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iLink 3 has the following considerations for Drop Copy Market Segment Gateway (MSGW) customers:  

  • Drop Copy supports both iLink 3 and iLink 2 source sessions
  • Drop Copy Convenience Gateway (CGW) message payload conforms to iLink 2 formats and encoding. 

Contents

Client System Considerations

This section describes each iLink 3 Drop Copy impact in detail.

Deprecated Message Tags

With iLink 3, tag 41-OrigClOrdID (will default to value 0) and tag 9717-CorrelationClOrdID are deprecated in the following Drop Copy message type payloads;

  • Order Entry Acknowledgments including:
Client systems previously processing tag 41-OrigClOrdID and tag 9717-CorrelationClOrdID for order chain management can leverage tag 37-OrderID.

Change to FIX Type for Tag 548-CrossID

With iLink 3, the FIX type for tag 548-CrossID—String(32) in iLink 2—changes to Integer(20) in Drop Copy Market Segment (MSGW) messages payload.

Tag

Name

Current FIX Type

New FIX Type

Description

548

CrossID

String(32)

Int(20)

Identifier for a cross order.

Additional Enumeration for Tag 59-TimeInForce

With iLink 3, an additional enumeration for tag 59-TimeInForce=4 is published in the Drop Copy Market Segment (MSGW) messages payload.

Tag

Name

Current Enumeration

New Enumeration

Description

59

TimeInForce

0=Day
1=Good Till Cancel (GTC)
3=Fill and Kill
6=Good Till Date (GTD)

0=Day
1=Good Till Cancel (GTC)
3=Fill and Kill (FAK)

4=Fill or Kill (FOK)
6=Good Till Date (GTD)

Specifies how long the order remains in effect.
If not present, DAY order is the default.

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.

Note: For spread trade Execution Reports, this tag is sent in the Execution Report – Fill Notice (35=8, 39=1 or 2) for the spread only and not the legs of the spread.

Drop Copy Messages Payload Mapping

The following tables summarize ASCII encoded tags which have their equivalent in Simple Binary Encoding tags and enumerations in Drop Copy messages payload. Customers can use these tables to map Drop Copy Market Segment Gateway (MSGW) payload message tags to their iLink 3 source session equivalent. 

Standard Header Mapping

The listed FIX ASCII tags in the standard header of Drop Copy message payloads map to the following iLink 3 source session message tags.

Drop Copy Message TagiLink 3 Source Message Tag

FIX Tag

FIX Name

Binary Tag

Binary Name

Enumeration

Description

34MsgSeqNum9726SeqNum
Sequence number sent by CME Globex.

43

PossDupFlag

9765

PossRetransFlag

FIX:

43= Y

43 = N


Binary:

9765 = 1

9765 = 0

During a normal processing state, tag 43-PossDupFlag is typically not present. If tag 43-PossDupFlag is present, it is set to N (binary=0)
During a resend state, tag 43-PossDupFlag is set to Y (Binary=1) to indicate a possible re-transmission of message with this sequence number.

49

SenderCompID

1691 

1693


PartyDetailID 

PartyDetailRole=1


Binary:

When PartyDetailRole = 1, this indicates that the corresponding PartyDetailID value is equivalent to SenderCompID value.

Value from order entry tag 56-TargetCompID.

50

SenderSubID

5392

SenderID


Assigned value used to identify specific message originator.

For iLink messages sent over the Market Segment Gateway CME Globex will echo back the tag 57-TargetSubID value.

56

TargetCompID

1691

1693

PartyDetailID 

PartyDetailRole=1


Binary:

When PartyDetailRole = 1, this indicates that the corresponding PartyDetailID value is equivalent to TargetCompID value.

This tag consists of 2 subcomponents and a constant: session ID, Firm ID and Fault Tolerance Indicator (FTI). Session ID is the left-most 3 characters. The next 3 characters represent Firm ID. The last character is always the FTI that was sent back on the log-on ack.
Example: ABC123N
Session ID: ABC
Firm ID: 123
FTI: N (for no fault tolerance)

57

TargetSubID

5392

SenderID


Assigned value used to identify specific individual or unit intended to receive message.

Note: For an Order Status Request Acknowledgement - Execution Report, CME Globex will echo back tag 57-TargetSubID values in tag 50-SenderSubID submitted by the client system in the Order Status Request (tag 35-MsgType=H) and Order Mass Status Request (tag 35-MsgType=AF) messages.

143

TargetLocationID

9537

Location


Contains value sent by client system in tag 142-SenderLocationID.

Message Body Mapping

The listed FIX ASCII tags in the message body of Drop Copy message payloads map to the following iLink 3 source session message tags.

Drop Copy Message TagiLink 3 Source Message Tag
FIX TagFIX NameBinary TagBinary NameEnumerationDescription

1

Account

1691 

1693

PartyDetailID 

PartyDetailRole=24

Binary: When PartyDetailRole = 24, this indicates that the corresponding PartyDetailID value is equivalent to Account value.

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.

17ExecID1506SideTradeID
SideTradeID represents the trade number on fill messages  that contains the trade number  which is embedded in the FIX ASCII field in tag 17-ExecID
19ExecRefID 1507OrigSideTradeID
OrigSideTradeID represents the original on trade cancel/correction messages which is embedded in the FIX ASCII field in tag 19-ExecRefID

55

Symbol

1151

SecurityGroup


This tag contains the Group Code of the instrument.

59

TimeInForce

59TimeInForce

FIX:

0=Day
1=Good Till Cancel (GTC)
3=Fill and Kill
6=Good Till Date (GTD)

Binary:

0=Day
1=Good Till Cancel (GTC)
3=Fill and Kill

4=Fill and Kill
6=Good Till Date (GTD)

Specifies how long the order remains in effect.
If not present, DAY order is the default.

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.

Note: For spread trade Execution Reports, this tag is sent in the Execution Report – Fill Notice (35=8, 39=1 or 2) for the spread only and not the legs of the spread.

Binary: Synthetic FOK (where MinQty Tag 110 = OrderQty Tag 38) has been replaced with an actual TimeInForce designation (Tag 59 = 4)

79

AllocAccount

1691 

1693

PartyDetailID 

PartyDetailRole=1000


Binary:

When PartyDetailRole = 1000, this indicates that the corresponding PartyDetailID value is equivalent to AllocAccount value.

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

48

SecurityID


Instrument identifier.
e.g. "ESM0'

210

MaxShow

1138

DisplayQty


See Order Display Quantity in Electronic Trading Concepts.

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

  • The value of MaxShow must be a fixed number N between 1 and value in tag 38-OrderQty.
  • If MaxShow is reduced (due to matches) to 0, then MaxShow is reset to the lesser of N or the number in tag 38-OrderQty remaining.

1028

ManualOrderIndicator

1028

ManualOrderIndicator

FIX:

Y=manual
N=automated

Binary:

1=manual
0=automated

Value sent on inbound message from client system indicating the order as sent manually or generated by automated trading logic.

1057

AggressorIndicator

1057

AggressorIndicator

FIX:

Y=Match aggressor

N=Resting at match

Binary:

1=Match aggressor

0=Resting at match

Indicates if order was incoming or resting for the match event.
Default=not present.

Note: For spread trade Execution Reports, this tag is sent in the Execution Report - Fill Notice (35=8, 39=1 or 2) for the spread only and not the legs of the spread. 

5979RequestTime7552DelayToTime
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 synced to a master clock to microsecond accuracy.

Administrative Information on Drop Copy Message Payloads

Drop Copy Market Segment Gateway (MSGW) payload messages contain customer optimized business messages constructed by:

  • pre-registered administrative information weekly through the new Service Gateway.
  • submitted administrative information per business message from iLink 3 source sessions.

iLink 3 business messages on Drop Copy Market Segment Gateway (MSGW) payload messages always include a reference to the pre-registered or on-demand administrative information.

Administrative information on Drop Copy payload messages include: 

  • Information required to accept and match the order on the central limit order book

iLink 3 source session 

Drop Copy MSGW message payload

tag 2362-SelfMatchPreventionID 

tag 7928-SelfMatchPreventionID

tag 8000-SelfMatchPreventionInstruction 

Identical to iLink 3 source session 

  • Information required to clear the trade 

iLink 3 source session

Drop Copy MSGW message payload

tag 1031-CustOrdHandlIngInst

Identical to iLink 3 source session tags






tag 1731-AveragePriceGroupID 

tag 819-AveragePriceIndicator 

tag 1598-ClearingTradePrice

tag 9708-CmtaGiveUpCD 

tag 5149-Memo 

  • Information required for market regulation compliance 

iLink 3 source session

Drop Copy MSGW message payload

tag 1693-PartyDetailRole=96 (take up firm)

tag 9707-GiveUp Firm

tag 1693-PartyDetailRole=1000 (take up account)

tag 79-AllocAccount

tag 1693-PartyDetailRole=1 (executing firm)

tag 49-SenderCompID

tag 1693-PartyDetailRole=24 (customer account)

tag 1-Account

tag 582-CustOrderCapacity

tag 9702-CTICode

tag 1816-ClearingAccountType

tag 204-CustomerOrFirm

Summary of FIX Tag Changes from iLink 2 to iLink 3

Find information for iLink 2.X tags that have been migrated and deprecated for inbound and outbound messages.