Page Comparison

New Order Single

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.

• Some characteristics cannot be modified such as: Side, OFM (Once Set) and Instrument.
• Others can be altered subject to market rules such as: Price (Limit and Stop Limit), Stop Trigger Price, Quantity, account, PartyDetailListRequestID, etc.

Sent by a customer wishing to cancel an existing order in the system; an order may be cancelled by referencing the Order ID.

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:

• Tag 132-BidPx
• Tag 133-OfferPx
• Tag 299-QuoteEntryID
• Tag 48-SecurityID
• Tag 134-BidSize
• Tag 135-OfferSize
• Tag 309-UnderlyingSecurityID
• Tag 302-QuoteSetID

Quote Cancel Message

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:

• Cancel all active quotes
  • Cancel all active quotes for a Product Group
    • Cancel individual quotes for an instrument
    • Cancel all active quotes for a Quote Set per side
    • Quote Cancel messages are processed upon receipt by CME regardless of whether the corresponding resting quotes are completely or partially filled

Add repeating group tag 296-NoQuoteEntries:

• Tag 134-BidSize
• Tag 135-OfferSize
• Tag 302-QuoteSetID

Update repeating group tag 295-NoQuoteEntries:

• Tag 48-SecurityID  is used for instrument identification, no tag 107-SecurityDesc used
• Tag 55-Symbol is replaced with tag 1151-SecurityGroup align with MDP 3.0

The message is submitted by clients to obtain the current status of a specific order:

• CME returns the order status in an Execution Report with status indicated in tag 39-OrdStatus field
  • New tag 790-OrdStatusReqID added to correlate Order Status Request with response
    • Deprecated the use of tag 11-CIOrdID and tag 9717-CorrelationCIOrdID for order status
  • Tag 37-OrderID is used for order identification; no tag 107-SecurityDesc and tag 167-SecurityType used
    • If tag 37 is not available, then Order Mass Status Request can be leveraged

Minimum set of required fields for order status;  no need to send all of the order fields again such as :

• Tag 54-Side
• Tag 48-SecurityID

An Order Mass Action Request is sent by customers to cancel working orders for a given Executing Firm.

• Customers can request the cancellation of all of the remaining quantity of a group of orders matching criteria specified within the request.
  • This message can only be used to cancel orders and is not applicable to Mass Quotes.
    • The scope of the mass cancel will be restricted to all orders for a particular market segment ID.
    • Tag 55-Symbol is replaced with tag 1151-SecurityGroup to align with MDP 3.0  for cancelling by product group.
    • Tag 48-SecurityID  is used for instrument identification, no tag 107-SecurityDesc used.
    • New tag 2422-OrderRequestID added to correlate Order Mass Action Request with Order Mass Action Report instead of tag 11-CIOrdID.

The Order Mass Status Request message requests the status for orders matching criteria specified within the request.

• A Mass Status Request is assigned a Mass Status Request ID and is treated as a separate identifier.
  • Tag 55-Symbol is replaced with tag 1151-SecurityGroup align with MDP 3.0.
  • Tag 37-OrderID is used for order identification; no tag 107-SecurityDesc used.

The cross order contains two order sides (buy and sell), each containing information about that side, including buyer, seller and ClOrdID field.

• Each side is called a leg of the cross order.
• The cross order is identified by the tag 548-CrossID.

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.

• An accepted quote request is acknowledged with a quote acknowledgment and disseminated to the market with the market data quote request message.
• Once the market data quote request message is disseminated, market makers can respond with a mass quote message and market participants can submit a new order message to populate the book.

Tag 9943-QuoteType is deprecated.

User-Defined Spreads provide users the ability to create spreads composed of their choice of leg instruments, leg ratio, and leg side.

New tags:

• Tag 916-StartDate
• Tag 917-EndDate
• Tag 37714-MoneyOrPar
• Tag 37715-MaxNoOfSubstitutions
• Tag 541-MaturityDate

Update repeating group tag 555-NoLegs:

• Add tag 602-LegSecurityID is used for spread leg identification
• Remove tag 600-NoLegSymbol, tag 608-LegCFICode, and tag 620-LegSecurityDesc 

New repeating group tag 711-NoUnderlyings:

• Tag 458-NoUnderlyingAltID
• Tag 459-NoUnderlyingAltIDSource

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.

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.

The Business Message Reject message notifies customers a message has failed application-level business validation.

Business Reject message will be used in these scenarios:

• Rejection of incoming message due to:
  • Blocked trading due to Kill Switch Activation
    
  • Blocked trading due to Risk Management API 
  • Restricted from trading Deliverable Swap Futures
  • Restricted from trading Interest Rate Swaps
  • Blocked trading due to CME Globex Credit Controls
  • Blocked trading due to Inline Credit Controls
    
  • Exceeding Volume Control thresholds
  • Failure to decode message
• Rejection of incoming message due to invalid SecurityID
• Rejection of incoming message due to invalid PartyDetailsListReqID
• FIX field of the wrong type (sending a STRING for an INTEGER field, for example)
• Tag value is all spaces
• Missing required fields
• Using invalid combination of fields such as:
  • Missing expire date tag for GTD orders
  • Including expire date tag on non-GTD orders
  • Using FAK/FOK with iceberg orders
  • Using FAK/FOK with stop orders
  • Including price (tag 44) with market orders
  • Missing stop price (tag 99) on stop orders
  • Including stop price (tag 99) on non-stop orders
  • Iceberg quantity greater than total quantity
  • Minimum quantity greater than total quantity
  • Order quantity greater than total quantity

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:

• Tag 6-AvgPx
• Tag 14-CumQty
• Tag 20-TransType
• Tag 41-OrigClOrdID
• Tag 151-LeavesQty 

Execution Report - Modify message is sent in response to Order Cancel Replace Request.

• Modification order will be represented by tag 39-OrderStatus = 5 and tag 150-ExecType 150=5.
• Tag 2422-OrderRequestID  is used to tie back responses to requests.

Execution Report - Modify message does not contain these fields:

• Tag 6-AvgPx
• Tag 20-TransType
• Tag 41-OrigClOrdID

Execution Report - Cancel message is sent in response to Order Cancel Request as well as to report unsolicited cancellation of orders due to:

• Market Operations
• Cancel On Disconnect
• Self-Match Prevention
• CME Globex Credit Controls
• Risk Management API
• CME One

Tag 2422-OrderRequestID is used to tie back responses to request.

Execution Report - New message does not contain these fields:

• Tag 6-AvgPx
• Tag 20-TransType
• Tag 41-OrigClOrdID
• Tag 151-LeavesQty 

Execution Report - Status message is sent in response to Order Status Request or Order Mass Status Request.

• Tag 790-OrdStatusReqID is used to correlate Order Status Request with response.

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.

• Order status response will be 39=0, 1, 2, 4, 5, C and 8 and 150=I.

Execution Report - Status message does not contain these fields:

• Tag 6-AvgPx
• Tag 20-TransType
• Tag 41-OrigClOrdID

The Execution Report - Trade (Outright/Spread/Leg) messages are sent upon fill or partial fill of client order:

• Fill Execution Report only for outright, spread, and spread leg instruments.

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.

• Fill message will contain 39=1 or 2 and 150=F.
• Trade number now in its separate field called tag 1506-SideTradeID instead of embedding in tag 17-ExecID.

Execution Report - Trade (Outright/Spread/Leg) messages  does not contain these fields:

• Tag 6-AvgPx
• Tag 20-TransType
• Tag 41-OrigClOrdID
• Tag 337-ContraTrader 
• Tag 375-ContraBroker
• Tag 442-MultiLegReportingType 

Execution Report - Trade Spread Leg message does not contain these fields:

• Tag 38-OrderQuantity 
• Tag 44-Price 
• Tag 59-TimeInForce 
• Tag 99-Stop Price 
• Tag 110-MinQty 
• Tag 151-LeavesQty
• Tag 548-CrossID
• Tag 549-CrossType
• Tag 1057 AggressorIndicator 
• Tag 1138-DisplayQty
• Tag 2422-OrderRequestID 
• Tag 37711-MDTradeEntryID

The Execution Report - Elimination message is sent at order elimination.

Execution Report - Elimination message does not contain these fields.

• Tag 6-AvgPx
• Tag 20-TransType
• Tag 41-OrigClOrdID
• Tag 151-LeavesQty

The Execution Report - Reject message notifies client system of rejected order.

• Tag 2422-OrderRequestID  is used to tie back responses to requests.

Execution Report - Reject message does not contain these fields:

• Tag 6-AvgPx
• Tag 14-CumQty
• Tag 20-TransType
• Tag 41-OrigClOrdID
• Tag 151-LeavesQty

The Execution Report - Trade Addendum (Outright/Spread/Leg) message notifies client system of trade cancellation or correction for outright, spread, and leg.

• Trade number in separate tag 1506-SideTradeID.
• For Trade Cancel:
  • iLink 2 tag 19-ExecRefID, replaced with iLink 3 tag 1506-SideTradeID.
  • Client systems can use tag 48-SecurityID and tag 527-SecondaryExecID to correlate between Trade Execution Report and Trade Cancellation Execution Reports.
• For Trade Correction:
  • iLink 2 tag 19-ExecRefID replaced with iLink 3 tag 1507-OrigSideTradeID.
  • Client can use tag 48-SecurityID and tag 1507-OriginalSideTradeID in Trade Adjustment Execution Reports to reference back to the original tag 48-SecurityID and tag 1506-SideTradeID in Trade Execution Report for each outright, spread, and spread leg trade. (See example below.)

Example:

• Tag 32-LastQty value will be the quantity of canceled trade.

Execution Report - Trade Addendum Outright/Spread/Legs message does not contain these fields:

• Tag 6-AvgPx
• Tag 20-TransType
• Tag 41-OrigClOrdID
• Tag 14-CumulativeQty 
• Tag 38-OrderQuantity 
• Tag 110-MinQty 
• Tag 1138-DisplayQty 
• Tag 40-OrderType
• Tag 44-Price 
• Tag 99-StopPrice 
• Tag 59-TimeInForce 
• Tag 151-LeavesQuantity 
• Tag 2422-OrderRequestID 
• Tag 432-ExpireDate  
• Tag 1057-AggressorIndicator 

Execution Report - Trade Addendum Spread Leg does not contain these fields: 

• Tag 810-UnderlyingPx
• Tag 811-PriceDelta
• Tag 1188-Volatility
• Tag 1189-TimeToExpiration
• Tag 1190-RiskFreeRate
• Tag 337-ContraTrader 
• Tag 375-ContraBroker
• Tag 432-ExpireDate 
• Tag 442-MultiLegReportingType 
• Tag 548-CrossID 
• Tag 549-CrossType 
• Tag 961-HostCrossID
• Tag 1028-ManualOrderIndicator
• Tag 37711-MDTradeEntryID

iLink 3 Execution Report - Trade Addendum Spread Leg

iLink 3 Order Cancel Reject

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.

• Tag 2422-OrderRequestID is used to tie back responses to requests.

State of the cancel/modification will be represented by tag 39-OrderStatus & tag 434-CxlRejResponseTo:

• Rejection of cancel will be tag 39=U & tag 434=1
• Rejection of modification will be tag 39=U & tag 434 =2

Execution Report - Order Cancel  and Cancel Replace Reject messages do not contain does not contain tag 41-OrigCIOrdID.

iLink 3 Order Cancel Replace Reject

This message is sent in response to an attempt to create a new security definition.

The Security Definition message is used for the following:

• Accept the security defined in a Security Definition Request message
• Accept the security defined in a Security Definition Request message with changes to the definition and/or identity of the security
• Reject the security requested in a Security Definition Request message

Tag 602-LegSecurityID is used for spread leg identification.

The following tags are no longer being used:

• Tag 600-NoLegSymbol
• Tag 620-LegSecurityDesc
• Tag 608-LegCFICode 
• Tag 612-LegStrikePrice
• Tag 610-LegMaturityMonthYear
• Tag 942-LegStrikeCurrency

iLink 3 Mass Quote Acknowledgment

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.

iLink 3 Request for Quote Acknowledgment

Request for Quote Ack message is used in response to a Request for Quote message to either accept it or reject it.

iLink 3 Quote Cancel Acknowledgment

iLink 3 Order Mass Action Report

iLink 3 Party Details Definition Request Acknowledgment

Used to respond to the Party Details Definition Request message indicating whether the request has been accepted.

• Rejects will be communicated using the Business Reject.

The Party Details Definition Request Acknowledgment message will be sent by CME via:

• New Service Gateway for pre-registering administrative information 
• MSGW for On-demand administrative information

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:

• Tag 582-CustOrderCapacity 
• Tag 1816-ClearingAccountType 
• Tag 1693-PartyDetailRole=96 (take up firm)
• Tag 1693-PartyDetailRole=1000 (take up account)

Also depending upon the type of message the amount of information contained in the Party Details Definition Request Acknowledgment could vary; for example:

• On-demand Business Reject: the Party Details Definition Request Acknowledgment that is sent with Business Reject has the least amount of information; i.e. only the Executing Firm PartyDetailRole and Memo will be present.
• On-demand Execution Report: the Party Details Definition Request Acknowledgment that is being sent with Execution Report has a lot more information but it will still not be complete and will be missing fields such as CustOrderCapacity, ClearingAccountType, CmtaGiveUpCD, and Take-Up Firm PartyDetailRole.
• On-Demand Order Cancel Reject/Order Cancel Replace Reject: the Party Details Definition Request Acknowledgment that is being sent with Order Cancel Reject/Order Cancel Replace Reject: has only some information present and other fields will not be present; for example Executing Firm, Customer Account and Take-Up Account PartyDetailRole, Memo and CustOrderHandlingInst will be present.

Tag 1691-PartyDetaiID values on the following Party Detail Roles will be truncated  to the required length from the right:

iLink 3 Party Details List Report

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.

• Tag 1512-TotNoParties will indicate the total number of Party Details List Report messages being returned.
• Tag 893-LastFragment will indicate when the last Party Details List Report message has been sent

Tag 1691-PartyDetaiID values on the following Party Detail Roles will be truncated  to the required length from the right: