This table presents the front-end audit trail specifications required to represent data exchanged between a trading system and CME Globex in your front-end audit trail. This data must be captured in .csv. 

The order of the columns must be followed in the file submission.

Additional columns may be added at the end of the file for the internal use for the firm.

Specifications representing each message type supported on CME Globex are available in this section. For further description of data elements to capture on Tier 1, please refer to the iLink 3 message specification.

Blank table cell = Not Applicable

PositionColumnsDescriptionAssociated Tag on iLink
1Sending TimestampsTime at which the message leaves the customer trading system towards the CME Globex platform.

The time stamp must be in UTC Timestamp format (YYYYMMDD-HH:MM:SS.sss) and must have at least millisecond precision.
Tag 5297 - SendingTime
2Message DirectionExplicit labeling of the direction of the captured message.

"TO CME" : for messages leaving Tier 1 component towards the CME Globex platform

"FROM CME" : for messages received by Tier 1 component from the CME Globex platform
3Operator IDIdentifier of the operator, who submitted the message or is responsible for its submission.Tag 5392 - SenderID
4Session IDIdentifier of the iLink Order Entry session.
5Manual Order IndicatorIdentifies if the captured message was submitted manually or automatically.Tag 1028 - ManualOrderIndictor
6Message TypeIdentifies the type of the message captured.N/A
7InstrumentIdentifier of the instrument/contract.Tag 48 - SecurityID
8Order Flow IDIdentifier linking all inbound and outbound messages associated with a New Order Messages.
(This ID must be generated as part of the audit trail, it is not part of the data captured).
(This ID is not required for Mass Quote related messages.)
9CME Globex Order IDCME Globex-assigned code uniquely identifying an order.

This code does not change regardless of the changes applied to it.
Tag 37 - OrderID
10Client Order IDCustomer-generated code uniquely identifying an order.Tag 11 - ClOrdID
11Order Request IDUse OrderRequestID to identify a request to enter, modify or delete an order and echo the value on the ExecutionReport representing the responseTag 2422 - OrderRequestID
12Buy/Sell IndicatorSide of the order.Tag 54 - Side
13QuantityQuantity of the order.Tag 38 - OrderQty
14Limit PriceLimit price of the order.Tag 44 - Price
15Stop PriceStop (trigger) price of the order.Tag 99 - StopPx
16Order TypeType of the order: limit, market with protection, market-limit, stop with protection or stop-limit.Tag 40 - OrdType
17Order QualifierQualifier of the order: day, gtc, gtd, fakTag 59 - TimeInForce
18IFM FlagModification flag identifying if in-flight-mitigation functionality is activated or not.Tag 9768 - OFMOverride
19Display QuantityDisplay quantity of an order to be shown in the order book at any given time.Tag 1138 - DisplayQty
20Minimum QuantityMinimum quantity of an order to be executed.Tag 110 - MinQty
21Country of OriginLocation of the operator.Tag 9537 - Location
22Fill PricePrice at which the order has been executed.Tag 31 - LastPx
23Fill QuantityQuantity at which the order has been executed.Tag 32 - LastQty
24Cumulative QuantityCumulated fill quantity for the order.Tag 14 - CumQty
25Remaining QuantityRemaining open quantity on the order book for the order.Tag 151 - LeavesQty
26Aggressor FlagFlag indicating whether the order was the aggressor in the match.Tag 1057 - AggressorIndicator
27Source of CancellationCME Globex-generated code identifying the source of a cancel when triggered by CME Group.Tag 378 - ExecRestatementReason
28Reject ReasonCode or text identifying the reason why an order was rejected.

Refer to the child page specifications of the reject message to determine the tag content to include in this field.

29CME Globex Message IDExecution Report identifier.Tag 1506 - SideTradeID
30Cross IDCustomer-generated code uniquely identifying an order Cross (RFC).Tag 548 - CrossID
31Quote Request IDCustomer-generated code uniquely identifying a Request for Quote (RFQ).Tag 131 - QuoteReqID
32Message Quote IDCustomer-generated code uniquely identifying a Mass Quote message.Tag 117 - QuoteID
33Quote Set IDCustomer-generated code uniquely identifying a Quote Set in a Mass Quote message.Tag 302 - QuoteSetID
34Quote Entry IDCustomer-generated code uniquely identifying a Quote in a Mass Quote message.Tag 299 - QuoteEntryID
35Bid PriceBid price of quote.Tag 132 - BidPx
36Bid SizeBid quantity of quote.Tag 134 - BidSize
37Offer PriceOffer price of quote.Tag 133 - OfferPx
38Offer SizeOffer quantity of quote.Tag 135 - OfferSize
39Processed EntriesNumber of quotes/orders successfully acknowledged or cancelled.Tag 9772 - NoProcessedEntries/Tag 533 - TotalAffectedOrders 
40Party Details List Request IDRefers to the ID of the related PartyDetailsDefinitionRequest message which will logically be tied to this message.Tag 1505 - PartyDetailsListRequestID
41ListUpdateActionIndicates if all of the information sent in this message with a unique new PartyDetailsListReqID is a new addition or deletion of existing information associated with an existing PartyDetailsListReqID.Tag 1324 - ListUpdateAction
42Self-Matching Prevention IDIdentifies an order or trade that should not be matched to an opposite order or trade if both buy and sell orders for the same asset contain the same SelfMatchPreventionID (2362) and submitted by the same firm.Tag 2362 - SelfMatchPreventionID
43Self-Match Prevention InstrUsed to act upon the outcome when a self-match is detected and an order is prevented from trading against another order with the same SelfMatchPreventionID (Tag 2362).Tag 8000 - SelfMatchPreventionInstruction
44Customer Type IndicatorCapacity of customer placing the orderTag 582 - CustOrderCapacity
45AvgPxGroupIDUsed by submitting firm to group trades being allocated into an average price group.
The trades in average price group will be used to calculate an average price for the group.
Tag 1731 - AvgPxGroupID
46Average Px IndAverage pricing indicator.Tag 819 - AvgPxInd
47CmtaGiveUpCDIndicates if the order is a give-up or SGX offsetTag 9708 - CmtaGiveUpCD
48OriginDesignates the account type to be used for the order when submitted to clearingTag 1816 - ClearingAccountType
49Clearing Trade Price TypeIndicates to recipient whether trade is clearing at execution prices LastPx (tag 31) or alternate clearing price (prior day settlement price)Tag 1598 - ClearingTradePriceType
50 Customer Handling InstrCodes that apply special information that the Broker / Dealer needs to report, as specified by the customer. Defines source of the order.Tag 1031 - CustOrderHandlingInst
51Executing Firm IDIdentifier of the Executing Trading Firm.PartyRole (1 - Executing Firm)
52Account NumberIdentifier of the Account Number.PartyRole (24 - Customer Account)
53Take Up FirmIdentifier of the Give Up Firm.PartyRole (96 - Take up firm)
54Take up AccountIdentifier of the Give Up Account Number.PartyRole (1000 - Take up account)

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