Mass Quote Cancel - Audit Trail Requirements
The Mass Quote message submitted to CME Globex must be decomposed into its quote entries. The Audit Trail must include one line item per quote entry.
Blank table cell = Not Applicable
Position | Field Name | TO/FROM CME (Tier 1 component interactions with CME Globex) | Associated iLink Tag |
|---|---|---|---|
1 | Sending Timestamps | Presence: Mandatory for all architecture Format: UTC Timestamp Value: YYYYMMDD-hh:mm:ss.sss populated minimally at millisecond precision. | 52 - SendingTime |
3 | Message Direction | Presence: Mandatory Format: String Value: "TO 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 _ - : @ . + ( ) / \ | 50 - SenderSubID |
5 | Self-Match Prevention ID | Presence: Mandatory if present in captured message Format: String | 7928 - SelfMatchPreventionID |
7 | Session ID | Presence: Mandatory Format: String Value: Exactly 3 Characters | 49 - SenderCompID |
8 | Executing Firm ID | Presence: Mandatory Format: String Value: Exactly 3 Characters | 49 - SenderCompID |
9 | Manual Order Identifier | Presence: Mandatory Format: String Value: 'Y' or 'N' | 1028 - ManualOrderIndicator |
10 | Message Type | Presence: Mandatory Format: String Value: "Z/1" or "Z\1" for Cancel per instrument "Z/3" or "Z\3" for Cancel per instrument group "Z/4" or "Z\4" for Cancel all quotes "Z/100" or "Z\100" for Cancel by Quote Set ID | 35 - MsgType / 298 - QuoteCancelType |
17 | Instrument Description | Presence: Mandatory for Message type Z/1 and Z/3. Format: String For message type Z/1: Value must follow CME Group instrument code nomenclature. For message type Z/3: Value must be 2- or 3-character long.(instrument group). | tag 107 or 55 - Symbol |
18 | Market Segment ID | Presence: Mandatory if present in captured message. Format: String Value: Must be the Market Segment ID corresponding to the Instrument. | 57 - TargetSubIDÂ |
41 | Message Quote ID | Presence: Mandatory Format: String Value: Must only contain letters, numbers and/or the following characters:    _ - : @ . + ( ) / \ Must not be used for any other Mass Quote ID from customer-generated messages in the file. | 117 - QuoteID |
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