iLink 3 allows customers to optimize business message construction by pre-registering administrative information, or by submitting administrative information per message (on-demand) as follows.
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- Customer sends Party Details Definition Request to the new Service Gateway beforehand (recommend beginning of the week on Sunday) with unique value in Party Details List RequestID (duplicate values will be rejected for that FirmID).
- Party Detail Definitions are valid only for the week and must be resubmitted at the start of each week on Sunday
- Customer assigns tag 1505-PartyDetailsListRequestID when submitting the Party Details Definition Request message to CME
- A single tag 1505-PartyDetailsListRequestID is able to use all CGW sessions under the same CME Globex Firm ID (GFID).
- Tag 1505-PartyDetailsListRequestID cannot be equal to 0 when pre-registering administrative information on the Service Gateway
- Modification and Deletion of existing Party Details Definition messages are not allowed
- Customer receives Party Details Definition Request Ack Message (tag 35-MsgType=CY) and can cross-reference tag 1505-PartyDetailsListRequestID in any subsequent business message sent to CGW.
- Any business message sent with an unknown or invalid tag 1505-PartyDetailsList RequestID will be rejected
- There will be a limit of 2500 Party Detail Definition combinations allowed for each FirmID beyond which further submissions will be rejected
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CME Globex will return the Party Details Definition Request Acknowledgment message with tag 1505-PartyDetailsListRequestID=0 before every Quote Cancel Acknowledgment message (tag 35-MsgType = b, tag 297-QuoteStatus = 1,3,4,100
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Pre-Registered Party Details Definition Request - Message Out of Sequence
In this scenario the Party Details Definition Request is submitted with a higher than expected sequence number.
Gliffy macroId 35ce8cde-9acd-424a-9899-f6964addd686 displayName PartyDetailsDefinitionRequest PreRegistered Higher Sequence name PartyDetailsDefinitionRequest PreRegistered Higher Sequence pagePin 1
Pre-Registered New Order - Invalid Party Details ID
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| Message Name | Message Level Changes | Gateway |
|---|---|---|
| Sent by customers wishing to enter an order in the system; the behavior of an order can be affected by many parameters such as order type and validity. | CGW | |
| iLink 3 Order Cancel Replace Request | Sent by a customer wishing to replace an existing order in the system; an order is typically modified a number of times during its life-cycle with the caution that various order characteristics (e.g. priority) behave differently with regard to modification.
| CGW |
| iLink 3 Order Cancel Request | Sent by a customer wishing to cancel an existing order in the system; an order may be cancelled by referencing the Order ID. | CGW |
| iLink 3 Mass Quote | Authorized market makers use Mass Quoting to submit bid/ask pairs and generate two-sided markets for multiple options instruments. Remove repeating group tag 296-NoQuoteSets Add repeating group tag 295-NoQuoteEntries:
| CGW |
The Quote Cancel message is used by a market maker to cancel all quotes or a partial set of quotes submitted during a specific session:
Add repeating group tag 296-NoQuoteEntries:
Update repeating group tag 295-NoQuoteEntries:
| CGW | |
| iLink 3 Order Status Request | The message is submitted by clients to obtain the current status of a specific order:
Minimum set of required fields for order status; no need to send all of the order fields again such as :
| CGW |
| iLink 3 Order Mass Action Request | An Order Mass Action Request is sent by customers to cancel working orders for a given Executing Firm.
| CGW |
| iLink 3 Order Mass Status Request | The Order Mass Status Request message requests the status for orders matching criteria specified within the request.
| CGW |
| iLink 3 New Order Cross | The cross order contains two order sides (buy and sell), each containing information about that side, including buyer, seller and ClOrdID field.
| CGW |
| iLink 3 Request for Quote | Customers who wish to trade an instrument for which the order book is blank or stale can request a quote to create the book using a quote request message.
Tag 9943-QuoteType is deprecated. | CGW |
| iLink 3 Security Definition Request | User-Defined Spreads provide users the ability to create spreads composed of their choice of leg instruments, leg ratio, and leg side. New tags:
Update repeating group tag 555-NoLegs:
New repeating group tag 711-NoUnderlyings:
| CGW |
| iLink 3 Party Details Definition Request | The Party Details Definition Request message (35=CX) is used to define all of the customer administrative information; e.g. clearing instructions, order source, self match parameters, etc. | SGW / CGW |
| iLink 3 Party Details List Request | The Party Details List Request message (35=CF) is used to request all of the PartyDetailsDefinition information for a particular firm ID. Only one Party Details List Request is allowed at a time and the earlier one must be processed completely before a later request is allowed. | SGW |
| iLink 3 Execution Acknowledgment | The Execution Report Acknowledgment message is an optional message that provides dual functionality to notify CME that an electronically received execution has either been accepted or rejected. | CGW |
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| Message Name | Message Level Changes | Gateway | ||
|---|---|---|---|---|
| iLink 3 Business Reject | The Business Message Reject message notifies customers a message has failed application-level business validation. Business Reject message will be used in these scenarios:
| CGW | ||
Execution Report - New is sent in response to New Order Single as well as activation of stop orders Tag 2422-OrderRequestID is used to tie responses to requests Execution Report - New message does not contain these fields
| CGW | |||
iLink 3 Execution Report - Modify | Execution Report - Modify message is sent in response to Order Cancel Replace Request
Execution Report - Modify message does not contain these fields
| CGW | ||
iLink 3 Execution Report - Cancel | Execution Report - Cancel message is sent in response to Order Cancel Request as well as to report unsolicited cancellation of orders due to:
Tag 2422-OrderRequestID is used to tie back responses to request Execution Report - New message does not contain these fields
| CGW | ||
iLink 3 Execution Report - Status | Execution Report - Status message is sent in response to Order Status Request or Order Mass Status Request
To make the exchange FIX compliant, now current state of the order will be represented by tag 39-OrderStatus and the specific type of event will be represented in tag 150-ExecType
Execution Report - Status message does not contain these fields
| CGW | ||
The Execution Report - Trade (Outright/Spread/Leg) messages are sent upon fill or partial fill of client order:
To make the exchange FIX compliant, now current state of the order will be represented by tag 39-OrderStatus and the specific type of event will be represented in tag 150-ExecType
Execution Report - Trade (Outright/Spread/Leg) messages does not contain these fields:
Execution Report - Trade Spread Leg message does not contain these fields:
| CGW | |||
| CGW | ||||
| CGW | ||||
| iLink 3 Execution Report - Elimination | The Execution Report - Elimination message is sent at order elimination Execution Report - Elimination message does not contain these fields
| CGW | ||
| iLink 3 Execution Report - Reject | The Execution Report - Reject message notifies client system of rejected order
Execution Report - Reject message does not contain these fields:
| CGW | ||
| iLink 3 Execution Report - Trade Addendum Outright | The Execution Report - Trade Addendum (Outright/Spread/Leg) message notifies client system of trade cancellation or correction for outright, spread, and leg
Execution Report - Trade Addendum Outright/Spread/Legs message does not contain these fields
Execution Report - Trade Addendum Spread Leg does not contain these fields:
| CGW | ||
| iLink 3 Execution Report - Trade Addendum Spread | CGW | |||
| CGW | ||||
The Order Cancel Reject message is issued upon receipt of a cancel request message which cannot be honored and a rejected cancellation will generate an Order Cancel Reject message
State of the cancel/modification will be represented by tag 39-OrderStatus & tag 434-CxlRejResponseTo
Execution Report - Order Cancel and Cancel Replace Reject messages do not contain does not contain tag 41-OrigCIOrdID | CGW | |||
| CGW | ||||
| iLink 3 Security Definition Response | This message is sent in response to an attempt to create a new security definition The Security Definition message is used for the following:
Tag 602-LegSecurityID is use for spread leg identification The following tags are no longer being used:
| CGW | ||
The Mass Quote Acknowledgment message is used as the response to a Mass Quote to notify customers of accepted and rejected quotes The Mass Quote Acknowledgment message contains the number of successfully processed quotes and a list of rejected quotes identified by tag 299-QuoteEntryID Only one quote set allowed per message to avoid nested repeating groups—this means that quote set itself is not represented as a repeating group | CGW | |||
Request for Quote Ack message is used in response to a Request for Quote message to either accept it or reject it | CGW | |||
Quote Cancel Ack message is used in response to a Quote Cancel message to either accept it or reject it.
| GGW | |||
| An Order Mass Action Report is used to acknowledge an Order Mass Action Request and is sent by CME back to the customer since it is meant to verify that CME has successfully received and processed the Order Mass Action Request | CGW | |||
Used to respond to the Party Details Definition Request message indicating whether the request has been accepted
The Party Details Definition Request Acknowledgment message will be sent by CME via:
Only one party update allowed per message to avoid nested repeating groups Customer and Account classification fields will be included to facilitate risk management functions via Drop Copy:
Also depending upon the type of message the amount of information contained in the Party Details Definition Request Acknowledgment could vary; for example:
| SGW/CSGW | |||
Used to replay all of the Party Details Definition information such as clearing instructions, order source, self match parameters etc for a particular firm ID Each Party Details Definition will be returned as a separate Party Details List Report message
| SGW |
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