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This message type supports EBS Market.

Tag

Field Name

Binary Type

Binary Length

Required

Value

Description

9726SeqNumuInt324Y
Sequence number of this message
39001UUIDuInt648Y
Matches Establish.UUID used to establish the connection
17ExecIDString4040Y

Unique identifier of execution message as assigned by exchange. Uniqueness will be guaranteed within a single trading day or the life of a multi-day order

5392SenderIDString20Req20Y

For futures and options markets:

Operator ID

Should be unique per Firm ID

Assigned value used to identify specific message originator

Represents last individual or team in charge of the system which modifies the order before submission to the Globex platform, or if not modified from initiator (party role=118), last individual or team in charge of the system, which submit the order to the Globex platform

For fixed income markets: represents the Entering Trader

11CIOrdIDString20Req20Y
Unique identifier for Order as assigned by the buy-side (institution, broker, intermediary etc.). 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, for example by embedding a date within the ClOrdID field
1505PartyDetailsListReqIDuInt648Y

The unique identifier of the PartyDetailsDefinitionRequestAck attached to this message; pancake flip of what was submitted on inbound message

For short messages:

  • PartyDetailsDefinitionRequestAck message would have been sent beforehand and that unique ID should be provided here
  • PartyDetailsListReqID≠0

For long messages:

    • If not registered beforehand through iLink then PartyDetailsDefinitionRequestAck message will be sent along with the business message and will immediately precede it
    • PartyDetailsListReqID=0
37OrderIDuInt648Y
Unique identifier for order as assigned by the exchange. Uniqueness is guaranteed within a single trading day across all instruments
44PricePRICE98Y
Price per share or contract
60TransactTimeuInt648Y
Time the transaction represented by this ExecutionReport (35=8) occurred. Expressed as nanoseconds since epoch time
5297SendingTimeEpochuInt648Y
Time when the message is sent. 64-bit integer expressing the number of nano seconds 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 ExecutionReport

9537LocationString5Req5Y
Text describing sender's location (i.e. geographic location and/or desk)
48SecurityIDInt324Y
Security ID as defined by CME. For the security ID list, see the security definition messages.
38OrderQtyuInt324Y

Number of shares or contracts ordered

14CumQtyuInt324Y

Total quantity filled

Will be set to 0

151LeavesQtyuInt324Y

Quantity open for further execution.

 LeavesQty = OrderQty (38) - CumQty (14)

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 iceberg orders. On orders specifies the qty to be displayed, on execution reports the currently displayed quantity

432ExpireDateLocalMktDate2Y

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

Default: days since Unix epoch. Range: Jan. 1, 1970 - June 7, 2149 local

39OrdStatusOrdStatusPendCxl0Y

OrdStatus=6 (Pending Cancel)

Identifies status of order as subject to pending cancellation

Constant value

150ExecTypeExecTypePendCxl0Y

ExecType=6 (Pending Cancel)

Describes the specific ExecutionRpt as subject to pending cancellation

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 only for EBS


1028ManualOrderIndicator

ManualOrdIndReq

1Y
  • 0=Automated
  • 1=Manual
Indicates if order was sent manually or generated by automated trading logic
9765PossRetransFlagBooleanFlag1Y
  • 0=False
  • 1=True

Flags message as possible retransmission or duplicate

This will convey whether a message is an original transmission or duplicate in response to RetransmissionRequest or possible duplicate

This will become pertinent when original messages get interleaved with Retransmission responses

Possible duplicate means that same message could have been sent again with different sequence number

9553SplitMsgSplitMsg1N
  • 0=Split Msg Delayed
  • 1=Out of Order Msg Delayed
  • 2=Complete Msg Delayed
Indicates whether a message was delayed as a result of being split among multiple packets (0) or if a message was delayed as a result of TCP re-transmission (1) or if a complete message was delayed due to a previously submitted split or out of order message (2). If absent then the message was not delayed and was neither split nor received out of order
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.

7552DelayToTimeuInt64NULL8N

Indicates the amount of time that a message was delayed as a result of being split (9553=0) or as a result of being out of order due to TCP retransmission (9553=1) or as a result of being queued behind a split message (9553=2)

Represented as number of nanoseconds in unix epoch format (since Jan 1, 1970)

Subtracting this number from Tag 60 will represent original received time of delayed 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