iLink - CME Globex Identifiers

This topic describes CME Globex identifiers that allow client systems to track order activity throughout the order chain.

Order Identifier – Tag 37-OrderID

This value is assigned by CME Globex and is unique across all iLink sessions and market segments. This value remains constant through the life of the order and allows customers to track all activity related to the order.

Message Identifier – Tag 17-ExecID

This value is assigned by CME Globex and is globally unique for each message published. This value allows customers to uniquely identify each Execution Report (tag 35-MsgType=8) message from CME Globex. The Exec ID contains the following pieces of data:

1. Unique random identifier

   The return value for the Unique Random Identifier in the iLink Execution Report – Fill Notice will include“M:” eg. 5081:M:45601TN0000001.

2. 'TN' = delimiter
3. Trade number - The trade number will be an integer and will be unique per instrument per trading session.

This example illustrates the above scenario.

Trader A

• Fill Report 40 @ 1.0  → TN0000001

Trader B

• Fill Report 10 @ 1.0 → TN0000001
• Fill Report 20 @ 1.0 → TN0000001

Trader C

• Fill Report 10 @ 1.0 → TN0000001

Trade Cancel Identifier – Tag 19-ExecRefID

This value is assigned by CME Globex in the Trade Cancel Execution Report only. Customers can use this value when contacting the GCC to identify the trade cancel.

Tag 19-ExecRefID works in combination with tag 17-ExecID. For the original trade, tag 17-ExecID will contain the identifying value for the Buy and Sell side.

• Buy: tag 17=82438:M:22426
• Sell: tag 17=82438:M:22427

On the trade cancel message, tag 19-ExecRefID will contain the delimited portion of the value from tag 17-ExecID of the original trade Execution Report message.

• Cancel: tag 19=TN0000002

Client Order Identifier – Tag 11-ClOrdID

 Tag 11-ClOrdID is a unique identifier, assigned by the client on each of the following message types submitted to CME Globex:

• iLink 2 New Order
• iLink 2 Order Cancel Request
• iLink 2 Order Cancel-Replace Request
• iLink 2 New Order Cross(requires two unique values, one for each side of the transaction)

Additionally, the Order Status Request requires a previously submitted tag 11-ClOrdID. This allows customers to determine the status of orders entered on that session on a prior date.

The value submitted in tag 11-ClOrdID for the CME Globex platform must conform to the following rules:

1. All open orders must have a unique value in tag 11-ClOrdID, regardless of the trading day in which the orders are placed.
2. Tag 11-ClOrdID must remain unique until the order is completely filled, modified, cancelled, or expired.
3. Tag 11-ClOrdID can only contain ASCII characters.
4. Tag 11-ClOrdID may include up to twenty characters.

CME Globex validates tag 11-CIOrdID for uniqueness per SenderComp (i.e. Session ID + Firm ID) for all working orders on a single market segment. An order with a duplicate ClOrdID will be rejected with a Session Level Reject (35-MsgType=3) message with tag 58-Text = Duplicate ClOrdID: X not allowed.

A ClOrdID value can be re-used on the same Market Segment only when the prior order is no longer resting, for instance:

• the prior order has been completely filled, or
• the prior order has been cancelled, or
• the prior order has been eliminated.

Correlation Client Order ID – Tag 9717 CorrelationClOrdID

Original Client Order ID – Tag 41-OrigClOrdID

Tag 41-OrigClOrdID will contain the last accepted tag 11-ClOrdID value in the order chain. The example below shows how the value in tag 11-ClOrdID may change through the existence of the order, as the original order is cancelled and replaced, and the value in tag 41-OrigClOrdID updates accordingly.

Tag 41-OrigClOrdID is used in conjunction with tag 11-ClOrdID for customer tracking of the order chain. Tag 41-OrigClOrdID values, like tag 11-ClOrdID values, are generated by the customer. The messages requiring tag 41-OrigClOrdID are:

• iLink 2 Order Cancel Request
  
• iLink 2 Order Cancel-Replace Request
  

Tag 41-OrigClOrdID is used as follows:

1. When a client system sends either an Order Cancel Request or Order Cancel-Replace Request on an existing order chain, the tag 41-OrigClOrdID value should be the most recent prior tag 11-ClOrdID value from the chain. This allows the client system to publish a new tag 11-ClOrdID value on the Order Cancel Request and Order Cancel-Replace Request that is affecting the existing order chain.
2. When CME Globex acknowledges the Order Cancel Request or Order Cancel / Replace Request, it will return the last provided values of those tags from the Order Cancel Request or Order Cancel / Replace Request to the client system.

The example below shows:

1. How the value in tag 11-ClOrdID should change through the existence of the order as it is cancelled and replaced
2. How the value in tag 41-OrigClOrdID updates as tag 11-ClOrdID changes occur
3. The recommended use of tag 9717-CorrelationClOrdID to track the original tag 11-ClOrdID value
4. CME Globex use of tag 37-OrderID, Globex’s primary identifying value for the order chain
5. CME Globex use of all tags on unsolicited messages

*client system to CME Globex   **CME Globex to client system   ***unsolicited from CME Globex

Unsolicited Message Tag Usage

An unsolicited message is a message CME Globex sends a client system via an iLink session without a direct customer instruction. These messages include and are not limited to:

1. Execution Report - Fill (partial or complete)
2. iLink 2 Execution Report - Order Elimination as a result of a Fill and Kill order (tag 59 TimeInForce=3)
3. Execution Reports resulting from resting Stop order election as a result of market activity
4. Execution Report - Order Elimination of Day orders at the end of the trading day
5. Execution Report - Order Cancel caused by something other than the customer sending in an iLink 2 Order Cancel Request.

When CME Globex generates an unsolicited message:

1. The following tags maintain their values from the last received customer message on the order chain:
   • tag 11-ClOrdID
   • tag 41-OrigClOrdID
   • Tag 9717-CorrelationClOrdID
2. Tag 37-OrderID is maintained by CME and continues following the same rules as before (unchanged through the order chain)
3. Tag 17-ExecID and tag 19-ExecRefID are populated as necessary based on fills or the cancellation of fills
4. Tag 378-ExecRestatementReason is populated on an unsolicited cancellation message (not displayed above)

TradeEntryID – Tag 37711-MDTradeEntryID

Common identifier that associates CME STP cleared trades with order execution and market data messaging. This tag value will refer to the original value assigned to the trade being cancelled or or corrected. Unique across all iLink sessions and market segments per trading week.