Execution Report - Acknowledgment - Audit Trail Requirements

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: "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:

  _ - : @ . + ( ) / \

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: "8/0" or "8\0" 

35 - MsgType / 39 - OrdStatus

13

Globex Message ID

Presence: Optional

Format: String

17 - ExecID

14

Message Link ID

Presence: Optional

Format: String

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

  _ - : @ . + ( ) / \

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.

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 file.

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

22

Quantity

Presence: Mandatory

Format: Integer

38 - Quantity

23

Limit Price

Presence: Mandatory if <FROM CME> Order Type: 2 or 4

Format: Integer / Decimal Number 

44 - Price

24

Stop Price

Presence: Mandatory if <FROM CME> Order Type: 3 or 4

Format: Integer / Decimal Number

99 - StopPx

25

Order Type

Presence: Mandatory

Format: String

Value: 1, 2, 3, 4 or K

40 - OrderType

26

Order Qualifier

Presence: Mandatory

Format: Integer

Value: 0, 1, 3 or 6

59 - TimeInForce

28

Display Quantity

Presence: Mandatory if present in captured message.

Format: Integer

Value: Must be a number between 1 and Order Quantity.

210 - MaxShow

29

Minimum Quantity

Presence: Mandatory if present in captured message.

Format: Integer

Value: Must be a number between 1 and Order Quantity.

110 - MinQty

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