iLink 3 Execution Report - Trade Spread Leg

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.

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.

1188

Volatility

Decimal64NULL

9

N

Annualized volatility for option model calculations. Only applicable for vol quoted option trades.

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.

810

UnderlyingPx

PRICENULL9

8

N

Underlying price associated with a derivative instrument. Price for the future used in calculating the conversion of vol to premium for the option. Only applicable for vol quoted option trades.

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) 

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 ftp.cmegroup.com/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.

Note: this field is optional for EBS Market and eFIX Matching Service instruments.

811

OptionDelta

Decimal32NULL

5

N

The rate of change in the price of a derivative with respect to the movement in the price of the underlying instrument(s) upon which the derivative instrument price is based. Calculated delta, expressed as a decimal between -1 and 1. Only applicable for vol quoted option trades.

1189

TimeToExpiration

Decimal32NULL

5

N

Time to expiration in years calculated as the number of days remaining to expiration divided by 365 days per year. This value is expressed as a decimal portion of a year, typically the days to expiration divided by the days in a year. Currently the year assumption is 365. Only applicable for vol quoted option trades.

1190

RiskFreeRate

Decimal32NULL

5

N

Interest rate. Usually some form of short-term rate.

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.

14

CumQty

uInt32

4

Y

Total quantity filled.

1506

SideTradeID

uInt32

4

Y

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

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

OrdStatusTrd

1

Y

• OrdStatus=1 (Partially Filled)

• OrdStatus=2 (Filled)

Identifies status of order as partially filled or completely filled.

150

ExecType

ExecTypeTrade

0

Y

ExecType=F (Trade)

Describes the specific Execution Report (e.g. Cancel) while tag 39-OrdStatus always identifies the current order status (e.g. Partially Filled).

Constant value.

40

OrdType

OrderType

1

Y

• OrdType=1 (Market order with protection)

• OrdType=2 (Limit order)

• OrdType=4 (Stop limit order)

• OrdType=K (Market limit order)

Order type.

54

Side

SideReq

1

Y

• Side=1 (Buy)

• Side=2 (Sell)

Side of spread leg trade.

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.

64

SettlDate

LocalMktDate

2

N

Specific date of trade settlement for the Spot leg.

1056

CalculatedCcyLastQty

Decimal64NULL

9

N

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

381

GrossTradeAmt

Decimal64NULL

9

N

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

1362

NoFills

groupSize

3

Y

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

The number of fill reason is always '1' for spread leg fills.

→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 (tag 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 which ties together a specific fill between two orders; It will be unique per instrument per day.

→1800

OrderEventQTY

uInt32

4

Y

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

→1796

OrderEventType

OrderEventTye

1

Y

• 4=Partially Filled

• 5=Filled

The type of event affecting an order.

→1798

OrderEventReason

uInt8

1

Y

Action that caused the event to occur. 100=Binary Trade Reporting.