iLink 2.X - Minimum Acceptable Audit Trail Elements - Data Definitions and Validation Rules

Sending Timestamps

Time at which the message leaves the Tier 1 component 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.

Time at which the message is received by the Tier 1 component from 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.

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

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

Identifier submitted on messages to prevent self-match on CME Globex trading engines.

Trading account number.

Identifier of the iLink Order Entry session.

Identifier of the Executing Trading Firm submitting the messages to CME Globex.

Identifies if the captured message was submitted manually or automatically.

Identifies the type of the message captured.

Customer Type Indicator.

Origin of the order (customer or Firm).

Execution Report identifier.

Identifier linking message/data sent from the Tier 2 component to Tier 1 component to CME Globex and, from CME Globex to Tier 1 component to Tier 2 component.

(This ID must be generated as part of the audit trail, it is not part of the data captured)

This identifier may link 1:1, 1:N or N:1 messages between Tier 1 and Tier 2.

This is a "legacy field" and is optional on all messages

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.)

Identifier assigned by CME Globex to legs and spread fill notices and spread trade cancellation to link the messages together.

CME Globex-assigned code to uniquely identify a futures or options contract.

CME Globex-assigned code to uniquely identify the trading unit on which a future or options contract trades.

Customer-generated code uniquely identifying an order.

CME Globex-assigned code uniquely identifying an order.

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

Side of the order.

Quantity of the order.

Limit price of the order.

Stop (trigger) price of the order.

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

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

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

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

Minimum quantity of an order to be executed.

Price at which the order has been executed.

Quantity at which the order has been executed.

Cumulated fill quantity for the order.

Remaining open quantity on the order book for the order.

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

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

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.

Number of quotes successfully acknowledged or cancelled.

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

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

Customer-generated code uniquely identifying a Mass Quote message.

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

Bid Price

Bid price of quote.

Bid quantity of quote.

Offer price of quote.

Offer quantity of quote.