iLink Request for Cross

548

CrossID

uInt64

8

Y

Identifier for a cross order. Must be unique during a given trading day.

2422

OrderRequestID

uInt64

8

Y

Use OrderRequestID to identify a request to enter a cross order. Echoed back on the Execution Report.

1028

ManualOrderIndicator

ManualOrdIndReq

1

Y

• 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

9726

SeqNum

uInt32

4

Y

Sequence number assigned to this message.

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

5392

SenderID

String20Req

20

Y

For futures and options markets: represents Operator ID.

For EBS and fixed income markets: represents the Entering Trader. For EBS this value must be 3 characters.

This value represents the individual or team submitting the message and is subject to registration requirements and character limits as required by Rule 576 and the Advisory below: 

https://www.cmegroup.com/rulebook/files/cme-group-Rule-576.pdf

In FirmSoft and Global Command Center queries for order status and cancellations, this value must be exact.

40

OrdType

CrossOrdType

0

Y

• OrdType=2 (Limit order)

Only ‘2’ (limit order) supported.

Constant value.

549

CrossType

CrossType

0

Y

• CrossType=3

• CrossType=20

• CrossType=21

3- A cross order which is executed on one side with any unfilled quantity remaining active.

20 - R-Cross (RFQ + RFC Cross)

21 - C-Cross (Committed Cross)

550

CrossPrioritization

CrossPrioritization

0

Y

• CrossPrioritization=0 (None)

Indicates if one side of the cross order should be prioritized.

Constant value.

44

Price

PRICE9

8

Y

Conditionally required when tag 40-OrdType=2 (Limit).

5297

SendingTimeEpoch

uInt64

8

Y

Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.

9537

Location

String5Req

5

Y

ISO identifier of the physical location of the individual or team head trader identified by the tag 5392 (SenderID) in the message.

The first two bytes as per ISO 3166-1, identify the country (e.g., JP = Japan, CN = China).

The next three bytes indicate a comma-delimited state or province code (e.g., CA = California, QC = Quebec).

For valid values, refer to CME - FTP . 

Market Regulation requires only the submission of the two first characters of tag 9537-Location for all countries with the exception of Canada. For Canada, the 5 bytes including the province code must be submitted.

48

SecurityID

Int32

4

Y

Security ID as defined in the market data Security Definition message.

552

NoSides

groupSize

3

Y

• minValue=2

• maxValue=2

Number of Side repeating group instances.

2=Both Sides

→11

CIOrdID

String20Req

20

Y

Unique identifier for Order as assigned by the buy side (institution, broker, intermediary, etc.). 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; for example, by embedding a date within the ClOrdID field.

→1505

PartyDetailsListReqID

uInt64

8

Y

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:

• Party Details Definition Request Ack message would have been sent beforehand and that unique ID should be provided here

• PartyDetailsListRequestID≠0.

For on-demand messages:

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

• PartyDetailsListRequestID=0.

→38

OrderQty

uInt32

4

Y

Order quantity. Must be the same for both sides.

→54

Side

SideReq

1

Y

• Side=1 (Buy)

• Side=2 (Sell)

Side of order.

→962

SideTimeInForce

SideTimeInForce

1

Y

• SideTimeInForce=0 (Day)

• SideTimeInForce=3 (FAK)

Indicates how long the order as specified in the side stays in effect. SideTimeInForce allows a two-sided cross order to specify order behavior separately for each side.