iLink 3 Mass Quote

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.

5297

SendingTimeEpoch

uInt64

8

Y

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

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.

131

QuoteReqID

uInt64NULL

8

N

Unique identifier for quote request being responded to.

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.

117

QuoteID

uInt32

4

Y

Unique identifier for Mass Quote populated by the client system.

304

TotNoQuoteEntries

uInt8

1

Y

Total number of quotes for the quote set across all messages. Should be the sum of all NoQuoteEntries in each message that has repeating quotes that are part of the same quote set. Required if NoQuoteEntries > 0.

Since fragmentation is not supported, this will always be equal to the value of NoQuoteEntries.

9773

MMProtectionReset

BooleanFlag

1

Y

• 0=False

• 1=True

When Market Maker Protection is triggered, CME Globex will not accept any new quotes from the market maker for that product group until it receives a Mass Quote message with the MMProtectionReset flag set to True (1).

9373

LiquidityFlag

BooleanNULL

1

N

• 0=False

• 1=True

Indicates if an order was submitted for market making obligation as required for MIFID.

Applicable only for EU BrokerTec.

5409

ShortSaleType

ShortSaleType

1

N

• 0=Long Sell

• 1=Short Sale With No Exemption SESH

• 2=Short Sale With Exemption SSEX

• 3=Undisclosed Sell Information Not Available UNDI

Indicates the type of short sale on Sell orders only as required for MiFID.

Should not be used for Buy orders.

Applicable only for EU fixed income markets.

5187

Reserved

String30

30

N

Reserved for future use.

5239

Reserved1

String30

30

N

Reserved for future use.

9182

QuoteEntryOpen

BooleanNULL

1

N

A boolean value indicating whether or not new quotes should be rejected for the SenderComp for whom quotes are being cancelled; also used to reset such a block on Mass Quotes being sent by the blocked SenderComp.

295

NoQuoteEntries

groupSize

3

Y

• minValue=1

• maxValue=15

The number of quote entries for a quote set.

→132

BidPx

PRICENULL9

8

N

Bid price/rate accompanying bid size (tag 134). Note that either BidPx, OfferPx. or both must be specified for a new quote.

→133

OfferPx

PRICENULL9

8

N

Offer price/rate. This goes together with offer size (tag 135). Note that either BidPx, OfferPx or both must be specified for a new quote.

→299

QuoteEntryID

uInt32

4

Y

Unique identifier for a quote. The QuoteEntryID persists with the quote as a static identifier even if the quote is updated.

For fills, this value is transposed into the Client Order ID (tag 11).

For trade cancellation or correction resulting from quotes, this value is not transposed into the Client Order ID (tag 11).

→48

SecurityID

Int32

4

Y

Security ID as defined in the market data Security Definition message.

→134

BidSize

uInt32NULL

4

N

Quantity of bid. This accompanies bid price (tag 132).

→135

OfferSize

uInt32NULL

4

N

Quantity of offer. This accompanies offer price (tag 133).

→309

UnderlyingSecurityID

Int32NULL

4

N

Description of the underlying futures security.

→302

QuoteSetID

uInt16

2

Y

Unique ID for the Quote Set. Customers must assign an identifier between 1-999.