Business-Level Reject - Audit Trail Requirements

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: "FROM CME"

57 - TargetSubID

4

Operator ID

Presence: Mandatory if present in captured message. 

Format: String with a maximum length of 18 bytes.

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

   _ - : @ . + ( ) / \

57 - TargetSubID

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: 'j'

35 - MsgType

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.

This ID is not required for Mass Quote related messages.

N/A - This identifier exists only in the audit trail.

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

21

Country of Origin

Presence: Mandatory if present in captured message for Futures & Options and NEX-SEF products.

Format: String

Value: Must follow ISO standard.

142 - SenderLocationID

37

Reject Reason

Presence: Mandatory

Format: String

 45 - RefSeqNum, 372 - RefMsgType