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The Order Mass Action Report message submitted by CME Globex must be decomposed into its confirmed cancelled orders. The Audit Trail must include one line item per cancelled order.

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: "FROM 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:

   _ - : @ . + ( ) / \

57 - TargetSubID
5Self-Match Prevention ID

Presence:Mandatory if present in captured message.

Format: String

7928 - SelfMatchPreventionID
6Account Number

Presence: Mandatory if present in captured message.

Format: String

Tag 1 - Account
7Session ID

Presence: Mandatory

Format: String

Value: Exactly 3 Characters

56 - TargetCompID
8Executing Firm ID

Presence: Mandatory

Format: String

Value: Exactly 3 Characters

56 - TargetCompID
9Manual Order Identifier

Presence: Mandatory

Format: String

Value: 'Y' or 'N'

1028 - ManualOrderIndicator
10Message Type

Presence: Mandatory

Format: String

Value: BZ/1, BZ/9 and BZ/10

35 - MsgType / 1374 - MassActionScope 
14Message Link ID

Presence: Optional

Format: String

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

  _ - : @ . + ( ) / \

Must be unique within the audit trail file

N/A - This identifier exists only in the audit trail.

15Order Flow ID

17Instrument Description

Presence: Mandatory if present in captured message.

Format: String

Value: Must follow CME Group instrument code nomenclature.

107 - SecurityDesc or tag 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.

50 - SenderSubID
19Client Order ID

Presence: Mandatory if present in captured message.

Format: String

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

!"#$%&'()*+,-./: ;<=>?@[\]^_`{|}~

This field should capture the ClOrdID of the Mass Order Cancel (not the PrigClOrdID from the order being cancelled)

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

11 - ClOrdID
20Globex Order ID

Presence: Mandatory

Format: String

535 - AffectedOrderID 
21Buy/Sell Indicator

Presence: Mandatory if present in captured message.

Format: Integer

Value: 1 or 2

54 - Side
22Quantity

Presence: Mandatory if present in captured message.

Format: Integer

38 - Quantity
25Order Type

Presence: Mandatory if present in captured message.

Format: String

Value: 1, 2, 3, 4 or K

40 - OrderType
26Order Qualifier

Presence: Mandatory if present in captured message.

Format: Integer

Value: 0, 1, 3 or 6

59 - TimeInForce
30Country of Origin 

Presence: Mandatory

Format: String

Value: Must follow ISO standard.

 143 - SenderLocationID