The Mass Quote Acknowledgment - Partial Accept message submitted by CME Globex must be decomposed into its rejected quote entries. The Audit Trail must include one line item per rejected quote entry.
Blank cell = Not Applicable
| Position | Columns | TO/FROM CME | Associated Tag on iLink |
|---|---|---|---|
| 1 | Sending Timestamps | Presence: Mandatory Format: UTC Timestamp Value: YYYYMMDD-hh:mm:ss.sssss populated minimally at millisecond precision. | Tag 5297 - SendingTime |
| 2 | Message Direction | Presence: Mandatory Format: String Value: "FROM CME" | N/A |
| 3 | Operator ID | Presence: Mandatory Format: String with a maximum length of 18 bytes. Value: Must only contain letters, numbers and/or the following characters: _ - : @ . + | Tag 5392 - SenderID |
| 4 | Session ID | Presence: Mandatory Format: String | |
| 5 | Manual Order Indicator | Presence: Mandatory Format: Integer Value: 0 or 1 | Tag 1028 - ManualOrderIndictor |
| 6 | Message Type | Presence: Mandatory Format: String Value: 'b--0' or 'b--5' | N/A |
| 7 | Instrument | Presence: Mandatory for Mass Quote Entry if present in the message being captured | Tag 48 - SecurityID Tag 9774 - CancelledSymbol |
| 21 | Country of Origin | Presence: Mandatory Format: String Value: Must follow ISO standard | Tag 9537 - Location |
| 28 | Reject Reason | Presence: Mandatory if present in the message being captured Format: String | Tag 300 - QuoteRejectReason or Tag 368 - QuoteEntryRejectReason |
| 31 | Quote Request ID | Presence: Mandatory if present in captured message. Format: String with a maximum length of 18 bytes. Value: Must only contain letters, numbers and/or the following characters: _ - : @ . + | Tag 131 - QuoteReqID |
| 32 | Message Quote ID | Presence: Mandatory for Mass Quote Entry Format: String with a maximum length of 18 bytes. Value: Must only contain letters, numbers and/or the following characters: _ - : @ . + | Tag 117 - QuoteID |
| 34 | Quote Entry ID | Presence: Mandatory for Mass Quote Entry if present in the message being captured Format: String | Tag 299 - QuoteEntryID |
| 39 | Processed Entries | Presence: Mandatory for Mass Quote Entry Format: Integer | Tag 9772 - NoProcessedQuotes |
| 40 | Party Details List Request ID | Presence: Mandatory Format: String | Tag 1505 - PartyDetailsListRequestID |
| Note: Each Quote Entry Reject repeated group should be captured on separate lines | |||