iLink 2 Execution Report - Reject

iLink 2 Standard Header - CME Globex to Client System

MsgType

String(2)

8=Execution Report

Y

Header tag identifying message type.

1

Account

String(12)

Y*

Unique account identifier.

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.

6

AvgPx

Price(20)

0

Y

Always '0'.

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.

14

CumQty

Int(9)

Y

Contains cumulated traded quantity throughout lifespace of an order.
This value does not reset if order is cancel/replaced.

17

ExecID

String(40)

Y

CME Globex assigned execution report message identifier; globally unique for each message published.

20

ExecTransType

Char(1)

0=New

Y

Identifies transaction type as 'new' (i.e. new order, order cancel or cancel replace accepted).

37

OrderID

String(17)

Y

CME Globex assigned order identifier; globally unique for each message published.

38

OrderQty

Int(9)

Y*

Order quantity submitted by client.
The format of this field is different from FIX protocol specifications.
This field must be an integer.

39

OrdStatus

Char(1)

8=Rejected

Y

Order status.

40

OrdType

Char(1)

1=Market order (with protection)
2=Limit order
3=Stop order (with protection)
4=Stop-Limit order
K=Market-Limit order

Y*

Order type. See additional information in  Order Management.

The state of an order typee can change over the life of the order. For example, a submitted stop order (3) can turn into a market order (1) when the stop price level has been crossed.

See Order Types for Futures and Options for more information.

41

OrigClOrdID

String(20)

N

Original Client Order ID. Refer to iLink - CME Globex Identifiers for more information.

44

Price

Price(20)

N

Price per unit of quantity.

48

SecurityID

Int(12)

Y*

Security ID.

54

Side

Char(1)

1=Buy
2=Sell

Y

Side of order.

55

Symbol

String(6)

Y

This tag contains the instrument Group Code.

58

Text

String(200)

N

Free format text string.

See Futures and Options Reject Codes for more information.

59

TimeInForce

Char(1)

0=Day
1=Good Till Cancel (GTC)
3=Fill and Kill
6=GoodTill Date (GTD)

Y*

Specifies how long the order remains in effect. If not present, DAY order is the default.

For GTD, ExpireDate is required.

For FAK, MinQty can also be specified.

See Order Types for Futures and Options and Order Management for more information.

60

TransactTime

UTCTimestamp(21)

N

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

78

NoAllocs

Char(1)

1

N

Returned on Execution Report if sent on inbound message.

79

AllocAccount

String(11)

N

Returned on Execution Report if sent on inbound 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.

99

StopPx

Price(20)

N

Designates stop trigger price specified by the individual entering the order or cancel/replace.

103

OrdRejReason

Int(6)

N

Designates the order reject reason.

107

Securitydesc

String(20)

Y*

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

150

ExecType

Char(1)

8=Reject Ack

Y

Indicates type of execution report.

151

LeavesQty

Int(9)

0

Y

Amount of contract units open for further execution. Always = 0 for the reject.

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.

432

ExpireDate

LocalMktDate(8)

C

Required only if tag 59-TimeInForce=Good Till Date (GTD).
CME Globex does not support tag 126-ExpireTime.
Only the expiration date can be set.
Orders expire at the end of the trading session of the specified date.

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.

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

Y

Defines source of original order.

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.

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.