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

This table presents the front-end audit trail specifications required to represent data exchanged between a trading system and CME Globex in your front-end audit trail. This data must be captured in .csv.

The order of the columns must be followed in the file submission.

Additional columns may be added at the end of the file for the internal use for the firm.

Specifications representing each message type supported on CME Globex are available in this section. For further description of data elements to capture on Tier 1, please refer to the iLink 3 message specification.

Blank table cell = Not Applicable

Position	Columns	Description	Associated Tag on iLink

Position	Columns	Description	Associated Tag on iLink
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)

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