Mass Quote - Audit Trail Requirements
- CME Group
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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