Cross Order - iLink 3 Audit Trail Requirements

Each side of a Cross order must be submitted as a separate entry following New Order specifications with the same Cross ID, Message Link ID and Order Flow ID populated for both entries.

Blank table cell = Not Applicable

Position

Columns

TO/FROM CME

Associated Tag on iLink

Position

Columns

TO/FROM CME

Associated Tag on iLink

1

Sending Timestamps

Presence: Mandatory
Format: UTC Timestamp
Value: YYYYMMDD-hh:mm:ss.sssss populated minimally at millisecond precision.

Tag 5297 - SendingTime

2

Message Direction

Presence: Mandatory

Format: String

Value: "TO CME"

N/A

3

Operator ID

Presence: Mandatory

Format: String with a maximum length of 18 bytes.

Value: Must only contain letters, numbers and/or the following characters:   _ - : @ . +

Tag 5392 - SenderID

4

Session ID

Presence: Mandatory

Format: String



5

Manual Order Indicator

Presence: Mandatory

Format: Integer

Value: 0 or 1

Tag 1028 - ManualOrderIndictor

6

Message Type

Presence: Mandatory

Format: String

Value: 's'

N/A

7

Instrument

Presence: Mandatory

Format: String

Value: Contract identifier

Tag 48 - SecurityID

8

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

10

Client Order ID

Presence: Mandatory

Format: String

Value: Must only contain letters, numbers and/or the following characters:  !"#$%&'()*+,-./: ;<=>?@[\]^_`{|}~

Tag 11 - ClOrdID

11

Order Request ID

Presence: Mandatory
Format: String

Value: Must only contain letters, numbers and/or the following characters:  _ - : @ . +

Tag 2422 - OrderRequestID

12

Buy/Sell Indicator

Presence: Mandatory

Format: Integer

Value: 1 or 2

Tag 54 - Side

13

Quantity

Presence: Mandatory

Format: Integer

Tag 38 - OrderQty

14

Limit Price

Presence: Mandatory if Order Type: Limit or Stop Limit

Format: Integer / Decimal Number

Tag 44 - Price

15

Stop Price

Presence: Mandatory if Order Type: Stop or Stop Limit

Format: Integer / Decimal Number

Tag 99 - StopPx

16

Order Type

Presence: Mandatory

Format: String

Value: 2

Tag 40 - OrdType

17

Order Qualifier

Presence: Mandatory if present in captured message

Format: Integer

Value: 0, 1, 3, 4 or 6

Tag 59 - TimeInForce

19

Display Quantity

Presence: Mandatory if present in captured message

Format: Integer

 Value: Must be a number between 1 and Order Quantity

Tag 1138 - DisplayQty

20

Minimum Quantity

Presence: Mandatory if present in captured message

Format: Integer

Value: Must be a number between 1 and Order Quantity

Tag 110 - MinQty

21

Country of Origin

Presence: Mandatory

Format: String

Value: Must follow ISO standard

Presence: Mandatory if present in captured message (for NEX SEF Products) 

Tag 9537 - Location

30

Cross ID

Presence: Mandatory if present in captured message

Format: String

Value: Must only contain letters, numbers and/or the following characters:

  _ - : @ . +

Tag 548 - CrossID

40

Party Details List Request ID

Presence: Mandatory

Format: String

Tag 1505 - PartyDetailsListRequestID

Note: Each side of the cross order is captured on a separate line










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