iLink 2 Execution Report - Order Status Request Acknowledgment

iLink 2 Standard Header - CME Globex to Client System

MsgType

String(2)

8=Execution Report

Header tag identifying message type.

584

MassStatusReqID

String(20)

Unique ID of Order Mass Status Request as assigned by the client system.

37

OrderID

Int(17)

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

1

Account

String(12)

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.

11

ClOrdID

String(32)

CME Globex returns this value from the original New Order message up to 32 bytes (this tag is only 32 bytes for order status ack).

41

OrigClOrdID

String(20)

Last accepted ClOrdID in the order chain.

6

AvgPrice

Price(1)

0 (zero).

Always '0'.

1028

ManualOrderIndicator

Boolean(1)

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

CME Globex returns the Manual Order Indicator value from tag 1028 submitted by the client system in the corresponding order message.

9717

CorrelationClOrdID

String(32)

CME Globex returns the value of tag 11-ClOrdID from the original Execution Report (tag 35-MsgType=8, tag 39-OrdStatus=0) New Order Acknowledgment message.

Note: This tag is returned 'NA' when the Order Mass Status is not found.

548

CrossID

String(32)

Identifier for a Cross order.

17

ExecID

String(1)

0

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

Always '0'.

150

ExecType

Char(1)

I=Order Status

Indicates type of execution report.

Always 'I'.

39

OrdStatus

Char(1)

0=New

1=Partially Filled

2=Filled

4=Cancelled

5=Replaced

C=Eliminated

8=Rejected

U=Undefined

6=Pending Cancel

E=Pending Replace

Indicates order status.

New: outstanding order with no executions and remaining quantity. (also applicable to orders that have been modified)

Partially Filled: outstanding order with executions and remaining quantity.

14

CumQty

Int(9)

Contains cumulated traded quantity throughout the lifespan of an order.
This value resets to zero if order is cancel/replaced.

549

CrossType

Int(2)

3=Cross One Side

Identified transaction type if other than standard order execution.

20

ExecTransType

Char(1)

3=Status

Identifies transaction type.

‘3’ indicates this execution report is in response to an order status request message/order mass status request message.

107

SecurityDesc

String(20)

Instrument identifier. e.g. "ESM0'

961

HostCrossID

String(32)

Unique ID generated at the Cross level.
Returned on the Execution Report for New Cross Orders only.

55

Symbol

String(6)

This tag contains the Group Code of the instrument.

48

SecurityID

Int(12)

Identifier of the instrument defined in tag 107-SecurityDesc.

372

RefMsgType

String(2)

AF=Order Mass Status Request

Tag 35-MsgType of the message being rejected.

Note: This tag is returned only when the Order Mass Status is not found.

380

BusinessRejectReason

Int(2)

0=Other

Code identifying reject

Note: This tag is returned only when the Order Mass Status is not found.

167

SecurityType

String(6)

FUT=Future

OPT=Option

IRS=Interest Rate Swap

FXSPOT=FX Spot

Indicates whether the instrument is a future or an option.

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

For UDS Futures, send FUT.

54

Side

Char(1)

1=Buy

2=Sell

Side of order.

38

OrderQty

Int(9)

Order quantity submitted by client.

The format of this tag is different from FIX protocol specifications.
This tag must be an integer.

40

OrdType

Char(1)

1=Market order (with Protection)

2=Limit order

4=Stop Limit order

K=Market-Limit order

Order type.

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

Also refer to Order Types for Futures and Options in Electronic Trading Concepts.

44

Price

Price(20)

Required for limit or stop-limit orders. Designates the price per single contract unit. The decimal, and if applicable the negative sign of the price are each one character. Client systems should not supply more than 9 characters to the left and 9 characters to the right of the decimal.

See Fractional Pricing for products that tick fractionally but must be submitted in decimal.

99

StopPx

Price(20)

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

59

TimeInForce

Char(1)

0=Day

1=Good Till

Cancel (GTC)

3=Fill and Kill

6=Good Till Date (GTD)

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.

432

ExpireDate

LocalMktDate(8)

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 fo the specified date.

151

LeavesQty

Int(9)

Amount of contract units open for further execution.

The format of this tag is different from FIX protocol specifications.
This tag must be an integer.

75

TradeDate

LocalMktDate(8)

Indicates date of trade referenced in this message in YYYYMMDD format. This will be the trade date for the last partial fill.
If this tag is not present, the order has not been filled.

60

TransactTime

UTCTimestamp(21)

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

110

MinQty

Int(9)

Minimum quantity of an order to be executed.

The value of MinQty must be between 1 and the value in tag 38-OrderQty.

The format of this tag is different from FIX protocol specifications.

This tag must be an integer.

210

MaxShow

Int(9)

See Order Display Quantity in Electronic Trading Concepts.

Maximum quantity of an order to be shown in the order book at any given time.

• The value of MaxShow must be a fixed number N between 1 and the value in tag 38-OrderQty.

• If MaxShow is reduced (due to matches) to 0, then MaxShow is reset to the lesser of N or the number in tag 38-OrderQty remaining.

912

LastRptRequested

Boolean(1)

N=Not Last Message

Y=Last Message

Indicates whether this message is the last report message in response to an Order Mass Status Request.

58

Text

String(200)

Free-form text.

5979

RequestTime

Int(20)

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.

iLink 2 Standard Message Trailer

End of message.