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The Execution Report - Trade Addendum Outright message notifies client system of trade cancellation or correction for outrights.

35=8, 39=H,G

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 as 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.

31

LastPx

PRICE9

8

Y
Price of this (last) fill.
37OrderIDuInt648Y

Unique identifier for order as assigned by the exchange. Uniqueness is guaranteed within a single trading day across all instruments.

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.
527SecExecIDuInt648Y

Unique identifier linking spread summary fill notice with leg fill notice and trade cancel messages.

To uniquely identify each fill, Client System can concatenate: OrderID (37) + TradeDate (75) + SecExecID (527) 

9703OrigSecondaryExecutionIDuInt64NULL8N
Unique identifier of the corrected fill.
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.
32LastQtyuInt324Y
Quantity bought/sold on this (last) fill.
1506SideTradeIDuInt324Y
The unique ID assigned to the trade once it is received or matched by the exchange.
1507OrigSideTradeIDuInt32NULL4N
Refers to the unique ID assigned to the corrected trade.
75TradeDateLocalMktDate2Y

Indicates date of trading day (expressed in local time at place of trade).

Sent in number of days since Unix epoch.

39OrdStatusOrdStatusTrdCxl1Y
  • OrdStatus=H (Trade Cancel)
  • OrdStatus=G (Trade Correction)

Identifies status of order as trade cancellation or correction.

150ExecTypeExecTypTrdCxl1Y
  • ExecType=H (Trade Cancel)
  • ExecType=G (Trade Correction)

Describes the specific Execution Report as trade cancellation or correction.

54SideSideReq1Y
  • Side=1 (Buy)
  • Side=2 (Sell)
Order side.
1028ManualOrderIndicatorManualOrdIndReq1Y
  • 0=Automated

  • 1=Manual

Indicates if the message was initially received 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

18ExecInstExecInst1N
  • Bit 0=AON
  • Bit 1=Only 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.

1362NoFillsgroupSize3Y

Specifies the number of fill reasons included in this Execution Report.

Maximum number of fill reasons is 6.

→1364FillPxPRICE98Y
Price of this fill reason or allocation. Required if NoFills(1362) > 0. Same as LastPx(31)
→1365FillQtyuInt324Y
Quantity bought/sold for this fill reason
→1363FillExecIDString22Y
Used as an identifier for each fill reason or allocation reported in single Execution Report. Required if NoFills(1362) > 0. Append FillExecID with ExecID to derive unique identifier for each fill reason or allocation
→1622FillYieldTypeuInt81Y

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


Enumeration of the Fill Reason field using Integer. This identifies the type of match algorithm
→1800OrderEventQtyuInt324Y
Refers to the specific fill quantity between this order and the opposite order.
→1796OrderEventTypeTradeAddendum1Y
  • 100=Trade Cancel
  • 101=Trade Correction
  • 4=Partially Filled
  • 5=Filled
The type of event affecting an order.
→1798OrderEventReasonuInt81Y
  • 100=Binary Trade Reporting
Action that caused the event to occur.
→6555OriginalOrderEventExecIDuInt32NULL$N

Contains the previous tag 1797-OrderEventExecID value of the trade being adjusted or busted.

Will not be present on the following message types

  • Execution Report Trade Outright
  • Execution Report Trade Spread
  • Execution Report Trade Spread Leg