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Execution Report - New message is sent in response to New Order Single as well as activation of stop orders.

Bolded red text indicates this change supports EBS Market. Market.

35=8, 39=0

Tag

Name

Binary Type

Binary Length

Req

Enumeration

Description

9726SeqNumuInt324Y

Sequence number assigned to this message.

The max value is 999999999 which is 1 short of 1 billion.

39001UUIDuInt648Y
Matches Establish.UUID used to establish the connection.
17ExecIDString4040Y

Unique identifier of Execution Report message assigned by exchange. Uniqueness is guaranteed within a single trading day or the life of a multi-day order.

5392SenderIDString20Req20Y

For futures and options markets: represents Operator ID.

For EBS and fixed income markets: represents the Entering Trader.

This value represents the individual or team submitting the message and is subject to registration requirements and character limits as required by Rule 576 and the Advisory below: 

https://www.cmegroup.com/rulebook/files/cme-group-Rule-576.pdf

In FirmSoft and Global Command Center queries for order status and cancellations, this value must be exact.
11CIOrdIDString20Req20Y

Unique identifier for Order as assigned by client system. Uniqueness must be guaranteed within a single trading day.

Firms, particularly those which electronically submit multi-day orders, trade globally, or throughout market close periods, should ensure uniqueness across days.

1505PartyDetailsListReqIDuInt648Y

The unique identifier of the Party Details Definition Request Acknowledgment associated with this message; this is the value submitted on the inbound message.

For pre-registered messages:

  • Unique ID from Party Details Definition Request Acknowledgment message
  • PartyDetailsListRequestID≠0.

For on-demand messages:

  • If not registered beforehand through iLink then Party Details Definition Request  message will be sent along with the business message and will immediately precede it
  • PartyDetailsListRequestID=0.
37OrderIDuInt648Y
Unique identifier for order assigned by the exchange. Uniqueness is guaranteed within a single trading day across all instruments.
44PricePRICE98Y
Price per share or contract.
99StopPxPRICENULL98N
The stop price of a stop limit and stop protect order (Conditionally present if tag 40-OrdType=4).
60TransactTimeuInt648Y
Time the transaction represented by this Execution Report (35=8) occurred. Expressed as nanoseconds since epoch time.
5297SendingTimeEpochuInt648Y
Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.
2422OrderRequestIDuInt648Y

OrderRequestID used to identify a request to enter, modify, or delete an order and echo the value on the Execution Report.

For the unsolicited events (e.g. fills and end of day  eliminations), echo the value on the ExecutionReport representing the last accepted OrderRequestID on the corresponding order.

548CrossIDuInt64NULL8N
Identifier for a Cross order. Present if Execution Report is in response to a Cross order.
961HostCrossIDuInt64NULL8N

Host-assigned entity ID used to reference all components of a Cross: sides + strategy + legs.

The HostCrossID also links components of the Cross order. For example, each individual Execution Report associated with the order will contain HostCrossID to tie them to the original Cross order.

9537LocationString5Req5Y

ISO identifier of the physical location of the individual or team head trader identified by the tag 5392 (SenderID) in the message.

The first two bytes as per ISO 3166-1, identify the country (e.g., JP = Japan, CN = China).

The next three bytes indicate a comma-delimited state or province code (e.g., CA = California, QC = Quebec).

For valid values, refer to ftp.cmegroup.com/fix/coo

Market Regulation requires only the submission of the two first characters of tag 9537-Location for all countries with the exception of Canada. For Canada, the 5 bytes including the province code must be submitted.

Note: this field is optional for EBS Market and eFIX Matching Service instruments.

48SecurityIDInt324Y
Security ID as defined in the market data Security Definition message.
38OrderQtyuInt324Y

Number of shares or contracts ordered.

110MinQtyuInt32NULL4N

Minimum quantity of an order to be executed.

The value of MinQty must be between 1 and the value in tag 38-OrderQty.

If set to 0 or default null value then it means that minimum quantity is n.

1138DisplayQtyuInt32NULL4N

The quantity to be displayed. Required for display quantity orders.

Note: on orders, this value specifies  the qty to be displayed; on Execution Reports this value indicates the currently displayed quantity.

432ExpireDateLocalMktDate2Y

Date of order expiration (last day the order can trade), always expressed in terms of the local market date.

Sent in number of days since Unix epoch.

5904DelayDurationuInt16NULL2N

Not currently being used.

39OrdStatusOrdStatusNew0Y

OrdStatus=0 (New)

Identifies status of order as new.

Constant value.

150ExecTypeExecTypNew0Y

ExecType=0 (New)

Describes the specific Execution Report as new.

Constant value.

40OrdTypeOrderType1Y
  • OrdType=1 (Market order with protection)
  • OrdType=2 (Limit order)
  • OrdType=4 (Stop limit order)
  • OrdType=K (Market limit order)
Order type.
54SideSideReq1Y
  • Side=1 (Buy)
  • Side=2 (Sell)
Side of order.
59TimeInForceTimeInForce1Y
  • TimeInForce=0 (Day)
  • TimeInForce=1 (GTC)
  • TimeInForce=3 (FAK)
  • TimeInForce=4 (FOK)
  • TimeInForce=6 (GTD)
  • TimeInForce=99 (GFS)

Specifies how long the order remains in effect

FOK is supported only for BrokerTec/EBS

GFS is supported for EBS

1028ManualOrderIndicator

ManualOrdIndReq

1Y
  • 0=Automated
  • 1=Manual

Indicates if order was sent manually.

'0' indicates the message was generated by automated trading logic.

iLink messages containing a value other than '0' or '1' 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.

https://www.cmegroup.com/rulebook/files/cme-group-Rule-536-B-Tag1028.pdf

9765PossRetransFlagBooleanFlag1Y
  • 0=False
  • 1=True

Flags message as possible retransmission or duplicate

Indicates if message is an original transmission or duplicate in response to Retransmission Request or possible duplicate

Used when original messages are interleaved with Retransmission responses

Possible duplicate means the same message may have been sent again with different sequence number

9553SplitMsgSplitMsg1N
  • 0=Split Msg Delayed
  • 1=Out of Order Msg Delayed
  • 2=Complete Msg Delayed

Indicates if a message was delayed as a result of:

  • being split among multiple packets (0)
  • TCP re-transmission (1)
  • due to a previously submitted split or out of order message (2).

If absent then the message was not delayed, split, or received out of order.

549CrossTypeuInt8NULL1N
  • CrossType=3

Type of Cross being submitted to a market (if in response to a Cross order).

18ExecInstExecInst1N
  • Bit 0=AON
  • Bit 1=Ony Best
  • Bit 2=Not Held

Instructions for order handling for fixed income markets.

Only Best may be applied to resting and aggressing orders and:

  • Prevents submission of an order if the order’s price is not equal to or better than the best price on the book.
  • Cancels an order from the book if a new order with a better price enters the queue.
  • This order condition permits the order to be alone at the best price level or join other orders at the best price level.

Not Held (applies only to US Repo) eliminates quantity remaining from an FaKi order (tag 59=3) and ensures it will it not be included in a work-up session; however, the order can still trigger a work-up session.

AONs will have a separate book with a separate ISIN. The AON orders that cannot trade immediately can rest in the AON book. They can only trade with AON orders on the other side of the AON book that have the SAME PRICE and SAME QUANTITY.

Applicable only for BrokerTec Markets; should not be used for future and options markets.

5906ExecutionModeExecMode1N
  • A=Aggressive
  • P=Passive

Instruction for whether the order should rest on the book upon entry or match as an aggressor.

A Passive Order will rest in the market without executing unless matched with an Aggressive Order on the other side.

An Aggressive Order will match against any other order on the opposite side.

Applicable for US & EU Repos.

9373LiquidityFlagBooleanNULL1N
  • 0=False
  • 1=True

Indicates if an order was submitted for market making obligation as required for MIFID.

Applicable only for EU BrokerTec and EBS MiFID.

6881ManagedOrderBooleanNULL1N
  • 0=False
  • 1=True

Boolean: flags a managed order.

Applicable only to Repo fixed income markets.

5409ShortSaleTypeShortSaleType1N
  • 0=Long Sell
  • 1=Short Sale With No Exemption (SESH)
  • 2=Short Sale With Exemption (SSEX)
  • 3=Undisclosed Sell (Information not available – UNDI)

Indicates the type of short sale on Sell orders only as required for MiFID.

Should not be used for Buy orders.

Applicable only for EU fixed income markets.

7552DelayToTimeuInt64NULL8N

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 60-TransactTime will represent original received time of in-flight message.

845DiscretionPricePRICENULL98N

The presence of DiscretionPrice on an order indicates that the trader wishes to display one price but will accept trades at another price

Note - DiscretionPrice  must be greater than zero 

Applicable only for EB