Order Mass Action Report - Audit Trail Requirements
- Space Sync for Confluence
The Order Mass Action Report message submitted by CME Globex must be decomposed into its confirmed cancelled orders. The Audit Trail must include one line item per cancelled order.
Blank table cell = Not Applicable
Position | Field Name | TO/FROM CME (Tier 1 component interactions with CME Globex) | Associated iLink Tag |
|---|---|---|---|
2 | Receiving Timestamps | Presence: Mandatory for all architectures Format: UTC Timestamp Value: YYYYMMDD-hh:mm:ss.sss populated minimally at millisecond precision. | 60 - Transact Time |
3 | Message Direction | Presence: Mandatory Format: String Value: "FROM 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: _ - : @ . + ( ) / \ | 57 - TargetSubID |
5 | Self-Match Prevention ID | Presence:Mandatory if present in captured message. Format: String | 7928 - SelfMatchPreventionID |
6 | Account Number | Presence: Mandatory if present in captured message. Format: String | Tag 1 - Account |
7 | Session ID | Presence: Mandatory Format: String Value: Exactly 3 Characters | 56 - TargetCompID |
8 | Executing Firm ID | Presence: Mandatory Format: String Value: Exactly 3 Characters | 56 - TargetCompID |
9 | Manual Order Identifier | Presence: Mandatory Format: String Value: 'Y' or 'N' | 1028 - ManualOrderIndicator |
10 | Message Type | Presence: Mandatory Format: String Value: BZ/1, BZ/9 and BZ/10 | 35 - MsgType / 1374 - MassActionScope |
14 | Message Link ID | Presence: Optional Format: String Value: Must only contain letters, numbers and/or the following characters: _ - : @ . + ( ) / \ Must be unique within the audit trail file | N/A - This identifier exists only in the audit trail. |
15 | Order Flow ID | ||
17 | Instrument Description | Presence: Mandatory if present in captured message. Format: String Value: Must follow CME Group instrument code nomenclature. | 107 - SecurityDesc or tag 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. | 50 - SenderSubID |
19 | Client Order ID | Presence: Mandatory if present in captured message. Format: String Value: Must only contain letters, numbers and/or the following characters: !"#$%&'()*+,-./: ;<=>?@[\]^_`{|}~ This field should capture the ClOrdID of the Mass Order Cancel (not the PrigClOrdID from the order being cancelled) Must not be used for any other Client Order ID from customer-generated messages in the file. | 11 - ClOrdID |
20 | Globex Order ID | Presence: Mandatory if present in captured message Format: String | 535 - AffectedOrderID |
21 | Buy/Sell Indicator | Presence: Mandatory if present in captured message. Format: Integer Value: 1 or 2 | 54 - Side |
22 | Quantity | Presence: Mandatory if present in captured message. Format: Integer | 38 - Quantity |
25 | Order Type | Presence: Mandatory if present in captured message. Format: String Value: 1, 2, 3, 4 or K | 40 - OrderType |
26 | Order Qualifier | Presence: Mandatory if present in captured message. Format: Integer Value: 0, 1, 3 or 6 | 59 - TimeInForce |
30 | Country of Origin | Presence: Mandatory Format: String Value: Must follow ISO standard. | 143 - SenderLocationID |
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