Request For Quote (RFQ) - Audit Trail Requirements
Blank table cell = Not Applicable
Position | Field Name | TO/FROM CME (Tier 1 component interactions with CME Globex | Associated iLink Tag |
|---|---|---|---|
1 | Sending Timestamps | Presence: Mandatory for all architecture. Format: UTC Timestamp Value: YYYYMMDD-hh:mm:ss.sss populated minimally at millisecond precision. | 52 - SendingTime |
3 | Message Direction | Presence: Mandatory Format: String Value: "TO CME" | 57 - TargetSubID |
4 | Operator ID | Presence: Mandatory Format: String with a maximum length of 18 bytes. Value: Must only contain letters, numbers and/or the following characters: Â Â Â _ - : @ . + ( ) / \ | 50 - SenderSubID |
5 | Self-Match Prevention ID | Presence: Mandatory if present in captured message. Format: String | 7928 - SelfMatchPreventionID |
7 | Session ID | Presence: Mandatory Format: String Value: Exactly 3 Characters | 49 - SenderCompID |
8 | Executing Firm ID | Presence: Mandatory Format: String Value: Exactly 3 Characters | 49 - SenderCompID |
9 | Manual Order Identifier | Presence: Mandatory Format: Sring Value: 'Y' or 'N' | 1028 - ManualOrderIndicator |
10 | Message Type | Presence: Mandatory Format: String Value: 'R' | 35 - MsgType |
14 | Message Link ID | Presence:Â Optional Format: String Value: Must only contain letters, numbers and/or the following characters: Â Â Â _ - : @ . + ( ) / \ Must be unique within the audit trail file. | N/A - This identifier exists only in the audit trail. |
17 | Instrument Description | Presence: Mandatory Format: String Value: Must follow CME Group instrument code nomenclature. | 107 - SecurityDesc |
18 | Market Segment ID | Presence: Mandatory if present in captured message. Format: String Value: Must be the Market Segment ID corresponding to the Instrument. | 57 - TargetSubID |
21 | Buy/Sell Indicator | Presence: Mandatory if in the captured message. If present in the message, Format: Integer Value: 1 (Buy), 2 (Sell) or 8 (Start of the Cross Order Process). | 54 - Side |
30 | Country of Origin | Presence: Mandatory Format: String Value: Must follow ISO standard. |  142 - SenderLocationID |
40 | Quote Request ID | Presence: Mandatory Format: String Value: Must only contain letters, numbers and/or the following characters: Â Â Â _ - : @ . + ( ) / \ | 131 - QuoteReqID |
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