Page tree
Skip to end of metadata
Go to start of metadata

Sent in the event of a Trade Correction.

Tag
Name
FIX Type
Enumeration
Req
Enumeration
Description
Standard Header - Client to CME Globex





35MsgTypeString(2)8=Execution ReportY8=Execution ReportHeader tag identifying message type.
1AccountString(12)
Y*

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.

6AvgPxPrice(20)
Y
Always '0'.
11ClOrdIdString(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.
17ExecIDString(40)
Y*

CME Globex assigned execution report message identifier; unique per market segment per trading session.

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.
20ExecTransTypeChar(1)

2=Correction

Y

2=Correction

Identifies transaction type.

31

LastPx

Price(20)


Y*


New fill price.

32

LastQty

Qty(9)


Y*


Original quantity filled.
37OrderIDString(17)
Y
CME Globex assigned order identifier; unique across all iLink sessions and market segments.
39OrdStatusChar(1)

G=Trade Correct

Y

G=Trade Correct

Order status.
41OrigClOrdIDString(20)
N

Last accepted ClOrdID in the order chain. If a value is included in tag 41 on order entry, the same value is returned. If not, the tag will contain '0'. See iLink - CME Globex Identifiers for more information.

48SecurityIDString(12)
Y*
Identifier of the instrument defined in tag 107-SecurityDesc.
54SideChar(1)
Y
Side of order.
55SymbolString(6)
Y
This tag contains the Group Code of the instrument.
60TransactTimeUTCTimeStamp(21)
Y*
UTC format YYYYMMDD-HH:MM:SS.sss 
e.g. 20091216-19:21:41.109
75TradeDateLocalMktDate(8)
Y*
Indicates date of trade reference in this message in YYYYMMDD format.
107SecurityDescString(20)
Y*
Instrument identifier. 
Future Example:  GEZ8 
Option Example:  GEZ9 C9375
150ExecTypeChar(1)

G=Trade Correct

Y

G=Trade Correct

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

393TotalNumSecuritiesInt(3)
N
Number of leg trade elimination messages for a given counterparty. The value will be '0' (zero) for outrights.
442MultiLegReportingTypeInt(1)1=Outright 
2=Leg of spread 
3=Spread
N1=Outright 
2=Leg of spread 
3=Spread
Indicates if acknowledgment message is sent for an outright, leg of spread, or spread.
527 SecondaryExecIDString(40)
Y

Unique identifier that allows linking of spread summary fill notice with leg fill notice and trade correction 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
1028ManualOrderIndicatorBoolean(1)
N
Indicates if order was sent manually or generated by automated trading logic.
5149MemoString(75)
N

Allows users to submit a free-form Note tag with a customer order and persists from order entry through clearing

Note: if tag 5149-Memo value on inbound messages exceeds the max length of 75 bytes, iLink will return a truncated 75 bytes from the right on the response.

5979RequestTimeInt(20)
N
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.
37711MDTradeEntryID 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.
7928SelfMatchPreventionIDString(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.

8000SelfMatchPreventionInstructionChar(1)O=Cancel Resting
N=Cancel Aggressing
N

Indicates a cancel instruction when Self Match Prevention is triggered.

Note:

  • To use tag 8000-SelfMatchPreventionInstruction, client systems must include tag 7928-SelfMatchPreventionID on the originating message
  • If tag 8000-SelfMatchPreventionInstruction is not sent, the resting order will be cancelled.
  • Tag 8000-SelfMatchPreventionInstruction is NOT sent in the Execution Report response to a New Order Cross (tag 35-MsgType=s) message.
9717CorrelationClOrdIDString(20)
N
Unvalidated value returned as submitted if sent by client system on inbound message. See tag 9717-CorrelationClOrdID note in the New Ordermessage specification for further details.

1362

NoFills

NumInGroup(1)

--

Y

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

Maximum number of fill reasons is 6

Note: The number of fill reason is always '1' for spread leg fills


→1363

FillExecID

String(2)

--

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)

--

Y

Price of this fill reason or allocation

Required if tag 1362-NoFills > 0

Same as tag 31-LastPx


→1365

FillQty

Qty(9)

--

Y

Quantity bought/sold for this fill reason or allocation

Required if tag 1362-NoFills > 0


→1622

FillYieldType

String(2)

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.


Y: Required by FIX protocol, Y*: Required by CME Globex (not by FIX protocol), N: Not Required, C: Conditionally