-generated code uniquely identifying a Quote Set in a Mass Quote message. | Tag 302 - QuoteSetID |
| 34 | Quote Entry ID | Customer-generated code uniquely identifying a Quote in a Mass Quote message. | Tag 299 - QuoteEntryID |
| 35 | Bid Price | Bid price of quote. | Tag 132 - BidPx |
| 36 | Bid Size | Bid quantity of quote. | Tag 134 - BidSize |
| 37 | Offer Price | Offer price of quote. | Tag 133 - OfferPx |
| 38 | Offer Size | Offer quantity of quote. | Tag 135 - OfferSize |
| 39 | Processed Entries | Number of quotes/orders successfully acknowledged or cancelled. | Tag 9772 - NoProcessedEntries/Tag 533 - TotalAffectedOrders |
| 40 | Party Details List Request ID | Refers to the ID of the related PartyDetailsDefinitionRequest message which will logically be tied to this message. | Tag 1505 - PartyDetailsListRequestID |
| 41 | ListUpdateAction | Indicates if all of the information sent in this message with a unique new PartyDetailsListReqID is a new addition or deletion of existing information associated with an existing PartyDetailsListReqID. | Tag 1324 - ListUpdateAction |
| 42 | Self-Matching Prevention ID | Identifies an order or trade that should not be matched to an opposite order or trade if both buy and sell orders for the same asset contain the same SelfMatchPreventionID (2362) and submitted by the same firm. | Tag 2362 - SelfMatchPreventionID |
| 43 | Self-Match Prevention Instr | Used to act upon the outcome when a self-match is detected and an order is prevented from trading against another order with the same SelfMatchPreventionID (Tag 2362). | Tag 8000 - SelfMatchPreventionInstruction |
| 44 | Customer Type Indicator | Capacity of customer placing the order | Tag 582 - CustOrderCapacity |
| 45 | AvgPxGroupID | Used by submitting firm to group trades being allocated into an average price group. The trades in average price group will be used to calculate an average price for the group. | Tag 1731 - AvgPxGroupID |
| 46 | Average Px Ind | Average pricing indicator. | Tag 819 - AvgPxInd |
| 47 | CmtaGiveUpCD | Indicates if the order is a give-up or SGX offset | Tag 9708 - CmtaGiveUpCD |
| 48 | Origin | Designates the account type to be used for the order when submitted to clearing | Tag 1816 - ClearingAccountType |
| 49 | Clearing Trade Price Type | Indicates to recipient whether trade is clearing at execution prices LastPx (tag 31) or alternate clearing price (prior day settlement price) | Tag 1598 - ClearingTradePriceType |
| 50 | Customer Handling Instr | Codes that apply special information that the Broker / Dealer needs to report, as specified by the customer. Defines source of the order. | Tag 1031 - CustOrderHandlingInst |
| 51 | Executing Firm ID | Identifier of the Executing Trading Firm. | PartyRole (1 - Executing Firm) |
| 52 | Account Number | Identifier of the Account Number. | PartyRole (24 - Customer Account) |
| 53 | Take Up Firm | Identifier of the Give Up Firm. | PartyRole (96 - Take up firm) |
| 54 | Take up Account | Identifier of the Give Up Account Number. | PartyRole (1000 - Take up account) |
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