iLink 2 Quote Acknowledgment
The Quote Acknowledgment (tag 35-MsgType=b) message is sent in response to:
The → symbol indicates a repeating tag.
Tag | Name | Enumeration | Req | Description | |
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35 | MsgType | String(2) | b=Quote Acknowledgment | Y | Header tag identifying message type. |
131 | QuoteReqID | String(23) |
| C | Conditionally required when acknowledgment (tag 35-MsgType=b) is in response to a Quote Request (tag 35-MsgType=R) message. Will contain the tag 131-QuoteReqID value from the corresponding Quote Request. |
297 | QuoteAckStatus | Int(2) | 0=Accepted | Y | Indicates acceptance or rejection of Mass Quote. |
9770 | ExchangeQuoteReqID | String(23) |
| N | CME Globex generated QuoteID. |
117 | QuoteID | String(10) |
| C | Conditionally required when acknowledgment (tag 35-MsgType=b) is in response to a Mass Quote (tag 35-MsgType=i) or Mass Quote Cancel (tag 35-MsgType=Z) message. Will contain the tag 117-QuoteID value from the corresponding Mass Quote or Mass Quote Cancel message. |
300 | QuoteRejectReason | Int(6) | 1=Unknown symbol (security) | N | Contains reason (error code) the corresponding Mass Quote message has been rejected. When this tag is returned, all quotes in the corresponding Mass Quote message are rejected. |
7928 | SelfMatchPreventionID | String(12) |
| N | This tag is required when market participants elect to use the optional Self Match Prevention functionality and will be returned on the Quote Acknowledgment. |
9771 | MMAccount | String(12) |
| Y* | Tag 9771-MMAccount of the corresponding Mass Quote message. Note: This tag value is always uppercase, regardless of the case in the inbound message tag. Client systems are not required to submit capitalized account values to CME Globex. |
9772 | NoProcessedEntries | Int(5) |
| Y* | In response to tag 35-MsgType=i. |
9773 | MMProtectionReset | Char(1) |
| N | This tag is sent and set to 'Y' on the first quote acknowledgment sent after Mass Quote Protection reset. |
58 | Text | String(200) | Will contain text accompanying quote reject reason value given in tag 300-QuoteRejectreason | N | Reason (error text) the message has been rejected. |
1028 | ManualOrderIndicator | Boolean(1) | Y=manual | Y* | Value sent on inbound message from client system indicating the order as sent manually or generated by automated trading logic. |
1731 | AvgPxGroupID | String(20) |
| N | Used to identify account numbers or orders for grouping trades together for average price calculations. If incoming value is greater than max length, iLink will return the right-most twenty bytes. |
1598 | ClearingTradePriceType | String(1) | 0 – Trade Clearing at Execution Price | N | Indicates whether spread differential trade is clearing at execution price (tag 31-LastPx) or alternate clearing price (i.e. previous day’s settlement price). |
819 | AvgPXIndicator | Int(3) | 0 – No Average Pricing (Default) | N | Indicates if the resulting trade is to be average priced. This tag is also used to indicate type of average price grouping. |
5149 | Memo | String(75) |
| N | Allows users to submit a free-form Note tag with a customer order and persists from order entry through clearing Note: if tag 5149-Memo value on inbound messages exceeds the max length of 75 bytes, iLink will return a truncated 75 bytes from the right on the response. |
296 | NoQuoteSets | Int(2) |
| Y | The number of quote sets that follow in this message. |
→302 | QuoteSetID | String(3) |
| C | Tag 302-QuoteSetID contains invalid quotes in the corresponding Mass Quote message. Present only for quote-level reject. |
→304 | TotQuoteEntries | Int(3) |
| C | Always identifical to tag 295-NoQuoteEntries. Present only for quote-level reject. |
→295 | NoQuoteEntries | Int(3) |
| C | Number of invalid quotes for this underlying contract (Quote Set). Present only for quote-level reject. |
→→299 | QuoteEntryID | String(10) |
| C | Uniquely identifies a quote. Present only for quote-level reject. |
→→55 | Symbol | String(6) |
| N | Group code. |
→→107 | SecurityDesc | String(20) |
| N | Instrument identifier. |
→→167 | SecurityType | String(3) | OPT=Option | N | Indicates instrument is an option. |
→→48 | SecurityID | Int(12) |
| N | Identifier of the instrument defined in tag →→ 107. |
→→22 | SecurityIDSource | Char(1) | 4=ISIN number | N | Identifies class or source of the tag 48-SecurityID value. '4' sent for negative acknowledgment |
→→368 | QuoteEntryRejectReason | Int(4) | See table below. | C | Reason (error code) quote has been rejected. Present only for quote-level reject. |
5979 | RequestTime | Int(20) |
| Y | Information carried on a response to convey the time (UTC) when the request was received by the MSGW application. UTC timestamps are sent in number of nanoseconds since UNIX epoch with microsecond precision. |
5904 | DelayDuration | Int |
| N | Indicates the amount of time in nanoseconds that a message was subject to additional processing as a result of being:
Subtracting this number from tag 5979-RequestTime will represent original received time of in-flight message |
9553 | SplitMsg | Int(1) | 0 – Split message 1 – Out-of-order message 2 – Complete message | N | Indicates whether a message was subject to additional processing as a result of being:
If absent, then the message was not subject to additional processing. |
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Y: Required by FIX protocol, Y*: Required by CME Globex (not by FIX protocol), N: Not Required, C: Conditionally
Tag 368-QuoteEntryRejectReason
Rejection Code | Description |
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1 | Unknown symbole (Security) |
2 | Exchange (Security) closed |
3 | Quote exceeds limit |
5 | Unknown quote |
6 | Duplicate quote |
7 | Invalid bid/ask spread |
8 | Invalid price |
9 | Not authorized to quote security |
51* | Unknown symbol (Security) and cancel resting quote |
52* | Exchange (Security) closed and cancel resting quote |
53* | Quote exceeds limit and cancel resting quote |
54* | Too late to enter and cancel resting quote |
55* | Unknown quote and cancel resting quote |
56* | Duplicate quote and cancel resting quote |
57* | Invalid bid/ask spread and cancel resting quote |
58* | Invalid price and cancel resting quote |
59* | Not authorized to quote security and cancel resting quote |
98* | Mass Quote Protection |
99* | Other |
100 | Quote entry quantity is outside of the allowable range |
101 | Order quantity is outside the allowable range ‘Quantity 10000 Max: 9999 Min:1 |
102* | Self Match Prevention ID is not associated with the given Firm ID |
2137 | Order price is outside daily limit |
2179 | Order price is outside bands and cancel resting quote |
*=CME-defined
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