A futures spread instrument represents the simultaneous sale and/or purchase of two or more individual (outright) futures instruments*. For example, a New Order message to buy (tag 54-Side=1) a one-year Eurodollar futures pack having front month March 2010 (tag 107=SecurityDes=GE:PK 01Y H0) represents a Buy order placed simultaneously for GEH0, GEM0, GEU0, GEZ0 instruments.
At order acceptance, CME Globex sends a single Execution Report - New Order Acknowledgment message for the futures spread order.
Upon trade execution, CME Globex sends an Execution Report - Fill Notice message for each leg composing the spread instrument, in addition to an Execution Report - Fill Notice for the spread itself.
When the order is filled, CME Globex also broadcasts a Market Data - Incremental Refresh message for the spread and for each leg of the spread.
*Depending upon the spread type.
For all filled spread orders, CME Globex sends the client system that submitted the order an Execution Report for the spread instrument and for each leg instrument. To enable client systems to link the spread instrument with each component leg, the Execution Report - Fill message implements the following tags:
- Tag 393-TotalNumSecurities - contains the number of Fill messages sent for the spread minus the spread summary. This tag is sent only in the spread Execution Report.
- Tag 527-SecondaryExecID - unique identifier associated with the spread trade and allows the client system to link leg fills and trade cancellation notices to the original spread transaction. This value is unique per instrument per trade per trading session.