Mapping from CSV to Fill Messages

Customers executing trades on CME Globex receive Fill messages for those trades.

When the client receives the CSV file from CME, they must look up fills to combine the data from the CSV with the data from the fill (and any other sources) for MiFID reporting. To doso, they should parse the TRDG_VNU_TXN_ID_CD field of the CSV. This will contain a record with two | (pipe) characters as internal delimiters, for example 20180115|ESM0|7.

• The value before the first delimiter is the date of the trade (corresponding to tag 75 on a fill), 

• The second is the instrument (tag 107), note that this field may be more than 4 characters, and may contain a space.

• The third is the sequence number of that trade (the last portion of tag 17, after "TN" ignoring leading zeros). Firms should look up records of fills on the specified date, in the specified instrument, with the specified sequence number. That will return a unique fill record that will also be common to the buyer and seller, as required for reporting. From there, the data from that CSV record can be combined with the data from the fill, plus any additional required data the firm has, to populate the required fields on the final report to regulators.

When Reporting the Trading Venue Transaction ID Code (MiFID Report Field 3)

The value provided in the CSV will be format: 20180115|ESM0|7 using the | (pipe) character as a delimiter to breaking the three constituent values required to idenitfy a given fill. When populating the report to regulators, that character should be removed, as it may cause problems with compliance and parsing by the regulator. Using the same example, the reported value would be 20180115ESM07.

Trade Lookup Process

CPLX_TRD_CPNT_ID Field

This field corresponds to the Complex Trade Component ID (field 40) on the report to be submitted. The reporting requirement for firms is to provide an identifier, internal to the reporting firm to identify all the reports related to the same execution of a combination of financial instruments. Though this is described as a firm identifier, we a providing a value on all spread trades for convenience. The value we are providing for CME Globex trades is the full value of tag 17 (the Execution ID). This value is common to the legs of a given trade.