iLink 3 Security Definition Response

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.

58

Text

String256

256

N

Reject reason details.

Used only for descriptive rejects.

2714

FinancialInstrumentFullName

StringLength35

35

N

Long name of the instrument for TM Repo.

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.

55

Symbol

String20

20

N

Instrument Short Name for TM Repo.

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.

320

SecurityReqID

uInt64

8

Y

Unique ID of a Security Definition Request.

322

SecurityResponseID

uInt64

8

Y

Unique ID of a Security Definition message.

5297

SendingTimeEpoch

uInt64

8

Y

Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.

1151

SecurityGroup

StringLength6

6

N

Product group

167

SecurityType

StringLength6

6

N

• FUT = Future or Future Spread

• OOF = Options on Futures or Options on Futures Spread

• MLEG = Strategy with mixed type legs

Security Type

Note: For UDS for Futures, only returned in UDS acknowledgments (tag 323-SecurityResponseType=2). It is not returned in rejects (323-SecurityResponseType=5)

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.

48

SecurityID

Int32NULL

4

N

Identifier of the UDS/UDI.

15

Currency

String3

3

N

Identifies currency used for price.

22

SecurityIDSource

SecurityIDSource

0

Y

Always 4=ISIN number

Identifies class or source of the tag 48-SecurityID value.

Constant value.

200

MaturityMonthYear

MaturityMonthYear

2

N

Instrument expiration; earliest leg maturity in the options strategy.

Format YYYYMM (i.e. 200912)

For daily products, this tag contains the full calendar date as reflected in the instrument symbol. Format YYYYMMDD (e.g. 20191205).

For weekly options products, this tag contains the calendar month and week indicator reflected in the instrument symbol. Format YYYYMMwW (e.g., for the 4^th week contracts, 201912W4).

5904

DelayDuration

uInt16NULL

2

N

Not currently being used.

916

StartDate

LocalMktDate

2

N

Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral.

917

EndDate

LocalMktDate

2

N

End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral.

37715

MaxNoOfSubstitutions

uInt8NULL

1

N

Max number of substitutions allowed. '0 ' indicates that substitutions are not allowed.

5677

SourceRepoID

Int32NULL

4

N

Represents the source repo instrument on which the new tailor made repo should be modeled on

788

TerminationType

String8

8

N

Represents the term code

323

SecurityResponseType

SecRspTyp

1

Y

• SecurityRequestType=1 (not used)

• SecurityResponseType=2 (Accept security proposal 
  with revisions as indicated 
  in the message)

• SecurityResponseType=5 (Reject security proposal)

Type of response.

9779

UserDefinedInstrument

UDI

0

Y

• Y=User defined instrument 

Identifies user-defined instruments

Constant value

827

ExpirationCycle

ExpCycle

1

N

• 0=Expire on trading session close (default) 

• 2=Trading eligibility expiration specified in the date and time fields

For tag 827-ExpirationCycle=2, instrument expires as indicated in market data Security Definition (tag 35-MsgType=d) repeating block:

• Tag 865-EventType=7 (Last Eligible Trade Date)

• Tag 1145-EventTime

1028

ManualOrderIndicator

ManualOrdIndReq

1

Y

• 0=Automated

• 1=Manual

Indicates if the message was initially received manually.

'0' indicates the message was generated by automated trading logic.

iLink messages containing a value other than '0' or '1' in this tag will be rejected.

This tag is subject to Rule 536.B.2 Electronic Audit Trail Requirements for Electronic Order Routing/Front-End Systems.

https://www.cmegroup.com/rulebook/files/cme-group-Rule-536-B-Tag1028.pdf

9553

SplitMsg

SplitMsg

1

N

• 0=Split Msg Delayed

• 1=Out of Order Msg Delayed

• 2=Complete Msg Delayed

Indicates if a message was delayed as a result of:

• being split among multiple packets (0)

• TCP re-transmission (1)

• due to a previously submitted split or out of order message (2).

If absent, the message was not delayed and was neither split nor received out of order.

9776

AutoQuoteRequest

BooleanFlag

1

Y

• 0=False

• 1=True

Boolean flag (0/1) to automatically send a quote request message following the Security Definition (35=d) message.

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

6651

BrokenDateTermType

uInt8NULL

1

N

Currently not supported.

Defines how user defined tailor made repo contract is to be broken down into different broken dates.

555

NoLegs

groupSize

3

Y

• minValue=2

• maxValue=40

Up to 26 legs (i.e., repeating groups) supported for UDS for options. Up to 40 legs (i.e., repeating groups) supported for UDS for futures.

→566

LegPrice

PRICENULL9

8

N

Price of the futures contract as part of UDS Covered.

→1017

LegOptionDelta

Decima32NULL

4

N

Delta used to calculate the quantity of futures used to cover the option or option strategy.

• For a covered option outright instrument, must be between +0.01 and +1.00.

• For a covered option spread instrument, must be between +0.01 and +40.00

→603

LegSecurityIDSource

LegSecIDSource

0

Y

• LegSecurityIDSource=8 (exchange symbol)

Identifies class or source of the tag 602-LegSecurityID value.

Constant value.

→602

LegSecurityID

Int32

4

Y

ISIN code, this is the primary tag used to identify the contract and it must be populated with the corresponding tag 48-SecurityID value from the market data 35=d Security Definition message.

→624

LegSide

SideReq

1

Y

• LegSide=1 (Buy)

• LegSide=2 (Sell)

For Covereds, must be present for option repeating group and must = 1 (buy).

For Covereds, must be present for future repeating group as well.

For Combos, the first instrument in the repeating group must = 1 (buy).

All UDS contract are defined from the buy side perspective (i.e. buying the spread).

→623

LegRatioQty

uInt8NULL Enum

1

N

• minValue=1

• maxValue=20

Specifies ratio for the instrument defined in this repeating group.

Required for any UDS options leg.

Optional for Covereds leg.

39026

NoBrokenDates

groupSize

3

Y

Currently not supported.

Used to indicate the number of custom bespoke broken dates for user defined tailor made repo.

→39031

BrokenDateGUID 

uInt64NULL

8

N

External unique REPO Instrument ID.

→39027

BrokenDateSecurityID 

Int32NULL

4

N

REPO Instrument Security ID.

→6748

BrokenDateStart

LocalMktDate

2

Y

Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral.

→6741

BrokenDateEnd

LocalMktDate

2

Y

End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral.