iLink 3 Security Definition Request

1505

PartyDetailsListReqID

uInt64

8

Y

The unique identifier of the Party Details Definition Request Acknowledgment associated with this message; this is the value submitted on the inbound message.

For pre-registered messages:

• Unique ID from Party Details Definition Request Acknowledgment message

• PartyDetailsListRequestID≠0.

For on-demand messages:

• If not registered beforehand through iLink then Party Details Definition Request message will be sent along with the business message and will immediately precede it

• PartyDetailsListRequestID=0.

320

SecurityReqID

uInt64

8

Y

Unique ID of a Security Definition Request.

1028

ManualOrderIndicator

ManualOrdIndReq

1

Y

• 0=Automated

• 1=Manual

Indicates if the message was initially received manually.

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

iLink messages containing a value other than '0' or '1' 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.

https://www.cmegroup.com/rulebook/files/cme-group-Rule-536-B-Tag1028.pdf

9726

SeqNum

uInt32

4

Y

Sequence number assigned to this message.

The max value is 999999999 which is 1 short of 1 billion.

5392

SenderID

String20Req

20

Y

For futures and options markets: represents Operator ID.

For EBS and fixed income markets: represents the Entering Trader. For EBS this value must be 3 characters.

This value represents the individual or team submitting the message and is subject to registration requirements and character limits as required by Rule 576 and the Advisory below: 

https://www.cmegroup.com/rulebook/files/cme-group-Rule-576.pdf

In FirmSoft and Global Command Center queries for order status and cancellations, this value must be exact.

321

SecurityReqType

SecurityReqType

0

Y

• SecurityRequestType=1

Type of Security Definition Request.

Constant value.

5297

SendingTimeEpoch

uInt64

8

Y

Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.

762

SecuritySubType

String8Req

8

Y

• COMBO

• COVERED

• REPO

Identifies specific type of UDS; valid values are COMBO, COVERED, and REPO.

9537

Location

String5Req

5

Y

ISO identifier of the physical location of the individual or team head trader identified by the tag 5392 (SenderID) in the message.

The first two bytes as per ISO 3166-1, identify the country (e.g., JP = Japan, CN = China).

The next three bytes indicate a comma-delimited state or province code (e.g., CA = California, QC = Quebec).

For valid values, refer to https://www.cmegroup.com/ftp/fix/coo/. 

Market Regulation requires only the submission of the two first characters of tag 9537-Location for all countries with the exception of Canada. For Canada, the 5 bytes including the province code must be submitted.

916

StartDate

LocalMktDate

2

N

Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral.

917

EndDate

LocalMktDate

2

N

End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral.

37715

MaxNoOfSubstitutions

uInt8NULL

1

N

Max number of substitutions allowed. The value of 0 indicates that substitutions are not allowed.

Applicable for US Repos.

5677

SourceRepoID

Int32NULL

4

N

Represents the source Repo instrument on which the new Repo should be modeled.

6651

BrokenDateTermType

uInt8NULL

1

N

Currently not supported.

Defines how user defined tailor made repo contract is to be broken down into different broken dates.

555

NoLegs

groupSize

3

Y

• minValue=2

• maxValue=40

UDS cannot exceed supported max number of legs.

• UDS on options - 40 legs

• Recursive UDS - no more than 40 instruments that make up the Recursive

• UDS on futures - 40 legs

Will be set to 0 for REPO

• An iLink Security Definition Request (tag 35-MsgType=c) is rejected as "'Too Many Legs for combo combo: <option/future leg count> Max: <max option/future leg>" due to tag 555 is more than 40

• An iLink Security Definition Request (tag 35-MsgType=c) is rejected as "'Not Enough Legs: <leg count> Min: 2'" due to tag 555 is less than 2

→603

LegSecurityIDSource

LegSecIDSource

0

Y

• LegSecurityIDSource=8 (exchange symbol)

Identifies class or source of the tag 602-LegSecurityID.

Constant value.

→566

LegPrice

PRICENULL9

8

N

Price of the futures contract as part of UDS Covered

→602

LegSecurityID

Int32

4

Y

ISIN code, this is the primary tag used to identify the contract and it must be populated with the corresponding tag 48-SecurityID value from the market data 35=d Security Definition message.

→1017

LegOptionDelta

Decimal32NULL

4

N

Delta used to calculate the quantity of futures used to cover the option or option strategy.

• For a covered option outright instrument, must be between +0.01 and +1.00.

• For a covered option spread instrument, must be between +0.01 and +40.00.

The exponent cannot be greater than 0 and it can either be null or between -5 and 0.

→624

LegSide

SideReq

1

Y

• LegSide=1 (Buy)

• LegSide=2 (Sell)

For Covereds, must be present for option repeating group and must = 1 (buy).

For Covereds, must be present for future repeating group as well.

For Combos, the first instrument in the repeating group must = 1 (buy).

All UDS contracts are defined from the buy side perspective (i.e. buying the spread).

→623

LegRatioQty

uInt8NULL

1

N

• minValue=1

• maxValue=20

Specifies ratio for the instrument defined in this repeating group.

Required for any UDS options leg.
Optional for Covereds leg.

39026

NoBrokenDates

groupSize

3

Y

Currently not supported.

Used to indicate the number of custom bespoke broken dates for user defined tailor made repo

→6748

BrokenDateStart

LocalMktDate

2

Y

Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral

→6741

BrokenDateEnd

LocalMktDate

2

Y

End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral