iLink 2.X - Minimum Acceptable Audit Trail Elements - Data Definitions and Validation Rules
- Space Sync for Confluence
This table presents the front-end audit trail specifications required to represent data exchanged between a trading system and CME Globex in your front-end audit trail. This data must be captured in .csv.
The order of the columns must be followed in the file submission.
Additional columns may be added at the end of the file for the internal use for the firm.
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Specifications representing each message type supported on CME Globex are available in this section. For further description of data elements to capture on Tier 1, please refer to the iLink 2 Message Specification.Â
Blank table cell = Not Applicable
Position | Columns | To/From CME (Tier 1 component interactions with CME Globex) |
|---|---|---|
1 | Sending Timestamps | Time at which the message leaves the Tier 1 component towards the CME Globex platform. The time stamp must be in UTC Timestamp format (YYYYMMDD-HH:MM:SS.sss) and must have at least millisecond precision. |
2 | Receiving Timestamps | Time at which the message is received by the Tier 1 component from the CME Globex platform. The time stamp must be in UTC Timestamp format (YYYYMMDD-HH:MM:SS.sss) and must have at least millisecond precision. |
3 | Message Direction | Explicit labeling of the direction of the captured message. "TO CME" : for messages leaving Tier 1 component towards the CME Globex platform "FROM CME" : for messages received by Tier 1 component from the CME Globex platform |
4 | Operator ID | Identifier of the operator, who submitted the message or is responsible for its submission. |
5 | Self-Match Prevention ID | Identifier submitted on messages to prevent self-match on CME Globex trading engines. |
6 | Account Number | Trading account number. |
7 | Session ID | Identifier of the iLink Order Entry session. |
8 | Executing Firm ID | Identifier of the Executing Trading Firm submitting the messages to CME Globex. |
9 | Manual Order Identifier | Identifies if the captured message was submitted manually or automatically. |
10 | Message Type | Identifies the type of the message captured. |
11 | Customer Type Indicator | Customer Type Indicator. |
12 | Origin | Origin of the order (customer or Firm). |
13 | CME Globex Message ID | Execution Report identifier. |
14 | Message Link ID | Identifier linking message/data sent from the Tier 2 component to Tier 1 component to CME Globex and, from CME Globex to Tier 1 component to Tier 2 component. (This ID must be generated as part of the audit trail, it is not part of the data captured) This identifier may link 1:1, 1:N or N:1 messages between Tier 1 and Tier 2. This is a "legacy field" and is optional on all messages |
 15 | Order Flow ID | Identifier linking all inbound and outbound messages associated with a New Order Messages. (This ID must be generated as part of the audit trail, it is not part of the data captured). (This ID is not required for Mass Quote related messages.) |
16 | Spread/Leg Link ID | Identifier assigned by CME Globex to legs and spread fill notices and spread trade cancellation to link the messages together. |
17 | Instrument Description | CME Globex-assigned code to uniquely identify a futures or options contract. |
18 | Market Segment ID | CME Globex-assigned code to uniquely identify the trading unit on which a future or options contract trades. |
19 | Client Order ID | Customer-generated code uniquely identifying an order. |
20 | CME Globex Order ID | CME Globex-assigned code uniquely identifying an order. This code does not change regardless of the changes applied to it. |
21 | Buy/Sell Indicator | Side of the order. |
22 | Quantity | Quantity of the order. |
23 | Limit Price | Limit price of the order. |
24 | Stop Price | Stop (trigger) price of the order. |
25 | Order Type | Type of the order: limit, market with protection, market-limit, stop with protection or stop-limit. |
26 | Order Qualifier | Qualifier of the order: day, gtc, gtd, fak |
27 | IFM Flag | Modification flag identifying if in-flight-mitigation functionality is activated or not. |
28 | Display Quantity | Display quantity of an order to be shown in the order book at any given time. |
29 | Minimum Quantity | Minimum quantity of an order to be executed. |
30 | Country of Origin | Location of the operator. |
31 | Fill Price | Price at which the order has been executed. |
32 | Fill Quantity | Quantity at which the order has been executed. |
33 | Cumulative Quantity | Cumulated fill quantity for the order. |
34 | Remaining Quantity | Remaining open quantity on the order book for the order. |
35 | Aggressor Flag | Flag indicating whether the order was the aggressor in the match. |
36 | Source of Cancellation | CME Globex-generated code identifying the source of a cancel when triggered by CME Group. |
37 | Reject Reason | Code or text identifying the reason why an order was rejected. Refer to the child page specifications of the reject message to determine the tag content to include in this field. |
38 | Processed Quotes | Number of quotes successfully acknowledged or cancelled. |
39 | Cross ID | Customer-generated code uniquely identifying an order Cross (RFC). |
40 | Quote Request ID | Customer-generated code uniquely identifying a Request for Quote (RFQ). |
41 | Message Quote ID | Customer-generated code uniquely identifying a Mass Quote message. |
42 | Quote Entry ID | Customer-generated code uniquely identifying a Quote in a Mass Quote message. |
43 | Bid Price | Bid price of quote. |
44 | Bid Size | Bid quantity of quote. |
45 | Offer Price | Offer price of quote. |
46 | Offer Size | Offer quantity of quote. |
Additional columns implemented for trading system needs. Ignored by CME Market Regulation. | ||
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