iLink 3 Execution Report - Trade Outright

Sequence number assigned to this message.

The max value is 999999999 which is 1 short of 1 billion.

Globally unique identifier for each Execution Report message assigned by exchange.

Unique identifier for Order as assigned by client system. Uniqueness must be guaranteed within a single trading day.

Firms, particularly those which electronically submit multi-day orders, trade globally, or throughout market close periods, should ensure uniqueness across days.

The unique identifier of the Party Details Definition Request Acknowledgment associated with this message; this is the value submitted on the inbound message.

For pre-registered messages:

• Unique ID from Party Details Definition Request Acknowledgment message
• PartyDetailsListRequestID≠0.

For on-demand messages:

• If not registered beforehand through iLink then Party Details Definition Request message will be sent along with the business message and will immediately precede it
• PartyDetailsListRequestID=0.

31

LastPx

PRICE9

8

Globally unique identifier for each order assigned by the exchange.

OrderRequestID used to identify a request to enter, modify, or delete an order. Echoed back on the Execution Report.

For the unsolicited events (e.g. fills and end of day eliminations), echo the value on the ExecutionReport representing the last accepted OrderRequestID on the corresponding order.

Unique identifier linking spread summary fill notice with leg fill notice and trade cancel messages.

To uniquely identify each fill, Client System can concatenate: OrderID (37) + TradeDate (75) + SecExecID (527) 

Host-assigned entity ID used to reference all components of a Cross: sides + strategy + legs.

The HostCrossID also links components of the Cross order. For example, each individual Execution Report associated with the order will contain HostCrossID to tie them to the original Cross order.

Number of shares or contracts ordered.

Quantity open for further execution.

Only present for outrights and spreads, not spread legs. 

Indicates date of trading day (expressed in local time at place of trade).

Sent in number of days since Unix epoch.

Date of order expiration (last day the order can trade), always expressed in terms of the local market date.

Sent in number of days since Unix epoch.

• OrdStatus=1 (Partially Filled)
• OrdStatus=2 (Filled)

ExecType=F (Trade)

Describes the specific Execution Report (e.g. Cancel) while tag 39-OrdStatus will always identify the current order status (e.g. Partially Filled).

Constant value.

• OrdType=1 (Market order with protection)
• OrdType=2 (Limit order)
• OrdType=4 (Stop limit order)
• OrdType=K (Market limit order)

• Side=1 (Buy)
• Side=2 (Sell)

• TimeInForce=0 (Day)
• TimeInForce=1 (GTC)
• TimeInForce=3 (FAK)
• TimeInForce=4 (FOK)
• TimeInForce=6 (GTD)
• TimeInForce=99 (GFS)

Specifies how long the order remains in effect

FOK is supported only for BrokerTec/EBS

GFS is supported only for EBS

• 0=Automated
• 1=Manual

Indicates if the message was initially received manually.

'0' indicates the message was generated by automated trading logic.

iLink messages containing a value other than '0' or '1' in this tag will be rejected.

This tag is subject to Rule 536.B.2 Electronic Audit Trail Requirements for Electronic Order Routing/Front-End Systems.

https://www.cmegroup.com/rulebook/files/cme-group-Rule-536-B-Tag1028.pdf

• 0=False
• 1=True

Flags message as possible retransmission or duplicate

Indicates if message is an original transmission or duplicate in response to Retransmission Request or possible duplicate

Used when original messages are interleaved with Retransmission responses

Possible duplicate means the same message may have been sent again with different sequence number

1057

AggressorIndicator

• AggressorIndicator=0 (No)
• AggresorIndicator=1 (Yes)

Indicates if order was incoming or resting for the match event.

• CrossType=3

Type of Cross submitted to the market (if in response to a Cross order).

• Bit 0=AON
• Bit 1=Only Best
• Bit 2=Not Held

Instructions for order handling for fixed income markets.

Only Best may be applied to resting and aggressing orders and:

• Prevents submission of an order if the order’s price is not equal to or better than the best price on the book.
• Cancels an order from the book if a new order with a better price enters the queue.
• This order condition permits the order to be alone at the best price level or join other orders at the best price level.

Not Held (applies only to US Repo) eliminates quantity remaining from an FaKi order (tag 59=3) and ensures it will it not be included in a work-up session; however, the order can still trigger a work-up session.

AONs will have a separate book with a separate ISIN. The AON orders that cannot trade immediately can rest in the AON book. They can only trade with AON orders on the other side of the AON book that have the SAME PRICE and SAME QUANTITY.

Applicable only for BrokerTec Markets; should not be used for future and options markets.

• A=Aggressive
• P=Passive

Instruction for whether the order should rest on the book upon entry or match as an aggressor.

A Passive Order will rest in the market without executing unless matched with an Aggressive Order on the other side.

An Aggressive Order will match against any other order on the opposite side.

Applicable for US & EU Repos.

• 0=False
• 1=True

Indicates if an order was submitted for market making obligation as required for MIFID.

Applicable only for EU BrokerTec and EBS MiFID.

• 0=False
• 1=True

Boolean: flags a managed order.

Applicable only to Repo fixed income markets.

• 0=Long Sell
• 1=Short Sale With No Exemption (SESH)
• 2=Short Sale With Exemption (SSEX)
• 3=Undisclosed Sell (Information not available – UNDI)

Specifies the owner of the work up private phase.

• 0 – Aggressive owner included in workup
• 1 – Passive owner included in workup
• 2 – Aggressive owner fill price from order excluded from workup during sweep
• 3 – Passive owner fill price from order excluded from workup during sweep
• 9 - Not Applicable

The discretion price of an order. Conditionally required if  the trader wishes to display one price but will accept trades at another price)

• The discretion price for a bid must be greater than the shown Limit price (e.g. Buy order: tag 44-Price = 115.05; tag 845-DiscretionPrice = 115.06)
• ​The discretion price for an ask must be less than the shown Limit price (e.g. Buy order: tag 44-Price = 115.05; tag 845-DiscretionPrice = 115.04)

Applicable only for EBS.

• 1000=Trade at Fixing

• ExecRestatementReason=8 (Exchange) 

Total amount traded (in notional) in counter currency for the Spot

Specifies the number of fill reasons included in this Execution Report.

Maximum number of fill reasons is 6.

0 – Future Hedge

1 – Pro Rata

2 – LMM

3 – TOP

4 – FIFO

5 – Cross BMG

8 – Covering

9 – Cross BPM

10 – Leveling

11 – Aggressor

14 – Leg

16 – Opening

18 – Implied Opening

19 – FIFO Percent

22 – Institutional Prioritization

23 - Price Discretion

24 (LOS)

Number of fills which comprise fill quantity.   

The maximum number of fills is configured 100.

Applicable for BrokerTec and EBS Market only.

Will not be present for BrokerTec US; will be populated with the firm ID of the opposite order for BrokerTec EU bilateral trades.

• 4=Partially Filled
• 5=Filled

• 100=Binary Trade Reporting

Currently not supported.

This field specifies the highest (for a buy) or lowest (for a sell) price at which the order may trade. This price must be better than the limit price and should be a multiple of reservation price tick.

• Tag 638=100 (Large Order Size Priority)
• Tag 638=101 (Standard Order Size Priority)

Indicates whether an incoming New Order/Cancel-Replace entered the book or subsequently rests on the book with Large Order Size or Standard Order Size priority.

8

Currently not supported.

The price at which opposite side orders are listed on the market. Sent only in fill messages for reservation price orders.