Mass Quote Cancel Acknowledgment - Accept and Partial Accept - Audit Trail Requirements
Blank table cell = Not Applicable
Position | Field Name | TO/FROM CME (Tier 1 component interactions with CME Globex) | Associated iLink Tag |
|---|---|---|---|
2 | Receiving Timestamps | Presence: Mandatory for all architectures Format: UTC Timestamp Value: YYYYMMDD-hh:mm:ss.sss populated minimally at millisecond precision. | 60 - Transact Time |
3 | Message Direction | Presence: Mandatory Format: String Value:Â "FROM CME" | 57 - TargetSubID |
4 | Operator ID | Presence: Mandatory Format: String with a maximum length of 18 bytes. Value: Must only contain letters, numbers and/or the following characters: Â Â Â _ - : @ . + ( ) / \ | 57 - TargetSubID |
5 | Self-Match Prevention ID | Presence: Mandatory if present in captured message. Format: String | 7928 - SelfMatchPreventionID |
7 | Session ID | Presence: Mandatory Format: String Value: Exactly 3 Characters | 56 - TargetCompID |
8 | Executing Firm ID | Presence: Mandatory Format: String Value: Exactly 3 Characters | 56 - TargetCompID |
9 | Manual Order Identifier | Presence: Mandatory Format: String Value: 'Y' or 'N' | 1028 - ManualOrderIndicator |
10 | Message Type | Presence: Mandatory Format: String Value: "b/1" or "b\1" - Cancel per instrument accepted "b/3" or "b\3" - Cancel per instrument group accepted "b/4" or "b\4" - Cancel all accepted "b/100" or "b\100" -Â Cancel by Quote Set ID accepted "b/A" or "b\A" - Cancel Hard Disconnect accepted "b/B" or b\B" - Cancel Client Logout accepted "b/C" or "b\C" - Cancel GCC Eliminated All accepted "b/D" or "b\D" - Cancel GCC Eliminated Group accepted "b/E" or b\E" - Expired accepted "b/F" or "b\F" - Cancel per Market Maker Protection accepted "b/H" or "b\H" - Cancel due to Self-Trade Prevention accepted | 35 - MsgType / 297 - QuoteAckStatus |
17 | Instrument Description | Presence: Mandatory Format: String Value: must be 2- or 3-character long (instrument group) | 9774 - CancelledSymbol |
18 | Market Segment ID | Presence: Mandatory if present in captured message. Format: String Value: Must be the Market Segment ID corresponding to the Instrument. | 50 - SenderSubID |
37 | Reject Reason | Presence: Mandatory if present in the captured message. Format: String | 368 - QuoteEntryRejectReason |
38 | Processed Quotes | Presence: Mandatory Format: Integer | 9772 - NoProcessedEntries |
41 | Message Quote ID | Presence: Mandatory Format: String Value: Must only contain letters, numbers and/or the following characters:    _ - : @ . + ( ) / \ Must not be used for any other Mass Quote ID from customer-generated messages in the file. | 117 - QuoteID |
42 | Quote Entry ID | Presence: Mandatory if present in the captured message. Format: String Value: Must only contain letters, numbers and/or the following characters:    _ - : @ . + ( ) / \ Must not be used for any other instrument code in the file. | 299 - QuoteEntryID |
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