The New Order Cross (tag 35-MsgType=s) message submits a Cross on CME Globex, a two-sided order submitted by a single party/broker at the same price and quantity.
The → symbol indicates a repeating tag.
|Standard Header - Client System to CME Globex|
|35||MsgType||Sting(2)||s=New Order Cross||Y||Header tag identifying message type.|
Order submitted for automated matching on CME Globex.
Identifies class or source of the tag 48-SecurityID value.
Only '2' (limit order) supported.
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.
Identifier of the instrument defined in tag 107-SecurityDesc.
This tag contains the Group Code of the instrument.
UTC format YYYYMMDD-HH:MM:SS.sss
'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.
IRS=Interest Rate Swap
Indicates instrument is future or option.
Client system populates this tag to allow linking of Buy and Sell sides (and all legs in the case of a spread) for related Execution Reports.
3=Cross trade executed
Identifies transaction type.
Indicates the time at which the order was finalized between the buyer and seller prior to submission.
UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.
Number of sides. Always '2'.
Side of order.
Executing account mnemonic as agreed between the broker and clearing member firm.
Unique order identifier assigned by client system.
Refer to iLink - CME Globex Identifiers for more information.
|N||Defines source of original order.|
Order quantity. Must be a positive integer.
0=Keep on book
Indicates how long the order as specified in the side stays in effect. SideTimeInForce allows a two-sided cross order to specify order behavior separately for each side.
The type of business conducted.
Customer Type Indicator (CTI)
For electronic trading CTI codes are defined as:
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.
Identifies the executing firm ID to which the fill is 'given up' or mutual off-set for Eurodollar, Euroyen, Euroyen LIBOR and Nikkei Yen contracts.
Indicates if order is a give-up or mututal off-set.
Always set to '1'.
Indicates a give up account number.
|Standard Message Trailer|
End of message.