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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.

35=8, 39=1,2

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.

1188VolatilityDecimal64NULL9N
Annualized volatility for option model calculations. Only applicable for volatility-quoted option trades.
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.
810UnderlyingPxPRICENULL98N
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.
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) 

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.

811OptionDeltaDecimal32NULL5N
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.
1189TimeToExpirationDecimal32NULL5N
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.
1190RiskFreeRateDecimal32NULL5N
Interest rate. Usually some form of short-term rate.
48SecurityIDInt324Y
Security ID as defined in the market data Security Definition message.
32LastQtyuInt324Y
Quantity bought/sold on this (last) fill.
14CumQtyuInt324Y
Total quantity filled.
1506SideTradeIDuInt324Y
The unique ID assigned to the trade once it is received or matched by the exchange.
75TradeDateLocalMktDate2Y

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

Sent in number of days since Unix epoch.

39OrdStatusOrdStatusTrd1Y
  • OrdStatus=1 (Partially Filled)
  • OrdStatus=2 (Filled)
Identifies status of order as partially filled or completely filled.
150ExecTypeExecTypeTrade0Y

ExecType=F (Trade)

Describes the specific Execution Report (e.g. Cancel) while tag 39-OrdStatus always identifies the current order status (e.g. Partially Filled).

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 spread leg trade.
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

64SettlDateLocalMktDate2N
Specific date of trade settlement for the Spot leg
1056CalculatedCcyLastQtyDecimal64NULL9N

Total amount traded (in notional) in counter currency for the Spot leg

381GrossTradeAmtDecimal64NULL9N
Total amount traded (in notional) in base currency for the Spot leg
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 (tag 1362) > 0. Append FillExecID with ExecID to derive unique identifier for each fill reason or allocation.
→1622FillYeildTypeuInt81Y

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.
1795NoOrderEventsgroupSize3N

Number of fills which comprise fill quantity.   

The maximum number of fills is configured 100.

Applicable for BrokerTec markets only.

→1799OrderEventPxPRICE98Y
Refers to the fill price; same as tag 31-LastPx
→1802OrderEventTextString55N
Will not be present for BrokerTec US; Will be populated with the firm ID of the opposite order for BrokerTec EU bilateral trades
→1797OrderEventExecIDuInt324Y
This is a unique ID which ties together a specific fill between two orders; It will be unique per instrument per day
→1800OrderEventQTYuInt324Y
Refers to the specific fill quantity between this order and the opposite order
→1796OrderEventTypeOrderEventTye1Y
  • 4=Partially Filled
  • 5=Filled
The type of event affecting an order
→1798OrderEventReasonuInt81Y
Action that caused the event to occur. 100=Binary Trade Reporting