iLink 2 Quote Acknowledgment

iLink 2 Standard Header - CME Globex to Client System

MsgType

String(2)

b=Quote Acknowledgment

Y

Header tag identifying message type.

131

QuoteReqID

String(23)

C

Conditionally required when acknowledgment (tag 35-MsgType=b) is in response to a Quote Request (tag 35-MsgType=R) message. Will contain the tag 131-QuoteReqID value from the corresponding Quote Request.

297

QuoteAckStatus

Int(2)

0=Accepted
5=Rejected

Y

Indicates acceptance or rejection of Mass Quote.

9770

ExchangeQuoteReqID

String(23)

N

CME Globex generated QuoteID.

117

QuoteID

String(10)

C

Conditionally required when acknowledgment (tag 35-MsgType=b) is in response to a Mass Quote (tag 35-MsgType=i) or Mass Quote Cancel (tag 35-MsgType=Z) message. Will contain the tag 117-QuoteID value from the corresponding Mass Quote or Mass Quote Cancel message.

300

QuoteRejectReason

Int(6)

1=Unknown symbol (security)
2=Exchange (Security) closed
3=Quote request exceeds limit
5=Unknown quote
6=Duplicate quote
7=Invalid bid/ask spread
8=Invalid price
9=Not authorized to quote security
20=Too many rejects and cancel group code*
98=Market maker protection*
99=Missing account number or 'other' reason*
*CME defined value

N

Contains reason (error code) the corresponding Mass Quote message has been rejected. When this tag is returned, all quotes in the corresponding Mass Quote message are rejected.

7928

SelfMatchPreventionID

String(12)

N

This tag is required when market participants elect to use the optional Self Match Prevention functionality and will be returned on the Quote Acknowledgment.

9771

MMAccount

String(12)

Y*

Tag 9771-MMAccount of the corresponding Mass Quote message.

Note: This tag value is always uppercase, regardless of the case in the inbound message tag. Client systems are not required to submit capitalized account values to CME Globex.

9772

NoProcessedEntries

Int(5)

Y*

In response to tag 35-MsgType=i.
Number of quotes that have been accepted from the corresponding inbound message, e.g. 0=all quotes rejected.

9773

MMProtectionReset

Char(1)

N

This tag is sent and set to 'Y' on the first quote acknowledgment sent after Mass Quote Protection reset.

58

Text

String(200)

Will contain text accompanying quote reject reason value given in tag 300-QuoteRejectreason

N

Reason (error text) the message has been rejected.

1028

ManualOrderIndicator

Boolean(1)

Y=manual
N=automated

Y*

Value sent on inbound message from client system indicating the order as sent manually or generated by automated trading logic.

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.

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).

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.

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.

296

NoQuoteSets

Int(2)

Y

The number of quote sets that follow in this message.

→302

QuoteSetID

String(3)

C

Tag 302-QuoteSetID contains invalid quotes in the corresponding Mass Quote message.

Present only for quote-level reject.

→304

TotQuoteEntries

Int(3)

C

Always identifical to tag 295-NoQuoteEntries.

Present only for quote-level reject.

→295

NoQuoteEntries

Int(3)

C

Number of invalid quotes for this underlying contract (Quote Set).

Present only for quote-level reject.

→→299

QuoteEntryID

String(10)

C

Uniquely identifies a quote.

Present only for quote-level reject.

→→55

Symbol

String(6)

N

Group code.

→→107

SecurityDesc

String(20)

N

Instrument identifier.
Option Example: GEZ9 C9375

→→167

SecurityType

String(3)

OPT=Option

N

Indicates instrument is an option.

→→48

SecurityID

Int(12)

N

Identifier of the instrument defined in tag →→ 107.

→→22

SecurityIDSource

Char(1)

4=ISIN number

N

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

'4' sent for negative acknowledgment

→→368

QuoteEntryRejectReason

Int(4)

See table below.

C

Reason (error code) quote has been rejected.

Present only for quote-level reject.

5979

RequestTime

Int(20)

Y

Information carried on a response to convey the time (UTC) when the request was received by the MSGW application. UTC timestamps are sent in number of nanoseconds since UNIX epoch with microsecond precision.

5904

DelayDuration

Int

N

Indicates the amount of time in nanoseconds that a message was subject to additional processing as a result of being:

• split among multiple packets (tag 9553=0)

• out-of-order (tag 9553=1)

• a previously submitted split message (tag 9553=2)

Subtracting this number from tag 5979-RequestTime will represent original received time of in-flight message

9553

SplitMsg

Int(1)

0 – Split message 

1 – Out-of-order message 

2 – Complete message 

N

Indicates whether a message was subject to additional processing as a result of being:

• split among multiple packets (0)

• out-of-order (1)

• a previously submitted split message (2)

If absent, then the message was not subject to additional processing.

iLink 2 Standard Message Trailer

End of message.