Sent in the event of a Trade Correction.
| Tag | Name | FIX Type | Enumeration | Req | Description |
|---|---|---|---|---|---|
| Standard Header - Client to CME Globex | |||||
| 35 | MsgType | String(2) | 8=Execution Report | Y | Header tag identifying message type. |
| 1 | Account | String(12) | Y* | Unique account identifier. Note: This tag value is always uppercase, regardless of the case in the inbound message tag. Client systems are not required to submit capitalized account values to CME Globex. | |
| 6 | AvgPx | Price(20) | Y | Always '0'. | |
| 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. | |
| 14 | CumQty | Qty(9) | Y | This value will reset to zero. Leaves quantity will not be returned in correction execution message. | |
| 17 | ExecID | String(40) | Y* | CME Globex assigned execution report message identifier; globally unique for each message published. For Trade Correction, will contain a new value. | |
| 19 | ExecRefID | String(9) | Y* | Contains unique ID for the trade being cancelled. These are the 9 right-most characters of tag 17-ExecID. | |
| 20 | ExecTransType | Char(1) | 2=Correction | Y | Identifies transaction type. |
31 | LastPx | Price(20) | Y* | New fill price. | |
32 | LastQty | Qty(9) | Y* | Original quantity filled. | |
| 37 | OrderID | String(17) | Y | CME Globex assigned order identifier; globally unique for each message published. | |
| 39 | OrdStatus | Char(1) | G=Trade Correct | Y | Order status. |
| 41 | OrigClOrdID | String(20) | N | Last accepted ClOrdID in the order chain. If a value is included in tag 41 on order entry, the same value is returned. If not, the tag will contain '0'. See iLink - CME Globex Identifiers for more information. | |
| 48 | SecurityID | Int(12) | Y* | Identifier of the instrument defined in tag 107-SecurityDesc. | |
| 54 | Side | Char(1) | Y | Side of order. | |
| 55 | Symbol | String(6) | Y | This tag contains the Group Code of the instrument. | |
| 60 | TransactTime | UTCTimeStamp(21) | Y* | UTC format YYYYMMDD-HH:MM:SS.sss e.g. 20091216-19:21:41.109 | |
| 75 | TradeDate | LocalMktDate(8) | Y* | Indicates date of trade reference in this message in YYYYMMDD format. | |
| 107 | SecurityDesc | String(20) | Y* | Instrument identifier. Future Example: SR1U3 Option Example: SR1U3 C9575 | |
| 150 | ExecType | Char(1) | G=Trade Correct | Y | Describes the action that triggered this specific Execution Report – see the OrdStatus (39) tag for the current order status (e.g., Partially Filled). |
| 393 | TotalNumSecurities | Int(3) | N | Number of leg trade elimination messages for a given counterparty. The value will be '0' (zero) for outrights. | |
| 442 | MultiLegReportingType | Int(1) | 1=Outright 2=Leg of spread 3=Spread | N | Indicates if acknowledgment message is sent for an outright, leg of spread, or spread. |
| 527 | SecondaryExecID | String(40) | Y | Unique identifier that allows linking of spread summary fill notice with leg fill notice and trade correction messages. The value in this tag will increment from its original value only in trade correction for:
| |
| 1028 | ManualOrderIndicator | Boolean(1) | N | Indicates if order was sent manually or generated by automated trading logic. | |
| 5149 | Memo | String(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. | |
| 5979 | RequestTime | Int(20) | Y | Information carried on a response to convey the time (UTC) when the request was received by the MSGW application. UTC timestamps are sent in number of nanoseconds since UNIX epoch with microsecond precision. | |
| 37711 | MDTradeEntryID | Int(10) | Y | Common identifier that associates CME STP cleared trades with order execution and market data messaging. Will continue to refer back to the original value as assigned to the trade being cancelled or or corrected. Unique across all iLink sessions and market segments per trading week. | |
| 9703 | OriginalSecondaryExecID | String(40) | Y | Contains the value from tag 527-SecondaryExecID. Trade correction execution reports will refer back to that of the latest fill being corrected for outrights, spreads and legs. | |
| 7928 | SelfMatchPreventionID | String(12) | N | 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:
|
| 9717 | CorrelationClOrdID | String(20) | N | Unvalidated value returned as submitted if sent by client system on inbound message. For further details, see tag 9717-CorrelationClOrdID note in the New Order message specification. | |
| 64 | SettlDate | LocalMktDate (8) | N | Specific date of trade settlement for the Spot leg. | |
1362 | NoFills | NumInGroup(1) | Specifies the number of fill reasons or allocations included in this Execution Report Maximum number of fill reasons is 6 Note: The number of fill reason is always '1' for spread leg fills | Y | Specifies the number of fill reasons or allocations included in this Execution Report Maximum number of fill reasons is 6 Note: The number of fill reason is always '1' for spread leg fills |
→1363 | FillExecID | String(2) | Used as an identifier for each fill reason or allocation reported in single Execution Report Required if tag 1362-NoFills > 0 Append tag 17-ExecID with tag 1363-FillExecID to derive the unique identifier for each fill reason | Y | Used as an identifier for each fill reason or allocation reported in single Execution Report Required if tag 1362-NoFills > 0 Append tag 17-ExecID with tag 1363-FillExecID to derive the unique identifier for each fill reason |
→1364 | FillPx | Price(20) | Price of this fill reason or allocation Required if tag 1362-NoFills > 0 Same as tag 31-LastPx | Y | Price of this fill reason or allocation Required if tag 1362-NoFills > 0 Same as tag 31-LastPx |
→1365 | FillQty | Qty(9) | Quantity bought/sold for this fill reason or allocation Required if tag 1362-NoFills > 0 | Y | Quantity bought/sold for this fill reason or allocation Required if tag 1362-NoFills > 0 |
→1622 | FillYieldType | String(2) | Fill reason 0 – Future Hedge 1 – Pro Rata 2 – LMM 3 – TOP 4 – FIFO 5 – Cross BMG 8 – Covering 9 – Cross BPM 10 – Leveling 11 – Aggressor 14 – Leg 16 – Opening 18 – Implied Opening 19 – FIFO Percent | Y | Fill reason |
End of message. | End of message. |