Mass Quote Acknowledgment - Accept and Partial Accept - Audit Trail Requirements
The Mass Quote Acknowledgment - Partial Accept message submitted by CME Globex must be decomposed into its rejected quote entries. The Audit Trail must include one line item per rejected quote entry.
Blank cell = Not Applicable
Position | Field Name | TO/FROM CME (Tier 1 component interactions with CME Globex) | Associated iLink Tag |
|---|---|---|---|
2 | Receiving Timestamps | Presence: Mandatory for all architectures. Format: UTC Timestamp Value: YYYYMMDD-hh:mm:ss.sss populated at least at the milliseconds. | 60 - Transact Time |
3 | Message Direction | Presence: Mandatory Format: String Value:Â "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: Â Â _ - : @ . + ( ) / \ | 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 | 9771 - MMAccount |
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: "b/0" or "b\0" | 35 - MsgType / 297 - QuoteAckStatus |
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 - SenderSub |
37 | Reject Reason | Presence: Must be indicated for each rejected quote entry. Format: String | 368 - QuoteEntryRejectReason |
38 | Processed Quotes | Presence: Mandatory Format: Integer | 9772 - NoProcessedEntries |
40 | Quote Request ID | Presence: Mandatory if present in captured message. Format: String Value: Must only contain letters, numbers and/or the following characters: Â Â Â _ - : @ . + ( ) / \ | 131 - QuoteReqID |
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 |
42 | Quote Entry ID | Presence: Mandatory if present in the captured message. Format: String Value: Must only contain letters, numbers and/or the following characters:    _ - : @ . + ( ) / \ Must not be used for any other instrument code in the file | 299 - QuoteEntryID |
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