| Ref | Field | Name | Data Type | Values | Usage | Description |
|---|
| 1 | header |
|
| 2 | → messageType | Message Type | messageType | | ALWAYS |
|
| 3 | → possibleRetransInd | Possible Retransmission Indicator | yesNoIndicator | NO (No) - NoYES (Yes) - Yes
| OPTIONAL |
|
| 4 | → sentTime | Sent Time | dateTime |
| ALWAYS | Timestamp of the message leaving the producing application. |
| 5 | → sequenceNbr | Sequence Number | string |
| ALWAYS |
|
| 6 | payload |
|
| 7 | → action | Action | orderAction | | ALWAYS |
|
| 8 | → additionalVenueExecutionId | Additional Venue Execution ID | string |
| ALWAYS |
|
| 9 | → aggressorInd | Aggressor Indicator | yesNoIndicator | NO (No) - NoYES (Yes) - Yes
| CONDITIONAL | Criteria- ALWAYS when
payload.spreadReportType[] IN (OUTRIGHT, SPREAD)
|
| 10 | → cumulativeQtyInt | Cumulative Quantity Integer | int32 |
| ALWAYS |
|
| 11 | → customerOrderId | Customer Order ID | string |
| ALWAYS |
|
| 12 | → delta | Delta | decimal |
| CONDITIONAL | Criteria- OPTIONAL when
payload.spreadReportType[] = "LEG"
|
| 13 | → durationType | Duration Type | orderDurationType | DAY (Day) - Order expires at the end of the trading day.FILL_AND_KILL (Fill and Kill) - Order is immediately executed against any available quantity and any remaining quantity is eliminatedFILL_OR_KILL (Fill or Kill) - Order is filled completely or else eliminatedGOOD_TILL_CANCEL (Good till Cancel) - Order remains working until cancelledGOOD_TILL_DATE (Good till Date) - Order remains working until the end of the trading session of the local market date specified in the ExpirationDate field.
| CONDITIONAL | Criteria- ALWAYS when
payload.spreadReportType[] IN (OUTRIGHT, SPREAD)
|
| 14 | → entities |
|
| 15 | → → operatorId | Operator ID | string |
| ALWAYS |
|
| 16 | → → senderCountry | Sender Country | string |
| ALWAYS |
|
| 17 | → → senderState | Sender State | string |
| OPTIONAL |
|
| 18 | → expirationDt | Expiration Date | date |
| CONDITIONAL | Criteria- ALWAYS when
payload.spreadReportType[] IN (OUTRIGHT, SPREAD)
|
| 19 | → fills[] |
|
| 20 | → → price | Fill Price | price |
| ALWAYS |
|
| 21 | → → qtyInt | Fill Quantity Integer | int32 |
| ALWAYS |
|
| 22 | → → reason | Fill Reason | orderFillReason | Click here to expand... AGGRESSOR (Aggressor)COVERING (Covering)CROSS_BMG (Cross Broker Match Guarantee)CROSS_BPM (Cross Better PRice Match)FIFO (First In First Out)FIFO_PERCENT (First In First Out Percent)FUTURE_HEDGE (Future Hedge)IMPLIED_OPENING (Implied Opening)INSTITUTIONAL_PRIORITIZATION (Institutional Prioritization)LEAD_MARKET_MAKER (Lead Market Maker)LEG (Leg)LEVELING (Leveling)OPENING (Opening)PRICE_DISCRETION (Price Discretion)PRO_RATA (Pro Rata)TOP (Top Order Status)
| ALWAYS |
|
| 23 | → → venueExecutionId | Fill Venue Execution ID | string |
| ALWAYS |
|
| 24 | → instrument |
|
| 25 | → → glbxSecurityId | Globex Security ID | int32 |
| ALWAYS |
|
| 26 | → lastTradeCounterCcyNotionalAmt | Last Trade Counter Curency Notional Amount | decimal |
| CONDITIONAL | Criteria- OPTIONAL when
payload.spreadReportType[] = "LEG"
|
| 27 | → lastTradeNotionalAmt | Last Trade Notional Amount | decimal |
| CONDITIONAL | Criteria- OPTIONAL when
payload.spreadReportType[] = "LEG"
|
| 28 | → lastTradePx | Last Trade Price Integer | price |
| ALWAYS |
|
| 29 | → lastTradeQtyInt | Last Trade Quantity Integer | int32 |
| ALWAYS |
|
| 30 | → legCount | Leg Count | int32 |
| CONDITIONAL | Criteria- OPTIONAL when
payload.spreadReportType[] = SPREAD
|
| 31 | → manualInd | Manual Indicator | yesNoIndicator | NO (No) - NoYES (Yes) - Yes
| CONDITIONAL | Indicates whether the order was generated by automated trading logic. Criteria- ALWAYS when
payload.spreadReportType[] IN (OUTRIGHT, SPREAD)
|
| 32 | → marketDataTradeEntryId | Market Data Trade Entry ID | string |
| CONDITIONAL | Criteria- ALWAYS when
payload.spreadReportType[] IN (OUTRIGHT, SPREAD)
|
| 33 | → price | Price | price |
| CONDITIONAL | Criteria- ALWAYS when
payload.spreadReportType[] IN (OUTRIGHT, SPREAD)
|
| 34 | → qtyInt | Quantity Integer | int32 |
| CONDITIONAL | Criteria- ALWAYS when
payload.spreadReportType[] IN (OUTRIGHT, SPREAD)
|
| 35 | → remainingQtyInt | Remaining Quantity Integer | int32 |
| CONDITIONAL | Criteria- ALWAYS when
payload.spreadReportType[] IN (OUTRIGHT, SPREAD)
|
| 36 | → riskFreeRt | Risk-Free Rate | decimal |
| CONDITIONAL | Criteria- OPTIONAL when
payload.spreadReportType[] = "LEG"
|
| 37 | → settlementDt | Settlement Date | date |
| CONDITIONAL | Criteria- OPTIONAL when
payload.spreadReportType[] = "LEG"
|
| 38 | → sideInd | Side Indicator | marketSideIndicator | BUY (Buy) - Identifies a buy side orderCROSS (Cross)SELL (Sell) - Identifies a sell side order
| ALWAYS |
|
| 39 | → spreadReportType[] | SpreadReportType | spreadReportType | LEG (Leg of Spread)OUTRIGHT (Outright)SPREAD (Spread)
| ALWAYS |
|
| 40 | → status | Status | orderStatus | FILLED (Filled)PARTIALLY_FILLED (Partially Filled)
| ALWAYS |
|
| 41 | → stopPrice | Stop Price | price |
| CONDITIONAL | Criteria- OPTIONAL when
payload.spreadReportType[] IN (OUTRIGHT, SPREAD) - ALWAYS when
payload.type IN (STOP, STOP_LIMIT)
|
| 42 | → tradeDate | Trade Date | date |
| ALWAYS |
|
| 43 | → transactionTime | Transaction Time | dateTime |
| ALWAYS |
|
| 44 | → type | Type | orderType | LIMIT (Limit) - A Limit order defines the upper price limit at which to buy an instrument and lower price limit at which to sell an instrument. The price limit is defined in the Price field. If the price is not immediately available, the Limit order will rest until filled or cancelled.MARKET (Market) - A Market order with protection is filled within a pre-defined range of prices referred to as the protected range. For buy orders, protection points are added to the current best offer price to calculate the protection price limit. For sell orders, protection points are subtracted from the current best bid price.MARKET_TO_LIMIT (Market to Limit) - A Market-limit order is executed at the best price available in the market. If the market-limit order can only be partially filled, the order becomes a limit order and the remaining quantity remains on the order book at the specified limit price.STOP (Stop) - A Stop order is an order which, when accepted, does not immediately go on the book, but must be "triggered" by a trade in the market at the price level submitted with the order. A Stop order goes on the book as a Market order once triggered.STOP_LIMIT (Stop Limit) - A Stop order is an order which, when accepted, does not immediately go on the book, but must be "triggered" by a trade in the market at the price level submitted with the order. A Stop-Limit order goes on the book as a Limit order once triggered.
| ALWAYS |
|
| 45 | → venueExecutionId | Venue Execution ID | string |
| ALWAYS |
|
| 46 | → venueOrderId | Venue Order ID | string |
| ALWAYS |
|
| 47 | → venueSideId | Venue Side ID | string |
| ALWAYS |
|
| 48 | → volatility | Volatility | decimal |
| CONDITIONAL | Criteria- OPTIONAL when
payload.spreadReportType[] = "LEG"
|