iLink 2 Mass Quote

iLink 2 Standard Header - Client System to CME Globex

MsgType

String(2)

i=Mass Quote

Y

Header tag identifying message type.

131

QuoteReqID

String(23)

N

If a quote entry is in response to a Quote Request, this tag should contain the QuoteReqID of the corresponding Request for Quote (tag 35-MsgType=R) market data message.

117

QuoteID

String(10)

Y

Client system generated identifier of the message. Must be unique per mass quote message per trading session.

9771

MMAccount

String(12)

Y*

Account number of Mass Quoting firm.

1028

ManualOrderIndicator

Boolean(1)

Y=manual
N=automated

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.

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

Y

Defines source of original order.

204

CustomerOrFirm

Int(1)

0=Customer
1=Firm

Y*

The type of business conducted.

7928

SelfMatchPreventionID

String(12)

N

This tag is required when market participants elect to use the optional Self Match Prevention functionality.

Non-implied orders with the same Self-Match Prevention identifier submitted with the same Executing Firm Identifier (subcomponent of tag 49-SenderCompID) will not match on CME Globex.

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:

• CTI 1: Applies to orders entered or trades executed by an individual member for their own account, for an account they controls, or for an account in which they have an ownership or financial interest. However, transactions initiated and executed by a member for the proprietary account of a member firm must be designated as CTI 2 transactions.

• CTI 2: Applies to orders entered or trades executed for the proprietary accounts of a member firm, including Rule 106.H., I., N., R. and S. firms.

• CTI 3: Applies to orders entered by a member or a nonmember terminal operator for the account of another individual member or an account controlled by such individual member.

• CTI 4: Applies to all orders and transactions not included in CTI categories 1, 2, or 3. These typically are orders entered by or on behalf of nonmember entities.

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.

9773

MMProtectionReset

Char(1)

Y=Reset 
N=Do not reset

N

When Mass Quoting Protection is triggered, CME Globex will not accept any new quotes from the Mass Quote customer for the given product group until it receives a Mass Quote message with the tag 9773-MMPReset flag set to 'Y' to reset protection. 

See Mass Quote Protections.

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
1 – Trade Clearing at Alternate Clearing 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)
1 – Trade is part of an Average Price Group Identified by the AvgPxGroupID
3 - Notional Value Average Pricing with Average Price Group Identified by the AvgPxGroupID

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)

Y

Sequential number for the quote set. For a given QuoteID, assumed to start at '1'. Must be the first tag in the repeating group.

→307

UnderlyingSecurityDesc

String(20)

N

Instrument identifier for underlying futures contract (e.g. ESH0).

→304

TotQuoteEntries

Int(3)

Y

Total quote entries.
Must have the same value as tag 295-NoQuoteEntries.

→295

NoQuoteEntries

Int(3)

Y

The number of quotes for the quote set.

→→299

QuoteEntryID

String(10)

Y

Client system provided unique identifier for quote in this repeating group. Must be the first tag in the repeating group.

→→55

Symbol

String(6)

Y*

This tag contains the Group Code of the instrument.

→→107

SecurityDesc

String(20)

Y*

Instrument identifier.
Option Example: ESU8 C2425

→→167

SecurityType

String(3)

OPT=Option

Y*

Indicates instrument is an option.

→→48

SecurityID

Int(12)

N

Identifier of the instrument defined in tag 107-SecurityDesc.

→→22

SecurityIDSource

Char(1)

8=Exchange symbol

N

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

→→60

TransactTime

UTCTimestamp(21)

N

UTC format YYYYMMDD-HH:MM:SS.sss
e.g. 20091216-19:21:41.109

→→132

BidPx

Price(20)

N

Quoted bid price.
Tag 132-BidPx cannot be submitted without the tag 134-BidSize.

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.

→→134

BidSize

Int(9)

N

Quoted bid size.
Tag 134-BidSize cannot be submitted without the tag 132-BidPx.
A value of '0' sent in this tag cancels quotes on this side for the given instrument.

→→133

OfferPx

Price(20)

N

Quoted offer price.
Ta 133-OfferPx cannot be submitted without the tag 135-OfferSize.

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..

→→135

OfferSize

Int(9)

N

Quoted offer size. 
Tag 135-OfferSize cannot be submitted without the tag 133-OfferPx.
A value of '0' sent in this tag cancels quotes on this side for the given instrument.

iLink 2 Standard Message Trailer

End of message.