This topic describes logic for reconciling the order entry iLink 3 trade messages to the corresponding CPT FIX trade capture reports and CPT TOF deal tickets. 

To link each trade execution across CME Globex and through EBS Central Post Trade, customers must align the value in iLink 3 tag 1797-OrderEventExecID with the value in CPT FIX tag 1003-TradeID / CPT TOF User Defined Field DEAL_REF_NUM. 

iLink 3 tag 1797-OrderEventExecID, which is found in the tag 1795-NoOrderEvents repeating group, is equivalent to the unique Deal ID in Ai. iLink 3 can report multiple trades in a single Execution Report message; it is critical to make the change to use tag 1797-OrderEventExecID to reconcile with EBS CPT.

• On EBS CPT FIX, tag 1003-TradeID is required for uniquely identifying a trade back to iLink 3.

• On EBS CPT TOF, FID 561-566 User Defined Field DEAL_REF_NUM is required for uniquely identifying a trade back to iLink 3.

The following examples show how to reconcile the Execution Report - Trade tag 1795-NoOrderEvents repeating groups with the corresponding CPT FIX trade capture reports.  

Example 1 - Incoming Aggressor Order Matches with Single Resting Order

Aggressor Buy Order for 1M @ 0.7419 from Trader X

Resting Sell Orders for 1M @ 0.7419 from Trader A

When the incoming aggressor order matches with a single resting order:

Trader X receives: Qty traded=1M

• One iLink 3 Execution Report – Trade message

• One CPT FIX message

Trader A receives: Qty traded=1M

• One iLink 3 Execution Report – Trade message

• One CPT FIX message

Example 2 - Incoming Aggressor Order Matches with Multiple Resting Orders at Single Price Level

Aggressor Buy Order for 5M @ 0.7419 from Trader X

Resting Sell Orders:

Order_1 1m@0.7419  from Trader A

Order_2 1m@0.7419  from Trader B

Order_3 1m@0.7419  from Trader C

Order_4 1m@0.7419  from Trader D

Order_5 1m@0.7419  from Trader E

When the incoming aggressor order matches with multiple resting orders at a single price level (Limit price only):

Trader X receives: Qty traded=5M

• One iLink 3 Execution Report – Trade message

• Multiple CPT FIX messages with different Trade IDs

•  

  • Each of these trades will have a unique value of tag 1003-TradeIDNumber which corresponds to iLink 3 tag1797-OrderEventExecutionID. 

Trader A receives: Qty traded=1M

• One iLink 3 Execution Report – Trade message

• One CPT FIX message

Trader B receives: Qty traded=1M

• One iLink 3 Execution Report – Trade message

• One CPT FIX message

Trader C receives: Qty traded=1M

• One iLink 3 Execution Report – Trade message

• One CPT FIX message

Trader D receives: Qty traded=1M

• One iLink 3 Execution Report – Trade message

• One CPT message

Trader E receives: Qty traded=1M

• One iLink 3 Execution Report – Trade message

• One CPT FIX message

Example 3 - Incoming Aggressor Order Matches with Multiple Resting Orders at Two Different Price Levels - Limit Price Only

Aggressor Buy Order for 5m @ 0.7420 from Trader X

Resting Sell Orders:

Order_1 1m@0.7419  from Trader A

Order_2 1m@0.7419  from Trader B

Order_3 1m@0.7420  from Trader C

Order_4 1m@0.7420  from Trader D

Order_5 1m@0.7420  from Trader E

When the incoming aggressor order matches with multiple resting orders at two different price levels (Limit price only):

Trader X receives:

• Two iLink 3 Execution Report – Trade messages

•  

  • Fill Report 0.7419 @ 2M

  • Fill Report 0.7420 @ 3M

• Multiple CPT FIX messages with different Trade IDs

•  

  • Each of these trades will have a unique value of tag 1003-TradeIDNumber which corresponds to iLink 3 tag1797-OrderEventExecutionID.  

Trader A receives: Qty traded=1M

• One iLink 3 Execution Report – Trade message

• One CPT FIX message

Trader B receives: Qty traded=1M

• One iLink 3 Execution Report – Trade message

• One CPT FIX message

Trader C receives: Qty traded=1M

• One iLink 3 Execution Report – Trade message

• One CPT FIX message

Trader D receives: Qty traded=1M

• One iLink 3 Execution Report – Trade message

• One CPT FIX message

Trader E receives: Qty traded=1M

• One iLink 3 Execution Report – Trade message

• One CPT FIX message

Example 4 - Incoming Aggressor Order Matches with Multiple Resting Orders at Single Price Level with Some Resting Orders Having Price Discretion

Aggressor Buy Order for 25m @ 0.7419 from Trader X

Resting Sell Orders @0.7420:

Order_1 1m@0.7420 Trader_A Discretionary Price to 0.7418

Order_2 2m@0.7420 Trader_B  Discretionary Price to 0.7418

Order_3 3m@0.7420 Trader_A

Order_4 1m@0.7420 Trader_B Discretionary Price to 0.7418

Order_5 1m@0.7420 Trader_A Discretionary Price to 0.7418

Order_6 2m@0.7420 Trader_A Discretionary Price to 0.7418

Order_7 1m@0.7420 Trader_C Discretionary Price to 0.7418

Order_8 1m@0.7420 Trader_A

Order_9 2m@0.7420 Trader_B  Discretionary Price to 0.7419

Order_10 3m@0.7420 Trader_A Discretionary Price to 0.7419

Order_11 1m@0.7420 Trader_B Discretionary Price to 0.7419

Order_12 1m@0.7420 Trader_A Discretionary Price to 0.7419

Order_13 2m@0.7420 Trader_A Discretionary Price to 0.7419

Order_14  1m@0.7420 Trader_C Discretionary Price to 0.7419

When the incoming aggressor order matches with multiple resting orders at a single price level and some of the resting orders have Price Discretion:

Trader X receives: Qty traded=18M@0.7419  with remaining Qty 7M@0.7419 

• One iLink 3 Execution Report – Trade message with tag 1795-NoOrderEvents =12

• Multiple CPT FIX messages with different Trade IDs

•  

  • Each of these trades will have a unique value of tag 1003-TradeIDNumber which corresponds to iLink 3 tag1797-OrderEventExecutionID

Trader A receives: Qty traded=10M

• Six iLink 3 Execution Report – Trade messages

• Six CPT messages

Trader B receives: Qty traded=6M

• Four iLink 3 Execution Report – Trade messages

• Four CPT FIX messages

Trader C receives: Qty traded=2M

• Two iLink 3 Execution Report – Trade messages

• Two CPT FIX messages