iLink 3 Execution Report - Trade Addendum Outright

9726

SeqNum

uInt32

4

Y

Sequence number assigned to this message.

The max value is 999999999 which is 1 short of 1 billion.

39001

UUID

uInt64

8

Y

Matches Establish.UUID used to establish the connection.

17

ExecID

String40

40

Y

Globally unique identifier for each Execution Report message assigned by exchange.

5392

SenderID

String20Req

20

Y

For futures and options markets: represents Operator ID.

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.

11

CIOrdID

String20Req

20

Y

Unique identifier for Order as assigned by client system. Uniqueness must be guaranteed within a single trading day.

Firms, particularly those which electronically submit multi-day orders, trade globally, or throughout market close periods, should ensure uniqueness across days.

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.

31

LastPx

PRICE9

8

Y

Price of this (last) fill.

37

OrderID

uInt64

8

Y

Globally unique identifier for each order assigned by the exchange.

60

TransactTime

uInt64

8

Y

Time the transaction represented by this Execution Report (35=8) occurred. Expressed as nanoseconds since epoch time.

5297

SendingTimeEpoch

uInt64

8

Y

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

527

SecExecID

uInt64

8

Y

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

To uniquely identify each fill, Client System can concatenate: OrderID (37) + TradeDate (75) + SecExecID (527) 

9703

OrigSecondaryExecutionID

uInt64NULL

8

N

Unique identifier of the corrected fill.

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.

48

SecurityID

Int32

4

Y

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

32

LastQty

uInt32

4

Y

Quantity bought/sold on this (last) fill.

1506

SideTradeID

uInt32

4

Y

Trade ID assigned to the trade once it is received or matched by the exchange.

1507

OrigSideTradeID

uInt32NULL

4

N

Refers to the unique ID assigned to the corrected trade.

75

TradeDate

LocalMktDate

2

Y

Indicates date of trading day (expressed in local time at place of trade).

Sent in number of days since Unix epoch.

39

OrdStatus

OrdStatusTrdCxl

1

Y

• OrdStatus=H (Trade Cancel)

• OrdStatus=G (Trade Correction)

Identifies status of order as trade cancellation or correction.

150

ExecType

ExecTypTrdCxl

1

Y

• ExecType=H (Trade Cancel)

• ExecType=G (Trade Correction)

Describes the specific Execution Report as trade cancellation or correction.

54

Side

SideReq

1

Y

• Side=1 (Buy)

• Side=2 (Sell)

Order side.

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

9765

PossRetransFlag

BooleanFlag

1

Y

• 0=False

• 1=True

Flags message as possible retransmission or duplicate.

Indicates if message is an original transmission or duplicate in response to Retransmission Request or possible duplicate.

Used when original messages are interleaved with Retransmission responses.

Possible duplicate means the same message may have been sent again with different sequence number.

18

ExecInst

ExecInst

1

N

• Bit 0=AON

• Bit 1=Only Best

• Bit 2=Not Held

Instructions for order handling for fixed income markets.

Only Best may be applied to resting and aggressing orders and:

• Prevents submission of an order if the order’s price is not equal to or better than the best price on the book.

• Cancels an order from the book if a new order with a better price enters the queue.

• This order condition permits the order to be alone at the best price level or join other orders at the best price level.

Not Held (applies only to US Repo) eliminates quantity remaining from an FaKi order (tag 59=3) and ensures it will it not be included in a work-up session; however, the order can still trigger a work-up session.

AONs will have a separate book with a separate ISIN. The AON orders that cannot trade immediately can rest in the AON book. They can only trade with AON orders on the other side of the AON book that have the SAME PRICE and SAME QUANTITY.

Applicable only for BrokerTec Markets; should not be used for future and options markets.

5906

ExecutionMode

ExecMode

1

N

• A=Aggressive

• P=Passive

Instruction for whether the order should rest on the book upon entry or match as an aggressor.

A Passive Order will rest in the market without executing unless matched with an Aggressive Order on the other side.

An Aggressive Order will match against any other order on the opposite side.

Applicable for US & EU Repos.

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 MiFID.

6881

ManagedOrder

BooleanNULL

1

N

• 0=False

• 1=True

Boolean: flags a managed order.

Applicable only to Repo fixed income markets.

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.

845

DiscretionPrice

PRICENULL9

8

N

The discretion price of an order. Conditionally required if  the trader wishes to display one price but will accept trades at another price).

• The discretion price for a bid must be greater than the shown Limit price (e.g. Buy order: tag 44-Price = 115.05; tag 845-DiscretionPrice = 115.06).

• ​The discretion price for an ask must be less than the shown Limit price (e.g. Buy order: tag 44-Price = 115.05; tag 845-DiscretionPrice = 115.04).

Applicable only for EBS.

828

TradeType

uInt16NULL

2

N

• 1000=Trade at Fixing

Represents a trade at fixing price.

378

ExecRestatementReason

ExecReason

1

N

• ExecRestatementReason=8 (Exchange) 

Will be present when trade at fixing is assigned fixing price.

64

SettlDate

LocalMktDate

2

N

Specific date of trade settlement.

541

MaturityDate

LocalMktDate

2

N

Date of maturity.

1056

CalculatedCcyLastQty

Decimal64NULL

9

N

Total amount traded (in notional) in counter currency for the Spot.

381

GrossTradeAmt

Decimal64NULL

9

N

Total amount traded (in notional) in base currency for the Spot.

6262

BenchmarkPrice

PRICENULL9

8

N

The price assigned to an eFix matched trade which is determined by an automated set market mid-price from a third party market data feed. The Fixing Price will be distributed as soon as practicable after the Fixing Time.

1362

NoFills

groupSize

3

Y

Specifies the number of fill reasons included in this Execution Report.

Maximum number of fill reasons is 6.

→1364

FillPx

PRICE9

8

Y

Price of this fill reason or allocation. Required if NoFills(1362) > 0. Same as LastPx(31).

→1365

FillQty

uInt32

4

Y

Quantity bought/sold for this fill reason.

→1363

FillExecID

String2

2

Y

Used as an identifier for each fill reason or allocation reported in single Execution Report. Required if NoFills(1362) > 0. Append FillExecID with ExecID to derive unique identifier for each fill reason or allocation.

→1622

FillYieldType

uInt8

1

Y

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

Enumeration of the Fill Reason field using Integer. This identifies the type of match algorithm.

1795

NoOrderEvents

groupSize

3

N

Number of fills which comprise fill quantity.   

The maximum number of fills is configured 100.

Applicable for BrokerTec markets only.

→1799

OrderEventPx

PRICE9

8

Y

Refers to the fill price; same as tag 31-LastPx.

→1802

OrderEventText

String5

5

N

Will not be present for BrokerTec US; Will be populated with the firm ID of the opposite order for BrokerTec EU bilateral trades.

→1797

OrderEventExecID

uInt32

4

Y

This is a unique ID that ties together a specific fill between two orders.

→1800

OrderEventQty

uInt32

4

Y

Refers to the specific fill quantity between this order and the opposite order.

→1796

OrderEventType

TradeAddendum

1

Y

• 100=Trade Cancel

• 101=Trade Correction

• 4=Partially Filled

• 5=Filled

The type of event affecting an order.

→1798

OrderEventReason

uInt8

1

Y

• 100=Binary Trade Reporting

Action that caused the event to occur.

→6555

OriginalOrderEventExecID

uInt32NULL

$

N

Contains the previous tag 1797-OrderEventExecID value of the trade being adjusted or busted.

Will not be present on the following message types:

• Execution Report Trade Outright

• Execution Report Trade Spread

• Execution Report Trade Spread Leg

→ 5542

ContraGrossTradeAmt

Decimal64NULL

9

N

Amount traded (in notional) in base currency for the Spot with this counterparty.

→ 5971

ContraCalculatedCcyLastQty

Decimal64NULL

9

N

Amount traded (in notional) in counter currency for the Spot with this counterparty.