iLink 2 New Order Cross

iLink 2 Standard Header - Client System to CME Globex

MsgType

Sting(2)

s=New Order Cross

Y

Header tag identifying message type.

21

HandInst

Char(1)

1=Automated execution

N

Order submitted for automated matching on CME Globex.

22

SecurityIDsource

Char(1)

8=Exchange symbol

N

Identifies class or source of the tag 48-SecurityID value.

40

OrdType

Char(1)

2=Limit order

Y

Only '2' (limit order) supported.

44

Price

Price(20)

Y

Required for limit or stop-limit orders. Designates the price per single contract unit. The decimal, and if applicable the negative sign of the price are each one character. Client systems should not supply more than 9 characters to the left and 9 characters to the right of the decimal.

See Fractional Pricing for products that tick fractionally but must be submitted in decimal.

48

SecurityID

Int(12)

N

Identifier of the instrument defined in tag 107-SecurityDesc.

55

Symbol

String(6)

Y

This tag contains the Group Code of the instrument.

60

TransactTime

UTCTimestamp(21)

Y

UTC format YYYYMMDD-HH:MM:SS.sss
e.g. 20091216-19:21:41.109

1028

ManualOrderIndicator

Boolean(1)

Y=manual
N=automated

Y*

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

Note: iLink messages containing a value other than 'Y' or 'N' 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.

107

SecurityDesc

String(20)

Y*

Instrument identifier.
Future Example: GEZ8
Option Example: GEZ9 C9375

167

SecurityType

String(6)

FUT=Future

OPT=Option

IRS=Interest Rate Swap

FXSPOT=FX Spot

N

Indicates instrument is future or option.

Note: for options strategy including UDS COMBO or COVERED, send OPT.

For UDS Futures, send FUT.

548

CrossID

String(32)

Y

Client system populates this tag to allow linking of Buy and Sell sides (and all legs in the case of a spread) for related Execution Reports.

549

CrossType

Int(2)

3=Cross trade executed
with existing orders

Y

Identifies transaction type.

550

CrossPrioritization

Int(1)

0=None

Y

Always '0'.

483

TransBkdTime

UTCTimestamp(21)

Y

Indicates the time at which the order was finalized between the buyer and seller prior to submission.

UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

552

NoSides

Int(1)

2

Y

Number of sides. Always '2'.

→54

Side

Char(1)

1=Buy
2=Sell

Y

Side of order.

→1

Account

String(12)

Y*

Executing account mnemonic as agreed between the broker and clearing member firm.

→11

ClOrdID

String(20)

Y

Unique order identifier assigned by client system.
Client system must maintain uniqueness of this value for the life of the order.

Refer to iLink - CME Globex Identifiers for more information.

→1031

CustOrderHandlingInst

String(1)

W - Desk

Y - Electronic (Default)

C - Vendor-provided Platform billed by Executing Broker

G - Sponsored Access via Exchange API or FIX provided by Executing Broker

H - Premium Algorithmic Trading Provider billed by Executing Broker

D - Other, including Other-provided Screen

N

Defines source of original order.

→38

OrderQty

Int(9)

Y

Order quantity. Must be a positive integer.
Must be the same for both sides.

→962

SideTimeInForce

Char(1)

0=Keep on book
3=Eliminate remaining quantity when RFC instrument state returns to 'Normal'

N

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.

→204

CustomerOrFirm

Int(1)

0=Customer
1=Firm

Y*

The type of business conducted.

→9702

CtiCode

Char(1)

1=CTI 1

2=CTI 2

3-CTI 3

4=CTI 4

Y*

Customer Type Indicator (CTI)

For electronic trading CTI codes are defined as:

• CTI 1: Applies to orders entered or trades executed by an individual member for their own account, for an account they controls, or for an account in which they have an ownership or financial interest. However, transactions initiated and executed by a member for the proprietary account of a member firm must be designated as CTI 2 transactions.

• CTI 2: Applies to orders entered or trades executed for the proprietary accounts of a member firm, including Rule 106.H., I., N., R. and S. firms.

• CTI 3: Applies to orders entered by a member or a nonmember terminal operator for the account of another individual member or an account controlled by such individual member.

• CTI 4: Applies to all orders and transactions not included in CTI categories 1, 2, or 3. These typically are orders entered by or on behalf of nonmember entities.

This tag is subject to Rule 536.D Customer Type Indicator (CTI) Codes and to 536.B.2 Electronic Audit Trail Requirements for Electronic Order Routing/Front-End Systems.

If you are unsure of which value to use, contact CME Group Market Regulation.

→1731

AvgPxGroupID

String(20)

N

Used to identify account numbers or orders for grouping trades together for average price calculations.

If incoming value is greater than max length, iLink will return the right-most twenty bytes.

Note: For Request for Cross (“RFC”) order, customers can submit tag 819, tag 1731, and tag 1598 on each buy and sell repeating group. Each acknowledgment and execution report for the buy and the sell orders will contain the corresponding tag values from the correct buy and sell repeating group.

→1598

ClearingTradePriceType

String(1)

0 – Trade Clearing at Execution Price
1 – Trade Clearing at Alternate Clearing Price

N

Indicates whether spread differential trade is clearing at execution price (tag 31-LastPx) or alternate clearing price (i.e. previous day’s settlement price).

Note: For Request for Cross (“RFC”) order, customers can submit tag 819, tag 1731, and tag 1598 on each buy and sell repeating group. Each acknowledgment and execution report for the buy and the sell orders will contain the corresponding tag values from the correct buy and sell repeating group.

→819

AvgPXIndicator

Int(3)

0 – No Average Pricing (Default)
1 – Trade is part of an Average Price Group Identified by the AvgPxGroupID
3 - Notional Value Average Pricing with Average Price Group Identified by the AvgPxGroupID

N

Indicates if the resulting trade is to be average priced.

This tag is also used to indicate type of average price grouping.

Note: For Request for Cross (“RFC”) order, customers can submit tag 819, tag 1731, and tag 1598 on each buy and sell repeating group. Each acknowledgment and execution report for the buy and the sell orders will contain the corresponding tag values from the correct buy and sell repeating group.

→5149

Memo

String(75)

N

Allows users to submit a free-form Note tag with a customer order and persists from order entry through clearing

Note: if tag 5149-Memo value on inbound messages exceeds the max length of 75 bytes, iLink will return a truncated 75 bytes from the right on the response.

Note: For Request for Cross (“RFC”) order, customers can submit tag 5149 on each buy and sell repeating group. Each acknowledgment and execution report for the buy and the sell orders will contain the corresponding tag 5149 value from the correct buy and sell repeating group.

→78

NoAllocs

Char(1)

1

N

Always set to '1'.

Indicates the number of give up accounts. CME Globex supports only 1 give up account.

Must be used in conjunction with tag 9708-CmtaGiveupCD, tag 9707-GiveupFirm and tag 79-AllocAccount.

→79

AllocAccount

String(11)

N

Indicates a give up account number.

Must be used in conjunction with tag 9708-CmtaGiveupCD, tag 9707-GiveupFirm and tag 78-NoAllocs.

iLink 2 Standard Message Trailer

End of message.