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This topic describes logic for reconciling the order entry iLink 3 trade messages to the corresponding CPT FIX trade capture reports and CPT TOF deal tickets  

To link each trade execution across CME Globex and through EBS Central Post Trade, customers must align the value in iLink 3 tag 1797-OrderEventExecID with the value in CPT FIX tag 1003-TradeID / CPT TOF User Defined Field DEAL_REF_NUM. 

iLink 3 tag 1797-OrderEventExecID, which is found in the tag 1795-NoOrderEvents repeating group, is equivalent to the unique Deal ID in Ai. iLink 3 can report multiple trades in a single Execution Report message; it is critical to make the change to use tag 1797-OrderEventExecID to reconcile with EBS CPT.

  • On EBS CPT FIX, tag 1003-TradeID is required for uniquely identifying a trade back to iLink 3.
  • On EBS CPT TOF, FID 561-566 User Defined Field DEAL_REF_NUM is required for uniquely identifying a trade back to iLink 3.

For EBS customers, the unique Deal ID in Ai is common to maker and taker and other parties to the trade. This field is the value that the back office/Prime Broker will recognize as the trade ID

The following examples show how to reconcile the Execution Report - Trade tag 1795-NoOrderEvents repeating groups with the corresponding CPT FIX trade capture reports.  

Example 1 - Incoming Aggressor Order Matches with Single Resting Order

iLink-CPT-Reconciliation-EBS-001

Aggressor Buy Order for 1M @ 0.7419 from Trader X

Resting Sell Orders for 1M @ 0.7419 from Trader A


When the incoming aggressor order matches with a single resting order:

Trader X receives: Qty traded=1M

  • One iLink 3 Execution Report – Trade message
  • One CPT FIX message
iLink 3 Execution Report - Trade (Tag 37-OrderID)

iLink 3 Execution Report - Trade (Tag 1797-OrderEventExecID)

CPT FIX 1

Price Filled

QTY Filled

Tag 37-OrderIDTag 1003-TradeID

36123228635

12

36123228635

12

0.7419

1M

Trader A receives: Qty traded=1M

  • One iLink 3 Execution Report – Trade message
  • One CPT FIX message
iLink 3 Execution Report - Trade (Tag 37-OrderID)

iLink 3 Execution Report - Trade (Tag 1797- OrderEventExecID)

CPT FIX 1

Price Filled

QTY Filled

Tag 37-OrderIDTag 1003-TradeID

36123228636

12

36123228636

12

0.7419

1M

Example 2 - Incoming Aggressor Order Matches with Multiple Resting Orders at Single Price Level

iLink-CPT-Reconciliation-EBS-002

Aggressor Buy Order for 5M @ 0.7419 from Trader X

Resting Sell Orders:

Order_1 1m@0.7419  from Trader A

Order_2 1m@0.7419  from Trader B

Order_3 1m@0.7419  from Trader C

Order_4 1m@0.7419  from Trader D

Order_5 1m@0.7419  from Trader E


When the incoming aggressor order matches with multiple resting orders at a single price level (Limit price only):

Trader X receives: Qty traded=5M

  • One iLink 3 Execution Report – Trade message
  • Multiple CPT FIX messages with different Trade IDs
    • Each of these trades will have a unique value of tag 1003-TradeIDNumber which corresponds to iLink 3 tag1797-OrderEventExecutionID. 
iLink 3 Execution Report - Trade (Tag 37-OrderID)

iLink 3 Execution Report - Trade

(Tag 1797- OrderEventExecID)

CPT FIX 1

CPT FIX 2

CPT FIX 3

CPT FIX 4

CPT FIX 5

Price Filled

QTY Filled

tag 37-OrderIDtag 1003- TradeIDtag 37-OrderIDtag 1003- TradeIDtag 37-OrderIDtag 1003- TradeIDtag 37-OrderIDtag 1003- TradeIDtag 37-OrderIDtag 1003- TradeID



36124323705




12

36124323705

12







0.7419

1M

13



36124323705

13





0.7419

1M

14





36124323705

14



0.7419

1M

15







36124323705

15

0.7419

1M

16









36124323705

16

0.7419

1M

 

Trader A receives: Qty traded=1M

  • One iLink 3 Execution Report – Trade message
  • One CPT FIX message

iLink 3 Execution Report - Trade (tag 37- OrderID)

iLink 3 Execution Report - Trade

(Tag 1797- OrderEventExecID)

CPT FIX

Price Filled

QTY Filled

tag 37-OrderID

(tag 1003- TradeID)

36124323706

12

36124323706

12

0.7419

1M

Trader B receives: Qty traded=1M

  • One iLink 3 Execution Report – Trade message
  • One CPT FIX message

iLink 3 Execution Report - Trade (tag 37- OrderID)

iLink 3 Execution Report - Trade

(Tag 1797- OrderEventExecID)

CPT FIX

Price Filled

QTY Filled

tag 37-OrderID

(tag 1003- TradeID)

36124323707

13

36124323707

13

0.7419

1M

Trader C receives: Qty traded=1M

  • One iLink 3 Execution Report – Trade message
  • One CPT FIX message

iLink 3 Execution Report - Trade (tag 37- OrderID)

iLink 3 Execution Report - Trade (Tag 1797- OrderEventExecID)

CPT FIX

Price Filled

QTY Filled

tag 37-OrderID

(tag 1003- TradeID)

36124323708

14

36124323708

14

0.7419

1M

Trader D receives: Qty traded=1M

  • One iLink 3 Execution Report – Trade message
  • One CPT message

iLink 3 Execution Report - Trade (tag 37- OrderID)

iLink 3 Execution Report - Trade

(Tag 1797- OrderEventExecID)

CPT FIX

Price Filled

QTY Filled

tag 37-OrderID

(tag 1003- TradeID)

36124323709

15

36124323709

15

0.7419

1M

Trader E receives: Qty traded=1M

  • One iLink 3 Execution Report – Trade message
  • One CPT FIX message

iLink 3 Execution Report - Trade (tag 37- OrderID)

iLink 3 Execution Report - Trade

(Tag 1797- OrderEventExecID)

CPT FIX

Price Filled

QTY Filled

tag 37-OrderID

(tag 1003- TradeID)

36124323710

16

36124323710

16

0.7419

1M

Example 3 - Incoming Aggressor Order Matches with Multiple Resting Orders at Two Different Price Levels - Limit Price Only

iLink-CPT-Reconciliation-EBS-003

Aggressor Buy Order for 5m @ 0.7420 from Trader X

Resting Sell Orders:

Order_1 1m@0.7419  from Trader A

Order_2 1m@0.7419  from Trader B

Order_3 1m@0.7420  from Trader C

Order_4 1m@0.7420  from Trader D

Order_5 1m@0.7420  from Trader E


When the incoming aggressor order matches with multiple resting orders at two different price levels (Limit price only):

Trader X receives:

  • Two iLink 3 Execution Report – Trade messages
    • Fill Report 0.7419 @ 2M
    • Fill Report 0.7420 @ 3M
  • Multiple CPT FIX messages with different Trade IDs
    • Each of these trades will have a unique value of tag 1003-TradeIDNumber which corresponds to iLink 3 tag1797-OrderEventExecutionID.  
iLink 3 Execution Report - Trade (tag 37- OrderID)

iLink 3 Execution Report - Trade 1

(Tag 1797- OrderEventExecID)

iLink 3 Execution Report - Trade 2

(Tag 1797- OrderEventExecID)

CPT FIX 1

CPT FIX 2

CPT FIX 3

CPT FIX 4

CPT FIX 5

Price Filled

QTY Filled

tag 37-OrderIDtag 1003- TradeIDtag 37-OrderIDtag 1003- TradeIDtag 37-OrderIDtag 1003- TradeIDtag 37-OrderIDtag 1003- TradeIDtag 37-OrderIDtag 1003- TradeID



36124323705




12


3612432370512







0.7419

1M

13




3612432370513





0.7419

1M


14



3612432370514



0.7420

1M


15





3612432370515

0.7420

1M


16







3612432370516

0.7420

1M

Trader A receives: Qty traded=1M

  • One iLink 3 Execution Report – Trade message
  • One CPT FIX message

iLink 3 Execution Report - Trade (tag 37- OrderID)

iLink 3 Execution Report - Trade (Tag 1797- OrderEventExecID)

CPT FIX

Price Filled

QTY Filled

tag 37-OrderID

(tag 1003- TradeID)

36124323706

12

36124323706

12

0.7419

1M


Trader B receives: Qty traded=1M

  • One iLink 3 Execution Report – Trade message
  • One CPT FIX message

iLink 3 Execution Report - Trade (tag 37- OrderID)

iLink 3 Execution Report - Trade (Tag 1797- OrderEventExecID)

CPT FIX

Price Filled

QTY Filled

tag 37-OrderID

(tag 1003- TradeID)

36124323707

13

36124323707

13

0.7419

1M

Trader C receives: Qty traded=1M

  • One iLink 3 Execution Report – Trade message
  • One CPT FIX message

iLink 3 Execution Report - Trade (tag 37- OrderID)

iLink 3 Execution Report - Trade

(Tag 1797- OrderEventExecID)

CPT FIX

Price Filled

QTY Filled

tag 37-OrderID

(tag 1003- TradeID)

36124323708

14

36124323708

14

0.7420

1M


Trader D receives: Qty traded=1M

  • One iLink 3 Execution Report – Trade message
  • One CPT FIX message

iLink 3 Execution Report - Trade (tag 37- OrderID)

iLink 3 Execution Report - Trade

(Tag 1797- OrderEventExecID)

CPT FIX

Price Filled

QTY Filled

tag 37-OrderID

(tag 1003- TradeID)

36124323709

15

36124323709

15

0.7420

1M

 

Trader E receives: Qty traded=1M

  • One iLink 3 Execution Report – Trade message
  • One CPT FIX message

iLink 3 Execution Report - Trade (tag 37- OrderID)

iLink 3 Execution Report - Trade

(Tag 1797- OrderEventExecID)

CPT FIX

Price Filled

QTY Filled

tag 37-OrderID

(tag 1003- TradeID)

36124323710

16

36124323710

16

0.7420

1M

Example 4 - Incoming Aggressor Order Matches with Multiple Resting Orders at Single Price Level with Some Resting Orders Having Price Discretion

iLink-CPT-Reconciliation-EBS-004


Aggressor Buy Order for 25m @ 0.7419 from Trader X

Resting Sell Orders @0.7420:

Order_1 1m@0.7420 Trader_A Discretionary Price to 0.7418

Order_2 2m@0.7420 Trader_B  Discretionary Price to 0.7418

Order_3 3m@0.7420 Trader_A

Order_4 1m@0.7420 Trader_B Discretionary Price to 0.7418

Order_5 1m@0.7420 Trader_A Discretionary Price to 0.7418

Order_6 2m@0.7420 Trader_A Discretionary Price to 0.7418

Order_7 1m@0.7420 Trader_C Discretionary Price to 0.7418

Order_8 1m@0.7420 Trader_A

Order_9 2m@0.7420 Trader_B  Discretionary Price to 0.7419

Order_10 3m@0.7420 Trader_A Discretionary Price to 0.7419

Order_11 1m@0.7420 Trader_B Discretionary Price to 0.7419

Order_12 1m@0.7420 Trader_A Discretionary Price to 0.7419

Order_13 2m@0.7420 Trader_A Discretionary Price to 0.7419

Order_14  1m@0.7420 Trader_C Discretionary Price to 0.7419


When the incoming aggressor order matches with multiple resting orders at a single price level and some of the resting orders have Price Discretion:

Trader X receives: Qty traded=18M@0.7419  with remaining Qty 7M@0.7419 

  • One iLink 3 Execution Report – Trade message with tag 1795-NoOrderEvents =12
  • Multiple CPT FIX messages with different Trade IDs
    • Each of these trades will have a unique value of tag 1003-TradeIDNumber which corresponds to iLink 3 tag1797-OrderEventExecutionID
iLink 3 Execution Report - Trade (tag 37- OrderID)

iLink 3 Execution Report - Trade

(Tag 1797- OrderEventExecID)

CPT FIX 1

CPT FIX 2

CPT FIX 3

CPT FIX 4

CPT FIX 5

CPT FIX 6CPT FIX 7CPT FIX 8CPT FIX 9CPT FIX 10CPT FIX 11CPT FIX 12

QTY Filled

tag 37-OrderIDtag 1003- TradeIDtag 37-OrderIDtag 1003- TradeIDtag 37-OrderIDtag 1003- TradeIDtag 37-OrderIDtag 1003- TradeIDtag 37-OrderIDtag 1003- TradeIDtag 37-OrderIDtag 1003- TradeIDtag 37-OrderIDtag 1003- TradeIDtag 37-OrderIDtag 1003- TradeIDtag 37-OrderIDtag 1003- TradeIDtag 37-OrderIDtag 1003- TradeIDtag 37-OrderIDtag 1003- TradeIDtag 37-OrderIDtag 1003- TradeID







36123228635



1361232286351





















1M

2

361232286352



















2M

3





361232286353

















1M

4





361232286354















1M

5







361232286355













2M

6









361232286356











1M
7











361232286357









2M
8













361232286358







3M
9















361232286359





1M
10

















3612322863510



1M
11



















3612322863511

2M
12





















36123228635121M

Trader A receives: Qty traded=10M

  • Six iLink 3 Execution Report – Trade messages
  • Six CPT messages

iLink-CPT-Reconciliation-EBS-005



iLink 3 Execution Report - Trade (tag 37- OrderID)

iLink 3 Execution Report - Trade 1

(Tag 1797- OrderEventExecID)

CPT FIX 1

QTY Filled

tag 37-OrderIDtag 1003- TradeID

36123228636

1361232286361

1M

iLink 3 Execution Report - Trade (tag 37- OrderID)

iLink 3 Execution Report - Trade 1

(Tag 1797- OrderEventExecID)

CPT FIX 1

QTY Filled

tag 37-OrderIDtag 1003- TradeID

36123228639

4361232286394

1M

iLink 3 Execution Report - Trade (tag 37- OrderID)

iLink 3 Execution Report - Trade 1

(Tag 1797- OrderEventExecID)

CPT FIX 1

QTY Filled

tag 37-OrderIDtag 1003- TradeID

36123228640

5361232286405

2M

iLink 3 Execution Report - Trade (tag 37- OrderID)

iLink 3 Execution Report - Trade 1

(Tag 1797- OrderEventExecID)

CPT FIX 1

QTY Filled

tag 37-OrderIDtag 1003- TradeID

36123228643

8361232286438

3M

iLink 3 Execution Report - Trade (tag 37- OrderID)

iLink 3 Execution Report - Trade 1

(Tag 1797- OrderEventExecID)

CPT FIX 1

QTY Filled

tag 37-OrderIDtag 1003- TradeID

36123228645

103612322864510

1M

iLink 3 Execution Report - Trade (tag 37- OrderID)

iLink 3 Execution Report - Trade 1

(Tag 1797- OrderEventExecID)

CPT FIX 1

QTY Filled

tag 37-OrderIDtag 1003- TradeID

36123228646

113612322864611

2M


Trader B receives: Qty traded=6M

  • Four iLink 3 Execution Report – Trade messages
  • Four CPT FIX messages

iLink-CPT-Reconciliation-EBS-007


iLink 3 Execution Report - Trade (tag 37- OrderID)

iLink 3 Execution Report - Trade 1

(Tag 1797- OrderEventExecID)

CPT FIX 1

QTY Filled

tag 37-OrderIDtag 1003- TradeID

36123228637


2361232286372

2M

iLink 3 Execution Report - Trade (tag 37- OrderID)

iLink 3 Execution Report - Trade 1

(Tag 1797- OrderEventExecID)

CPT FIX 1

QTY Filled

tag 37-OrderIDtag 1003- TradeID

36123228638




3

36123228638

3

1M

iLink 3 Execution Report - Trade (tag 37- OrderID)

iLink 3 Execution Report - Trade 1

(Tag 1797- OrderEventExecID)

CPT FIX 1

QTY Filled

tag 37-OrderIDtag 1003- TradeID

36123228642


7361232286427

2M

iLink 3 Execution Report - Trade (tag 37- OrderID)

iLink 3 Execution Report - Trade 1

(Tag 1797- OrderEventExecID)

CPT FIX 1

QTY Filled

tag 37-OrderIDtag 1003- TradeID

36123228644


9361232286449

1M

Trader C receives: Qty traded=2M

  • Two iLink 3 Execution Report – Trade messages
  • Two CPT FIX messages

iLink-CPT-Reconciliation-EBS-008

iLink 3 Execution Report - Trade (tag 37- OrderID)

iLink 3 Execution Report - Trade 1

(Tag 1797- OrderEventExecID)

CPT FIX 1

QTY Filled

tag 37-OrderIDtag 1003- TradeID

36123228641

6361232286416

1M

iLink 3 Execution Report - Trade (tag 37- OrderID)

iLink 3 Execution Report - Trade 1

(Tag 1797- OrderEventExecID)

CPT FIX 1

QTY Filled

tag 37-OrderIDtag 1003- TradeID

36123228647

123612322864712

1M


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