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This table presents the front-end audit trail specifications required to represent data exchanged between a trading system and CME Globex in your front-end audit trail. This data must be captured in .csv.

Specifications representing each message type supported on CME Globex are available in this section. For further description of data elements to capture on Tier 1, please refer to the CME iLink message specifications.

Blank table cell = Not Applicable

PositionColumns

TO/FROM CME

(Tier 1 component interactions with CME Globex)

TO/FROM CLIENT

(Tier 1 component interactions with Tier 2 component)

1

Sending Timestamps

Time at which the message leaves the Tier 1 component towards the CME Globex platform.

The time stamp must be in UTC Timestamp format (YYYYMMDD-HH:MM:SS.sss) and must have at least millisecond precision.

Time at which the message/data leaves the Tier 1 component towards the Tier 2 component.

The time stamp must be in UTC Timestamp format (YYYYMMDD-HH:MM:SS.sss) and must have at least millisecond precision.

2Receiving Timestamps

Time at which the message is received by the Tier 1 component from the CME Globex platform.

The time stamp must be in UTC Timestamp format (YYYYMMDD-HH:MM:SS.sss) and must have at least millisecond precision.

Time at which the message/data is received by the Tier 1 component from the Tier 2 component.

The time stamp must be in UTC Timestamp format (YYYYMMDD-HH:MM:SS.sss) and must have at least millisecond precision.

3Message Direction

Explicit labeling of the direction of the captured message.

"TO CME" : for messages leaving Tier 1 component towards the CME Globex platform

"FROM CME" : for messages received by Tier 1 component from the CME Globex platform

Explicit labeling of the direction of the captured message.

"TO CLIENT" : for messages/data leaving the Tier 1 component towards the Tier 2 component.

"FROM CLIENT" : for messages/data received by the Tier 1 component from the Tier 2 component.

4Operator ID

Identifier of the operator, who submitted the message or is responsible for its submission.

Identifier of the operator, who submitted the message or is responsible for its submission.

5Self-Match Prevention ID

Identifier submitted on messages to prevent self-match on CME Globex trading engines.

 

6Account Number

Trading account number.

Trading account number.

7Session ID

Identifier of the iLink Order Entry session.

 

8Executing Firm ID

Identifier of the Executing Trading Firm submitting the messages to CME Globex.

 

9Manual Order Identifier

Identifies if the captured message was submitted manually or automatically.

 

10Message Type

Identifies the type of the message captured.

Identifies the type of the message captured.

11Customer Type Indicator

Customer Type Indicator.

 

12Origin

Origin of the order (customer or Firm).

 

13CME Globex Message ID

Execution Report identifier.

 

14Message Link ID

Identifier linking message/data sent

from the Tier 2 component to Tier 1 component to CME Globex and, from CME Globex to Tier 1 component to Tier 2 component.

(This ID must be generated as part of the audit trail, it is not part of the data captured)

This identifier may link 1:1, 1:N or N:1 messages between tier 1 and tier 2.

Identifier linking message/data sent from the Tier 2 component to Tier 1 component to CME Globex and from CME Globex to Tier 1 component to Tier 2 component.

  • This ID must be generated as part of the audit trail, it is not part of the data captured.

This identifier may link 1:1, 1:N, or N:1 messages.

 15Order Flow ID 

Identifier linking all inbound and outbound messages associated with a New Order Messages.

(This ID must be generated as part of the audit trail, it is not part of the data captured).

(This ID is not required for Mass Quote related messages.)

Identifier linking all inbound and outbound messages associated with a New Order Messages.

  • This ID must be generated as part of the audit trail, it is not part of the data captured.
  • This ID is not required for Mass Quote related messages.
16Spread/Leg Link ID

Identifier assigned by CME Globex to legs and spread fill notices and spread trade cancellation to link the messages together.

 

17Instrument Description

CME Globex-assigned code to uniquely identify a futures or options contract.

Code uniquely identifying futures or options contracts between Tier 1 and Tier 2 components.

18Market Segment ID

CME Globex-assigned code to uniquely identify the trading unit on which a future or options contract trades.

 

19Client Order ID

Customer-generated code uniquely identifying an order, a cancel or cancel replace message.

Customer-generated code uniquely identifying an order, a cancel or cancel replace message.

20CME Globex Order ID

CME Globex-assigned code uniquely identifying an order.

This code does not change regardless of the changes applied to it.

 

21Buy/Sell Indicator

Side of the order.

Side of the order as defined between Tier 1 and Tier 2 component.

22Quantity

Quantity of the order.

Quantity of the order as defined between Tier 1 and Tier 2 component.

23Limit Price

Limit price of the order.

Limit price of the order as defined between Tier 1 and Tier 2 component.

24Stop Price

Stop (trigger) price of the order.

Stop (trigger) price of the order as defined between Tier 1 and Tier 2 component.

25Order Type

Type of the order: limit, market with protection, market-limit, stop with protection or stop-limit.

Type of the order as defined between Tier 1 and Tier 2 component.

26Order Qualifier

Qualifier of the order: day, gtc, gtd, fak

Qualifier of the order as defined between Tier 1 and Tier 2 component.

27IFM Flag

Modification flag identifying if in-flight-mitigation functionality is activated or not.

Modification flag identifying if in-flight-mitigation functionality is activated or not.

28Display Quantity

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

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

29Minimum Quantity

Minimum quantity of an order to be executed.

Minimum quantity of an order to be executed.

30Country of OriginLocation of the operator.Location of the operator.
31Fill Price

Price at which the order has been executed.

Price at which the order has been executed.

32Fill Quantity

Quantity at which the order has been executed.

Quantity at which the order has been executed.

33Cumulative Quantity

Cumulated fill quantity for the order.

Cumulated fill quantity for the order.

34Remaining Quantity

Remaining open quantity on the order book for the order.

Remaining open quantity on the order book for the order.

35Aggressor Flag

Flag indicating whether the order was the aggressor in the match.

Flag indicating whether the order was the aggressor in the match.

36Source of Cancellation

CME Globex-generated code identifying the source of a cancel when triggered by CME Group.

 

37

Reject Reason

Code or text identifying the reason why an order was rejected.

Refer to the child page specifications of the reject message to determine the tag content to include in this field.

Code or text identifying the reason why an order was rejected.

38Processed Quotes

Number of quotes successfully acknowledged or cancelled.

 

39Cross ID

Customer-generated code uniquely identifying an order Cross (RFC).

 

40Quote Request ID

Customer-generated code uniquely identifying a Request for Quote (RFQ).

 

41Message Quote ID

Customer-generated code uniquely identifying a Mass Quote message.

 

42Quote Entry ID

Customer-generated code uniquely identifying a Quote in a Mass Quote message.

 

43

Bid Price

Bid price of quote.

Bid price of quote.

44Bid Size 

Bid quantity of quote.

Bid quantity of quote.

45Offer Price 

Offer price of quote.

Offer price of quote.

46Offer Size 

Offer quantity of quote.

Offer quantity of quote.

Additional columns implemented for trading system needs. Ignored by CME Market Regulation.
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