The Execution Report - Trade Addendum Spread message notifies client system of trade cancellation or correction for spreads.
Bolded red text indicates this change supports EBS Market.
Sequence number assigned to this message.
The max value is 999999999 which is 1 short of 1 billion.
|39001||UUID||uInt64||8||Y||Matches Establish.UUID used to establish the connection.|
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.
For futures and options markets: represents Operator ID.
For EBS and fixed income markets: represents the Entering Trader. For EBS this value must be 3 characters.
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:
In FirmSoft and Global Command Center queries for order status and cancellations, this value must be exact.
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.
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:
For on-demand messages:
|Y||Price of this (last) fill.|
|37||OrderID||uInt64||8||Y||Unique identifier for order as assigned by the exchange. Uniqueness is guaranteed within a single trading day across all instruments.|
|60||TransactTime||uInt64||8||Y||Time the transaction represented by this Execution Report (35=8) occurred. Expressed as nanoseconds since epoch time.|
|5297||SendingTimeEpoch||uInt64||8||Y||Time when the message is sent. 64-bit integer expressing the number of nano seconds since midnight January 1, 1970.|
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)
|9703||OrigSecondaryExecutionID||uInt64NULL||8||N||Unique identifier of the corrected fill.|
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.
|48||SecurityID||Int32||4||Y||Security ID as defined in the market data Security Definition message.|
|37711||MDTradeEntryID||uInt32||4||Y||Market Data Trade Entry ID. This identifier is assigned to all trades that take place for an instrument at a particular price level.|
|32||LastQty||uInt32||4||Y||Quantity bought/sold on this (last) fill.|
|1506||SideTradeID||uInt32||4||Y||The unique ID assigned to the trade once it is received or matched by the exchange.|
Refers back to the unique ID assigned to the corrected trade.
Indicates date of trading day (expressed in local time at place of trade).
Sent in number of days since Unix epoch.
Identifies status of order as trade cancellation or correction.
Describes the specific Execution Report as trade cancellation or correction.
|54||Side||SideReq||1||Y||Side of order.|
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.
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
Indicates total number of leg fills for the spread.
Instructions for order handling for fixed income markets.
Only Best may be applied to resting and aggressing orders and:
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.
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.
Indicates if an order was submitted for market making obligation as required for MIFID.
Applicable only for EU BrokerTecParty Details List RequestID.
Boolean: flags a managed order.
Applicable only to Repo fixed income markets.
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.
The Short-Selling Field is only required from Participants when BrokerTec EU has a regulatory obligation (pursuant to Article 26(5) of MiFIR) to conduct transaction reporting on behalf of the Participant. This obligation only applies to BrokerTec EU when the relevant participant is exempt from MiFIR (typically non-EEA (European Economic Area) firms, corporate entities or certain asset managers). Please reach out to TradingVenueCompliance@cmegroup.com for guidance.
Specifies the number of fill reasons included in this Execution Report.
Specifies the number of fill reasons 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.
|→1364||FillPx||PRICE9||8||Y||Price of this fill reason or allocation. Required if NoFills (tag 1362) > 0. Same as tag 31-LastPx.|
|→1365||FillQty||uInt32||4||Y||Quantity bought/sold for this fill reason.|
|→1363||FillExecID||String2||2||Y||Used as an identifier for each fill reason or allocation reported in single Execution Report. Required if NoFills (tag 1362) > 0. Append FillExecID with ExecID to derive unique identifier for each fill reason or allocation.|
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.|
Number of leg executions. Set to '0'.
|→1893||LegExecID||uInt64||8||Y||The tag 17-ExecID value corresponding to a trade leg.|
|→637||LegLastPx||PRICE9||8||Y||Execution price assigned to a leg of a multileg instrument|
|→1901||LegExecRefID||uInt64NULL||8||N||The original tag ExecID value corresponding to corrected trade leg.|
|→1894||LegTradeID||uInt32||4||Y||The TradeID value corresponding to a trade leg|
|→39023||LegTradeRefID||uInt32NULL||4||N||Refers to the original LegTradeID of the leg trade being corrected|
|→1418||LegLastQty||uInt32||4||Y||Fill quantity for the leg instrument.|
The side of this individual leg of a multileg security.
Number of fills which comprise fill quantity.
The maximum number of fills is configured 100.
Applicable for BrokerTec markets only.
For Trade Cancel, refers to price of the canceled trade.
For Trade Correction, refers to the new fill price.
|→1802||OrderEventText||String5||5||N||Not present for BrokerTec US; will be populated with the firm ID of the opposite order for BrokerTec EU bilateral trades.|
|→1797||OrderEventExecID||uInt32||4||Y||This is a unique ID which ties together a specific fill between two orders; it will be unique per instrument per day.|
|→1800||OrderEventQty||uInt32||4||Y||Refers to the specific fill quantity between this order and the opposite order.|
|→1796||OrderEventType||TradeAddendum||1||Y||The type of event affecting an order.|
|→1798||OrderEventReason||uInt8||1||Y||Action that caused the event to occur.|
|→6555||OriginalOrderEventExecID||uInt32NULL||$||N||Contains the previous tag 1797-OrderEventExecID value of the trade being adjusted or busted.|