Mass Quote - Audit Trail Requirements
The Mass Quote message submitted to the Globex platform must be decomposed into its quote entries. The Audit Trail must include one line item per quote entry.
Position | Field Name | TO/FROM CME | Associated iLink Tag |
|---|---|---|---|
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: "TO CME" | 57 - TargetSubID |
4 | Operator ID | Presence: Mandatory Format: String with a maximum length of 18 bytes. Value: Must only contain letters, numbers and/or the following characters: Â Â Â _ - : @ . + ( ) / \ | 50 - SenderSubID |
5 | Self-Match Prevention ID | Presence: Mandatory if present in captured message. Format: String | 7928 - SelfMatchPreventionID |
6 | Account Number | Presence: Mandatory Format: String | 9771 - MMAccount |
7 | Session ID | Presence: Mandatory Format: String Value: Exactly 3 Characters | 49 - SenderCompID |
8 | Executing Firm ID | Presence: Mandatory Format: String Value: Exactly 3 Characters | 49 - SenderCompID |
9 | Manual Order Identifier | Presence: Mandatory Format: String Value: 'Y' or 'N' | 1028 - ManualOrderIndicator |
10 | Message Type | Presence: Mandatory Format: String Value: 'i' | 35 - MsgType |
11 | Customer Type Indicator | Presence: Mandatory Format: Integer Value: 1, 2, 3 or 4 | 9702 - CTICode |
12 | Origin | Presence: Mandatory Format: Integer Value: 0 or 1 | 204-CustomerOrFirm |
17 | Instrument Description | Presence: Mandatory Format: String Value: Must follow CME Group instrument code nomenclature. | 107 - SecurityDesc |
18 | Market Segment ID | Presence: Mandatory if present in captured message. Format: String Value: Must be the Market Segment ID corresponding to the Instrument. | 57 - TargetSubID |
30 | Country of Origin | Presence: Mandatory Format: String Value: Must follow ISO standard | 142 - SenderLocationID |
40 | Quote Request ID | Presence: Mandatory if present in captured message. Format: String Value: Must only contain letters, numbers and/or the following characters: Â Â Â _ - : @ . + ( ) / \ | 131 - QuoteReqID |
41 | Message Quote ID | Presence: Mandatory Format: String Value: Must only contain letters, numbers and/or the following characters:    _ - : @ . + ( ) / \ Must not be used for any other Mass Quote ID from customer-generated messages in the file. | 117 - QuoteID |
42 | Quote Entry ID | Presence: Mandatory Format: String Value: Must only contain letters, numbers and/or the following characters:   _ - : @ . + ( ) / \ Must not be used for any other instrument code in the file. | 299 - QuoteEntryID |
43 | Bid Price | Presence: Mandatory Format: Integer or Decimal Number | 132 - BidPx |
44 | Bid Size | Presence: Mandatory Format: Integer | 134 - BidSize |
45 | Offer Price | Presence: Mandatory Format: Integer or Decimal Number | 133 - OfferPx |
46 | Offer Size | Presence: Mandatory Format: Integer | 135 - OfferSize |
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