iLink 3 Execution Report Pending Replace

9726

SeqNum

uInt32

4

Y

Sequence number of this message.

39001

UUID

uInt64

8

Y

Matches Establish.UUID used to establish the connection.

17

ExecID

String40

40

Y

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

5392

SenderID

String20Req

20

Y

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.

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 PartyDetailsDefinitionRequestAck attached to this message; pancake flip of what was submitted on inbound message.

For short messages:

• PartyDetailsDefinitionRequestAck message would have been sent beforehand and that unique ID should be provided here

• PartyDetailsListReqID≠0

For long messages:

•  

  • If not registered beforehand through iLink then PartyDetailsDefinitionRequestAck message will be sent along with the business message and will immediately precede it

  • PartyDetailsListReqID=0

37

OrderID

uInt64

8

Y

Globally unique identifier for each order assigned by the exchange.

44

Price

PRICE9

8

Y

Price per share or contract.

60

TransactTime

uInt64

8

Y

Time the transaction represented by this ExecutionReport (35=8) occurred. Expressed as nanoseconds since epoch time.

5297

SendingTimeEpoch

uInt64

8

Y

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

2422

OrderRequestID

uInt64

8

Y

OrderRequestID used to identify a request to enter, modify or delete an order and echo the value on the ExecutionReport.

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 https://www.cmegroup.com/ftp/fix/coo/ 

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 by CME. For the security ID list, see the security definition messages.

38

OrderQty

uInt32

4

Y

Number of shares or contracts ordered.

14

CumQty

uInt32

4

Y

Total quantity filled.

Will be set to 0 for OFMOverride=0 (Disabled).

Will be set to total quantity filled for OFMOverride=1 (Enabled).

151

LeavesQty

uInt32

4

Y

Quantity open for further execution.

Only present for outrights and spreads, not spread legs. 

110

MinQty

uInt32NULL

4

N

Minimum quantity of an order for immediate execution.

If populated, the value of MinQty must be between 1 and the value in tag 38-OrderQty. If set to the default null value, order is not evaluated for minimum quantity execution.

If the quantity present in tag 110 cannot be immediately executed, the entire order is eliminated.

For EBS, this is the notional value instead of the lot size.

1138

DisplayQty

uInt32NULL

4

N

The quantity to be displayed. Required for iceberg orders. On orders, specifies the qty to be displayed; on execution reports the currently displayed quantity.

432

ExpireDate

LocalMktDate

2

Y

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

Default: days since Unix epoch. Range: Jan. 1, 1970 - June 7, 2149 local

39

OrdStatus

PendModStatus

0

Y

• OrdStatus=E (Pending Replace)

Identifies status of order as subject to pending replace.

Constant value.

150

ExecType

ExecTypePendModify

0

Y

• ExecType=E (Pending Replace)

Describes the specific ExecutionRpt as subject to pending cancellation.

Constant value.

40

OrdType

OderType

1

Y

• OrdType=1 (Market order with protection)

• OrdType=2 (Limit order)

• OrdType=4 (Stop limit order)

• OrdType=K (Market limit order)

Order type.

54

Side

SideReq

1

Y

• Side=1 (Buy)

• Side=2 (Sell)

Side of order.

59

TimeInForce

TimeInForce

1

Y

• 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.

1028

ManualOrderIndicator

ManualOrdIndReq

1

Y

• 0=Automated

• 1=Manual

Indicates if order was sent manually or generated by automated trading logic.

9765

PossRetransFlag

BooleanFlag

1

Y

• 0=False

• 1=True

Flags message as possible retransmission or duplicate.

This will convey whether a message is an original transmission or duplicate in response to RetransmissionRequest.

This will become pertinent when original messages get interleaved with Retransmission responses.

Possible duplicate means that same message could have been sent again with different sequence number.

9553

SplitMsg

SplitMsg

1

N

• 0=Split Msg Delayed

• 1=Out of Order Msg Delayed

• 2=Complete Msg Delayed

Indicates whether a message was delayed as a result of being split among multiple packets (0) or if a message was delayed as a result of TCP re-transmission (1) or if a complete message was delayed due to a previously submitted split or out of order message (2). If absent then the message was not delayed and was neither split nor received out of order.

9373

LiquidityFlag

BooleanNULL

1

N

• 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.

5409

ShortSaleType

ShortSaleType

1

N

• 0=Long Sell

• 1=Short Sale With No Exemption (SESH)

• 2=Short Sale With Exemption (SSEX)

• 3=Undisclosed Sell (Information not available – UNDI)

Indicates the type of short sale on Sell orders only as required for MiFID.

Should not be used for Buy orders.

Applicable only for EU MiFID.

7552

DelayToTime

uInt64NULL

8

N

Indicates the amount of time that a message was delayed as a result of being split (9553=0) or as a result of being out of order due to TCP retransmission (9553=1) or as a result of being queued behind a split message (9553=2).

Represented as number of nanoseconds in unix epoch format (since Jan 1, 1970).

Subtracting this number from Tag 60 will represent original received time of delayed message.

845

DiscretionPrice

PRICENULL9

8

N

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.

638

PriorityIndicator

ulnt8NULL

1

N

• 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.