The Execution Report - Trade Spread Leg message is sent upon fill or partial fill of client order:
- Fill Execution Report only for spread leg instruments
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.
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.
|1188||Volatility||Decimal64NULL||9||N||Annualized volatility for option model calculations. Only applicable for volatility-quoted option trades.|
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.|
|810||UnderlyingPx||PRICENULL9||8||N||Underlying price associated with a derivative instrument. Price for the future used in calculating the conversion of vol to premium for the option. Only applicable for volatility-quoted option trades.|
|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 nanoseconds 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)
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.
|811||OptionDelta||Decimal32NULL||5||N||The rate of change in the price of a derivative with respect to the movement in the price of the underlying instrument(s) upon which the derivative instrument price is based. Calculated delta, expressed as a decimal between -1 and 1. Only applicable for volatility-quoted option trades.|
|1189||TimeToExpiration||Decimal32NULL||5||N||Time to expiration in years calculated as the number of days remaining to expiration divided by 365 days per year. This value is expressed as a decimal portion of a year, typically the days to expiration divided by the days in a year. Currently the year assumption is 365. Only applicable for volatility-quoted option trades.|
|1190||RiskFreeRate||Decimal32NULL||5||N||Interest rate. Usually some form of short-term rate.|
|48||SecurityID||Int32||4||Y||Security ID as defined in the market data Security Definition message.|
|32||LastQty||uInt32||4||Y||Quantity bought/sold on this (last) fill.|
|14||CumQty||uInt32||4||Y||Total quantity filled.|
|1506||SideTradeID||uInt32||4||Y||The unique ID assigned to the trade once it is received or matched by the exchange.|
Indicates date of trading day (expressed in local time at place of trade).
Sent in number of days since Unix epoch.
|39||OrdStatus||OrdStatusTrd||1||Y||Identifies status of order as partially filled or completely filled.|
Describes the specific Execution Report (e.g. Cancel) while tag 39-OrdStatus always identifies the current order status (e.g. Partially Filled).
|54||Side||SideReq||1||Y||Side of spread leg trade.|
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
|64||SettlDate||LocalMktDate||2||N||Specific date of trade settlement for the Spot leg|
Total amount traded (in notional) in counter currency for the Spot leg
|381||GrossTradeAmt||Decimal64NULL||9||N||Total amount traded (in notional) in base currency for the Spot leg|
Specifies the number of fill reasons included in this Execution Report.
Maximum number of fill reasons is 6.
|→1364||FillPx||PRICE9||8||Y||Price of this fill reason or allocation. Required if NoFills (1362) > 0. Same as LastPx (31)|
|→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 fills which comprise fill quantity.
The maximum number of fills is configured 100.
Applicable for BrokerTec markets only.
|→1799||OrderEventPx||PRICE9||8||Y||Refers to the fill price; same as tag 31-LastPx|
|→1802||OrderEventText||String5||5||N||Will not be 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||OrderEventTye||1||Y||The type of event affecting an order|
|→1798||OrderEventReason||uInt8||1||Y||Action that caused the event to occur. 100=Binary Trade Reporting|