iLink 2 FIX Tag Library

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*

CME Globex returns this value from tag 11 of the New Order or Cancel Replace Request message up to 20 bytes.

For Mass Quotes the value references 299-QuoteEntryID.

See iLink - CME Globex Identifiers for more information.

14

CumQty

Int(9)

Y*

Contains cumulated traded quantity throughout lifespan of an order.
This value does not reset if order is cancel/replace.

17

ExecID

String(40)

Y

CME Globex assigned execution report message identifier; globally unique for each message published.

20

ExecTransType

Char(1)

0

Y

Always '0'.

31

LastPx

Price(20)

Y*

Price at which order was filled.

Premium quoted option value will be equivalent calculated premium price.

32

LastQty

Int(9)

Y*

Quantity filled.

37

OrderID

String(17)

Y

CME Globex assigned order identifier; globally unique for each message published.

38

OrderQty

Int(9)

C

Quantity of order.
This field must contain an integer.

Note: For spread trade Execution Reports, this tag is sent in the Execution Report – Fill Notice (35=8, 39=1 or 2) for the spread only and not the legs of the spread.

39

OrdStatus

Char(1)

1=Partial fill
2=Complete fill

Y

Indicates if fill is for part or all of order quantity.

40

OrdType

Char(1)

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

Y*

Order type. See  Order Management 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.
Also refer to Order Types for Futures and Options.

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.

44

Price

Price(20)

C

Price per single contract unit.

All Execution Report messages sent in response to Market orders (with protection) and Stop orders (with protection) will include tag 44-Price populated with the Protection Price Limit (best available price +/- the protection points).

If the order is not completely filled, the remaining Open Quantity will rest on the order book at the Protection Price Limit.
 
Note: For spread trade Execution Reports, this tag is sent in the Execution Report – Fill Notice (35=8, 39=1 or 2) for the spread only and not the legs of the spread. 

48

SecurityID

Int(12)

Y*

Identifier of the instrument defined in tag 107-SecurityDesc.

54

Side

Char(1)

1=Buy
2=Sell

Y

Side of order.

55

Symbol

String(6)

Y

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 (GTD)

C

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 Types for Futures and Options or Order Management for more information.

Note: For spread trade Execution Reports, this tag is sent in the Execution Report – Fill Notice (35=8, 39=1 or 2) for the spread only and not the legs of the spread.

60

TransactTime

UTCTimeStamp(21)

Y*

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

78

NoAllocs

String(1)

1

N

Returned on Execution Report if sent on inbound message.

79

AllocAccount

String(11)

N

Returned on Execution Report if sent on inbound message.

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.

75

TradeDate

LocalMktDate(8)

Y*

Indicates date of trade reference in this message in YYYYMMDD format.

107

SecurityDesc

String(20)

Y*

Instrument identifier.
e.g. "ESM0'

150

ExecType

Char(1)

1=Partial fill
2=Complete fill

Y

Indicates the type of execution report.

151

LeavesQty

Int(9)

C

Amount of contracts remaining for execution after this fill.

Note: For spread trade Execution Reports, this tag is sent in the Execution Report – Fill Notice (35=8, 39=1 or 2) for the spread only and not the legs of the spread. 

167

SecurityType

String(6)

FUT=Future

OPT=Option

FXSPOT=FX Spot

N

Indicates instrument is future or option.

Note: For options strategy including UDS COMBO or COVERED, send OPT. For UDS Futures, send FUT.

337

ContraTrader

String(8)

TRADE

N

Will contain 'TRADE'.

375

ContraBroker

String(8)

CME000A

N

Will contain 'CME000A'.

393

TotalNumSecurities

Int(3)

N

Contains the number of Leg Fill Acknowledgment messages sent with the spread summary.
Sent for spread fill message only.

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.
 
Note: For spread trade Execution Reports, this tag is sent in the Execution Report – Fill Notice (35=8, 39=1 or 2) for the spread only and not the legs of the spread.

1028

ManualOrderIndicator

Boolean(1)

Y=manual
N=automated

Y*

Value sent on inbound message from client system indicating the order as sent manually or generated by automated trading logic.

1031

CustOrderHandlingInst

String(1)

W - Desk

Y - Electronic (Default)

C - Vendor-provided Platform billed by Executing Broker

G - Sponsored Access via Exchange API or FIX provided by Executing Broker

H - Premium Algorithmic Trading Provider billed by Executing Broker

D - Other, including Other-provided Screen

Y

Defines source of original order.

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

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

CME Globex assigned unique identifier; can be used to link spread summary fill notice with leg fill notice and trade cancel messages.

548

CrossID

String(32)

N

Identifier for a cross order.

549

CrossType

Int(1)

3=Cross order

N

Identified transaction type if other than standard order execution.

Indicates if the resulting trade is to be average priced.

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.

811

OptionDelta

Float(6.2)

C

Calculated delta, expressed as a decimal between -1 and 1.

1057

AggressorIndicator

Char(1)

Y=Match aggressor

N=Resting at match

C

Indicates if order was incoming or resting for the match event.
Default=not present.

Note: For spread trade Execution Reports, this tag is sent in the iLink 2 Execution Report - Fill Notice (35=8, 39=1 or 2) for the spread only and not the legs of the spread. 

1189

ExpirationTimeValue

Float

C

This value is expressed as a decimal portion of a year, typically the days to expiration divided by the days in a year. Currently the year assumption is 365.

1190

RiskFreeRate

Price(20)

C

Daily interest rate based on the settlement price of the previous day's SOFR futures front month quarterly (or 100 minus the previous day's SOFR front month quarterly settlement price).

If the front month SOFR future is the quarterly month, then the next quarterly futures settlement price will be used. CME Globex divides the difference by 100 and the resulting quotient is the input into its options pricing model.

Conditionally required for premiums.

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.

9717

CorrelationClOrdID

String(20)

N

Unvalidated value returned as submitted if sent by client system on inbound message. See tag 9717-CorrelationClOrdID note in the iLink 2 New Order message specification for further details.

1362

NoFills

NumInGroup(1)

--

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)

--

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)

--

Y

Price of this fill reason or allocation

Required if tag 1362-NoFills > 0

Same as tag 31-LastPx

→1365

FillQty

Qty(9)

--

Y

Quantity bought/sold for this fill reason or allocation

Required if tag 1362-NoFills > 0

→1622

FillYieldType

String(2)

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

iLink 2 Standard Message Trailer

End of message.

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)

0

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

Int(9)

Y

Contains cumulated traded quantity throughout lifespan of an order.

This value resets to zero if order is cancelled.

For Execution Report - Modify message sent in response to Order Cancel/Replace Request:

• Value resets to zero if client system submits cancel/replace with disabled in-flight mitigation (IFM).
• Value does not reset if client system submits cancel/replace with enabled IFM.

17

ExecID

String(40)

Y

CME Globex assigned execution report message identifier; globally unique for each message published.

20

ExecTransType

Char(1)

0=New

Y

Identifies transaction type as 'new' (i.e., new order, order cancel or cancel/replace accepted).

37

OrderID

String(17)

Y

CME Globex assigned order identifier; globally unique for each message published.

38

OrderQty

Int(9)

Y*

Order quantity submitted by client.
The format of this field is different from FIX protocol specifications.
This field must be an integer.

39

OrdStatus

Char(1)

0=New Order Ack
4=Cancel Ack
5=Modify Ack

Y

Identifies order status as accepted, cancelled or replaced.

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.

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.

Also refer to Order Types for Futures and Options in Electronic Trading Concepts.

41

OrigClOrdID

String(20)

N

Last accepted ClOrdID in the order chain. Unvalidated value returned as submitted by client system on Order Cancel Request or Order Cancel-Replace Request message. If a value is include in tag 41-OrigClOrdID, the same value is returned; however, if no value is sent, a value of '0' is returned in  all Execution Report (tag 35-MsgType=8)  messages, except the Execution Report-Order Status Request.

Refer to iLink - CME Globex Identifiers for more information.

44

Price

Price(20)

N

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.

48

SecurityID

Int(12)

Y*

Identifier of the instrument defined in tag 107-SecurityDesc.

54

Side

Char(1)

1=Buy

2=Sell

Y

Side of order.

55

Symbol

String (6)

Y

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 Types for Futures and Options and Order Management  for more information.

60

TransactTime

UTCTimestamp(21)

Y*

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

78

NoAllocs

NumInGroup(1)

N

Returned on Execution Report if sent on inbound message.

79

AllocAccount

String(11)

N

Returned on Execution Report if sent on inbound message.

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.

107

SecurityDesc

String(20)

Y*

Instrument identifier.
Future Example:  GEZ8
Option Example:  GEZ9 C9375

99

StopPx

Price(20)

N

Designates stop trigger price specified by the individual entering the order or cancel/replace.

110

MinQty

Int(9)

N

Minimum quantity of an order to be executed.

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.

150

ExecType

Char(1)

0=New Order Ack
4=Cancel Ack
5=Modify Ack

Y

Indicates type of execution report.

151

LeavesQty

int(9)

Y

Amount of contract units open for further execution.

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

167

SecurityType

String(6)

FUT=Future

OPT=Option

IRS=Interest Rate Swap

FXSPOT=FX Spot

N

Indicates instrument is future or option.

Note: For options strategy including UDS COMBO or COVERED, send OPT. For UDS Futures, send FUT.

378

ExecRestatementReason

Int(3)

8=Exchange (GCC)
100=Cancel on Disconnect
103=Cancel Oldest (Resting) due to Self Match Prevention
104=Cancel from CME Globex Credit Controls (GC2) violation
105=Cancel from FirmSoft
106=Cancel from Risk Management API (RMI)
107=Cancel Newest (Aggressing) due to Self Match Prevention

108=Cancel due to resting order quantity less than minimum lot size

N

Identifies origin of the order elimination.

This tag will not be sent on cancellations triggered by an iLink iLink 2 Order Cancel Request.

210

MaxShow

Int(9)

N

See Order Display Quantity in Electronic Trading Concepts.

Maximum 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.

432

ExpireDate

LocalMktDate(8)

Y

Populated as follows according to the Order Qualifier value set in tag 59-TimeInForce:

• For GTD contains expiration date
• For GTC contains all zeros
• For Day contains date of current session
• For FAK contains date of current session

CME Globex does not support tag 126-ExpireTime. Only the expiration date can be set.Orders expire at the end of the trading session for the specified date.

1028

ManualOrderIndicator

Boolean(1)

Y=manual
N=automated

Y*

Value sent on inbound message from client system indicating the order as sent manually or generated by automated trading logic.
For an Order Cancel - Execution Report, this tag will contain the resting value attached with the order regardless of how the cancel itself was submitted.

1031

CustOrderHandlingInst

String(1)

W - Desk

Y - Electronic (Default)

C - Vendor-provided Platform billed by Executing Broker

G - Sponsored Access via Exchange API or FIX provided by Executing Broker

H - Premium Algorithmic Trading Provider billed by Executing Broker

D - Other, including Other-provided Screen

Y

Defines source of original order.

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

Indicates if the resulting trade is to be average priced.

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

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.

Use of this tag indicates client does not wish to trade against itself on CME Globex.

Non-implied orders with the same Self-Match Prevention identifier submitted with the same Executing Firm Identifier (sub-component 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.
• Tag 8000-SelfMatchPreventionInstruction is NOT sent in the Execution Report response to a New Order Cross (tag 35-MsgType=s) message.

9717

CorrelationClOrdID

String(20)

N

Unvalidated value returned as submitted if sent by client system on inbound message. See tag 9717-CorrelationClOrdID note in the iLink 2 New Order message specification for further details.

Note: for solicited order cancellation by client system, CME Globex returns the value of tag 9717-CorrelationClOrdID on the Order Cancel Execution Report  as submitted on the Order Cancel Request.

Note: for order cancellation by FirmSoft, CME Globex always returns the values of tag 9717-CorrelationClOrdID on the Order Cancel Execution Report  from the value of tag 11-ClOrdID on the original Execution Report (tag35-msgType=8, tag 39-OrdStatus=0) New Order Acknowledgment message.

548

CrossID

String(32)

N

Sent on Execution Report to allow correlation of execution responses to the New Order Cross.

549

CrossType

Int(1)

3=RFC order

N

The CME Globex platform uses this tag to validate instrument eligibility.
This value is also returned on the Execution Report for New Cross Orders only.

961

HostCrossID

String(32)

N

Unique ID generated at the Cross level.
Returned on the Execution Report for New Cross Orders only.

Indicates the amount of time in nanoseconds that a message was subject to additional processing as a result of being:

• split among multiple packets (tag 9553=0)
• out-of-order (tag 9553=1)
• a previously submitted split message (tag 9553=2)

Subtracting this number from tag 5979-RequestTime will represent original received time of in-flight message

0 – Split message 

1 – Out-of-order message 

2 – Complete message 

Indicates whether a message was subject to additional processing as a result of being:

• split among multiple packets (0)
• out-of-order (1)
• a previously submitted split message (2)

If absent, then the message was not subject to additional processing.

iLink 2 Standard Message Trailer

End of message.

584

MassStatusReqID

String(20)

Unique ID of Order Mass Status Request as assigned by the client system.

37

OrderID

Int(17)

CME Globex assigned order identifier; globally unique for each message published.

1

Account

String(12)

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.

11

ClOrdID

String(32)

CME Globex returns this value from the original New Order message up to 32 bytes (this tag is only 32 bytes for order status ack).

41

OrigClOrdID

String(20)

Last accepted ClOrdID in the order chain.

6

AvgPrice

Price(1)

Always '0'.

1028

ManualOrderIndicator

Boolean(1)

Value sent on inbound message from client system indicating the order as sent manually or generated by automated trading logic.

CME Globex returns the Manual Order Indicator value from tag 1028 submitted by the client system in the corresponding order message.

9717

CorrelationClOrdID

String(32)

CME Globex returns the value of tag 11-ClOrdID from the original Execution Report (tag 35-MsgType=8, tag 39-OrdStatus=0) New Order Acknowledgement message.

Note: This tag is returned 'NA' when the Order Mass Status is not found.

548

CrossID

String(32)

Identifier for a Cross order.

17

ExecID

String(1)

CME Globex assigned execution report message identifier; globally unique for each message published.

Always '0'.

150

ExecType

Char(1)

Indicates type of execution report.

Always 'I'.

39

OrdStatus

Char(1)

0=New

1=Partially Filled

2=Filled

4=Cancelled

5=Replaced

C=Eliminated

8=Rejected

U=Undefined

6=Pending Cancel

E=Pending Replace

Indicates order status.

New: outstanding order with no executions and remaining quantity. (also applicable to orders that have been modified)

Partially Filled: outstanding order with executions and remaining quantity.

14

CumQty

Int(9)

Contains cumulated traded quantity throughout the lifespan of an order.
This value resets to zero if order is cancel/replaced.

549

CrossType

Int(2)

Identified transaction type if other than standard order execution.

20

ExecTransType

Char(1)

Identifies transaction type.

‘3’ indicates this execution report is in response to an order status request message/order mass status request message.

107

SecurityDesc

String(20)

Instrument identifier. e.g. "ESM0'

961

HostCrossID

String(32)

Unique ID generated at the Cross level.
Returned on the Execution Report for New Cross Orders only.

55

Symbol

String(6)

This tag contains the Group Code of the instrument.

48

SecurityID

Int(12)

372

RefMsgType

String(2)

AF=Order Mass Status Request

N

Tag 35-MsgType of the message being rejected.

Note: This tag is returned only when the Order Mass Status is not found.

380

BusinessRejectReason

Int(2)

0=Other

Y

Code identifying reject

Note: This tag is returned only when the Order Mass Status is not found.

167

SecurityType

String(6)

FUT=Future

OPT=Option

IRS=Interest Rate Swap

FXSPOT=FX Spot

Indicates whether the instrument is a future or an option.

Note: for options strategy including UDS COMBO or COVERED, send OPT.

For UDS Futures, send FUT.

54

Side

Char(1)

1=Buy

2=Sell

Side of order.

38

OrderQty

Int(9)

Order quantity submitted by client.

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

40

OrdType

Char(1)

1=Market order (with Protection)

2=Limit order

4=Stop Limit order

K=Market-Limit order

Order type.

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.

Also refer to Order Types for Futures and Options in Electronic Trading Concepts.

44

Price

Price(20)

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.

99

StopPx

Price(20)

Designates stop trigger price specified by the individual entering the order or cancel/replace.

59

TimeInForce

Char(1)

0=Day

1=Good Till

Cancel (GTC)

3=Fill and Kill

6=Good Till Date (GTD)

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 Types for Futures and Options and Order Management  for more information.

432

ExpireDate

LocalMktDate(8)

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 fo the specified date.

151

LeavesQty

Int(9)

Amount of contract units open for further execution.

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

75

TradeDate

LocalMktDate(8)

Indicates date of trade referenced in this message in YYYYMMDD format. This will be the trade date for the last partial fill.
If this tag is not present, the order has not been filled.

60

TransactTime

UTCTimestamp(21)

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

110

MinQty

Int(9)

Minimum quantity of an order to be executed.

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.

210

MaxShow

Int(9)

See Order Display Quantity in Electronic Trading Concepts.

Maximum 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 the 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.

912

LastRptRequested

Boolean(1)

N=Not Last Message

Y=Last Message

Indicates whether this message is the last report message in response to an Order Mass Status Request.

58

Text

String(200)

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)

0

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

Int(9)

Y

Contains cumulated traded quantity throughout lifespace of an order.
This value does not reset if order is cancel/replaced.

17

ExecID

String(40)

Y

CME Globex assigned execution report message identifier; globally unique for each message published.

20

ExecTransType

Char(1)

0=New

Y

Identifies transaction type as 'new' (i.e. new order, order cancel or cancel replace accepted).

37

OrderID

String(17)

Y

CME Globex assigned order identifier; globally unique for each message published.

38

OrderQty

Int(9)

Y*

Order quantity submitted by client.
The format of this field is different from FIX protocol specifications.
This field must be an integer.

39

OrdStatus

Char(1)

8=Rejected

Y

Order status.

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 additional information in  Order Management.

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

See Order Types for Futures and Options for more information.

41

OrigClOrdID

String(20)

N

Original Client Order ID. Refer to iLink - CME Globex Identifiers for more information.

44

Price

Price(20)

N

Price per unit of quantity.

48

SecurityID

Int(12)

Y*

Security ID.

54

Side

Char(1)

1=Buy
2=Sell

Y

Side of order.

55

Symbol

String(6)

Y

This tag contains the instrument Group Code.

58

Text

String(200)

N

Free format text string.

See Futures and Options Reject Codes for more information.

59

TimeInForce

Char(1)

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

Y*

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 Types for Futures and Options and Order Management for more information.

60

TransactTime

UTCTimestamp(21)

N

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

78

NoAllocs

Char(1)

1

N

Returned on Execution Report if sent on inbound message.

79

AllocAccount

String(11)

N

Returned on Execution Report if sent on inbound message.

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.

99

StopPx

Price(20)

N

Designates stop trigger price specified by the individual entering the order or cancel/replace.

103

OrdRejReason

Int(6)

N

Designates the order reject reason.

107

Securitydesc

String(20)

Y*

Instrument identifier.
Future Example: GEZ8
Option Example: GEZ9 C9375

150

ExecType

Char(1)

8=Reject Ack

Y

Indicates type of execution report.

151

LeavesQty

Int(9)

0

Y

Amount of contract units open for further execution. Always = 0 for the reject.

167

SecurityType

String(6)

FUT=Future

OPT=Option

IRS=Interest Rate Swap

FXSPOT=FX Spot

N

Indicates instrument is future or option.

Note: for options strategy including UDS COMBO or COVERED, send OPT.

For UDS Futures, send FUT.

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.

1028

ManualOrderIndicator

Boolean(1)

Y=manual
N=automated

Y*

Value sent on inbound message from client system indicating the order as sent manually or generated by automated trading logic.

1031

CustOrderHandlingInst

String(1)

W - Desk

Y - Electronic (Default)

C - Vendor-provided Platform billed by Executing Broker

G - Sponsored Access via Exchange API or FIX provided by Executing Broker

H - Premium Algorithmic Trading Provider billed by Executing Broker

D - Other, including Other-provided Screen

Y

Defines source of original order.

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

Indicates if the resulting trade is to be average priced.

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.

Indicates the amount of time in nanoseconds that a message was subject to additional processing as a result of being:

• split among multiple packets (tag 9553=0)
• out-of-order (tag 9553=1)
• a previously submitted split message (tag 9553=2)

Subtracting this number from tag 5979-RequestTime will represent original received time of in-flight message

0 – Split message 

1 – Out-of-order message 

2 – Complete message 

Indicates whether a message was subject to additional processing as a result of being:

• split among multiple packets (0)
• out-of-order (1)
• a previously submitted split message (2)

If absent, then the message was not subject to additional processing.

iLink 2 Standard Message Trailer

End of message.

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)

W - Desk

Y - Electronic (Default)

C - Vendor-provided Platform billed by Executing Broker

G - Sponsored Access via Exchange API or FIX provided by Executing Broker

H - Premium Algorithmic Trading Provider billed by Executing Broker

Y

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*

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.

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(6)

FUT=Future

OPT=Option

IRS=Interest Rate Swap

FXSPOT=FX Spot

N

Indicates security type.

Note: For options strategy including UDS COMBO or COVERED, send OPT. For UDS Futures, send FUT.

204

CustomerOrFirm

Int(1)

0=Customer
1=Firm

Y*

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:

• FX futures
• FX options
• CME Interest Rate Options

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.

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

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.

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

Indicates if the resulting trade is to be average priced.

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

iLink 2 Standard Message Trailer

End of message.

21

HandInst

Char(1)

1=Automated execution

N

Order submitted for automated matching on CME Globex.

22

SecurityIDsource

Char(1)

8=Exchange symbol

N

Identifies class or source of the tag 48-SecurityID value.

40

OrdType

Char(1)

2=Limit order

Y

Only '2' (limit order) supported.

44

Price

Price(20)

Y

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.

48

SecurityID

Int(12)

N

Identifier of the instrument defined in tag 107-SecurityDesc.

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

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.

107

SecurityDesc

String(20)

Y*

Instrument identifier.
Future Example: GEZ8
Option Example: GEZ9 C9375

167

SecurityType

String(6)

FUT=Future

OPT=Option

IRS=Interest Rate Swap

FXSPOT=FX Spot

N

Indicates instrument is future or option.

Note: for options strategy including UDS COMBO or COVERED, send OPT.

For UDS Futures, send FUT.

548

CrossID

String(32)

Y

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.

549

CrossType

Int(2)

3=Cross trade executed
with existing orders

Y

Identifies transaction type.

550

CrossPrioritization

Int(1)

0=None

Y

Always '0'.

483

TransBkdTime

UTCTimestamp(21)

Y

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.

552

NoSides

Int(1)

2

Y

Number of sides. Always '2'.

→54

Side

Char(1)

1=Buy
2=Sell

Y

Side of order.

→1

Account

String(12)

Y*

Executing account mnemonic as agreed between the broker and clearing member firm.

→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.

W - Desk

Y - Electronic (Default)

C - Vendor-provided Platform billed by Executing Broker

G - Sponsored Access via Exchange API or FIX provided by Executing Broker

H - Premium Algorithmic Trading Provider billed by Executing Broker

D - Other, including Other-provided Screen

→38

OrderQty

Int(9)

Y

Order quantity. Must be a positive integer.
Must be the same for both sides.

→962

SideTimeInForce

Char(1)

0=Keep on book
3=Eliminate remaining quantity when RFC instrument state returns to 'Normal'

N

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.

→204

CustomerOrFirm

Int(1)

0=Customer
1=Firm

Y*

The type of business conducted.

→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.

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.

Note: For Request for Cross (“RFC”) order, customers can submit tag 819, tag 1731, and tag 1598 on each buy and sell repeating group. Each acknowledgment and execution report for the buy and the sell orders will contain the corresponding tag values from the correct buy and sell repeating group.

Indicates whether spread differential trade is clearing at execution price (tag 31-LastPx) or alternate clearing price (i.e. previous day’s settlement price).

Note: For Request for Cross (“RFC”) order, customers can submit tag 819, tag 1731, and tag 1598 on each buy and sell repeating group. Each acknowledgment and execution report for the buy and the sell orders will contain the corresponding tag values from the correct buy and sell repeating group.

Indicates if the resulting trade is to be average priced.

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

Note: For Request for Cross (“RFC”) order, customers can submit tag 819, tag 1731, and tag 1598 on each buy and sell repeating group. Each acknowledgment and execution report for the buy and the sell orders will contain the corresponding tag values from the correct buy and sell repeating group.

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.

Note: For Request for Cross (“RFC”) order, customers can submit tag 5149 on each buy and sell repeating group. Each acknowledgment and execution report for the buy and the sell orders will contain the corresponding tag 5149 value from the correct buy and sell repeating group.

→78

NoAllocs

Char(1)

1

N

Always 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)

N

Indicates a give up account number.

Must be used in conjunction with tag 9708-CmtaGiveupCD, tag 9707-GiveupFirm and tag 78-NoAllocs.

End of message.

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.

37

OrderID

String(17)

Y*

CME Globex assigned order identifier; globally unique for each message published.

Note: Tag 37 value sent from client system to CME Globex must exactly match the value CME Globex assigned.

41

OrigClOrdID

String(20)

N

Last accepted ClOrdID in the order chain.

Refer to iLink - CME Globex Identifiers for more information.

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.

60

TransactTime

UTCTimestamp(21)

Y

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.

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.

107

SecurityDesc

String(20)

Y*

Unique Instrument identifier.
Future Example: GEZ8
Option Example: GEZ9 C9375

167

SecurityType

String(6)

FUT=Future

OPT=Option

IRS=Interest Rate Swap

FXSPOT=FX Spot

N

Indicates instrument is future or option.

Note: for options strategy including UDS COMBO or COVERED, send OPT.

For UDS Futures, send FUT.

9717

CorrelationClOrdID

String(20)

Y*

This tag should contain the same value as the tag 11-ClOrdID of the original New Order (tag 35-MsgType-D) message and is used to correlate iLink messages associated with a single order chain.

Refer to iLink - CME Globex Identifiers for more information.

iLink 2 Standard Message Trailer

End of message.

1

Account

String(12)

Y*

Executing account mnemonic as agreed between the broker and clearing member firm.
Note: If this value is changed from the original value submitted in the New Order message, the order will lose priority in the order book.

See Trade Cancellation for additional information.

11

ClOrdID

String(20)

Y

Unique order identifier assigned and maintained by client system.

Client system must maintain uniqueness of this value for the life of the order i.e. throughout the series of cancel/replace requests.

Refer to iLink - CME Globex Identifiers for more information.

37

OrderID

String(17)

Y*

CME Globex assigned order identifier; globally unique for each message published.

Note: Tag 37 value sent from client system to CME Globex must exactly match the value CME Globex assigned.

21

HandInst

Char(1)

1=Automated execution

N