iLink 3 - Minimum Acceptable Audit Trail Elements - Data Definitions and Validation Rules

1

Sending Timestamps

Time at which the message leaves the customer trading system towards the CME Globex platform.

The time stamp must be in UTC Timestamp format (YYYYMMDD-HH:MM:SS.sss) and must have at least millisecond precision.

Tag 5297 - SendingTime

2

Message Direction

Explicit labeling of the direction of the captured message.

"TO CME" : for messages leaving Tier 1 component towards the CME Globex platform

"FROM CME" : for messages received by Tier 1 component from the CME Globex platform

N/A

3

Operator ID

Identifier of the operator, who submitted the message or is responsible for its submission.

Tag 5392 - SenderID

4

Session ID

Identifier of the iLink Order Entry session.

5

Manual Order Indicator

Identifies if the captured message was submitted manually or automatically.

Tag 1028 - ManualOrderIndictor

6

Message Type

Identifies the type of the message captured.

N/A

7

Instrument

Identifier of the instrument/contract.

Tag 48 - SecurityID

8

Order Flow ID

Identifier linking all inbound and outbound messages associated with a New Order Messages.
(This ID must be generated as part of the audit trail, it is not part of the data captured).
(This ID is not required for Mass Quote related messages.)

N/A

9

CME Globex Order ID

CME Globex-assigned code uniquely identifying an order.

This code does not change regardless of the changes applied to it.

Tag 37 - OrderID

10

Client Order ID

Customer-generated code uniquely identifying an order.

Tag 11 - ClOrdID

11

Order Request ID

Use OrderRequestID to identify a request to enter, modify or delete an order and echo the value on the ExecutionReport representing the response

Tag 2422 - OrderRequestID

12

Buy/Sell Indicator

Side of the order.

Tag 54 - Side

13

Quantity

Quantity of the order.

Tag 38 - OrderQty

14

Limit Price

Limit price of the order.

Tag 44 - Price

15

Stop Price

Stop (trigger) price of the order.

Tag 99 - StopPx

16

Order Type

Type of the order: limit, market with protection, market-limit, stop with protection or stop-limit.

Tag 40 - OrdType

17

Order Qualifier

Qualifier of the order: day, gtc, gtd, fak

Tag 59 - TimeInForce

18

IFM Flag

Modification flag identifying if in-flight-mitigation functionality is activated or not.

Tag 9768 - OFMOverride

19

Display Quantity

Display quantity of an order to be shown in the order book at any given time.

Tag 1138 - DisplayQty

20

Minimum Quantity

Minimum quantity of an order to be executed.

Tag 110 - MinQty

21

Country of Origin

Location of the operator.

Tag 9537 - Location

22

Fill Price

Price at which the order has been executed.

Tag 31 - LastPx

23

Fill Quantity

Quantity at which the order has been executed.

Tag 32 - LastQty

24

Cumulative Quantity

Cumulated fill quantity for the order.

Tag 14 - CumQty

25

Remaining Quantity

Remaining open quantity on the order book for the order.

Tag 151 - LeavesQty

26

Aggressor Flag

Flag indicating whether the order was the aggressor in the match.

Tag 1057 - AggressorIndicator

27

Source of Cancellation

CME Globex-generated code identifying the source of a cancel when triggered by CME Group.

Tag 378 - ExecRestatementReason

28

Reject Reason

Code or text identifying the reason why an order was rejected.

Refer to the child page specifications of the reject message to determine the tag content to include in this field.

29

CME Globex Message ID

Execution Report identifier.

Tag 1506 - SideTradeID

30

Cross ID

Customer-generated code uniquely identifying an order Cross (RFC).

Tag 548 - CrossID

31

Quote Request ID

Customer-generated code uniquely identifying a Request for Quote (RFQ).

Tag 131 - QuoteReqID

32

Message Quote ID

Customer-generated code uniquely identifying a Mass Quote message.

Tag 117 - QuoteID

33

Quote Set ID

Customer-generated code uniquely identifying a Quote Set in a Mass Quote message.

Tag 302 - QuoteSetID

34

Quote Entry ID

Customer-generated code uniquely identifying a Quote in a Mass Quote message.

Tag 299 - QuoteEntryID

35

Bid Price

Bid price of quote.

Tag 132 - BidPx

36

Bid Size

Bid quantity of quote.

Tag 134 - BidSize

37

Offer Price

Offer price of quote.

Tag 133 - OfferPx

38

Offer Size

Offer quantity of quote.

Tag 135 - OfferSize

39

Processed Entries

Number of quotes/orders successfully acknowledged or cancelled.

Tag 9772 - NoProcessedEntries/Tag 533 - TotalAffectedOrders 

40

Party Details List Request ID

Refers to the ID of the related PartyDetailsDefinitionRequest message which will logically be tied to this message.

Tag 1505 - PartyDetailsListRequestID

41

ListUpdateAction

Indicates if all of the information sent in this message with a unique new PartyDetailsListReqID is a new addition or deletion of existing information associated with an existing PartyDetailsListReqID.

Tag 1324 - ListUpdateAction

42

Self-Matching Prevention ID

Identifies an order or trade that should not be matched to an opposite order or trade if both buy and sell orders for the same asset contain the same SelfMatchPreventionID (2362) and submitted by the same firm.

Tag 2362 - SelfMatchPreventionID

43

Self-Match Prevention Instr

Used to act upon the outcome when a self-match is detected and an order is prevented from trading against another order with the same SelfMatchPreventionID (Tag 2362).

Tag 8000 - SelfMatchPreventionInstruction

44

Customer Type Indicator

Capacity of customer placing the order

Tag 582 - CustOrderCapacity

45

AvgPxGroupID

Used by submitting firm to group trades being allocated into an average price group.
The trades in average price group will be used to calculate an average price for the group.

Tag 1731 - AvgPxGroupID

46

Average Px Ind

Average pricing indicator.

Tag 819 - AvgPxInd

47

CmtaGiveUpCD

Indicates if the order is a give-up or SGX offset

Tag 9708 - CmtaGiveUpCD

48

Origin

Designates the account type to be used for the order when submitted to clearing

Tag 1816 - ClearingAccountType

49

Clearing Trade Price Type

Indicates to recipient whether trade is clearing at execution prices LastPx (tag 31) or alternate clearing price (prior day settlement price)

Tag 1598 - ClearingTradePriceType

50

 Customer Handling Instr

Codes that apply special information that the Broker / Dealer needs to report, as specified by the customer. Defines source of the order.

Tag 1031 - CustOrderHandlingInst

51

Executing Firm ID

Identifier of the Executing Trading Firm.

PartyRole (1 - Executing Firm)

52

Account Number

Identifier of the Account Number.

PartyRole (24 - Customer Account)

53

Take Up Firm

Identifier of the Give Up Firm.

PartyRole (96 - Take up firm)

54

Take up Account

Identifier of the Give Up Account Number.

PartyRole (1000 - Take up account)