iLink 3 Execution Report - Trade Outright
The Execution Report - Trade Outright message is sent upon fill or partial fill of client order:
Fill Execution Report only for outright instruments
Bolded red text indicates support for EBS Market.
35=8, 39=1,2
Tag | Name | Binary Type | Binary Length | Req | Enumeration | Description |
---|---|---|---|---|---|---|
9726 | SeqNum | uInt32 | 4 | Y | Sequence number assigned to this message. The max value is 999999999 which is 1 short of 1 billion. | |
39001 | UUID | uInt64 | 8 | Y | Matches Establish.UUID used to establish the connection. | |
17 | ExecID | String40 | 40 | Y | Globally unique identifier for each Execution Report message assigned by exchange. | |
5392 | SenderID | String20Req | 20 | Y | For futures and options markets: represents Operator ID. For EBS and fixed income markets: represents the Entering Trader. For EBS this value must be 3 characters. This value represents the individual or team submitting the message and is subject to registration requirements and character limits as required by Rule 576 and the Advisory below: https://www.cmegroup.com/rulebook/files/cme-group-Rule-576.pdf In FirmSoft and Global Command Center queries for order status and cancellations, this value must be exact. This tag value is always uppercase, regardless of the case in the inbound message tag. Client systems are not required to submit capitalized identifier to CME Globex. | |
11 | CIOrdID | String20Req | 20 | Y | Unique identifier for Order as assigned by client system. Uniqueness must be guaranteed within a single trading day. Firms, particularly those which electronically submit multi-day orders, trade globally, or throughout market close periods, should ensure uniqueness across days. | |
1505 | PartyDetailsListReqID | uInt64 | 8 | Y | The unique identifier of the Party Details Definition Request Acknowledgment associated with this message; this is the value submitted on the inbound message. For pre-registered messages:
For on-demand messages:
| |
31 | LastPx | PRICE9 | 8 | Y | Price of this (last) fill. | |
37 | OrderID | uInt64 | 8 | Y | Globally unique identifier for each order assigned by the exchange. | |
44 | Price | PRICE9 | 8 | Y | Price per share or contract. | |
99 | StopPx | PRICENULL9 | 8 | N | The stop price of a stop limit and stop protect order (Conditionally present if tag 40-OrdType=4). | |
60 | TransactTime | uInt64 | 8 | Y | Time the transaction represented by this Execution Report (35=8) occurred. Expressed as nanoseconds since epoch time. | |
5297 | SendingTimeEpoch | uInt64 | 8 | Y | Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970. | |
2422 | OrderRequestID | uInt64 | 8 | Y | OrderRequestID used to identify a request to enter, modify, or delete an order. Echoed back on the Execution Report. For the unsolicited events (e.g. fills and end of day eliminations), echo the value on the ExecutionReport representing the last accepted OrderRequestID on the corresponding order. | |
527 | SecExecID | uInt64 | 8 | Y | Unique identifier linking spread summary fill notice with leg fill notice and trade cancel messages. To uniquely identify each fill, Client System can concatenate: OrderID (37) + TradeDate (75) + SecExecID (527) | |
548 | CrossID | uInt64NULL | 8 | N | Identifier for a Cross order. Will be present if execution report is in response to a Cross order. | |
961 | HostCrossID | uInt64NULL | 8 | N | Host-assigned entity ID used to reference all components of a Cross: sides + strategy + legs. The HostCrossID also links components of the Cross order. For example, each individual Execution Report associated with the order will contain HostCrossID to tie them to the original Cross order. | |
9537 | Location | String5Req | 5 | Y | ISO identifier of the physical location of the individual or team head trader identified by the tag 5392 (SenderID) in the message. The first two bytes as per ISO 3166-1, identify the country (e.g., JP = Japan, CN = China). The next three bytes indicate a comma-delimited state or province code (e.g., CA = California, QC = Quebec). For valid values, refer to https://www.cmegroup.com/ftp/fix/coo/. Market Regulation requires only the submission of the two first characters of tag 9537-Location for all countries with the exception of Canada. For Canada, the 5 bytes including the province code must be submitted. This field is optional for EBS Market and eFIX Matching Service instruments. | |
48 | SecurityID | Int32 | 4 | Y | Security ID as defined in the market data Security Definition message. | |
38 | OrderQty | uInt32 | 4 | Y | Number of shares or contracts ordered. | |
32 | LastQty | uInt32 | 4 | Y | Quantity bought/sold on this (last) fill. | |
14 | CumQty | uInt32 | 4 | Y | Total quantity filled. | |
37711 | MDTradeEntryID | uInt32 | 4 | Y | Market Data Trade Entry ID. This identifier is assigned to all trades that take place for an instrument at a particular price level. | |
1506 | SideTradeID | uInt32 | 4 | Y | Trade ID assigned to the trade once it is received or matched by the exchange. | |
820 | TradeLinkID | uInt32NULL | 4 | N | Contains the workup ID; unique per instrument per day. | |
151 | LeavesQty | uInt32 | 4 | Y | Quantity open for further execution. Only present for outrights and spreads, not spread legs. | |
75 | TradeDate | LocalMktDate | 2 | Y | Indicates date of trading day (expressed in local time at place of trade). Sent in number of days since Unix epoch. | |
432 | ExpireDate | LocalMktDate | 2 | Y | Date of order expiration (last day the order can trade), always expressed in terms of the local market date. Sent in number of days since Unix epoch. | |
39 | OrdStatus | OrdStatusTrd | 1 | Y |
| Identifies status of order as partially filled or completely filled. |
150 | ExecType | ExecTypTrade | 0 | Y | ExecType=F (Trade) | Describes the specific Execution Report (e.g. Cancel) while tag 39-OrdStatus will always identify the current order status (e.g. Partially Filled). Constant value. |
40 | OrdType | OrderType | 1 | Y |
| Order type. |
54 | Side | SideReq | 1 | Y |
| Side of order. |
59 | TimeInForce | TimeInForce | 1 | Y |
| Specifies how long the order remains in effect FOK is supported only for BrokerTec/EBS GFS is supported only for EBS |
1028 | ManualOrderIndicator | ManualOrdIndReq | 1 | Y |
| Indicates if the message was initially received manually. '0' indicates the message was generated by automated trading logic. iLink messages containing a value other than '0' or '1' 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. https://www.cmegroup.com/rulebook/files/cme-group-Rule-536-B-Tag1028.pdf |
9765 | PossRetransFlag | BooleanFlag | 1 | Y |
| Flags message as possible retransmission or duplicate Indicates if message is an original transmission or duplicate in response to Retransmission Request or possible duplicate Used when original messages are interleaved with Retransmission responses Possible duplicate means the same message may have been sent again with different sequence number |
1057 | AggressorIndicator | BooleanFlag | 1 | Y |
| Indicates if order was incoming or resting for the match event. |
549 | CrossType | uInt8NULL | 1 | N |
| Type of Cross submitted to the market (if in response to a Cross order). |
18 | ExecInst | ExecInst | 1 | N |
| Instructions for order handling for fixed income markets. Only Best may be applied to resting and aggressing orders and:
Not Held (applies only to US Repo) eliminates quantity remaining from an FaKi order (tag 59=3) and ensures it will it not be included in a work-up session; however, the order can still trigger a work-up session. AONs will have a separate book with a separate ISIN. The AON orders that cannot trade immediately can rest in the AON book. They can only trade with AON orders on the other side of the AON book that have the SAME PRICE and SAME QUANTITY. Applicable only for BrokerTec Markets; should not be used for future and options markets. |
5906 | ExecutionMode | ExecMode | 1 | N |
| Instruction for whether the order should rest on the book upon entry or match as an aggressor. A Passive Order will rest in the market without executing unless matched with an Aggressive Order on the other side. An Aggressive Order will match against any other order on the opposite side. |