iLink 2 Execution Report - Fill Notice
The Execution Report - Fill Notice (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2) message is sent upon fill or partial fill of client order.
Tag | Name | Enumeration | Req | Description | |
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35 | MsgType | String(2) | 8=Execution Report | Y | Header tag identifying message type. |
1 | Account | String(12) |
| Y* | Unique account identifier. Note: This tag value is always uppercase, regardless of the case in the inbound message tag. Client systems are not required to submit capitalized account values to CME Globex. |
6 | AvgPx | Price(20) |
| Y | Always '0'. |
11 | ClOrdID | String(20) |
| Y* | CME Globex returns this value from tag 11 of the New Order or Cancel Replace Request message up to 20 bytes. For Mass Quotes the value references 299-QuoteEntryID. See iLink - CME Globex Identifiers for more information. |
14 | CumQty | Int(9) |
| Y* | Contains cumulated traded quantity throughout lifespan of an order. |
37711 | MDTradeEntryID | Int(10) |
| N | Common identifier that associates CME STP cleared trades with order execution and market data messaging. Will continue to refer back to the original value as assigned to the trade being busted or adjusted. Will always be present on Fills except for leg fills on a spread or combination trade. Unique across all iLink sessions and market segments per trading week. |
17 | ExecID | String(40) |
| Y | CME Globex assigned execution report message identifier; globally unique for each message published. |
20 | ExecTransType | Char(1) | 0 | Y | Always '0'. |
31 | LastPx | Price(20) |
| Y* | Price at which order was filled. Premium quoted option value will be equivalent calculated premium price. |
32 | LastQty | Int(9) |
| Y* | Quantity filled. |
37 | OrderID | String(17) |
| Y | CME Globex assigned order identifier; globally unique for each message published. |
38 | OrderQty | Int(9) |
| C | Quantity of order. |
39 | OrdStatus | Char(1) | 1=Partial fill | Y | Indicates if fill is for part or all of order quantity. |
40 | OrdType | Char(1) | 1=Market order (with protection) | Y* | Order type. See Order Management for complete details. |
41 | OrigClOrdID | String(20) |
| N | Last accepted ClOrdID in the order chain. If a value is included in tag 41 on order entry, the same value is returned. If not, the tag will contain '0'. See iLink - CME Globex Identifiers for more information. |
44 | Price | Price(20) |
| C | Price per single contract unit. |
48 | SecurityID | Int(12) |
| Y* | Identifier of the instrument defined in tag 107-SecurityDesc. |
54 | Side | Char(1) | 1=Buy | Y | Side of order. |
55 | Symbol | String(6) |
| Y | This tag contains the Group Code of the instrument. |
59 | TimeInForce | Char(1) | 0=Day | C | Specifies how long the order remains in effect. |
60 | TransactTime | UTCTimeStamp(21) |
| Y* | UTC format YYYYMMDD-HH:MM:SS.sss |
78 | NoAllocs | String(1) | 1 | N | Returned on Execution Report if sent on inbound message. |
79 | AllocAccount | String(11) |
| N | Returned on Execution Report if sent on inbound message. Note: This tag value is always uppercase, regardless of the case in the inbound message tag. Client systems are not required to submit capitalized account values to CME Globex. |
75 | TradeDate | LocalMktDate(8) |
| Y* | Indicates date of trade reference in this message in YYYYMMDD format. |
107 | SecurityDesc | String(20) |
| Y* | Instrument identifier. |
150 | ExecType | Char(1) | 1=Partial fill | Y | Indicates the type of execution report. |
151 | LeavesQty | Int(9) |
| C | Amount of contracts remaining for execution after this fill. |
167 | SecurityType | String(6) | FUT=Future OPT=Option FXSPOT=FX Spot | N | Indicates instrument is future or option. Note: For options strategy including UDS COMBO or COVERED, send OPT. For UDS Futures, send FUT. |
337 | ContraTrader | String(8) | TRADE | N | Will contain 'TRADE'. |
375 | ContraBroker | String(8) | CME000A | N | Will contain 'CME000A'. |
393 | TotalNumSecurities | Int(3) |
| N | Contains the number of Leg Fill Acknowledgment messages sent with the spread summary. |
432 | ExpireDate | LocalMktDate(8) |
| C | Required only if tag 59-TimeInForce=Good Till Date (GTD). |
1028 | ManualOrderIndicator | Boolean(1) | Y=manual | Y* | Value sent on inbound message from client system indicating the order as sent manually or generated by automated trading logic. |
1031 | CustOrderHandlingInst | String(1) | W - Desk Y - Electronic (Default) C - Vendor-provided Platform billed by Executing Broker G - Sponsored Access via Exchange API or FIX provided by Executing Broker H - Premium Algorithmic Trading Provider billed by Executing Broker D - Other, including Other-provided Screen | Y | Defines source of original order. |
1731 | AvgPxGroupID | String(20) |
| N | Used to identify account numbers or orders for grouping trades together for average price calculations. If incoming value is greater than max length, iLink will return the right-most twenty bytes. |
1598 | ClearingTradePriceType | String(1) | 0 – Trade Clearing at Execution Price | N | Indicates whether spread differential trade is clearing at execution price (tag 31-LastPx) or alternate clearing price (i.e. previous day’s settlement price). |
442 | MultiLegReportingType | Int(1) | 1=Outright | N | Indicates if acknowledgment message is sent for an outright, leg of spread or spread. |
527 | SecondaryExecID | String(40) |
| Y | CME Globex assigned unique identifier; can be used to link spread summary fill notice with leg fill notice and trade cancel messages. |
548 | CrossID | String(32) |
| N | Identifier for a cross order. |
549 | CrossType | Int(1) | 3=Cross order | N | Identified transaction type if other than standard order execution. |
819 | AvgPXIndicator | Int(3) | 0 – No Average Pricing (Default) | N | Indicates if the resulting trade is to be average priced. This tag is also used to indicate type of average price grouping. |
5149 | Memo | String(75) |
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| Allows users to submit a free-form Note tag with a customer order and persists from order entry through clearing Note: if tag 5149-Memo value on inbound messages exceeds the max length of 75 bytes, iLink will return a truncated 75 bytes from the right on the response. |
811 | OptionDelta | Float(6.2) |
| C | Calculated delta, expressed as a decimal between -1 and 1. |
1057 | AggressorIndicator | Char(1) | Y=Match aggressor N=Resting at match | C | Indicates if order was incoming or resting for the match event. |
1189 | ExpirationTimeValue | Float |
| C | This value is expressed as a decimal portion of a year, typically the days to expiration divided by the days in a year. Currently the year assumption is 365. |
1190 | RiskFreeRate | Price(20) |
| C | Daily interest rate based on the settlement price of the previous day's SOFR futures front month quarterly (or 100 minus the previous day's SOFR front month quarterly settlement price). If the front month SOFR future is the quarterly month, then the next quarterly futures settlement price will be used. CME Globex divides the difference by 100 and the resulting quotient is the input into its options pricing model. Conditionally required for premiums. |
7928 | SelfMatchPreventionID | String(12) |
| N | This tag is required when market participants elect to use the optional Self Match Prevention functionality. Non-implied orders with the same Self-Match Prevention identifier submitted with the same Executing Firm Identifier (subcomponent of tag 49-SenderCompID) will not match on CME Globex. |
9717 | CorrelationClOrdID | String(20) |
| N | Unvalidated value returned as submitted if sent by client system on inbound message. See tag 9717-CorrelationClOrdID note in the iLink 2 New Order message specification for further details. |
5979 | RequestTime | Int(20) |
| Y | Information carried on a response to convey the time (UTC) when the request was received by the MSGW application. UTC timestamps are sent in number of nanoseconds since UNIX epoch with microsecond precision. |
64 | SettlDate | LocalMktDate |
| N | Specific date of trade settlement for the Spot leg |
1362 | NoFills | NumInGroup(1) | -- | Y | Specifies the number of fill reasons or allocations included in this Execution Report Maximum number of fill reasons is 6 Note: The number of fill reason is always '1' for spread leg fills |
→1363 | FillExecID | String(2) | -- | Y | Used as an identifier for each fill reason or allocation reported in single Execution Report Required if tag 1362-NoFills > 0 Append tag 17-ExecID with tag 1363-FillExecID to derive the unique identifier for each fill reason |
→1364 | FillPx | Price(20) | -- | Y | Price of this fill reason or allocation Required if tag 1362-NoFills > 0 Same as tag 31-LastPx |
→1365 | FillQty | Qty(9) | -- | Y | Quantity bought/sold for this fill reason or allocation Required if tag 1362-NoFills > 0 |
→1622 | FillYieldType | String(2) | 0 – Future Hedge 1 – Pro Rata 2 – LMM 3 – TOP 4 – FIFO 5 – Cross BMG 8 – Covering 9 – Cross BPM 10 – Leveling 11 – Aggressor 14 – Leg 16 – Opening 18 – Implied Opening 19 – FIFO Percent | Y | Fill reason |
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Y: Required by FIX protocol, Y*: Required by CME Globex (not by FIX protocol), N: Not Required, C: Conditionally
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