Drop Copy 4.0 Execution Report - Trade Correction

Standard Header - Client to CME Globex

MsgType

String(2)

8=Execution Report

Y

Header tag identifying message type.

1

Account

String(12)

Y*

Unique account identifier.

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 for the life of the order.

Refer to iLink - CME Globex Identifiers for more information.

14

CumQty

Qty(9)

Y

This value will reset to zero. Leaves quantity will not be returned in correction execution message.

17

ExecID

String(40)

Y*

CME Globex assigned execution report message identifier; globally unique for each message published.

For Trade Correction, will contain a new value.

19

ExecRefID

String(9)

Y*

Contains unique ID for the trade being cancelled. 
These are the 9 right-most characters of Tag 17-ExecID.

20

ExecTransType

Char(1)

2=Correction

Y

Identifies transaction type.

31

LastPx

Price(20)

Y*

New fill price.

32

LastQty

Qty(9)

Y*

Original quantity filled.

37

OrderID

String(17)

Y

CME Globex assigned order identifier; globally unique for each message published.

39

OrdStatus

Char(1)

G=Trade Correct

Y

Order status.

41

OrigClOrdID

String(20)

N

This tag will default to value 0. For further details, see Tag 41-OrigClOrdID note in the Deprecated Tag 41-OrigClOrdID message specification.

48

SecurityID

Int(12)

Y*

Identifier of the instrument defined in Tag 107-SecurityDesc.

54

Side

Char(1)

Y

Side of order.

55

Symbol

String(6)

Y

This tag contains the Group Code of the instrument.

60

TransactTime

UTCTimeStamp(21)

Y*

UTC format YYYYMMDD-HH:MM:SS.sss 
e.g. 20091216-19:21:41.109

75

TradeDate

LocalMktDate(8)

Y*

Indicates date of trade reference in this message in YYYYMMDD format.

107

SecurityDesc

String(20)

Y*

Instrument identifier. 
Future Example:  SR1U3
Option Example:  SR1U3 C9575

150

ExecType

Char(1)

G=Trade Correct

Y

Describes the action that triggered this specific Execution Report – see the Tag 39-OrdStatus for the current order status (e.g., Partially Filled).

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 

• 2=Leg of spread 

• 3=Spread

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.

The value in this tag will increment from its original value only in trade correction for:

1. Spread and all legs

2. Spread and some legs

1028

ManualOrderIndicator

Boolean(1)

N

Indicates if order was sent manually or generated by automated trading logic.

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

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.

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 cancelled or or corrected. Unique across all iLink sessions and market segments per trading week.

9703

OriginalSecondaryExecID

String(40)

Y

Contains the value from Tag 527-SecondaryExecID. Trade correction execution reports will refer back to that of the latest fill being corrected for outrights, spreads and legs.

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=Cancel Aggressing

N

Indicates a cancel instruction when Self Match Prevention is triggered.

64

SettlDate

LocalMktDate(8)

N

Specific date of trade settlement for the Spot leg.

1362

NoFills

NumInGroup(1)

Specifies the number of fill reasons or allocations included in this Execution Report.

Maximum number of fill reasons is 6.

Y

Specifies the number of fill reasons or allocations included in this Execution Report.

Maximum number of fill reasons is 6.

→1363

FillExecID

String(2)

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

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)

Price of this fill reason or allocation

Required if Tag 1362-NoFills > 0

Same as Tag 31-LastPx

Y

Price of this fill reason or allocation

Required if Tag 1362-NoFills > 0

Same as Tag 31-LastPx

→1365

FillQty

Qty(9)

Quantity bought/sold for this fill reason or allocation

Required if Tag 1362-NoFills > 0

Y

Quantity bought/sold for this fill reason or allocation

Required if Tag 1362-NoFills > 0

→1622

FillYieldType

String(2)

Fill reason

• 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

Standard Message Trailer

End of message.

End of message.