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The Mass Quote message submitted to the Globex platform must be decomposed into its quote entries. The Audit Trail must include one line item per quote entry.

Position

Field Name

TO/FROM CME

(Tier 1 component interactions with CME Globex)

Associated iLink Tag
1Sending Timestamps

Presence: Mandatory for all architecture

Format: UTC Timestamp

Value: YYYYMMDD-hh:mm:ss.sss populated minimally at millisecond precision.

52 - SendingTime
2Receiving Timestamps


60 - Transact Time
3Message Direction

Presence: Mandatory

Format: String

Value: "TO CME"

57 - TargetSubID
4Operator ID

Presence: Mandatory

Format: String with a maximum length of 18 bytes.

Value: Must only contain letters, numbers and/or the following characters:

   _ - : @ . + ( ) / \

50 - SenderSubID
5Self-Match Prevention ID

Presence: Mandatory if present in captured message.

Format: String

7928 - SelfMatchPreventionID
6Account Number

Presence: Mandatory

Format: String

9771 - MMAccount
7Session ID

Presence: Mandatory

Format: String

Value: Exactly 3 Characters

49 - SenderCompID
8Executing Firm ID

Presence: Mandatory

Format: String

Value: Exactly 3 Characters

49 - SenderCompID
9Manual Order Identifier

Presence: Mandatory

Format: String

Value: 'Y' or 'N'

1028 - ManualOrderIndicator
10Message Type

Presence: Mandatory

Format: String

Value: 'i'

35 - MsgType
11Customer Type Indicator

Presence: Mandatory

Format: Integer

Value: 1, 2, 3 or 4

9702 - CTICode
12Origin

Presence: Mandatory

Format: Integer

Value: 0 or 1

204-CustomerOrFirm
17Instrument Description

Presence: Mandatory

Format: String

Value: Must follow CME Group instrument code nomenclature.

107 - SecurityDesc
18Market Segment ID

Presence: Mandatory if present in captured message.

Format: String

Value: Must be the Market Segment ID corresponding to the Instrument.

57 - TargetSubID
30Country of Origin 

Presence: Mandatory

Format: String

Value: Must follow ISO standard

142 - SenderLocationID
40Quote Request ID

Presence: Mandatory if present in captured message.

Format: String

Value: Must only contain letters, numbers and/or the following characters:

   _ - : @ . + ( ) / \

131 - QuoteReqID
41Message Quote ID

Presence: Mandatory

Format: String

Value: Must only contain letters, numbers and/or the following characters:

   _ - : @ . + ( ) / \

Must not be used for any other Mass Quote ID from customer-generated messages in the file.

117 - QuoteID
42Quote Entry ID

Presence: Mandatory

Format: String

Value: Must only contain letters, numbers and/or the following characters:

  _ - : @ . + ( ) / \

Must not be used for any other instrument code in the file.

299 - QuoteEntryID
43Bid Price

Presence: Mandatory

Format: Integer or Decimal Number

132 - BidPx
44Bid Size

Presence: Mandatory

Format: Integer

134 - BidSize
45Offer Price

Presence: Mandatory

Format: Integer or Decimal Number

133 - OfferPx
46Offer Size

Presence: Mandatory

Format: Integer

135 - OfferSize