iLink 2 Execution Report - Order Elimination
The Execution Report - Order Elimination (tag 35-MsgType=8, tag 39-OrdStatus=C, tag 150-ExecType=C) message is sent at order expiration.
Tag | Name | Enumeration | Req | Description | |
---|---|---|---|---|---|
|
|
|
|
| |
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* | Unique order identifier assigned by client system. Client system must maintain uniqueness of this value. Refer to iLink - CME Globex Identifiers for more information. |
14 | CumQty | Int(9) |
| Y | Contains cumulated traded quantity throughout lifespan of an order. |
17 | ExecID | String(40) |
| Y | CME Globex assigned execution report message identifier; globally unique for each message published. |
20 | ExecTransType | Char(1) | 0=New | Y | Identifies transaction type as 'new' (i.e., new order, order cancel or cancel/replace accepted). |
37 | OrderID | String(17) |
| Y | CME Globex assigned order identifier; globally unique for each message published. |
38 | OrderQty | Int(9) |
| Y* | Order quantity submitted by client. |
39 | OrdStatus | Char(1) | C=Expired | Y | Identifies type of order elimination. |
40 | OrdType | Char(1) | 1=Market order (with protection) | Y* | Order type. See Order Management for additional information. |
41 | OrigClOrdID | String(20) |
| N | The last accepted ClOrdID in an order chain. Refer to iLink - CME Globex Identifiers for more information. |
44 | Price | Price(20) |
| N | Price per single contract unit. |
48 | SecurityID | Int(12) |
| Y* | Identifier of the instrument define 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 for the instrument. |
59 | TimeInForce | Char(1) | 0=Day | N | Specifies how long the order remains in effect. For GTD, ExpireDate is required. For FAK, MinQty can also be specified. See Order Types for Futures and Options or Order Management for more information. |
60 | TransactTime | UTCTimestamp(21) |
| Y* | UTC format YYYYMMDD-HH:MM:SS.sss |
78 | NoAlloc | 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. |
110 | MinQty | Int(9) |
| C | Minimum quantity of an order to be executed. The value of MinQty must be between 1 and the value in tag 38-OrderQty. This tag must be an integer. |
150 | ExecType | Char(1) | C=Elimination Ack | Y | Indicates type of execution report. |
151 | LeavesQty | Int(9) | 0 | Y | Quantity available for further execution. |
167 | SecurityType | String(6) | FUT=Future OPT=Option IRS=Interest Rate Swap FXSPOT=FX Spot | N | Indicates type of security as future or option. Note: for options strategy including UDS COMBO or COVERED, send OPT. For UDS Futures, send FUT. |
432 | ExpireDate | LocalMktDate(8) |
| N | 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). |
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. |
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. |
8000 | SelfMatchPreventionInstruction | Char(1) | O=Cancel Resting | N | Indicates a cancel instruction when Self Match Prevention is triggered. Note:
|
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 the UNIX epoch with microsecond precision. |
|
|
|
| End of message. |
Y: Required by FIX protocol, Y*: Required by CME Globex (not by FIX protocol), N: Not Required, C: Conditionally
How was your Client Systems Wiki Experience? Submit Feedback
Copyright © 2024 CME Group Inc. All rights reserved.