iLink 2 New Order Cross
The New Order Cross (tag 35-MsgType=s) message submits a Cross on CME Globex, a two-sided order submitted by a single party/broker at the same price and quantity.
The → symbol indicates a repeating tag.
Tag | Name | Enumeration | Req | Description | |
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35 | MsgType | Sting(2) | s=New Order Cross | Y | Header tag identifying message type. |
21 | HandInst | Char(1) | 1=Automated execution | N | Order submitted for automated matching on CME Globex. |
22 | SecurityIDsource | Char(1) | 8=Exchange symbol | N | Identifies class or source of the tag 48-SecurityID value. |
40 | OrdType | Char(1) | 2=Limit order | Y | Only '2' (limit order) supported. |
44 | Price | Price(20) |
| Y | Required for limit or stop-limit orders. Designates the price per single contract unit. The decimal, and if applicable the negative sign of the price are each one character. Client systems should not supply more than 9 characters to the left and 9 characters to the right of the decimal. |
48 | SecurityID | Int(12) |
| N | Identifier of the instrument defined in tag 107-SecurityDesc. |
55 | Symbol | String(6) |
| Y | This tag contains the Group Code of the instrument. |
60 | TransactTime | UTCTimestamp(21) |
| Y | UTC format YYYYMMDD-HH:MM:SS.sss |
1028 | ManualOrderIndicator | Boolean(1) | Y=manual | Y* | 'N' indicates the message was generated by automated trading logic. Note: iLink messages containing a value other than 'Y' or 'N' 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. |
107 | SecurityDesc | String(20) |
| Y* | Instrument identifier. |
167 | SecurityType | String(6) | FUT=Future OPT=Option IRS=Interest Rate Swap FXSPOT=FX Spot | N | Indicates instrument is future or option. Note: for options strategy including UDS COMBO or COVERED, send OPT. For UDS Futures, send FUT. |
548 | CrossID | String(32) |
| Y | Client system populates this tag to allow linking of Buy and Sell sides (and all legs in the case of a spread) for related Execution Reports. |
549 | CrossType | Int(2) | 3=Cross trade executed | Y | Identifies transaction type. |
550 | CrossPrioritization | Int(1) | 0=None | Y | Always '0'. |
483 | TransBkdTime | UTCTimestamp(21) |
| Y | Indicates the time at which the order was finalized between the buyer and seller prior to submission. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy. |
552 | NoSides | Int(1) | 2 | Y | Number of sides. Always '2'. |
→54 | Side | Char(1) | 1=Buy | Y | Side of order. |
→1 | Account | String(12) |
| Y* | Executing account mnemonic as agreed between the broker and clearing member firm. |
→11 | ClOrdID | String(20) |
| Y | Unique order identifier assigned by client system. Refer to iLink - CME Globex Identifiers for more information. |
→1031 | CustOrderHandlingInst | String(1) | W - Desk Y - Electronic (Default) C - Vendor-provided Platform billed by Executing Broker G - Sponsored Access via Exchange API or FIX provided by Executing Broker H - Premium Algorithmic Trading Provider billed by Executing Broker D - Other, including Other-provided Screen | N | Defines source of original order. |
→38 | OrderQty | Int(9) |
| Y | Order quantity. Must be a positive integer. |
→962 | SideTimeInForce | Char(1) | 0=Keep on book | N | Indicates how long the order as specified in the side stays in effect. SideTimeInForce allows a two-sided cross order to specify order behavior separately for each side. |
→204 | CustomerOrFirm | Int(1) | 0=Customer | Y* | The type of business conducted. |
→9702 | CtiCode | Char(1) | 1=CTI 1 2=CTI 2 3-CTI 3 4=CTI 4 | Y* | Customer Type Indicator (CTI) For electronic trading CTI codes are defined as:
This tag is subject to Rule 536.D Customer Type Indicator (CTI) Codes and to 536.B.2 Electronic Audit Trail Requirements for Electronic Order Routing/Front-End Systems. If you are unsure of which value to use, contact CME Group Market Regulation. |
→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. Note: For Request for Cross (“RFC”) order, customers can submit tag 819, tag 1731, and tag 1598 on each buy and sell repeating group. Each acknowledgment and execution report for the buy and the sell orders will contain the corresponding tag values from the correct buy and sell repeating group. |
→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). Note: For Request for Cross (“RFC”) order, customers can submit tag 819, tag 1731, and tag 1598 on each buy and sell repeating group. Each acknowledgment and execution report for the buy and the sell orders will contain the corresponding tag values from the correct buy and sell repeating group. |
→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. Note: For Request for Cross (“RFC”) order, customers can submit tag 819, tag 1731, and tag 1598 on each buy and sell repeating group. Each acknowledgment and execution report for the buy and the sell orders will contain the corresponding tag values from the correct buy and sell repeating group. |
→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. Note: For Request for Cross (“RFC”) order, customers can submit tag 5149 on each buy and sell repeating group. Each acknowledgment and execution report for the buy and the sell orders will contain the corresponding tag 5149 value from the correct buy and sell repeating group. |
→78 | NoAllocs | Char(1) | 1 | N | Always set to '1'. |
→79 | AllocAccount | String(11) |
| N | Indicates a give up account number. |
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Y: Required by FIX protocol, Y*: Required by CME Globex (not by FIX protocol), N: Not Required, C: Conditionally
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