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Use the New Order (tag 35-MsgType=D) message to submit a new order on an instrument to CME Globex.

Tag

Name

Enumeration

Req

Description

Standard Header - Client to CME Globex






35MsgTypeString(2)D=New OrderYHeader tag identifying message type.

1

Account

String(12)


Y*

Unique account identifier.

11

ClOrdID

String(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.

21

HandInst

Char(1)

1=Automated execution

N

Order submitted for automated matching on CME Globex.

1031

CustOrderHandlingInst

String(1)

A=Phone simple
B=Phone complex
C=FCM-provided screen
D=Other-provided screen
E=Client-provided platform controlled by FCM
F=Client-provided platform direct to exchange
G=FCM API or FIX
H=Algo Engine
J=Price at Execution (price added at initial order entry, trading, middle office or time of give-up)
W=Desk, Electronic
X=Desk, Pit
Y=Client, Electronic
Z=Client, Pit

N

Defines source of original order.

38

OrderQty

Int(9)


Y*

Order quantity. Must be a positive integer.

  • New Orders submitted with quantity greater than the Max Quantity and less than 99999 will be rejected with 35=8.
  • New Orders submitted with quantity greater than 99999 will be rejected with 35=3.
    Maximum Quantity is defined in the market data Security Definition (MsgType-tag 35-d) message in tag 1140-MaxTradeVol.
  • For GC2, A New Order submitted with a quantity greater than the allowed clip size will be rejected with a Session Level Reject (35=3) with tag 58-Text= 'Credit Limit Violation: Order Quantity x exceeds Clip Size: y'.

40

OrdType

Char(1)

1=Market order (with protection)
2=Limit order
3=Stop order (with protection)
4=Stop-Limit order
K=Market-Limit order

Y

Order type. See also iLink Order Types and Order Types for Futures and Options for complete details.

The state of an order type can change over the life of an order. For example, a submitted stop order (3) can turn into a market order (1) when the stop price level has been crossed.

44

Price

Price(20)


C

Required for limit or stop-limit orders. Designates the price per single contract unit. The decimal, and if applicable the negative sign of the price are each one character. Client systems should not supply more than 9 characters to the left and 9 characters to the right of the decimal.



See Fractional Pricing for products that tick fractionally but must be submitted in decimal.

54

Side

Char(1)

1=Buy
2=Sell

Y

Side of order.

55

Symbol

String(6)


N

This tag contains the Group Code of the instrument.

59

TimeInForce

Char(1)

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

N

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 Type Qualifiers for more information.

60

TransactTime

UTCTimestamp(21)


Y

Timestamp of the business event of submitting the order (e.g., click the submission button).

UTC format YYYYMMDD-HH:MM:SS.sss
e.g. 20091216-19:21:41.109

1028

ManualOrderIndicator

Boolean(1)

Y=manual
N=automated

Y*

'N' indicates the message was generated by automated trading logic.

Note

iLink messages containing a value other than 'Y' or 'N' in this tag will be rejected.

This tag is subject to Rule 536.B.2 Electronic Audit Trail Requirements for Electronic Order Routing/Front-End Systems.

78NoAllocsNumInGroup(1)1CAlways set to '1'. 
Indicates the number of give up accounts. CME Globex supports only 1 give up account. 
Must be used in conjunction with tag 9708-CmtaGiveupCD, tag 9707-GiveupFirm and tag 79-AllocAccount.

79

AllocAccount

String(11)


C

Indicates a give up account number.
Must be used in conjunction with tag 9708-CmtaGiveupCD, tag 9707-GiveupFirm and tag 78-NoAllocs.

99

StopPx

Price(20)


C

Required for stop and stop-limit orders. Designates stop trigger price specified by the individual entering the order or cancel/replace. The decimal, and if applicable the negative sign of the price are each one character. Client systems should not supply more than 9 characters to the left and 9 characters to the right of the decimal.



See tag 44-Price description for fractional pricing information.

107

SecurityDesc

String(20)


Y*

Instrument identifier.
Future Example: GEZ8
Option Example: CEZ9 C9375

110

MinQty

Int(9)


N

Minimum quantity of an order to be executed. This tag is used only when tag 59-TimeInForce=3 (Fill and Kill).

The value of MinQty must be between 1 and the value in tag 38-OrderQty.

The format of this tag is different from FIX protocol specifications.
This tag must be an integer.

167

SecurityType

String(3)

FUT=Future

OPT=Option

IRS=Interest Rate Swap

FXSPOT=FX Spot

N

Indicates security type.

204

CustomerOrFirm

Int(1)

0=Customer
1=Firm

Y*

The type of business conducted.

Note

  • If the order is sent by a customer of a clearing firm, then tag 204 = 0 (Customer)
  • If the order is sent by a proprietary trader within a clearing firm, then tag 204 = 1 (Firm)

210

MaxShow

Qty(9)


N

Display 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 and the order reinstated at the bottom of the book.
  • See also: Order Display Quantity.

Not available for some:

In CME Eurodollar Futures products, the maximum display ratio is 1:60.

432

ExpireDate

LocalMktDate(8)


C

Required only if tag 59-TimeInForce=Good Till Date (GTD). CME Globex does not support tag 126-ExpireTime. Only the expiration date can be set. Orders expire at the end of the trading session of the specified date.

7928SelfMatchPreventionIDString(12)

C

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.

8000

SelfMatchPreventionInstruction

Char(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.

9702

CtiCode

Char(1)

1=CTI 1
2=CTI 2
3=CTI 3
4=CTI 4

Y*

Customer Type Indicator (CTI)

For electronic trading CTI codes are defined as:

  • CTI 1: Applies to orders entered or trades executed by an individual member for their own account, for an account they controls, or for an account in which they have an ownership or financial interest. However, transactions initiated and executed by a member for the proprietary account of a member firm must be designated as CTI 2 transactions.
  • CTI 2: Applies to orders entered or trades executed for the proprietary accounts of a member firm, including Rule 106.H., I., N., R. and S. firms.
  • CTI 3: Applies to orders entered by a member or a nonmember terminal operator for the account of another individual member or an account controlled by such individual member.
  • CTI 4: Applies to all orders and transactions not included in CTI categories 1, 2, or 3. These typically are orders entered by or on behalf of nonmember entities.

This tag is subject to Rule 536.D Customer Type Indicator (CTI) Codes and to 536.B.2 Electronic Audit Trail Requirements for Electronic Order Routing/Front-End Systems.

If you are unsure of which value to use, contact CME Group Market Regulation.

1731AvgPxGroupIDString(20)
N

Used to identify account numbers or orders for grouping trades together for average price calculations.

If incoming value is greater than max length, iLink will return the right-most twenty bytes.
1598ClearingTradePriceTypeString(1)0 – Trade Clearing at Execution Price
1 – Trade Clearing at Alternate Clearing Price
NIndicates whether spread differential trade is clearing at execution price (tag 31-LastPx) or alternate clearing price (i.e. previous day’s settlement price).
819AvgPXIndicatorString(3)0 – No Average Pricing (Default)
1 – Trade is part of an Average Price Group Identified by the AvgPxGroupID
3 - Notional Value Average Pricing with Average Price Group Identified by the AvgPxGroupID
N

Indicates if the resulting trade is to be average priced.

This tag is also used to indicate type of average price grouping.
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.

9707

GiveUpFirm

String(3)


N

Identifies the executing firm ID to which the fill is given up or mutually off-set for eligible contracts.

9708

CmtaGiveupCD

String(2)

GU=Give-up
SX=SGX off-set

N

Indicates if order is a give-up or mutual off-set with the Singapore Exchange (SGX).

9717

CorrelationClOrdID

String(20)


N

CME STRONGLY RECOMMENDS this tag contain the same value as tag 11-ClOrdID for use in correlating all iLink messages associated with the order chain originating with this New Order message. However, CME Globex does not validate this value and returns it as submitted on all subsequent messages from CME Globex to the Client System for the order chain.

Refer to iLink - CME Globex Identifiers for more information.

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