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

Blank table cell = Not Applicable

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
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:

"Z/1" or "Z\1" for Cancel per instrument

"Z/3" or "Z\3" for Cancel per instrument group

"Z/4" or "Z\4" for Cancel all quotes

"Z/100" or "Z\100" for Cancel by Quote Set ID

35 - MsgType / 298 - QuoteCancelType

17Instrument Description

Presence: Mandatory for Message type Z/1 and Z/3.

Format: String

For message type Z/1: Value must follow CME Group instrument code nomenclature.

For message type Z/3: Value must be 2- or 3-character long.(instrument group).

tag 107 or 55 - Symbol
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 
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