iLink 3 FIX Tag Library

Sequence number assigned to this message.

The max value is 999999999 which is 1 short of 1 billion.

Globally unique identifier for each Execution Report message assigned by exchange.

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: 

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.

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:

• 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

Globally unique identifier for each order assigned by the exchange.

OrderRequestID used to identify a request to enter, modify, or delete an order. Echoed back on the Execution Report.

For the unsolicited events (e.g. fills and end of day eliminations), echo the value on the ExecutionReport representing the last accepted OrderRequestID on the corresponding order.

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) 

Host-assigned entity ID used to reference all components of a Cross: sides + strategy + legs.

The HostCrossID also links components of the Cross order. For example, each individual Execution Report associated with the order will contain HostCrossID to tie them to the original Cross order.

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.

Number of shares or contracts ordered.

Quantity open for further execution.

Only present for outrights and spreads, not spread legs. 

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

Sent in number of days since Unix epoch.

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

Sent in number of days since Unix epoch.

• OrdStatus=1 (Partially Filled)
• OrdStatus=2 (Filled)

ExecType=F (Trade)

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

Constant value.

• OrdType=1 (Market order with protection)
• OrdType=2 (Limit order)
• OrdType=4 (Stop limit order)
• OrdType=K (Market limit order)

• Side=1 (Buy)
• Side=2 (Sell)

• 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

• 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

• 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

1057

AggressorIndicator

• AggressorIndicator=0 (No)
• AggresorIndicator=1 (Yes)

Indicates if order was incoming or resting for the match event.

• CrossType=3

Type of Cross submitted to the market (if in response to a Cross order).

• 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.

• 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.

• 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.

• 0=False
• 1=True

Boolean: flags a managed order.

Applicable only to Repo fixed income markets.

• 0=Long Sell
• 1=Short Sale With No Exemption (SESH)
• 2=Short Sale With Exemption (SSEX)
• 3=Undisclosed Sell (Information not available – UNDI)

Specifies the owner of the work up private phase.

• 0 – Aggressive owner included in workup
• 1 – Passive owner included in workup
• 2 – Aggressive owner fill price from order excluded from workup during sweep
• 3 – Passive owner fill price from order excluded from workup during sweep
• 9 - Not Applicable

The discretion price of an order. Conditionally required if  the trader wishes to display one price but will accept trades at another price)

• The discretion price for a bid must be greater than the shown Limit price (e.g. Buy order: tag 44-Price = 115.05; tag 845-DiscretionPrice = 115.06)
• ​The discretion price for an ask must be less than the shown Limit price (e.g. Buy order: tag 44-Price = 115.05; tag 845-DiscretionPrice = 115.04)

Applicable only for EBS.

• 1000=Trade at Fixing

• ExecRestatementReason=8 (Exchange) 

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

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

22 – Institutional Prioritization

23 - Price Discretion

24 (LOS)

Number of fills which comprise fill quantity.   

The maximum number of fills is configured 100.

Applicable for BrokerTec and EBS Market only.

Will not be present for BrokerTec US; Will be populated with the firm ID of the opposite order for BrokerTec EU bilateral trades

• 4=Partially Filled
• 5=Filled

• 100=Binary Trade Reporting

Currently not supported.

This field specifies the highest (for a buy) or lowest (for a sell) price at which the order may trade. This price must be better than the limit price and should be a multiple of reservation price tick.

• Tag 638=100 (Large Order Size Priority)
• Tag 638=101 (Standard Order Size Priority)

Indicates whether an incoming New Order/Cancel-Replace entered the book or subsequently rests on the book with Large Order Size or Standard Order Size priority.

8

Currently not supported.

The price at which opposite side orders are listed on the market. Sent only in fill messages for reservation price orders.

Sequence number assigned to this message.

The max value is 999999999 which is 1 short of 1 billion.

Reject reason details.

Used only for descriptive rejects.

Globally unique identifier for each Execution Report message assigned by exchange.

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: 

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.

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:

• 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.

Globally unique identifier for each order assigned by the exchange.

OrderRequestID used to identify a request to enter, modify, or delete an order and echo the value on the Execution Report.

For the unsolicited events (e.g. fills and end of day eliminations), echo the value on the ExecutionReport representing the last accepted OrderRequestID on the corresponding order.

Host-assigned entity ID used to reference all components of a Cross: sides + strategy + legs.

The HostCrossID also links components of the Cross order. For example, each individual Execution Report associated with the order will contain HostCrossID  to tie them to the original Cross order.

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.

Minimum quantity of an order for immediate execution.

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.

If the quantity present in tag 110 cannot be immediately executed, the entire order is eliminated.

The quantity to be displayed. Required for display quantity orders.

Note: on orders, this value specifies  the qty to be displayed; on Execution Reports this value indicates the currently displayed quantity.

Code to identify reason for order rejection.

See BrokerTec Reject Codes for BrokerTec Markets.

See EBS Reject Codes for EBS Market

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

Sent in number of days since Unix epoch.

Not currently being used.

• OrdStatus=8 (Rejected)

Identifies current status of order as rejected.

Constant value.

• ExecType=8 (Rejected)

Describes the specific Execution Report while tag 39-OrdStatus will always identify the current order status.

Constant value.

• OrdType=1 (Market order with protection)
• OrdType=2 (Limit order)
• OrdType=4 (Stop limit order)
• OrdType=K (Market limit order)

• Side=1 (Buy)
• Side=2 (Sell)

• 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

• 0=Automated
• 1=Manual

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.

https://www.cmegroup.com/rulebook/files/cme-group-Rule-536-B-Tag1028.pdf

• 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

• 0=Split Msg Delayed
• 1=Out of Order Msg Delayed
• 2=Complete Msg Delayed

Indicates if a message was delayed as a result of:

• being split among multiple packets (0)
• TCP re-transmission (1)
• due to a previously submitted split or out of order message (2).

If absent then the message was not delayed, split, or received out of order.

• CrossType=3

Type of Cross submitted to the market (if in response to a Cross order).

• 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.

• 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.

• 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.

• 0=False
• 1=True

Boolean: flags a managed order.

Applicable only to Repo fixed income markets.

• 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 amount of time in nanoseconds that a message was subject to additional processing as a result of being:

• split among multiple packets (tag 9553=0)
• out-of-order (tag 9553=1)
• a previously submitted split message (tag 9553=2)

Subtracting this number from tag 60-TransactTime will represent original received time of in-flight message.

The discretion price of an order. Conditionally required if  the trader wishes to display one price but will accept trades at another price)

• The discretion price for a bid must be greater than the shown Limit price (e.g. Buy order: tag 44-Price = 115.05; tag 845-DiscretionPrice = 115.06)
• ​The discretion price for an ask must be less than the shown Limit price (e.g. Buy order: tag 44-Price = 115.05; tag 845-DiscretionPrice = 115.04)

Applicable only for EBS.

Currently not supported.

This field specifies the highest (for a buy) or lowest (for a sell) price at which the order may trade. This price must be better than the limit price and should be a multiple of reservation price tick.

Sequence number assigned to this message.

The max value is 999999999 which is 1 short of 1 billion.

Reject reason details.

Only for descriptive rejects.

Globally unique identifier for each Execution Report message assigned by exchange.

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: 

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.

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:

• 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.

Globally unique identifier for each order assigned by the exchange.

Time the transaction represented by this Execution Report (35=8) occurred. Expressed as nanoseconds since epoch time to millisecond accuracy.

OrderRequestID used to identify a request to enter, modify, or delete an order. Echoed back on the Execution Report.

For the unsolicited events (e.g. fills and end of day  eliminations), echo the value on the ExecutionReport representing the last accepted OrderRequestID on the corresponding order.

Host-assigned entity ID used to reference all components of a Cross: sides + strategy + legs.

The HostCrossID also links components of the Cross order. For example, each individual Execution Report associated with the order will contain HostCrossID  to tie them to the original Cross order.

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.

Number of shares or contracts ordered.

Quantity open for further execution.

Only present for outrights and spreads, not spread legs. 

Minimum quantity of an order for immediate execution.

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.

If the quantity present in tag 110 cannot be immediately executed, the entire order is eliminated.

The quantity to be displayed. Required for display quantity orders.

Note: on orders, this value specifies  the qty to be displayed; on Execution Reports this value indicates the currently displayed quantity.

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

Sent in number of days since Unix epoch.

• OrdStatus=0 (New)
• OrdStatus=1 (Partially Filled)
• OrdStatus=2 (Filled)
• OrdStatus=4 (Cancelled)
• OrdStatus=5 (Replaced)
• OrdStatus=C (Eliminated)
• OrdStatus=8 (Rejected)
• OrdStatus=U (Undefined)
• OrdStatus=6 (Pending Cancel)
• OrdStatus=E (Pending Replace)

ExecType=I (Status)

Describes the specific Execution Report as order status.

Constant value.

• OrdType=1 (Market order with protection)
• OrdType=2 (Limit order)
• OrdType=4 (Stop limit order)
• OrdType=K (Market limit order)

• Side=1 (Buy)
• Side=2 (Sell)
• Side=7 (Undisclosed)

• TimeInForce=0 (Day)
• TimeInForce=1 (GTC)
• TimeInForce=3 (FAK)
• TimeInForce=6 (GTD)

Specifies how long the order remains in effect

FOK is supported only for BrokerTec

ManualOrdIndReq

• 0=Automated
• 1=Manual

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.

https://www.cmegroup.com/rulebook/files/cme-group-Rule-536-B-Tag1028.pdf

• 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

• LastRptRequested=0 (No)
• LastRptRequested=1 (Yes)

• CrossType=3

Type of Cross submitted to a market (if in response to a cross order).

• 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.

• 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.

• 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.

• 0=False
• 1=True

Boolean: flags a managed order.

Applicable only to Repo fixed income markets.

• 0=Long Sell
• 1=Short Sale With No Exemption (SESH)
• 2=Short Sale With Exemption (SSEX)
• 3=Undisclosed Sell (Information not available – UNDI)

The discretion price of an order. Conditionally required if  the trader wishes to display one price but will accept trades at another price)

• The discretion price for a bid must be greater than the shown Limit price (e.g. Buy order: tag 44-Price = 115.05; tag 845-DiscretionPrice = 115.06)
• ​The discretion price for an ask must be less than the shown Limit price (e.g. Buy order: tag 44-Price = 115.05; tag 845-DiscretionPrice = 115.04)

Applicable only for EBS.

9937

OrigOrderUser

Represents the original SenderComp for whom orders or quotes are to be cancelled.

2807

CancelText

N

Represents the SenderComp which initiates the cancellation of orders or quotes for the original SenderComp.

Currently not supported.

This field specifies the highest (for a buy) or lowest (for a sell) price at which the order may trade. This price must be better than the limit price and should be a multiple of reservation price tick.

• Tag 638=100 (Large Order Size Priority)
• Tag 638=101 (Standard Order Size Priority)

Indicates whether an incoming New Order/Cancel-Replace entered the book or subsequently rests on the book with Large Order Size or Standard Order Size priority.

Globally unique identifier for each Execution Report message assigned by exchange. 

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: 

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.

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

OrderRequestID used to identify a request to enter, modify or delete an order and echo the value on the ExecutionReport

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.

Number of shares or contracts ordered

Total quantity filled

Will be set to 0 for OFMOverride=0 (Disabled)

Will be set to total quantity filled for OFMOverride=1 (Enabled)

Quantity open for further execution.

Only present for outrights and spreads, not spread legs. 

Minimum quantity of an order for immediate execution.

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.

If the quantity present in tag 110 cannot be immediately executed, the entire order is eliminated.

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

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

• OrdStatus=E (Pending Replace)

Identifies status of order as subject to pending replace

Constant value

• ExecType=E (Pending Replace)

Describes the specific ExecutionRpt as subject to pending cancellation

Constant value

• OrdType=1 (Market order with protection)
• OrdType=2 (Limit order)
• OrdType=4 (Stop limit order)
• OrdType=K (Market limit order)

• Side=1 (Buy)
• Side=2 (Sell)

• 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

• 0=Automated
• 1=Manual

• 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

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

• 0=Split Msg Delayed
• 1=Out of Order Msg Delayed
• 2=Complete Msg Delayed

• 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.

• 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 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

The discretion price of an order. Conditionally required if  the trader wishes to display one price but will accept trades at another price)

• The discretion price for a bid must be greater than the shown Limit price (e.g. Buy order: tag 44-Price = 115.05; tag 845-DiscretionPrice = 115.06)
• ​The discretion price for an ask must be less than the shown Limit price (e.g. Buy order: tag 44-Price = 115.05; tag 845-DiscretionPrice = 115.04)

Applicable only for EBS.

• Tag 638=100 (Large Order Size Priority)
• Tag 638=101 (Standard Order Size Priority)

Globally unique identifier for each Execution Report message assigned by exchange. 

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: 

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.

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

Globally unique identifier for each order assigned by the exchange.

OrderRequestID used to identify a request to enter, modify or delete an order and echo the value on the ExecutionReport

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.

Number of shares or contracts ordered

Total quantity filled

Will be set to 0

Quantity open for further execution.

Only present for outrights and spreads, not spread legs. 

Minimum quantity of an order for immediate execution.

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.

If the quantity present in tag 110 cannot be immediately executed, the entire order is eliminated.

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

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

OrdStatus=6 (Pending Cancel)

Identifies status of order as subject to pending cancellation

Constant value

ExecType=6 (Pending Cancel)

Describes the specific ExecutionRpt as subject to pending cancellation

Constant value

• OrdType=1 (Market order with protection)
• OrdType=2 (Limit order)
• OrdType=4 (Stop limit order)
• OrdType=K (Market limit order)

• Side=1 (Buy)
• Side=2 (Sell)

• 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

ManualOrdIndReq

• 0=Automated
• 1=Manual

• 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

• 0=Split Msg Delayed
• 1=Out of Order Msg Delayed
• 2=Complete Msg Delayed

• 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.

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

The discretion price of an order. Conditionally required if  the trader wishes to display one price but will accept trades at another price)

• The discretion price for a bid must be greater than the shown Limit price (e.g. Buy order: tag 44-Price = 115.05; tag 845-DiscretionPrice = 115.06)
• ​The discretion price for an ask must be less than the shown Limit price (e.g. Buy order: tag 44-Price = 115.05; tag 845-DiscretionPrice = 115.04)

Applicable only for EBS.

9937

OrigOrderUser

Represents the original SenderComp for whom orders or quotes are to be cancelled.

2807

CancelText

N

Represents the SenderComp which initiates the cancellation of orders or quotes for the original SenderComp.

Currently not supported.

This field specifies the highest (for a buy) or lowest (for a sell) price at which the order may trade. This price must be better than the limit price and should be a multiple of reservation price tick.

• Tag 638=100 (Large Order Size Priority)
• Tag 638=101 (Standard Order Size Priority)

Sequence number assigned to this message.

The max value is 999999999 which is 1 short of 1 billion.

Globally unique identifier for each Execution Report message assigned by exchange.

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: 

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.

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:

• 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.

Globally unique identifier for each order assigned by the exchange.

OrderRequestID used to identify a request to enter, modify, or delete an order and echo the value on the Execution Report.

For the unsolicited events (e.g. fills and end of day eliminations), echo the value on the ExecutionReport representing the last accepted OrderRequestID on the corresponding order.

Host-assigned entity ID used to reference all components of a Cross: sides + strategy + legs.

The HostCrossID also links components of the Cross order. For example, each individual Execution Report associated with the order will contain HostCrossID  to tie them to the original Cross order.

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.

Total quantity filled.

This tag gets reset back to 0 with cancel, elimination, and non- IFM modification.

Minimum quantity of an order for immediate execution.

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.

If the quantity present in tag 110 cannot be immediately executed, the entire order is eliminated.

The quantity to be displayed. Required for display quantity orders.

Note: on orders, this value specifies  the qty to be displayed; on Execution Reports this value indicates the currently displayed quantity.

• OrdStatus=C (Expired)

Identifies status of order as eliminated.

Constant value.

• ExecType=C (Expired)

Describes the specific Execution Report while tag 39-OrdStatus always identifies the current order status.

Constant value.

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

Sent in number of days since Unix epoch.

• OrdType=1 (Market order with protection)
• OrdType=2 (Limit order)
• OrdType=4 (Stop limit order)
• OrdType=K (Market limit order)

• Side=1 (Buy)
• Side=2 (Sell)

• 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

• 0=Automated
• 1=Manual

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.

https://www.cmegroup.com/rulebook/files/cme-group-Rule-536-B-Tag1028.pdf

• 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

• CrossType=3

Type of cross submitted to the market (if in response to a cross order).

• 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.

• 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.

• 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.

• 0=False
• 1=True

Boolean: flags a managed order.

Applicable only to Repo fixed income markets.

• 0=Long Sell
• 1=Short Sale With No Exemption (SESH)
• 2=Short Sale With Exemption (SSEX)
• 3=Undisclosed Sell (Information not available – UNDI)

The discretion price of an order. Conditionally required if  the trader wishes to display one price but will accept trades at another price)

• The discretion price for a bid must be greater than the shown Limit price (e.g. Buy order: tag 44-Price = 115.05; tag 845-DiscretionPrice = 115.06)
• ​The discretion price for an ask must be less than the shown Limit price (e.g. Buy order: tag 44-Price = 115.05; tag 845-DiscretionPrice = 115.04)

Applicable only for EBS.

Currently not supported.

This field specifies the highest (for a buy) or lowest (for a sell) price at which the order may trade. This price must be better than the limit price and should be a multiple of reservation price tick.

• Tag 638=100 (Large Order Size Priority)
• Tag 638=101 (Standard Order Size Priority)

Indicates whether an incoming New Order/Cancel-Replace entered the book or subsequently rests on the book with Large Order Size or Standard Order Size priority.

Sequence number assigned to this message.

The max value is 999999999 which is 1 short of 1 billion.

Globally unique identifier for each Execution Report message assigned by exchange.

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: 

https://www.cmegroup.com/rulebook/files/cme-group-Rule-576.pdf

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:

• 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.

Globally unique identifier for each order assigned by the exchange.

OrderRequestID used to identify a request to enter, modify, or delete an order. Echoed back on the Execution Report.

For the unsolicited events (e.g. fills and end of day eliminations), echo the value on the ExecutionReport representing the last accepted OrderRequestID on the corresponding order.

Host-assigned entity ID used to reference all components of a Cross: sides + strategy + legs.

The HostCrossID also links components of the Cross order. For example, each individual Execution Report associated with the order will contain HostCrossID  to tie them to the original Cross order.

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.

Number of shares or contracts ordered.

Total quantity filled.

This tag gets reset back to 0 with cancel, elimination, and non- IFM modification.

Minimum quantity of an order for immediate execution.

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.

If the quantity present in tag 110 cannot be immediately executed, the entire order is eliminated.

The quantity to be displayed. Required for display quantity orders.

Note: on orders, this value specifies  the qty to be displayed; on Execution Reports this value indicates the currently displayed quantity.

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

Sent in number of days since Unix epoch.

Not currently being used.

OrdStatus=4 (Cancelled)

Identifies status of order as Cancelled.

Constant value.

ExecType=4 (Cancelled)

Describes the specific Execution Report as cancelled.

Constant value.

• OrdType=1 (Market order with protection)
• OrdType=2 (Limit order)
• OrdType=4 (Stop limit order)
• OrdType=K (Market limit order)

• Side=1 (Buy)
• Side=2 (Sell)

• 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 and EBS

GFS is supported only for EBS

ManualOrdIndReq

• 0=Automated
• 1=Manual

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.

https://www.cmegroup.com/rulebook/files/cme-group-Rule-536-B-Tag1028.pdf

Note: this tag will contain the resting value attached with the order regardless of how the cancel itself was submitted.

• 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

• 0=Split Msg Delayed
• 1=Out of Order Msg Delayed
• 2=Complete Msg Delayed

Indicates if a message was delayed as a result of:

• being split among multiple packets (0)
• TCP re-transmission (1)
• due to a previously submitted split or out of order message (2).

If absent then the message was not delayed, split, or received out of order.

• ExecRestatementReason=8 (Exchange) 
• ExecRestatementReason=9 (Cancelled Not Best) 
• ExecRestatementReason=100 (Cancel on Disconnect)
• ExecRestatementReason=103 (Cancel Resting due to Self Match Prevention)
• ExecRestatementReason=104 (Cancel from CME Globex Credit Controls violation) 
• ExecRestatementReason=105 (Cancel from CME One) 
• ExecRestatementReason=106 (Cancel from Risk Management API)
• ExecRestatementReason=107 (Cancel Aggressing due to Self Match Prevention)
• ExecRestatementReason=108 (Cancel due to min qty violation) 
• ExecRestatementReason=109 (Cancel RFC Order)
• ExecRestatementReason=110 (Cancel upon Contract Expiration)
• ExecRestatementReason=111 (System Cancel)

Used to communicate unsolicited cancels.

• ExecRestatementReason=9 (Cancelled Not Best) for fixed income markets only

• CrossType=3

Type of cross being submitted to a market (if in response to a Cross order).

• 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.

• 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.

• 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.

• 0=False
• 1=True

Boolean: flags a managed order.

Applicable only to Repo fixed income markets.

• 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 amount of time in nanoseconds that a message was subject to additional processing as a result of being:

• split among multiple packets (tag 9553=0)
• out-of-order (tag 9553=1)
• a previously submitted split message (tag 9553=2)

Subtracting this number from tag 60-TransactTime will represent original received time of in-flight message.

The discretion price of an order. Conditionally required if  the trader wishes to display one price but will accept trades at another price)

• The discretion price for a bid must be greater than the shown Limit price (e.g. Buy order: tag 44-Price = 115.05; tag 845-DiscretionPrice = 115.06)
• ​The discretion price for an ask must be less than the shown Limit price (e.g. Buy order: tag 44-Price = 115.05; tag 845-DiscretionPrice = 115.04)

Applicable only for EBS.

9937

OrigOrderUser

Represents the original SenderComp for whom orders or quotes are to be cancelled.

2807

CancelText

N

Represents the SenderComp which initiates the cancellation of orders or quotes for the original SenderComp.

Currently not supported.

This field specifies the highest (for a buy) or lowest (for a sell) price at which the order may trade. This price must be better than the limit price and should be a multiple of reservation price tick.

• Tag 638=100 (Large Order Size Priority)
• Tag 638=101 (Standard Order Size Priority)

Indicates whether an incoming New Order/Cancel-Replace entered the book or subsequently rests on the book with Large Order Size or Standard Order Size priority.

Sequence number assigned to this message.

The max value is 999999999 which is 1 short of 1 billion.

Globally unique identifier for each Execution Report message assigned by exchange.

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: 

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.

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:

• 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.

Globally unique identifier for each order assigned by the exchange.

OrderRequestID used to identify a request to enter, modify, or delete an order and echo the value on the Execution Report.

For the unsolicited events (e.g. fills and end of day eliminations), echo the value on the ExecutionReport representing the last accepted OrderRequestID on the corresponding order.

Host-assigned entity ID used to reference all components of a cross: sides + strategy + legs.

The HostCrossID is also used to link components of the cross order. For example, each individual Execution Report associated with the order will contain HostCrossID to tie them to the original Cross order.

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.

Number of shares or contracts ordered.

Total quantity filled.

This tag gets reset back to 0 with cancel, elimination, and non- IFM modification.

Quantity open for further execution.

Only present for outrights and spreads, not spread legs. 

Minimum quantity of an order for immediate execution.

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.

If the quantity present in tag 110 cannot be immediately executed, the entire order is eliminated.

The quantity to be displayed. Required for display quantity orders.

Note: on orders, this value specifies  the qty to be displayed; on Execution Reports this value indicates the currently displayed quantity.

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

Sent in number of days since Unix epoch.

Not currently being used.

• OrdStatus=5 (Replaced)

Identifies current status of order.

Constant value.

• ExecType=5 (Replaced)

Describes the specific Execution Report (e.g. Cancel Replace) .

Constant value.

• OrdType=1 (Market order with protection)
• OrdType=2 (Limit order)
• OrdType=4 (Stop limit order)
• OrdType=K (Market limit order)

• Side=1 (Buy)
• Side=2 (Sell)

• 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

• 0=Automated
• 1=Manual

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.

https://www.cmegroup.com/rulebook/files/cme-group-Rule-536-B-Tag1028.pdf

• 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

• 0=Split Msg Delayed
• 1=Out of Order Msg Delayed
• 2=Complete Msg Delayed

Indicates if a message was delayed as a result of:

• being split among multiple packets (0)
• TCP re-transmission (1)
• due to a previously submitted split or out of order message (2).

If absent, the message was not delayed and was neither split nor received out of order.

• CrossType=3

Type of Cross submitted to the market (if in response to a cross order).

• Bit 0=AON
• Bit 1=Ony 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.

• 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.

• 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.

• 0=False
• 1=True

Boolean: flags a managed order.

Applicable only to Repo fixed income markets.

• 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 amount of time in nanoseconds that a message was subject to additional processing as a result of being:

• split among multiple packets (tag 9553=0)
• out-of-order (tag 9553=1)
• a previously submitted split message (tag 9553=2)

Subtracting this number from tag 60-TransactTime will represent original received time of in-flight message.

The discretion price of an order. Conditionally required if  the trader wishes to display one price but will accept trades at another price)

• The discretion price for a bid must be greater than the shown Limit price (e.g. Buy order: tag 44-Price = 115.05; tag 845-DiscretionPrice = 115.06)
• ​The discretion price for an ask must be less than the shown Limit price (e.g. Buy order: tag 44-Price = 115.05; tag 845-DiscretionPrice = 115.04)

Applicable only for EBS.

• Tag 638=100 (Large Order Size Priority)
• Tag 638=101 (Standard Order Size Priority)

Indicates whether an incoming New Order/Cancel-Replace entered the book or subsequently rests on the book with Large Order Size or Standard Order Size priority.

Sequence number assigned to this message.

The max value is 999999999 which is 1 short of 1 billion.

Globally unique identifier for each Execution Report message assigned by exchange.

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: 

https://www.cmegroup.com/rulebook/files/cme-group-Rule-576.pdf

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:

• 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.

Globally unique identifier for each order assigned by the exchange.

OrderRequestID used to identify a request to enter, modify, or delete an order and echo the value on the Execution Report.

For the unsolicited events (e.g. fills and end of day  eliminations), echo the value on the ExecutionReport representing the last accepted OrderRequestID on the corresponding order.

Host-assigned entity ID used to reference all components of a Cross: sides + strategy + legs.

The HostCrossID also links components of the Cross order. For example, each individual Execution Report associated with the order will contain HostCrossID to tie them to the original Cross order.

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.

Number of shares or contracts ordered.

Minimum quantity of an order for immediate execution.

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.

If the quantity present in tag 110 cannot be immediately executed, the entire order is eliminated.

The quantity to be displayed. Required for display quantity orders.

Note: on orders, this value specifies  the qty to be displayed; on Execution Reports this value indicates the currently displayed quantity.

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

Sent in number of days since Unix epoch.

Not currently being used.

OrdStatus=0 (New)

Identifies status of order as new.

Constant value.

ExecType=0 (New)

Describes the specific Execution Report as new.

Constant value.

• OrdType=1 (Market order with protection)
• OrdType=2 (Limit order)
• OrdType=4 (Stop limit order)
• OrdType=K (Market limit order)

• Side=1 (Buy)
• Side=2 (Sell)

• 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 for EBS

ManualOrdIndReq

• 0=Automated
• 1=Manual

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.

https://www.cmegroup.com/rulebook/files/cme-group-Rule-536-B-Tag1028.pdf

• 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

• 0=Split Msg Delayed
• 1=Out of Order Msg Delayed
• 2=Complete Msg Delayed

Indicates if a message was delayed as a result of:

• being split among multiple packets (0)
• TCP re-transmission (1)
• due to a previously submitted split or out of order message (2).

If absent then the message was not delayed, split, or received out of order.

• CrossType=3

Type of Cross being submitted to a market (if in response to a Cross order).

• Bit 0=AON
• Bit 1=Ony 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.

• 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.

• 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.

• 0=False
• 1=True

Boolean: flags a managed order.

Applicable only to Repo fixed income markets.

• 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 amount of time in nanoseconds that a message was subject to additional processing as a result of being:

• split among multiple packets (tag 9553=0)
• out-of-order (tag 9553=1)
• a previously submitted split message (tag 9553=2)

Subtracting this number from tag 60-TransactTime will represent original received time of in-flight message.

The discretion price of an order. Conditionally required if  the trader wishes to display one price but will accept trades at another price)

• The discretion price for a bid must be greater than the shown Limit price (e.g. Buy order: tag 44-Price = 115.05; tag 845-DiscretionPrice = 115.06)
• ​The discretion price for an ask must be less than the shown Limit price (e.g. Buy order: tag 44-Price = 115.05; tag 845-DiscretionPrice = 115.04)

Applicable only for EBS.

Currently not supported.

This field specifies the highest (for a buy) or lowest (for a sell) price at which the order may trade. This price must be better than the limit price and should be a multiple of reservation price tick.

• Tag 638=100 (Large Order Size Priority)
• Tag 638=101 (Standard Order Size Priority)

Indicates whether an incoming New Order/Cancel-Replace entered the book or subsequently rests on the book with Large Order Size or Standard Order Size priority.

Sequence number assigned to this message.

The max value is 999999999 which is 1 short of 1 billion.

Reject reason details.

Used only for descriptive rejects.

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: 

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.

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.

1151

SecurityGroup

StringLength6

6

6

• FUT = Future or Future Spread
• OOF = Options on Futures or Options on Futures Spread
• MLEG = Strategy with mixed type legs

Security Type

Note: For UDS for Futures, only returned in UDS acknowledgments (tag 323-SecurityResponseType=2). It is not returned in rejects (323-SecurityResponseType=5)

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

Int32NULL

4

15

Currency

String3

3

22

SecurityIDSource

SecurityIDSource

0

Identifies class or source of the tag 48-SecurityID value.

Constant value.

200

MaturityMonthYear

2

Instrument expiration; earliest leg maturity in the options strategy.

Format YYYYMM (i.e. 200912)

For daily products, this tag contains the full calendar date as reflected in the instrument symbol. Format YYYYMMDD (e.g. 20191205).

For weekly options products, this tag contains the calendar month and week indicator reflected in the instrument symbol. Format YYYYMMwW (e.g., for the 4^th week contracts, 201912W4).

Not currently being used.

• SecurityRequestType=1 (not used)
• SecurityResponseType=2 (Accept security proposal 
  with revisions as indicated 
  in the message)
• SecurityResponseType=5 (Reject security proposal)

9779

UserDefinedInstrument

UDI

0

• Y=User defined instrument 

Identifies user-defined instruments

Constant value

827

ExpirationCycle

ExpCycle

1

• 0=Expire on trading session close (default) 
• 2=Trading eligibility expiration specified in the date and time fields

For tag 827-ExpirationCycle=2, instrument expires as indicated in market data Security Definition (tag 35-MsgType=d) repeating block:

• Tag 865-EventType=7 (Last Eligible Trade Date)
• Tag 1145-EventTime

• 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

• 0=Split Msg Delayed
• 1=Out of Order Msg Delayed
• 2=Complete Msg Delayed

Indicates if a message was delayed as a result of:

• being split among multiple packets (0)
• TCP re-transmission (1)
• due to a previously submitted split or out of order message (2).

If absent, the message was not delayed and was neither split nor received out of order.

9776

AutoQuoteRequest

1

• 0=False
• 1=True

Boolean flag (0/1) to automatically send a quote request message following the Security Definition (35=d) message.

• 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

Currently not supported.

Defines how user defined tailor made repo contract is to be broken down into different broken dates.

• minValue=2
• maxValue=40

Delta used to calculate the quantity of futures used to cover the option or option strategy.

• For a covered option outright instrument, must be between +0.01 and +1.00.
• For a covered option spread instrument, must be between +0.01 and +40.00

• LegSecurityIDSource=8 (exchange symbol)

Identifies class or source of the tag 602-LegSecurityID value.

Constant value.

• LegSide=1 (Buy)
• LegSide=2 (Sell)

For Covereds, must be present for option repeating group and must = 1 (buy).

For Covereds, must be present for future repeating group as well.

For Combos, the first instrument in the repeating group must = 1 (buy).

All UDS contract are defined from the buy side perspective (i.e. buying the spread).

• minValue=1
• maxValue=20

Specifies ratio for the instrument defined in this repeating group.

Required for any UDS options leg.

Optional for Covereds leg.

Currently not supported.

Used to indicate the number of custom bespoke broken dates for user defined tailor made repo.

External unique REPO Instrument ID.

REPO Instrument Security ID.

Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral.