iLink 2 Execution Report - Trade Cancel
The Execution Report - Trade Cancel (tag 35-MsgType=8, tag 39-OrdStatus=H) message notifies client system of trade cancellation.
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) | 0 | Y | Always '0'. |
11 | ClOrdID | String(20) |
| Y* | Unique order identifier assigned by client system. Client system must maintain uniqueness of this value for the life of the order. Not returned for Trade Cancels originating from a Mass Quote. For Mass Quotes the value references 299-QuoteEntryID. Refer to iLink - CME Globex Identifiers for more information. |
14 | CumQty | Int(9) |
| Y | Contains cumulated traded quantity throughout lifespan of an order. This value does not reset if order is cancel/replaced. |
37711 | MDTradeEntryID | Int(10) |
| Y | 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. 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. |
19 | ExecRefID | String(9) |
| Y* | Contains unique ID for the trade being cancelled. |
20 | ExecTransType | Char(1) | 1=Cancel | Y | Identifies transaction type. |
31 | LastPx | Price(20) |
| Y* | Price of the canceled trade. |
32 | LastQty | Int(9) |
| Y* | Quantity of canceled trade. |
37 | OrderID | String(17) |
| Y | CME Globex assigned order identifier; globally unique for each message published. |
39 | OrdStatus | Char(1) | H=Trade Cancelled | Y | Identifies trade status as canceled. |
41 | OrigClOrdID | String(20) |
| N | The last accepted ClOrdID in an order chain. Refer to iLink - CME Globex Identifiers for more information. |
48 | SecurityID | Int(12) |
| Y* | Identifier of the instrument defined in tag 107. |
54 | Side | Char(1) | 1=Buy | Y | Side of order. |
55 | Symbol | String(6) |
| Y | This tag contains the Group Code. |
60 | TransactTime | UTCTimestamp(21) |
| Y* | UTC format YYYYMMDD-HH:MM:SS.sss |
75 | TradeDate | LocalMktDate(8) |
| Y* | Indicates date of trade referenced in this message in |
78 | NoAllocs | Char(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. |
107 | SecurityDesc | String(20) |
| Y* | Instrument identifier used on iLink to uniquely identify an instrument. |
150 | ExecType | Char(1) | H=Trade | Y | Indicates type of Execution Report. |
167 | SecurityType | String(6) | FUT=Future OPT=Option IRS=Interest Rate Swap FXSPOT=FX Spot | N | Indicates instrument type. Note: for options strategy including UDS COMBO or COVERED, send OPT. For UDS Futures, send FUT. |
393 | TotalNumSecurities | Int(3) |
| N | Number of leg trade elimination messages for a given counterparty. The value will be '0' (zero) for outrights. |
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 | Unique identifier that allows linking of spread summary fill notice with leg fill notice and trade cancel messages. |
810 | UnderlyingPx | Price(20) |
| C | Reserved for future use. |
811 | OptionDelta | Float(6.2) |
| C | Reserved for future use. |
1188 | Volatility | String(20) |
| C | Reserved for future use. |
1189 | ExpirationTimeValue | Float |
| C | Reserved for future use. |
1190 | RiskFreeRate | Price(20) |
| C | Reserved for future use. |
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. |
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). |
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) |
| N | 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. |
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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