iLink 2 Execution Report - Trade Cancel

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.

Not returned for Trade Cancels originating from a Mass Quote.

For Mass Quotes the value references 299-QuoteEntryID.

Refer to iLink - CME Globex Identifiers for more information.

14

CumQty

Int(9)

Y

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

37711

MDTradeEntryID

Int(10)

Y

Common identifier that associates CME STP cleared trades with order execution and market data messaging. Will continue to refer back to the original value as assigned to the trade being busted or adjusted. Unique across all iLink sessions and market segments per trading week.

17

ExecID

String(40)

Y*

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

19

ExecRefID

String(9)

Y*

Contains unique ID for the trade being cancelled.
These are the last 9 characters of tag 17-ExecID.

20

ExecTransType

Char(1)

1=Cancel

Y

Identifies transaction type.

31

LastPx

Price(20)

Y*

Price of the canceled trade.

32

LastQty

Int(9)

Y*

Quantity of canceled trade.

37

OrderID

String(17)

Y

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

39

OrdStatus

Char(1)

H=Trade Cancelled

Y

Identifies trade status as canceled.

41

OrigClOrdID

String(20)

N

The last accepted ClOrdID in an order chain.
If the value is included in tag41-OrigClOrdID, the same value is returned; however, if no value is sent, a value of '0' is returned in the Execution Report (tag 35-MsgType=8) Cancellation message, else tag 41-OrigClOrdID is not sent.

Refer to iLink - CME Globex Identifiers for more information.

48

SecurityID

Int(12)

Y*

Identifier of the instrument defined in tag 107.

54

Side

Char(1)

1=Buy
2=Sell

Y

Side of order.

55

Symbol

String(6)

Y

This tag contains the Group Code.

60

TransactTime

UTCTimestamp(21)

Y*

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

75

TradeDate

LocalMktDate(8)

Y*

Indicates date of trade referenced in this message in
YYYYMMDD format. Absence of this field indicates
current day (expressed in local time at place of trade).

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.

107

SecurityDesc

String(20)

Y*

Instrument identifier used on iLink to uniquely identify an instrument.
Future Example: GEZ8
Option Example: GEZ9 C9375

150

ExecType

Char(1)

H=Trade
Cancel Ack

Y

Indicates type of Execution Report.

167

SecurityType

String(6)

FUT=Future

OPT=Option

IRS=Interest Rate Swap

FXSPOT=FX Spot

N

Indicates instrument type.

Note: for options strategy including UDS COMBO or COVERED, send OPT.

For UDS Futures, send FUT.

393

TotalNumSecurities

Int(3)

N

Number of leg trade elimination messages for a given counterparty. The value will be '0' (zero) for outrights.

442

MultiLegReportingType

Int(1)

1=Outright
2=Leg of spread
3=Spread

N

Indicates if acknowledgment message is sent for an outright, leg of spread, or spread.

527

SecondaryExecID

String(40)

Y

Unique identifier that allows linking of spread summary fill notice with leg fill notice and trade cancel messages.

810

UnderlyingPx

Price(20)

C

Reserved for future use.

811

OptionDelta

Float(6.2)

C

Reserved for future use.

1188

Volatility

String(20)

C

Reserved for future use.

1189

ExpirationTimeValue

Float

C

Reserved for future use.

1190

RiskFreeRate

Price(20)

C

Reserved for future use.

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.

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.

64

SettlDate

LocalMktDate
(8)

N

Specific date of trade settlement for the Spot leg

1362

NoFills

NumInGroup(1)

--

Y

Specifies the number of fill reasons or allocations included in this Execution Report

Maximum number of fill reasons is 6

Note: The number of fill reason is always '1' for spread leg fills

→1363

FillExecID

String(2)

--

Y

Used as an identifier for each fill reason or allocation reported in single Execution Report

Required if tag 1362-NoFills > 0

Append tag 17-ExecID with tag 1363-FillExecID to derive the unique identifier for each fill reason

→1364

FillPx

Price(20)

--

Y

Price of this fill reason or allocation

Required if tag 1362-NoFills > 0

Same as tag 31-LastPx

→1365

FillQty

Qty(9)

--

Y

Quantity bought/sold for this fill reason or allocation

Required if tag 1362-NoFills > 0

→1622

FillYieldType

String(2)

0 – Future Hedge

1 – Pro Rata

2 – LMM

3 – TOP

4 – FIFO

5 – Cross BMG

8 – Covering

9 – Cross BPM

10 – Leveling

11 – Aggressor

14 – Leg

16 – Opening

18 – Implied Opening

19 – FIFO Percent

Y

Fill reason

iLink 2 Standard Message Trailer

End of message.