Execution Report - Fill Notice - Audit Trail Requirements
The Audit Trail must capture both Spread Summary and individual Leg Execution Report - Fill Notices.
For Synthetic spreads, only information related to CME Group instruments can be included.
Blank table cell = Not Applicable
Position | Field Name | TO/FROM CME (Tier 1 component interactions with CME Globex) | Associated iLink Tag |
|---|---|---|---|
2 | Receiving Timestamps | Presence: Mandatory for all architectures. Format: UTC Timestamp Value: YYYYMMDD-hh:mm:ss.sss populated minimally at millisecond precision. | 60 - Transact Time |
3 | Message Direction | Presence: Mandatory Format: String Value:Â "FROM 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 _ - : @ . + ( ) / \ | 57 - TargetSubID |
5 | Self-Match Prevention ID | Presence:Mandatory if present in captured message. Format: String | 7928 - SelfMatchPreventionID |
6 | Account Number | Presence: Mandatory Format: String | 1 - Account |
7 | Session ID | Presence: Mandatory Format: String Value: Exactly 3 Characters | 56 - TargetCompID |
8 | Executing Firm ID | Presence: Mandatory Format: String Value: Exactly 3 Characters | 56 - TargetCompID |
9 | Manual Order Identifier | Presence: Mandatory Format: String Value: 'Y' or 'N' | 1028 - ManualOrderIndicator |
10 | Message Type | Presence: Mandatory Format: String Value: "8/1" or "8\1" for Partial Fill or "8/2" or "8\2" for Complete Fill. | 35 - MsgType / 39 - OrdStatus |
13 | Globex Message ID | Presence: Mandatory Format: String Values: Last 9 characters must follow format "TN" + 7 digits. | 17 - ExecID |
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. |
15 | Order Flow ID | Presence: Mandatory Format: String Value: Must only contain letters, numbers and/or the following characters:    _ - : @ . + ( ) / \ Must be unique per order within the audit trail file | N/A - This identifier exists only in the audit trail. |
16 | Spread/Leg Link ID | Presence: Mandatory for Spread and Leg Fill Notices Format: String | 527 - SecondaryExecID |
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. | 50 - SenderSubID |
19 | Client Order ID | Presence: Mandatory Format: String Value: Must only contain letters, numbers and/or the following characters:   !"#$%&'()*+,-./: ;<=>?@[\]^_`{|}~ Must not be used for any other Client Order ID from customer-generated messages in the fill. | 11 - ClOrdID |
20 | Globex Order ID | Presence: Mandatory Format: String | 37 - OrderID |
21 | Buy/Sell Indicator | Presence: Mandatory Format: Integer Value: 1 or 2 | 54 - Side |
31 | Fill Price | Presence: Mandatory Format: Integer / Decimal Number | 31 - LastPx |
32 | Fill Quantity | Presence: Mandatory Format: Integer | 32 - LastQty |
33 | Cumulative Quantity | Presence: Mandatory Format: Integer | 14 - CumQty |
34 | Remaining Quantity | Presence: Mandatory Format: Integer | 151 - LeavesQty |
35 | Aggressor Flag | Presence: Mandatory Format: String Values: 'Y' or 'N' | 1057 - AggressorIndicator |
39 | Cross ID | Presence: Mandatory if present in captured message. Format: String Value: Must only contain letters, numbers and/or the following characters:    _ - : @ . + ( ) / \ Must not be used for any other Cross ID from customer-generated messages in the file. | 548 - CrossID |
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