iLink 3 Order Cancel Replace Request

44

Price

PRICENULL9

8

N

Price per share or contract. Conditionally required if the order type requires a price (not market orders).

38

OrderQty

uInt32

4

Y

Number of shares or contracts ordered.

• Cancel Replace Request submitted with quantity greater than 99999 will be rejected with a Business Level Reject (35=j) message.

• Cancel Replace Request submitted with quantity greater than the Max Quantity and less than 99999 will be rejected with an Execution Report - Reject (35=8) message.
  Maximum Quantity is defined in the market data Security Definition(35=d) message in tag 1140-MaxTradeVol.

  • Note - the CME Globex maximum quantity limit per instrument also serves as an effective constraint on the maximum order value as required by MiFID II.

For EBS, this is the notional value instead of the lot size.

48

SecurityID

Int32

4

Y

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

54

Side

SideReq

1

Y

• Side=1 (Buy)

• Side=2 (Sell)

Side of order.

9726

SeqNum

uInt32

4

Y

Sequence number assigned to this message.

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

5392

SenderID

String20Req

20

Y

For futures and options markets: represents Operator ID.

For EBS and fixed income markets: represents the Entering Trader. For EBS this value must be 3 characters.

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.

37

OrderID

uInt64NULL

8

N

Globally unique identifier for each order assigned by the exchange.

Required for BrokerTec.

Optional for futures and options and EBS.

99

StopPx

PRICENULL9

8

N

The stop price of a stop limit and stop protect order (conditionally required if tag 40-OrdType = 3 or 4).

2422

OrderRequestID

uInt64

8

Y

OrderRequestID used to identify a request to enter, modify, or delete an order. Echoed back on the Execution Report.

5297

SendingTimeEpoch

uInt64

8

Y

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

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.

110

MinQty

uInt32NULL

4

N

Minimum quantity of an order for immediate execution.

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

If set to 0 or default null value then it means that minimum quantity is n.

If the quantity present in tag 110 cannot be immediately executed, the entire order is eliminated.

For EBS, this is the notional value instead of the lot size.

1138

DisplayQty

uInt32NULL

4

N

The quantity to be displayed. Required for Display Quantity orders.

Note: on orders, this value specifies  the qty to be displayed; on Execution Reports this value indicates the currently displayed quantity.

For EBS, this is the notional value instead of the lot size.

432

ExpireDate

LocalMktDate

2

N

Date of order expiration (last day the order can trade), always expressed in terms of the local market date. Applicable only to GTD orders, which expire at the end of the trading session specified. This value must be a future or current session date and cannot be in the past.

40

OrdType

OrderTypeReq

1

Y

• OrdType=1 (Market order with protection)

• OrdType=2 (Limit order)

• OrdType=3 (Stop order with protection)

• OrdType=4 (Stop limit order)

• OrdType=K (Market limit order)

Order type.

59

TimeInForce

TimeInForce

1

Y

• TimeInForce=0 (Day)

• TimeInForce=1 (GTC)

• TimeInForce=3 (FAK)

• TimeInForce=4 (FOK)

• TimeInForce=6 (GTD)

• TimeInForce=99 (GFS)

Specifies how long the order remains in effect.

FOK is supported only for BrokerTec and EBS.

GFS is supported only for EBS.

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

9768

OFMOverride

OFMOverrideReq

1

Y

• OFMOverride=0 (Disabled)

• OFMOverride=1 (Enabled)

Flag indicating whether the cancel/replace supports iLink Order Cancel-Replace and In-Flight Mitigation to prevent overfilling. Once enabled in the order chain, OFMOverride cannot be disabled.

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 (i.e. tag 18=00000000).

An order cancel/replace request submitted with tag 18 instructions for futures and options markets will be rejected with 35=j, except:

• Limit FAK orders submitted with Not Held instruction

• Market FAK orders submitted with Not Held instruction

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 only for US & EU Repos:

• ExecutionMode change from passive to aggressive not allowed

• ExecutionMode change from aggressive to passive only allowed for Managed Orders

An Order Cancel/Replace Request submitted with tag 5906 = P will be rejected for Non-Repo fixed income, EBS, and futures and options markets

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 and EBS MiFID.

6881

ManagedOrder

BooleanNULL

1

N

• 0=False

• 1=True

Boolean: flags a managed order.

Applicable only to Repo fixed income markets.

New Orders submitted with tag 6881 = 1 will be rejected for futures and options 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.