The Mass Quote message submitted to CME Globex must be decomposed into its quote entries. The Audit Trail must include one line item per quote entry.
Blank table cell = Not Applicable
Position | Field Name | TO/FROM CME (Tier 1 component interactions with CME Globex) | Associated iLink Tag |
|---|---|---|---|
1 | Sending Timestamps | Presence: Mandatory for all architecture Format: UTC Timestamp Value: YYYYMMDD-hh:mm:ss.sss populated minimally at millisecond precision. | 52 - SendingTime |
3 | Message Direction | Presence: Mandatory Format: String Value: "TO CME" | 57 - TargetSubID |
4 | Operator ID | Presence: Mandatory Format: String with a maximum length of 18 bytes. Value: Must only contain letters, numbers and/or the following characters: _ - : @ . + ( ) / \ | 50 - SenderSubID |
5 | Self-Match Prevention ID | Presence: Mandatory if present in captured message Format: String | 7928 - SelfMatchPreventionID |
7 | Session ID | Presence: Mandatory Format: String Value: Exactly 3 Characters | 49 - SenderCompID |
8 | Executing Firm ID | Presence: Mandatory Format: String Value: Exactly 3 Characters | 49 - SenderCompID |
9 | Manual Order Identifier | Presence: Mandatory Format: String Value: 'Y' or 'N' | 1028 - ManualOrderIndicator |
10 | Message Type | Presence: Mandatory Format: String Value: "Z/1" or "Z\1" for Cancel per instrument "Z/3" or "Z\3" for Cancel per instrument group "Z/4" or "Z\4" for Cancel all quotes "Z/100" or "Z\100" for Cancel by Quote Set ID | 35 - MsgType / 298 - QuoteCancelType |
17 | Instrument Description | Presence: Mandatory for Message type Z/1 and Z/3. Format: String For message type Z/1: Value must follow CME Group instrument code nomenclature. For message type Z/3: Value must be 2- or 3-character long.(instrument group). | tag 107 or 55 - Symbol |
18 | Market Segment ID | Presence: Mandatory if present in captured message. Format: String Value: Must be the Market Segment ID corresponding to the Instrument. | 57 - TargetSubID |
41 | Message Quote ID | Presence: Mandatory Format: String Value: Must only contain letters, numbers and/or the following characters: _ - : @ . + ( ) / \ Must not be used for any other Mass Quote ID from customer-generated messages in the file. | 117 - QuoteID |