Order Mass Action Request - Audit Trail Requirements

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:

   _ - : @ . + ( ) / \

50 - SenderSubID

5

Self-Match Prevention ID

Presence:Mandatory if present in captured message.

Format: String

7928 - SelfMatchPreventionID

6

Account Number

Presence: Mandatory if present in captured message.

Format: String

1 - Account

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: CA/1, CA/9, CA/10

35-MsgType / 1374-MassActionScope

14

Message Link ID

Presence: Optional

Format: String

Value: Must only contain letters, numbers and/or the following characters:

   _ - : @ . + ( ) / \

Must be unique within the audit trail file.

N/A - This identifier exists only in the audit trail.

17

Instrument Description

Presence: Mandatory if present in captured message.

Format: String

Value: Must follow CME Group instrument code nomenclature.

107 - SecurityDesc or tag 55 - Symbol

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

19

Client Order ID

Presence: Mandatory

Format: String

Value: Must only contain letters, numbers and/or the following characters: !"#$%&'()*+,-./: ;<=>?@[\]^_`{|}~

Must not be used for any other Client Order Id from customer-generated messages in the file

CA/1, CA/9, CA/10

11 - ClOrdID

21

Buy/Sell Indicator

Presence: Mandatory if present in captured message.

Format: Integer

Value: 1 or 2

54 - Side

25

Order Type

Presence: Mandatory if present in captured message.

Format: String

Value: 1, 2, 3, 4 or K

40 - OrderType

26

Order Qualifier

Presence: Mandatory if present in captured message.

Format: Integer

Value: 0, 1, 3 or 6

59 - TimeInForce

30

Country of Origin 

Presence: Mandatory

Format: String

Value: Must follow ISO standard.

 142 - SenderLocationID