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This topic contains a table with filters to query iLink message specification tags.

This page lists all iLink message types in a set order. Message types may be blank if the filter is not applicable.

Please scroll through the list of messages to see full results.

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  • Page:
    iLink 3 Execution Acknowledgment (Electronic Platform Information Console)

    Tag

    Name

    Binary Type

    Binary Length

    Req

    Enumeration

    Description

    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.
    37OrderIDuInt648Y
    Unique identifier for order as assigned by the exchange. Uniqueness is guaranteed within a single trading day across all instruments.
    1036ExecAckStatusInt1Y1=Accepted
    2=Rejected
    Indicates status of the Execution Acknowledgment.
    9726SeqNumuInt324Y

    Sequence number assigned to this message.

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

    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.

    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) 

    31

    LastPx

    PRICE9

    8

    Y
    Price of this (last) fill.
    48SecurityIDInt324Y
    Security ID as defined in the market data Security Definition message.
    32LastQtyuInt324Y
    Quantity bought/sold on this (last) fill.
    127DKReasonChar1N
    • A=Unknown Security
    • B=Wrong Side
    • C=Qty Exceeds Order
    • D=No Matching Order
    • E=Price Exceeds Limit
    • F=Calculation Difference
    • G=No Matching Execution Report
    • Z=Other
    Reason for execution rejection
    54SideSideReq1Y
    • Side=1 (Buy)
    • Side=2 (Sell)
    Side of order.
    5392SenderIDString20Req20Y

    For futures and options markets: represents Operator ID.

    For 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.

    5297SendingTimeEpochuInt648Y
    Time when the message is sent. 64-bit integer expressing the number of nano seconds since midnight January 1, 1970.
    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.

    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 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

  • Page:
    iLink 3 Execution Report - Trade Addendum Outright (Electronic Platform Information Console)

    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 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.

    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.

    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) 

    9703OrigSecondaryExecutionIDuInt64NULL8N
    Unique identifier of the corrected fill.
    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.
    48SecurityIDInt324Y
    Security ID as defined in the market data Security Definition message.
    32LastQtyuInt324Y
    Quantity bought/sold on this (last) fill.
    1506SideTradeIDuInt324Y
    The unique ID assigned to the trade once it is received or matched by the exchange.
    1507OrigSideTradeIDuInt32NULL4N
    Refers to the unique ID assigned to the corrected trade.
    75TradeDateLocalMktDate2Y

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

    Sent in number of days since Unix epoch.

    39OrdStatusOrdStatusTrdCxl1Y
    • OrdStatus=H (Trade Cancel)
    • OrdStatus=G (Trade Correction)

    Identifies status of order as trade cancellation or correction.

    150ExecTypeExecTypTrdCxl1Y
    • ExecType=H (Trade Cancel)
    • ExecType=G (Trade Correction)

    Describes the specific Execution Report as trade cancellation or correction.

    54SideSideReq1Y
    • Side=1 (Buy)
    • Side=2 (Sell)
    Order side.
    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 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

    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

    18ExecInstExecInst1N
    • 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.

    5906ExecutionModeExecMode1N
    • 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.

    9373LiquidityFlagBooleanNULL1N
    • 0=False
    • 1=True

    Indicates if an order was submitted for market making obligation as required for MIFID.

    Applicable only for EU fixed income markets.

    6881ManagedOrderBooleanNULL1N
    • 0=False
    • 1=True

    Boolean: flags a managed order.

    Applicable only to Repo fixed income markets.

    5409ShortSaleTypeShortSaleType1N
    • 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 type of short sale on Sell orders only as required for MiFID.

    Should not be used for Buy orders.

    Applicable only for EU fixed income markets.

    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 (tag 1362) > 0. Same as LastPx (tag 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.
    →1622FillYieldTypeuInt81Y

    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.
    →1799OrderEventPxPRICE98Y
    Refers to the fill price; same as tag 31-LastPx.
    →1802OrderEventTextString55N
    Not 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.
    →1796OrderEventTypeTradeAddendum1Y
    • 100=Trade Cancel
    • 101=Trade Correction
    • 4=Partially Filled
    • 5=Filled
    The type of event affecting an order.
    →1798OrderEventReasonuInt81Y
    • 100=Binary Trade Reporting
    Action that caused the event to occur.
    →6555OriginalOrderEventExecIDuInt32NULL$N

    Contains the previous tag 1797-OrderEventExecID value of the trade being adjusted or busted.

    Will not be present on the following message types

    • Execution Report Trade Outright
    • Execution Report Trade Spread
    • Execution Report Trade Spread Leg
  • Page:
    iLink 3 Execution Report - Trade Spread Leg (Electronic Platform Information Console)

    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 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.
    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 order.
    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

    1362NoFillsgroupSize3Y

    Specifies the number of fill reasons included in this Execution Report.

    Maximum number of fill reasons is 6.

    Note: The number of fill reason is always '1' for spread leg fills.

    →1364FillPxPRICE98Y
    Price of this fill reason or allocation. Required if NoFills (tag 1362) > 0. Same as LastPx (tag 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

    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
  • Page:
    Retransmission (Electronic Platform Information Console)
    TagNameBinary TypeBinary LengthReqEnumerationDescription
    39001UUIDuInt648Y

    Matches RetransmitRequest.UUID.

    39017LastUUIDuInt64NULL8N

    Matches RetransmitRequest.LastUUID.

    39002RequestTimestampuInt648Y
    Matches RetransmitRequest.RequestTimestamp.
    39018FromSeqNouInt324Y
    Matches RetransmitRequest.FromSeqNo.
    39019MsgCountuInt162Y

    For a previous UUID, 

    • matches RetransmitRequest.MsgCount if MsgCount >0
    • returns 2500 if RetransmitRequest.MsgCount = 0

    For a current UUID, returns count of messages to be replayed.

    9553SplitMsgSplitMsg1N

    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.

  • Page:
    Negotiation Response (Electronic Platform Information Console)
    TagNameBinary TypeBinary LengthReqEnumerationDescription
    39009ServerFlowExchFlowTyp0YRecoverableConstant value representing type of flow from CME to customer.
    39001UUIDuInt648Y

    Matches Negotiate.UUID.

    39002RequestTimestampuInt648Y
    Matches Negotiate.RequestTimestamp.
    39022SecretKeySecureIDExpirationuInt16NULL2N
    Indicates in how many days the HMAC secret key will expire. Sent in number of days since Unix epoch.
    39010FaultToleranceIndicatorFTI1Y

    0=Backup

    1=Primary

    Indicates whether the connection is the primary or backup.

    9553SplitMsgSplitMsg1N

    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.

    39021PreviousSeqNouInt324Y
    Refers to the SeqNum sent in the previous message before this one from CME.
    39015PreviousUUIDuInt648Y
    Refers to the UUID sent in the previous message before this one from CME.
    39008CredentialsDATA0N

    Currently not supported; however the length of variable data needs to be set to 0, represented as two bytes 00 00.

  • Page:
    iLink 3 Execution Report - Trade Spread (Electronic Platform Information Console)

    Tag

    Field Name

    Binary Type

    Binary Length

    Required

    Value

    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 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.

    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.
    44PricePRICE98Y
    Price per share or contract.
    99StopPxPRICENULL98N
    The stop price of a stop limit and stop protect order (Conditionally present if tag 40-OrdType=4).
    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.
    2422OrderRequestIDuInt648Y

    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.

    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) 

    548CrossIDuInt64NULL8N
    Identifier for a Cross order. Will be present if Execution Report is in response to a Cross order.
    961HostCrossIDuInt64NULL8N

    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.

    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.
    48SecurityIDInt324Y
    Security ID as defined in the market data Security Definition message.
    38OrderQtyuInt324Y
    Order quantity submitted by client.
    32LastQtyuInt324Y
    Quantity bought/sold on this (last) fill.
    14CumQtyuInt324Y
    Total quantity filled.
    37711MDTradeEntryIDuInt324Y
    Market Data Trade Entry ID. This identifier is assigned to all trades that take place for an instrument at a particular price level.
    1506SideTradeIDuInt324Y
    The unique ID assigned to the trade once it is received or matched by the exchange.
    151LeavesQtyuInt324Y

    Quantity open for further execution

     LeavesQty = OrderQty (tag 38) - CumQty (tag 14)

    Only present for outrights and spreads and not spread legs.

    75TradeDateLocalMktDate2Y

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

    Sent in number of days since Unix epoch.

    432ExpireDateLocalMktDate2Y

    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.

    39OrdStatusOrdStatusTrd1Y
    • OrdStatus=1 (Partially Filled)
    • OrdStatus=2 (Filled)
    Identifies status of order as partially filled or completely filled.
    150ExecTypeExecTypTrade0Y

    ExecType=F (Trade)

    Describes the specific ExecutionRpt (e.g. Cancel) while tag 39-OrdStatus will always identify 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 order.
    59TimeInForceTimeInForce1Y
    • TimeInForce=0 (Day)
    • TimeInForce=1 (GTC)
    • TimeInForce=3 (FAK)
    • TimeInForce=6 (GTD)
    Specifies how long the order remains in effect.
    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 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

    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

    1057

    AggressorIndicator

    BooleanFlag1Y
    • AggressorIndicator=0 (No)
    • AggresorIndicator=1 (Yes)

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

    549CrossTypeuInt8NULL1N
    • CrossType=3

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

    393TotalNumSecuritiesuInt81Y

    Indicates total number of leg fills for the spread.

    18ExecInstExecInst1N
    • 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.

    5906ExecutionModeExecMode1N
    • 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.

    9373LiquidityFlagBooleanNULL1N
    • 0=False
    • 1=True

    Indicates if an order was submitted for market making obligation as required for MIFID.

    Applicable only for EU fixed income markets.

    5409ShortSaleTypeShortSaleType1N
    • 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 type of short sale on Sell orders only as required for MiFID.

    Should not be used for Buy orders.

    Applicable only for EU fixed income markets.

    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 (1362) > 0. Append FillExecID with ExecID to derive unique identifier for each fill reason or allocation.
    →1622FillYieldTypeuInt81Y

    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.
    555NoLegsgroupSize3N

    Number of Leg executions.

    Currently not supported; set the groupSize to 0.

    →1893LegExecIDuInt648Y
    The tag 17-ExecID value corresponding to a trade leg.
    →637LegLastPxPRICE98Y
    Execution price assigned to a leg of a multileg instrument.
    →602LegSecurityIDInt324Y
    Multileg instrument's individual security's SecurityID.
    →1894LegTradeIDuInt324Y
    The TradeID value corresponding to a trade leg.
    →1418LegLastQtyuInt324Y
    Fill quantity for the leg instrument.
    →624LegSideSieReq1Y

    The side of this individual leg of a multileg security.

    1795NoOrderEventsgroupSize3N

    Number of fills which comprise fill quantity.

    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
  • Page:
    iLink 3 Execution Report - Trade Outright (Electronic Platform Information Console)

    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 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.

    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.
    44PricePRICE98Y
    Price per share or contract.
    99StopPxPRICENULL98N
    The stop price of a stop limit and stop protect order (Conditionally present if tag 40-OrdType=4).
    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.
    2422OrderRequestIDuInt648Y

    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.

    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) 

    548CrossIDuInt64NULL8N
    Identifier for a Cross order. Will be present if execution report is in response to a Cross order.
    961HostCrossIDuInt64NULL8N

    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.

    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.
    48SecurityIDInt324Y
    Security ID as defined in the market data Security Definition message.
    38OrderQtyuInt324Y

    Number of shares or contracts ordered.

    32LastQtyuInt324Y
    Quantity bought/sold on this (last) fill.
    14CumQtyuInt324Y
    Total quantity filled.
    37711MDTradeEntryIDuInt324Y
    Market Data Trade Entry ID. This identifier is assigned to all trades that take place for an instrument at a particular price level.
    1506SideTradeIDuInt324Y
    The unique ID assigned to the trade once it is received or matched by the exchange.
    820TradeLinkIDuInt32NULL4N
    Contains the workup ID; unique per instrument per day.
    151LeavesQtyuInt324Y

    Quantity open for further execution.

    LeavesQty = OrderQty (tag 38) - CumQty (tag 14)

    Only present for outrights and spreads and not spread legs.

    75TradeDateLocalMktDate2Y

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

    Sent in number of days since Unix epoch.

    432ExpireDateLocalMktDate2Y

    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.

    39OrdStatusOrdStatusTrd1Y
    • OrdStatus=1 (Partially Filled)
    • OrdStatus=2 (Filled)
    Identifies status of order as partially filled or completely filled.
    150ExecTypeExecTypTrade0Y

    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.

    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=6 (GTD)
    Specifies how long the order remains in effect.
    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 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

    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

    1057

    AggressorIndicator

    BooleanFlag1Y
    • AggressorIndicator=0 (No)
    • AggresorIndicator=1 (Yes)

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

    549CrossTypeuInt8NULL1N
    • CrossType=3

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

    18ExecInstExecInst1N
    • 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.

    5906ExecutionModeExecMode1N
    • 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.

    9373LiquidityFlagBooleanNULL1N
    • 0=False
    • 1=True

    Indicates if an order was submitted for market making obligation as required for MIFID.

    Applicable only for EU fixed income markets.

    6881ManagedOrderBooleanNULL1N
    • 0=False
    • 1=True

    Boolean: flags a managed order.

    Applicable only to Repo fixed income markets.

    5409ShortSaleTypeShortSaleType1N
    • 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 type of short sale on Sell orders only as required for MIFID. 

    Should not be used for Buy orders.

    Applicable only for EU fixed income markets.

    7191OwnershipuInt81N

    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
    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 (tag 1362) > 0. Same as LastPx (tag 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.
    →1622FillYieldTypeuInt81Y

    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

    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
  • Page:
    iLink 3 Execution Report - Trade Addendum Spread (Electronic Platform Information Console)

    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 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.

    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.
    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 nano seconds 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) 

    9703OrigSecondaryExecutionIDuInt64NULL8N
    Unique identifier of the corrected fill.
    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.
    48SecurityIDInt324Y
    Security ID as defined in the market data Security Definition message.
    37711MDTradeEntryIDuInt324Y
    Market Data Trade Entry ID. This identifier is assigned to all trades that take place for an instrument at a particular price level.
    32LastQtyuInt324Y
    Quantity bought/sold on this (last) fill.
    1506SideTradeIDuInt324Y
    The unique ID assigned to the trade once it is received or matched by the exchange.
    1507OrigSideTradeIDuInt32NULL4N

    Refers back to the unique ID assigned to the corrected trade.

    75TradeDateLocalMktDate2Y

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

    Sent in number of days since Unix epoch.

    39OrdStatusOrdStatustrdCxl1Y
    • OrdStatus=H (Trade Cancel)
    • OrdStatus=G (Trade Correction)

    Identifies status of order as trade cancellation or correction.

    150ExecTypeExecTypTrdCxl1Y
    • ExecType=H (Trade Cancel)
    • ExecType=G (Trade Correction)

    Describes the specific Execution Report as trade cancellation or correction.

    40OrdTypeOrderType1N
    • OrdType=2 (Limit order)
    UNDER DEVELOPMENT
    54SideSideReq1Y
    • Side=1 (Buy)
    • Side=2 (Sell)
    Side of order.
    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 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

    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

    393TotalNumSecuritiesuInt8NULL1Y

    Indicates total number of leg fills for the spread.

    18ExecInstExecInst1N
    • 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.

    5906ExecutionModeExecMode1N
    • 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.

    9373LiquidityFlagBooleanNULL1N
    • 0=False
    • 1=True

    Indicates if an order was submitted for market making obligation as required for MIFID.

    Applicable only for EU fixed income markets.

    6881ManagedOrderBooleanNULL1N
    • 0=False
    • 1=True

    Boolean: flags a managed order.

    Applicable only to Repo fixed income markets.

    5409ShortSaleTypeShortSaleType1N
    • 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 type of short sale on Sell orders only as required for MiFID.

    Should not be used for Buy orders.

    Applicable only for EU fixed income markets.

    1362NoFillsgroupSize3Y

    Specifies the number of fill reasons included in this Execution Report.

    Specifies the number of fill reasons included in this Execution Report.

    Maximum number of fill reasons is 6.

    Note: The number of fill reason is always '1' for spread leg fills.

    →1364FillPxPRICE98Y
    Price of this fill reason or allocation. Required if NoFills (tag 1362) > 0. Same as tag 31-LastPx.
    →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.
    →1622FillYieldTypeuInt81Y

    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.
    555NoLegsgroupSize3N

    Number of leg executions. Set to '0'.

    →1893LegExecIDuInt648Y
    The tag 17-ExecID value corresponding to a trade leg.
    →637LegLastPxPRICE98Y
    Execution price assigned to a leg of a multileg instrument
    →1901LegExecRefIDuInt64NULL8N
    The original tag ExecID value corresponding to corrected trade leg.
    →1894LegTradeIDuInt324Y
    The TradeID value corresponding to a trade leg
    →39023LegTradeRefIDuInt32NULL4N
    Refers to the original LegTradeID of the leg trade being corrected
    →602LegSecurityIDInt324Y
    Leg SecurityID
    →1418LegLastQtyuInt324Y
    Fill quantity for the leg instrument.
    →624LegSideSideReq1Y

    The side of this individual leg of a multileg security.

    1795NoOrderEventsgroupSize3N

    Number of fills which comprise fill quantity.

    Applicable for BrokerTec markets only.

    →1799OrderEventPxPRICE98Y
    Refers to the fill price; same as tag 31-LastPx.
    →1802OrderEventTextString55N
    Not 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.
    →1796OrderEventTypeTradeAddendum1Y
    • 100=Trade Cancel
    • 101=Trade Correction
    • 4=Partially Filled
    • 5=Filled
    The type of event affecting an order.
    →1798OrderEventReasonuInt81Y
    • 100=Binary Trade Reporting
    Action that caused the event to occur.
    →6555OriginalOrderEventExecIDuInt32NULL$N
    Contains the previous tag 1797-OrderEventExecID value of the trade being adjusted or busted.
  • Page:
    iLink 3 Execution Report - Trade Addendum Spread Leg (Electronic Platform Information Console)

    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 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.

    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.

    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) 

    9703OrigSecondaryExecutionIDuInt64NULL8N
    Unique identifier of the corrected fill.
    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.

    48SecurityIDInt324Y
    Security ID as defined in the market data Security Definition message.
    32LastQtyuInt324Y
    Quantity bought/sold on this (last) fill.
    1506SideTradeIDuInt324Y
    The unique ID assigned to the trade once it is received or matched by the exchange.
    1507OrigSideTradeIDuInt32NULL4N
    Refers to the unique ID assigned to the corrected trade.
    75TradeDateLocalMktDate2Y

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

    Sent in number of days since Unix epoch.

    39OrdStatusOrdStatusTrdCxl1Y
    • OrdStatus=H (Trade Cancel)
    • OrdStatus=G (Trade Correction)

    Identifies status of order as trade cancellation or correction.

    150ExecTypeExecTypTrdCxl1Y
    • ExecType=H (Trade Cancel)
    • ExecType=G (Trade Correction)

    Describes the specific Execution Report as trade cancellation or correction.

    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 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

    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

    54SideSideReq1Y
    • Side=1 (Buy)
    • Side=2 (Sell)
    Side of order.
    1362NoFillsgroupSize3Y

    Specifies the number of fill reasons included in this Execution Report.

    Maximum number of fill reasons is 6.

    Note: The number of fill reason is always '1' for spread leg fills.

    →1364FillPxPRICE98Y
    Price of this fill reason or allocation. Required if NoFills (tag 1362) > 0. Same as LastPx (tag 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.
    →1622FillYieldTypeuInt81Y

    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.

    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; unique per instrument per day.
    →1800OrderEventQtyuInt324Y
    Refers to the specific fill quantity between this order and the opposite order.
    →1796OrderEventTypeTradeAddendum1Y
    • 100=Trade Cancel
    • 101=Trade Correction
    • 4=Partially Filled
    • 5=Filled
    The type of event affecting an order.
    →1798OrderEventReasonuInt81Y
    • 100=Binary Trade Reporting
    Action that caused the event to occur.
    →6555OriginalOrderEventExecIDuInt32NULL$N

    Contains the previous tag 1797-OrderEventExecID value of the trade being adjusted or busted.

    Will not be present on the following message types

    • ExecutionReportTradeOutright
    • ExecutionReportTradeSpread
    • ExecutionReportTradeSpreadLeg
  • Page:
    iLink 3 Execution Report - New Order (Electronic Platform Information Console)

    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 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 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.

    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.
    37OrderIDuInt648Y
    Unique identifier for order assigned by the exchange. Uniqueness is guaranteed within a single trading day across all instruments.
    44PricePRICE98Y
    Price per share or contract.
    99StopPxPRICENULL98N
    The stop price of a stop limit and stop protect order (Conditionally present if tag 40-OrdType=4).
    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.
    2422OrderRequestIDuInt648Y

    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.

    548CrossIDuInt64NULL8N
    Identifier for a Cross order. Present if Execution Report is in response to a Cross order.
    961HostCrossIDuInt64NULL8N

    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.

    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.
    48SecurityIDInt324Y
    Security ID as defined in the market data Security Definition message.
    38OrderQtyuInt324Y

    Number of shares or contracts ordered.

    110MinQtyuInt32NULL4N
    Minimum quantity of an order to be executed.
    1138DisplayQtyuInt32NULL4N

    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.

    432ExpireDateLocalMktDate2Y

    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.

    5904DelayDurationuInt16NULL2N

    Not currently being used.

    39OrdStatusOrdStatusNew0Y

    OrdStatus=0 (New)

    Identifies status of order as new.

    Constant value.

    150ExecTypeExecTypNew0Y

    ExecType=0 (New)

    Describes the specific Execution Report as new.

    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=6 (GTD)
    Specifies how long the order remains in effect.
    1028ManualOrderIndicator

    ManualOrdIndReq

    1Y
    • 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

    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

    9553SplitMsgSplitMsg1N
    • 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.

    549CrossTypeuInt8NULL1N
    • CrossType=3

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

    18ExecInstExecInst1N
    • 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.

    5906ExecutionModeExecMode1N
    • 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.

    9373LiquidityFlagBooleanNULL1N
    • 0=False
    • 1=True

    Indicates if an order was submitted for market making obligation as required for MFID.

    Applicable only for EU fixed income markets.

    6881ManagedOrderBooleanNULL1N
    • 0=False
    • 1=True

    Boolean: flags a managed order.

    Applicable only to Repo fixed income markets.

    5409ShortSaleTypeShortSaleType1N
    • 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 type of short sale on Sell orders only as required for MiFID.

    Should not be used for Buy orders.

    Applicable only for EU fixed income markets.

    7552DelayToTimeuInt64NULL8N

    Indicates the amount of time that a message was delayed as a result of being:

    • split (9553=0)
    • out of order due to TCP retransmission (9553=1)
    • 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-TransactTime will represent original received time of delayed message.

  • Page:
    iLink 3 Execution Report - Cancel (Electronic Platform Information Console)

    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 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 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.

    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.
    37OrderIDuInt648Y
    Unique identifier for order assigned by the exchange. Uniqueness is guaranteed within a single trading day across all instruments.
    44PricePRICE98Y
    Price per share or contract.
    99StopPxPRICENULL98N
    The stop price of a stop limit or stop protect order (conditionally required if tag 40-OrdType=3 or 4).
    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.
    2422OrderRequestIDuInt648Y

    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.

    548CrossIDuInt64NULL8N
    Identifier for a cross order. Will be present if Execution Report is in response to a cross order.
    961HostCrossIDuInt64NULL8N

    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.

    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.
    48SecurityIDInt324Y
    Security ID as defined in the market data Security Definition message.
    38OrderQtyuInt324Y

    Number of shares or contracts ordered.

    14CumQtyuInt324Y

    Total quantity filled.

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

    110MinQtyuInt32NULL4N
    Minimum quantity of an order to be executed.
    1138DisplayQtyuInt32NULL4N

    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.

    432ExpireDateLocalMktDate2Y

    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.

    5904DelayDurationuInt16NULL2N

    Not currently being used.

    39OrdStatusOrdStatusCxl0Y

    OrdStatus=4 (Cancelled)

    Identifies status of order as Cancelled.

    Constant value.

    150ExecTypeExecTypeCxl0Y

    ExecType=4 (Cancelled)

    Describes the specific Execution Report as cancelled.

    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=6 (GTD)
    Specifies how long the order remains in effect.
    1028ManualOrderIndicator

    ManualOrdIndReq

    1Y
    • 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

    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

    9553SplitMsgSplitMsg1N
    • 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.

    378ExecRestatementReasonExecReason1N
    • 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 volatility quote option less than min order size)

    Used to communicate unsolicited cancels.

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


    549CrossTypeuInt8NULL1N
    • CrossType=3

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

    18ExecInstExecInst1N
    • 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.

    5906ExecutionModeExecMode1N
    • 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.

    9373LiquidityFlagBooleanNULL1N
    • 0=False
    • 1=True

    Indicates if an order was submitted for market making obligation as required for MIFID.

    Applicable only for EU fixed income markets.

    6881ManagedOrderBooleanNULL1N
    • 0=False
    • 1=True

    Boolean: flags a managed order.

    Applicable only to Repo fixed income markets.

    5409ShortSaleTypeShortSaleType1N
    • 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 type of short sale on Sell orders only as required for MiFID.

    Should not be used for Buy orders.

    Applicable only for EU fixed income markets.

    7552DelayToTimeuInt64NULL8N

    Indicates the amount of time that a message was delayed as a result of being:

    • split (9553=0)
    • out of order due to TCP retransmission (9553=1)
    • 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-TransactTime will represent original received time of delayed message.

  • Page:
    iLink 3 Party Details Definition Request Acknowledgment (Electronic Platform Information Console)

    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.
    5149MemoString7575N

    This general purpose text field maps from iLink to Clearing STP for trades.

    Not available for use with the short format where PartyDetailsListReqID≠0.

    Available for use only with the long format where PartyDetailsListReqID=0.

    1731AvgPxGroupIDString2020N

    Used by submitting firm to group trades being allocated into an average price group.

    The trades in average price group will be used to calculate an average price for the group.

    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 sent in response to the Party Details Definition Request
    • 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.
    5297SendingTimeEpochuInt648Y
    Time when the message is sent. 64-bit integer expressing the number of nano seconds since midnight January 1, 1970.
    2362SelfMatchPreventionIDuInt64NULL8N
    Identifies an order or trade that should not be matched to an opposite order or trade if both buy and sell orders for the same asset contain the same tag 2362-SelfMatchPreventionID and submitted by the same firm.
    1878PartyDetailRequestStatusuInt81Y0=AcceptedStatus of Party Details Definition Request.
    582CustOrderCapacityCustOrderCapacity1N

    1=Applies to orders entered or trades executed by an individual member for their own account, for an account they controls, or for an account in which they have an ownership or financial interest. However, transactions initiated and executed by a member for the proprietary account of a member firm must be designated as CTI 2 transactions.

    2=Applies to orders entered or trades executed for the proprietary accounts of a member firm, including Rule 106.H., I., N., R. and S. firms.

    3=Applies to orders entered by a member or a nonmember terminal operator for the account of another individual member or an account controlled by such individual member

    4=Applies to all orders and transactions not included in CTI categories 1, 2, or 3. These typically are orders entered by or on behalf of nonmember entities.

    Capacity of customer placing the order.

    Used by futures exchanges to indicate the CTICode (customer type indicator) as required by the US CFTC (Commodity Futures Trading Commission).

    Not applicable for fixed income markets.

    1816ClearingAccountTypeClearingAcctType1N

    0=Customer

    1=Firm

    Designates the account type to be used for the order when submitted to clearing.

    Not applicable for fixed income markets.

    8000SelfMatchPreventionInstructionSMPI1N

    N=Cancel Newest

    O=Cancel Oldest

    Used to determine the outcome when a self-match is detected and an order is prevented from trading against another order with the same SelfMatchPreventionID (tag 2362).

    N=Cancel newest signifies that incoming order is cancelled.

    O=Cancel Oldest signifies that the resting order is cancelled.

    Absence of this field (with tag 2362) is interpreted as cancel oldest.

    819AvgPxIndicatorAvgPxInd1N

    0=No average pricing

    1=Trade is part of an average price group identified by the AvgPxGroupID (tag 1731)

    3=Trade is part of a notional value average price group

    A notional value average price (NVAP) group is effectively closed and available for allocation as long as the NVAP of the group is non-zero

    Average pricing indicator.
    1598ClearingTradePriceTypeSLEDS1N

    0=Trade clearing at execution price

    1=Trade clearing at alternate clearing price

    Indicates to recipient whether trade is clearing at execution prices tag 31-LastPx or alternate clearing price (prior day settlement price).
    9708CmtaGiveUpCDCmtaGiveUpCD1N

    G=GiveUp

    S=SGX Offset

    Indicates if the order is a give-up or SGX offset.
    1031CustOrderHandlingInstCustOrdHandlInst1N
    • C = FCM-provided screen
    • D = Other provided screen
    • G = FCM API or FIX
    • H = Algo Engine
    • W = Desk – Electronic
    • Y = Client – Electronic 

    Codes that apply special information that the Broker / Dealer needs to report, as specified by the customer.

    Defines source of the order.

    Required for CME Group futures and options only.
    1676NoPartyUpdatesNoPtyUpd0Y

    Always "1"

    Number of party updates.

    Constant value of 1.

    1324ListUpdateActionListUpdAct1Y

    A=Add

    D=Delete (TBD)

    Indicates if all of the information sent in this message with a unique new PartyDetailsListReqID is a new addition or deletion of existing information associated with an existing PartyDetailsListReqID

    For PartyDetailsListReqID=0 this should always be set to "A"

    1879PartyDetailDefinitionStatusuInt81Y0=AcceptedStatus of party detail definition for one party.
    5290ExecutoruInt64NULL8N

    Will be populated with the MIFID short code for the person or algo identified in FIX tag 5392 which will be mapped to National ID or Algo at reporting time.

    Applicable for EU fixed income markets only.

    36023IDMShortCodeuInt64NULL8N

    Represents the MIFID Short Code of the Investment Decision Maker Short Code.

    Applicable for EU fixed income markets only.

    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

    9553SplitMsgSplitMsg1N
    • 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.

    1671NoPartyDetailsgroupSize3Y

    minValue=1

    maxValue=5

    Number of party details.

    More than one occurrence of the same party role will be rejected.

    →1691PartyDetailIDString20Req20Y
    The identification of the party.
    →1692PartyDetailIDSourcePartyIDSource0YAlways “C” – Generally accepted market participant identifier

    Used to identify source of PartyDetailID value.

    Constant value.

    →1693PartyDetailRolePartyDetailRole2Y
    • PartyDetailRole=96 (take up firm)
    • PartyDetailRole=1000 (take up account)
    • PartyDetailRole=1 (executing firm)
    • PartyDetailRole=118 (operator)
    • PartyDetailRole=24 (customer account)

    Identifies the type of PartyDetailID.

    PartyDetailRole=24 is required for futures and options markets.

    PartyDetailRole=1 is required for futures, options and fixed income markets.

    PartyDetailRole=118 

    PartyDetailRole=118 represents the party responsible for submission of the message.  It is required for futures and options markets and fixed income markets.  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.

    PartyDetailRole=96 and 1000 are applicable only for futures and options markets.

    2668

    NoTrdRegPublications

    groupSize

    3

    N


    Number of regulatory publication rules in repeating group for MIFID reporting

    Used to indicate that an ESCB customer can exempt from disclosure any activity that is related to central banking activity

    Should always be '1' if used otherwise set to '0'

    →2669

    TrdRegPublicationType

    uInt8

    1

    Y

    2=Exempt from Publication

    Specifies the type of regulatory trade publication

    Additional reasons for the publication type will be specified in tag 2670-TrdRegPublicationReason

    Represents allowable exemptions for the post-trade publication of trade transactions

    Required when NoTrdRegPublications (tag 2668) > 0

    Should always be "2"

    →2670

    TrdRegPublicationReason

    uInt8

    1

    Y

    12=Exempted due to European System of Central Banks (ESCB) policy transaction

    Additional reason for trade publication type specified in tag 2669-TrdRegPublicationType (2669)

    Reasons may be specific to regulatory trade publication rules

    Required when NoTrdRegPublications (tag 2668) > 0

    Should always be "12"

  • Page:
    iLink 3 Party Details List Report (Electronic Platform Information Console)

    Tag

    Field Name

    Binary Type

    Binary Length

    Required

    Value

    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.
    1731AvgPxGroupIDString2020N

    Used by submitting firm to group trades being allocated into an average price group.

    The trades in average price group will be used to calculate an average price for the group.

    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.
    1510PartyDetailsListReportIDuInt648Y
    Refers to the unique identifier of the Party Details List Request (35=CF) message used to request this Party Details List Report.
    5297SendingTimeEpochuInt648Y
    Time when the message is sent. 64-bit integer expressing the number of nano seconds since midnight January 1, 1970.
    2362SelfMatchPreventionIDuInt64NULL8N
    Identifies an order or trade that should not be matched to an opposite order or trade if both buy and sell orders for the same asset contain the same tag 2362-SelfMatchPreventionID and submitted by the same firm.
    1512TotNumPartiesuInt162Y
    Indicates total number of Party Details List Reports being returned in response to Party Details List Request.
    1511RequestResultReqResult1Y

    0=Valid Request

    2=No Data Found That Matched Selection Criteria

    3=Not Authorized to Retrieve Data

    4=Data Temporarily Unavailable

    Status of party details list request.
    893LastFragmentBooleanFlag1Y

    0=False

    1=True

    Indicates whether this message is the last Party Details List Report in response to Party Details List Request.
    582CustOrderCapacityCustOrderCapacity1N

    1=Applies to orders entered or trades executed by an individual member for their own account, for an account they controls, or for an account in which they have an ownership or financial interest. However, transactions initiated and executed by a member for the proprietary account of a member firm must be designated as CTI 2 transactions.

    2=Applies to orders entered or trades executed for the proprietary accounts of a member firm, including Rule 106.H., I., N., R. and S. firms.

    3=Applies to orders entered by a member or a nonmember terminal operator for the account of another individual member or an account controlled by such individual member

    4=Applies to all orders and transactions not included in CTI categories 1, 2, or 3. These typically are orders entered by or on behalf of nonmember entities.

    Capacity of customer placing the order.

    Used by futures exchanges to indicate the CTICode (customer type indicator) as required by the US CFTC (Commodity Futures Trading Commission).

    Not applicable for fixed income markets.

    1816ClearingAccountTypeClearingAcctType1N

    0=Customer

    1=Firm

    Designates the account type to be used for the order when submitted to clearing.
    8000SelfMatchPreventionInstructionSMPI1N

    N=Cancel Newest

    O=Cancel Oldest

    Used to act upon the outcome when a self-match is detected and an order is prevented from trading against another order with the same SelfMatchPreventionID (tag 2362).

    N=Cancel newest signifies that incoming order is cancelled

    O=Cancel Oldest signifies that the resting order is cancelled

    Absence of this field (with Tag 2362) is interpreted as cancel oldest.

    819AvgPxIndicatorAvgPxInd1N

    0=No average pricing

    1=Trade is part of an average price group identified by the AvgPxGroupID(1731)

    3=Trade is part of a notional value average price group

    A notional value average price (NVAP) group is effectively closed and available for allocation as long as the NVAP of the group is non-zero

    Average pricing indicator.
    1598ClearingTradePriceTypeSLEDS1N

    0=Trade clearing at execution price

    1=Trade clearing at alternate clearing price

    Indicates to recipient whether trade is clearing at execution prices tag 31-LastPx or alternate clearing price (prior day settlement price).
    9708CmtaGiveUpCDCmtaGiveUpCD1N

    G=GiveUp

    S=SGX Offset

    Indicates if the order is a give-up or SGX offset
    1031CustOrderHandlingInstCustOrdHandlInst1N
    • C = FCM-provided screen
    • D = Other provided screen
    • G = FCM API or FIX
    • H = Algo Engine
    • W = Desk – Electronic
    • Y = Client – Electronic 

    Codes that apply special information that the Broker / Dealer needs to report, as specified by the customer.

    Defines source of the order.

    Required for CME Group futures and options only.
    5290ExecutoruInt64NULL8N

    Will be populated with the MIFID short code for the person or algo identified in FIX tag 5392 which will be mapped to National ID or Algo at reporting time.

    Applicable for EU fixed income markets only.

    36023IDMShortCodeuInt64NULL8N

    Represents the MIFID Short Code of the Investment Decision Maker Short Code.

    Applicable for EU fixed income markets only.

    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

    9553SplitMsgSplitMsg1N
    • 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.

    1671NoPartyDetailsgroupSize3N

    minValue=1

    maxValue=5

    Number of party details.

    More than one occurrence of the same party role will be rejected.

    →1691PartyDetailIDString20Req20Y
    The identification of the party.
    →1692PartyDetailIDSourcePartyIDSource0YAlways “C” – Generally accepted market participant identifier

    Used to identify source of PartyDetailID value.

    Constant value.

    →1693PartyDetailRolePartyDetailRole2Y
    • PartyDetailRole=96 (take up firm)
    • PartyDetailRole=1000 (take up account)
    • PartyDetailRole=1 (executing firm)
    • PartyDetailRole=118 (operator)
    • PartyDetailRole=24 (customer account)

    Identifies the type of PartyDetailID.

    PartyDetailRole=24 is required for futures and options markets.

    PartyDetailRole=1 is required for futures, options and fixed income markets.

    PartyDetailRole=118 

    PartyDetailRole=118 represents the party responsible for submission of the message. It is required for futures and options markets and fixed income markets. 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.

    PartyDetailRole=96 and 1000 are applicable only for futures and options markets.

    2668

    NoTrdRegPublications

    groupSize

    3

    N


    Number of regulatory publication rules in repeating group for MIFID reporting

    Used to indicate that an ESCB customer can exempt from disclosure any activity that is related to central banking activity

    Should always be '1' if used otherwise set to '0'

    →2669

    TrdRegPublicationType

    uInt8

    1

    Y

    2=Exempt from Publication

    Specifies the type of regulatory trade publication

    Additional reasons for the publication type will be specified in tag 2670-TrdRegPublicationReason

    Represents allowable exemptions for the post-trade publication of trade transactions

    Required when NoTrdRegPublications (tag 2668) > 0

    Should always be "2"

    →2670

    TrdRegPublicationReason

    uInt8

    1

    Y

    12=Exempted due to European System of Central Banks (ESCB) policy transaction

    Additional reason for trade publication type specified in tag 2669-TrdRegPublicationType (2669)

    Reasons may be specific to regulatory trade publication rules

    Required when NoTrdRegPublications (tag 2668) > 0

    Should always be "12"

  • Page:
    iLink 3 Mass Quote (Electronic Platform Information Console)

    Tag

    Name

    Binary Type

    Binary Length

    Req

    Enumeration

    Description

    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.
    5297SendingTimeEpochuInt648Y
    Time when the message is sent. 64-bit integer expressing the number of nano seconds since midnight January 1, 1970.
    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 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

    9726SeqNumuInt324Y

    Sequence number assigned to this message.

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

    5392SenderIDString20Req20Y

    For futures and options markets: represents Operator ID.

    For 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.

    131QuoteReqIDuInt64NULL8N
    Unique identifier for quote request being responded to.
    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.

    117QuoteIDuInt324Y
    Unique identifier for Mass Quote populated by the client system.
    304TotNoQuoteEntriesuInt81Y

    Total number of quotes for the quote set across all messages. Should be the sum of all NoQuoteEntries in each message that has repeating quotes that are part of the same quote set. Required if NoQuoteEntries > 0.

    Since fragmentation is not supported, this will always be equal to the value of NoQuoteEntries.

    9773MMProtectionResetBooleanFlag1Y
    • 0=False
    • 1=True
    When Market Maker Protection is triggered, CME Globex will not accept any new quotes from the market maker for that product group until it receives a Mass Quote message with the MMProtectionReset flag set to True (1).
    9373LiquidityFlagBooleanNULL1N
    • 0=False
    • 1=True

    Indicates if an order was submitted for market making obligation as required for MIFID.

    Applicable only for EU fixed income markets.

    5409ShortSaleTypeShortSaleType1N
    • 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 type of short sale on Sell orders only as required for MiFID.

    Should not be used for Buy orders.

    Applicable only for EU fixed income markets.

    5187ReservedString3030N
    Reserved for future use.
    295NoQuoteEntriesgroupSize3Y
    • minValue=1
    • maxValue=15
    The number of quote entries for a quote set.
    →132BidPxPRICENULL98N
    Bid price/rate accompanying bid size (tag 134). Note that either BidPx, OfferPx. or both must be specified for a new quote.
    →133OfferPxPRICENULL98N
    Offer price/rate. This goes together with offer size (tag 135). Note that either BidPx, OfferPx or both must be specified for a new quote.
    →299QuoteEntryIDuInt324Y

    Unique identifier for a quote. The QuoteEntryID persists with the quote as a static identifier even if the quote is updated.

    For fills, this value is transposed into the Client Order ID (tag 11).

    For trade cancellation or correction resulting from quotes, this value is not transposed into the Client Order ID (tag 11).

    →48SecurityIDInt324Y
    Security ID as defined in the market data Security Definition message.
    →134BidSizeuInt32NULL4N
    Quantity of bid. This accompanies bid price (tag 132).
    →135OfferSizeuInt32NULL4N
    Quantity of offer. This accompanies offer price (tag 133).
    →309UnderlyingSecurityIDInt32NULL4N


    Description of the underlying futures security.

    →302QuoteSetIDuInt162Y
    Unique ID for the Quote Set.
  • Page:
    iLink 3 Execution Report - Modify (Electronic Platform Information Console)

    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 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.

    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.
    37OrderIDuInt648Y
    Unique identifier for order assigned by the exchange. Uniqueness is guaranteed within a single trading day across all instruments.
    44PricePRICE98Y
    Price per share or contract.
    99StopPxPRICENULL98N
    The stop price of a stop limit and stop protect order (conditionally present if tag 40-OrdType=4).
    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.
    2422OrderRequestIDuInt648Y

    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.

    548CrossIDuInt64NULL8N
    Identifier for a cross order. Present if Execution Report is in response to a Cross order.
    961HostCrossIDuInt64NULL8N

    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.

    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: for Cancel/Replace (tag 35-MsgType=G) messaging, the tag 142 value submitted in the original New Order will not persist for the lifetime of the order.

    48SecurityIDInt324Y
    Security ID as defined in the market data Security Definition message.
    38OrderQtyuInt324Y

    Number of shares or contracts ordered.

    14CumQtyuInt324Y

    Total quantity filled.

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

    151LeavesQtyuInt324Y

    Quantity open for further execution.

    LeavesQty = OrderQty (tag 38) - CumQty (tag 14)

    110MinQtyuInt32NULL4N
    Minimum quantity of an order to be executed.
    1138DisplayQtyuInt32NULL4N

    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.

    432ExpireDateLocalMktDate2Y

    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.

    5904DelayDurationuInt16NULL2N

    Not currently being used.

    39OrdStatusModifyStatus0Y
    • OrdStatus=5 (Replaced)

    Identifies current status of order.

    Constant value.

    150ExecTypeExecTypeModify0Y
    • ExecType=5 (Replaced)

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

    Constant value.

    40OrdTypeOderType1Y
    • 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=6 (GTD)
    Specifies how long the order remains in effect.
    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 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

    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

    9553SplitMsgSplitMsg1N
    • 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.

    549CrossTypeuInt8NULL1N
    • CrossType=3

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

    18ExecInstExecInst1N
    • 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.

    5906ExecutionModeExecMode1N
    • 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.

    9373LiquidityFlagBooleanNULL1N
    • 0=False
    • 1=True

    Indicates if an order was submitted for market making obligation as required for MIFID.

    Applicable only for EU fixed income markets.

    6881ManagedOrderBooleanNULL1N
    • 0=False
    • 1=True

    Boolean: flags a managed order.

    Applicable only to Repo fixed income markets.

    5409ShortSaleTypeShortSaleType1N
    • 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 type of short sale on Sell orders only as required for MiFID.

    Should not be used for Buy orders.

    Applicable only for EU fixed income markets.

    7552DelayToTimeuInt64NULL8N

    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.

  • Page:
    iLink 3 Execution Report - Reject (Electronic Platform Information Console)

    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.
    58TextString256256N


    Reject reason details.

    Used only for descriptive rejects.

    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 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.

    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.
    37OrderIDuInt648Y

    Unique identifier for order as assigned by the exchange. Uniqueness is guaranteed within a single trading day across all instruments.

    44PricePRICENULL98N
    Price per share or contract.
    99StopPxPRICENULL98N
    The stop price of a stop limit and stop protect order (conditionally present if tag 40-OrdType=4).
    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.
    2422OrderRequestIDuInt648Y

    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.

    548CrossIDuInt64NULL8N
    Identifier for a Cross order. Will be present if Execution Report is in response to a Cross order.
    961HostCrossIDuInt64NULL8N

    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.

    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.
    48SecurityIDInt324Y
    Security ID as defined in the market data Security Definition message.
    38OrderQtyuInt324Y
    Order quantity submitted by client.
    110MinQtyuInt32NULL4N
    Minimum quantity of an order to be executed.
    1138DisplayQtyuInt32NULL4N

    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.

    103OrdRejReasonuInt162Y
    Code to identify reason for order rejection.
    432ExpireDateLocalMktDate2Y

    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.

    5904DelayDurationuInt16NULL2N

    Not currently being used.

    39OrdStatusOrdStatusRej0Y
    • OrdStatus=8 (Rejected)

    Identifies current status of order as rejected.

    Constant value.

    150ExecTypeExecTypRej0Y
    • ExecType=8 (Rejected)

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

    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=6 (GTD)
    Specifies how long the order remains in effect.
    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 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

    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

    9553SplitMsgSplitMsg1N
    • 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.

    549CrossTypeuInt8NULL1N
    • CrossType=3

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

    18ExecInstExecInst1N
    • 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.

    5906ExecutionModeExecMode1N
    • 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.

    9373LiquidityFlagBooleanNULL1N
    • 0=False
    • 1=True

    Indicates if an order was submitted for market making obligation as required for MIFID.

    Applicable only for EU fixed income markets.

    6881ManagedOrderBooleanNULL1N
    • 0=False
    • 1=True

    Boolean: flags a managed order.

    Applicable only to Repo fixed income markets.

    5409ShortSaleTypeShortSaleType1N
    • 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 type of short sale on Sell orders only as required for MiFID.

    Should not be used for Buy orders.

    Applicable only for EU fixed income markets.

    7552DelayToTimeuInt64NULL8N

    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.

  • Page:
    iLink 3 Quote Cancel Acknowledgment (Electronic Platform Information Console)

    Tag

    Field 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.
    58TextString256256N


    Reject reason details.

    Used only for descriptive rejects.

    5392SenderIDString20Req20Y

    For futures and options markets: represents Operator ID.

    For 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.

    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.
    5979RequestTimeuIn648Y
    Time (UTC) the request was received by the MSGW. UTC timestamps are sent in number of nanoseconds since the UNIX epoch with microsecond precision.
    5297SendingTimeEpochuInt648Y
    Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.
    9774CancelledSymbolStringLength66Y
    Security Group cancelled for a Quote Cancel acknowledgment.
    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.

    117

    QuoteID

    uInt32

    4

    Y
    Unique identifier for Quote Cancel message.

    300

    QuoteRejectReason

    uInt16NULL

    2

    N1=Unknown symbol (security)
    2=Exchange (Security) closed
    3=Quote request exceeds limit
    5=Unknown quote
    6=Duplicate quote
    7=Invalid bid/ask spread
    8=Invalid price
    9=Not authorized to quote security
    20=Too many rejects and cancel Product Code*
    98=Market maker protection*
    99=Missing account number or 'other' reason*
    *CME defined value
    Contains reason (error code) the corresponding Request for Quote message has been rejected.
    5904DelayDurationuInt16NULL2N

    Not currently being used.

    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 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

    297QuoteStatusQuoteCxlStatus1Y
    • 1=Cancel per Instrument
    • 3=Cancel for Security Group
    • 4=Cancel All Quotes
    • 5=Rejected
    • 100=Cancel per Quote Set

    Identifies the type of Quote Cancel. A working quote can be cancelled by providing either it's instrument, quote set, product group, or by cancelling all.

    9772NoProcessedEntriesuInt81Y
    Number of quotes that have been accepted from the corresponding inbound message.
    9773MMProtectionResetBooleanFlag1Y
    • 0=False
    • 1=True

    Set to '1' on the Quote Cancel Acknowledgment message sent after Market Maker Protection is triggered and all resting quotes are cancelled for that particular group (tag 297=3).

    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

    9775UnsolicitedCancelTypeCharNULL1NTag 9775-UnsolicitedCancelTypes Table of ValuesType of Quote Cancel generated by CME. Returned only for unsolicited quote cancels.
    9553SplitMsgSplitMsg
    N
    • 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.

    304TotNoQuoteEntriesuInt8NULL1N

    Total number of quotes for the quote set across all messages.

    Will be populated only for enumerated rejects for Cancel by Instrument.

    9373LiquidityFlagBooleanNULL1N
    • 0=False
    • 1=True

    Indicates if an order was submitted for market making obligation as required for MiFID.

    Applicable only for EU fixed income markets.

    295NoQuoteEntriesgroupSize3Y
    • minValue=1
    • maxValue=15

    The number of quote entries for a quote set.

    Populated only for enumerated rejects for Cancel by Instrument.

    →299QuoteEntryIDuInt324Y
    Unique identifier for a quote. The QuoteEntryID stays with the quote as a static identifier even if the quote is updated. For fills, this value is transposed into client order ID (tag 11).
    →48SecurityIDInt324Y
    Security ID as defined in the market data Security Definition message.
    →368QuoteEntryRejectReasonuInt81YReject codesReason (error code) quote has been rejected.
    296NoQuoteSetsgroupSize3N


    The number of sets of quotes in the message.

    Will be populated only for enumerated rejects for Cancel by Quote Set.

    →302QuoteSetIDuInt162Y
    Unique ID for the Quote Set.
    →9030QuoteErrorCodeuInt162Y

    1=Unknown symbol (Security)

    2=Exchange (Security) closed

    4=Too late to enter

    6=Duplicate quote set ID (if CME Globex already processed this quote set ID in the same message)

    9=Not authorized to quote security

    Reason (error code) quote set cancel has been rejected.
    7552DelayToTimeuInt64NULL8N

    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.

  • Page:
    iLink 3 Order Cancel Replace Reject (Electronic Platform Information Console)

    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.
    58TextString256256N


    Reject reason details.

    Used only for descriptive rejects

    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 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.

    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.
    37OrderIDuInt648Y
    Unique identifier for order as assigned by the exchange. Uniqueness is guaranteed within a single trading day across all instruments.
    60TransactTimeuInt648Y
    Time the transaction represented by this Order Cancel Replace Reject (35=9) 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.
    2422OrderRequestIDuInt648Y

    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.

    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: for Cancel/Replace (tag 35-MsgType=G) messaging, the tag 142 value submitted in the original New Order will not persist for the lifetime of the order.

    102CxlRejReasonuInt162Y
    Code to identify reason for order rejection.
    5904DelayDurationuInt16NULL2N

    Not currently being used.

    39OrdStatusOrdStatusCxrRej0Y
    • OrdStatus=U (Undefined)

    Identifies status of modification reject.

    Constant value.

    434CxlRejResponseToCxrRejRsp0Y
    • 2=OrderCancelReplaceRequest

    Identifies the type of request that a Cancel Reject is in response to.

    Constant value.

    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 0=Automated

    • 1=Manual

    Indicates if the message was initially received manually.
    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

    9553SplitMsgSplitMsg1N
    • 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.

    9373LiquidityFlagBooleanNULL1N
    • 0=False
    • 1=True

    Indicates if an order was submitted for market making obligation as required for MIFID.

    Applicable only for EU fixed income markets.

    7552DelayToTimeuInt64NULL8N

    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.

  • Page:
    iLink 3 Request for Quote Acknowledgment (Electronic Platform Information Console)

    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.
    58TextString256256N


    Reject reason details.

    Used only for descriptive rejects.

    5392SenderIDString20Req20Y

    For futures and options markets: represents Operator ID.

    For 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.

    9770

    ExchangeQuoteReqID

    String17

    17

    Y
    CME Globex generated QuoteID.
    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.
    5979RequestTimeuIn648Y
    Time (UTC) the request was received by the MSGW. UTC timestamps are sent in number of nanoseconds since the UNIX epoch with microsecond precision.
    5297SendingTimeEpochuInt648Y
    Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.

    131

    QuoteReqID

    uInt64

    8

    Y
    Unique identifier for Quote Request message.
    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.

    300

    QuoteRejectReason

    uInt16NULL

    2

    N1=Unknown symbol (security)
    2=Exchange (Security) closed
    3=Quote request exceeds limit
    5=Unknown quote
    6=Duplicate quote
    7=Invalid bid/ask spread
    8=Invalid price
    9=Not authorized to quote security
    20=Too many rejects and cancel Product Code*
    98=Market maker protection*
    99=Missing account number or 'other' reason*
    *CME defined value
    Contains reason (error code) the corresponding Request for Quote message has been rejected.
    5904DelayDurationuInt16NULL2N

    Not currently being used.

    297

    QuoteStatus

    QuoteAckStatus

    1

    Y
    • 0=Accepted 
    • 5=Rejected
    Indicates acceptance or rejection.
    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 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

    9553SplitMsgSplitMsg1N
    • 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.

    9765

    PossRetransFlag

    BooleanFlag

    1

    Y

    • 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

    7552DelayToTimeuInt64NULL8N

    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.

  • Page:
    iLink 3 Mass Quote Acknowledgment (Electronic Platform Information Console)

    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.
    58TextString256256N


    Reject reason details.

    Used only for descriptive rejects.

    5392SenderIDString20Req20Y

    For futures and options markets: represents Operator ID.

    For 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, including preceding and following spaces.
    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.
    5979RequestTimeuIn648Y
    Time (UTC) the request was received by the MSGW. UTC timestamps are sent in number of nanoseconds since the UNIX epoch with microsecond precision.
    5297SendingTimeEpochuInt648Y
    Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.

    131

    QuoteReqID

    uInt64NULL

    8

    N
    Conditionally present when Mass Quote was sent in response to Request for Quote.
    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.
    117QuoteIDuInt324Y
    Unique identifier for Mass Quote populated by the client system.

    300

    QuoteRejectReason

    uInt16NULL

    2

    N1=Unknown symbol (security)
    2=Exchange (Security) closed
    3=Quote request exceeds limit
    5=Unknown quote
    6=Duplicate quote
    7=Invalid bid/ask spread
    8=Invalid price
    9=Not authorized to quote security
    20=Too many rejects and cancel Product Code*
    98=Market maker protection*
    99=Missing account number or 'other' reason*
    *CME defined value
    Contains reason (error code) the corresponding Mass Quote message has been rejected. When this tag is returned, all quotes in the corresponding Mass Quote message are rejected.
    5904DelayDurationuInt16NULL2N

    Not currently being used.

    297

    QuoteStatus

    QuoteAckStatus

    1

    Y
    • 0=Accepted 
    • 5=Rejected
    Indicates acceptance or rejection of Mass Quote message.
    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 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

    9772NoProcessedEntriesuInt81Y
    Number of quotes that have been accepted from the corresponding inbound message.
    9773MMProtectionResetBooleanFlag1Y
    • 0=False
    • 1=True
    Set to Y on the first Quote Acknowledgment sent after Market Maker Protection reset.
    9553SplitMsgSplitMsg1N
    • 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.

    9373LiquidityFlagBooleanNULL1N
    • 0=False
    • 1=True

    Indicates if an order was submitted for market making obligation as required for MIFID.

    Applicable only for EU fixed income markets.

    5409ShortSaleTypeShortSaleType1N
    • 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 type of short sale on Sell orders only as required for MiFID.

    Should not be used for Buy orders.

    Applicable only for EU fixed income markets.

    304TotNoQuoteEntriesuInt8NULL1N

    Total number of quotes for the quote set across all messages.

    Populated only for enumerated rejects.

    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

    7552DelayToTimeuInt64NULL8N

    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.

    295NoQuoteEntriesgroupSize3N
    • minValue=1
    • maxValue=15

    The number of quote entries for a quote set.

    Populated only for enumerated rejects.

    →299QuoteEntryIDuInt324Y
    Unique identifier for a quote. The QuoteEntryID stays with the quote as a static identifier even if the quote is updated. For fills this value is transposed into tag 11-ClOrdID.
    →48SecurityIDInt324Y
    Security ID as defined in the market data Security Definition message.
    →302QuoteSetIDuInt162Y

    Unique id for the Quote Set.

    Populated only for enumerated rejects.

    →368QuoteEntryRejectReasonuInt81YReject codesReason (error code) quote has been rejected.
  • Page:
    iLink 3 Order Mass Action Report (Electronic Platform Information Console)

    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.
    5392SenderIDString20Req20Y

    For futures and options markets: represents Operator ID.

    For 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.

    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.
    60TransactTimeuInt648Y

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

    UNDER DEVELOPMENT. Currently sent in microseconds.

    5297SendingTimeEpochuInt648Y
    Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.
    2422OrderRequestIDuInt648Y

    OrderRequestID used to identify an OrderMassActionRequest and echo the value on the corresponding OrderMassActionReport

    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.

    1369MassActionReportIDuInt648Y
    Unique ID of Order Mass Action Report as assigned by CME. If fragmented, then all messages must have the same value.
    1373MassActionTypeMassAction0Y
    • Cancel=3

    Specifies the type of action requested.

    Constant value.

    1151SecurityGroupStringLength66N

    Specifies the Product Group for which working orders should be cancelled. Conditionally present if MassActionScope=“Product Group” (tag 1374=10).

    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.
    48SecurityIDInt32NULL4N

    Conditionally present if MassActionScope=”Instrument” (tag 1374=1).

    5904DelayDurationuInt16NULL2N

    Not currently being used.

    1375MassActionResponseMassActionResponse1Y
    • 0=Rejected
    • 1=Accepted
    Specifies the action taken by CME when it received the Order Mass Action Request.
    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 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

    1374MassActionScopeMassActionScope1Y
    • 1=Instrument
    • 7=All
    • 9=Market Segment ID
    • 10=Product Group
    • 100=Quote Set ID (for future use)

    Specifies the scope of the action.

    533TotalAffectedOrdersuInt81Y

    Total number of orders affected by the Order Mass Action Request. Will be returned as zero for rejects or if no orders could be cancelled.

    If fragmented, then this is the sum of NoAffectedOrders across all
    messages with the same MassActionReportID.

    Otherwise will have same value as NoAffectedOrders when one or more orders is cancelled.

    893LastFragmentBooleanFlag1Y
    • 0=Not Last Message
    • 1=Last Message
    Indicates whether the message is the last message in a sequence of messages to support fragmentation.
    1376MassActionRejectReasonuInt8NULL1N
    Reason Order Mass Action Request was rejected. Required if MassActionResponse=0.
    1300MarketSegmentIDuInt8NULL1N

    Specifies the market segment (physical match engine partition) for which working orders should be cancelled. Conditionally present if MassActionScope=”Market Segment” (tag 1374=9)

    6115MassCancelRequestTypeMassCxlReqTyp1N
    • MassCancelRequestType=100 (Operator ID)

    • MassCancelRequestType=101 (Account) 

    If present – specifies the scope of the Order Mass Action Request within the context of Session and Firm. If absent then all orders belonging to Session and Firm combination will be cancelled for specified MassActionScope.

    54SideSideNULL1N
    • Side=1 (Buy)
    • Side=2 (Sell)

    If provided then only orders belonging to one side will be cancelled. If absent then orders belonging to both sides will be cancelled.

    40OrdTypeMassActionOrdTyp1N
    • OrdType=2 (Limit)
    • OrdType=4 (StopLimit)

    If provided then only orders of this type will be cancelled. If absent then all order types will be cancelled.

    59TimeInForceMassCancelTIF1N
    • TimeInForce=0 (Day)
    • TimeInForce=1 (GTC)
    • TimeInForce=6 (GTD)

    If provided then only orders with this qualifier will be cancelled. If absent then all Day & GT orders will be cancelled.

    9553SplitMsgSplitMsg1N
    • 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.

    9373LiquidityFlagBooleanNULL1N
    • 0=False
    • 1=True

    Indicates if an order was submitted for market making obligation as required for MIFID.

    Applicable only for EU fixed income markets.

    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

    534NoAffectedOrdersgroupSize3N
    Total number of order identifiers affected by the Order Mass Action Request. Only used if orders could actually be cancelled ,otherwise will be set to zero. Must be followed by OrigCIOrdID.
    →41OrigCIOrdIDString20Req20Y
    Contains the ClOrd of the cancelled order.
    →535AffectedOrderIDuInt648Y
    Order ID of an order cancelled by a Mass Action Request.
    →84CxlQuantityuInt324Y
    Total quantity cancelled for this order.
    7552DelayToTimeuInt64NULL8N

    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.

  • Page:
    iLink 3 Order Cancel Reject (Electronic Platform Information Console)

    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.
    58TextString256256N


    Reject reason details.

    Used only for descriptive rejects.

    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 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.

    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.
    39OrdStatusOrdStatusCxlRej0Y
    • OrdStatus=U (Undefined)

    Identifies status of modification reject.

    Constant value.

    434CxlRejResponseToCxlRejRsp0Y
    • 1=OrderCancelRequest

    Identifies the type of request that a Cancel Reject is in response to.

    Constant value.

    37OrderIDuInt648Y
    Unique identifier for order as assigned by the exchange. Uniqueness is guaranteed within a single trading day across all instruments..
    60TransactTimeuInt648Y
    Time the transaction represented by this Order Cancel Reject (35=9) 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.
    2422OrderRequestIDuInt648Y

    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.

    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.
    102CxlRejReasonuInt162Y
    Code to identify reason for order rejection.
    5904DelayDurationuInt16NULL2N

    Not currently being used.

    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 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

    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

    9553SplitMsgSplitMsg1N
    • 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.

    9373LiquidityFlagBooleanNULL1N
    • 0=False
    • 1=True

    Indicates if an order was submitted for market making obligation as required for MIFID.

    Applicable only for EU fixed income markets.

    7552DelayToTimeuInt64NULL8N

    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.

  • Page:
    iLink 3 Execution Report - Status (Electronic Platform Information Console)

    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.
    58TextString256256N


    Reject reason details.

    Only for descriptive rejects.

    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 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.

    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.
    37OrderIDuInt648Y
    Unique identifier for order as assigned by the exchange. Uniqueness is guaranteed within a single trading day across all instruments.
    44PricePRICENULL98N
    Price per share or contract.
    99StopPxPRICENULL98N
    The stop price of a stop limit and stop protect order (Conditionally present if tag 40-OrdType=4).
    60TransactTimeuInt648Y

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

    UNDER DEVELOPMENT. Currently sent in microseconds.

    5297SendingTimeEpochuInt648Y
    Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.
    2422OrderRequestIDuInt648Y

    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.

    790OrdStatusReqIDuInt64NULL8N
    Used to uniquely identify a specific Order Status Request message.
    584MassStatusReqIDuInt64NULL8N
    Unique ID of Order Mass Status Request as assigned by the client system.
    548CrossIDuInt64NULL8N
    Identifier for a Cross order. Will be present if Execution Report is in response to a Cross order.
    961HostCrossIDuInt64NULL8N

    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.

    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.
    48SecurityIDInt324Y
    Security ID as defined in the market data Security Definition message.
    38OrderQtyuInt324Y

    Number of shares or contracts ordered.

    14CumQtyuInt324Y
    Total quantity filled.
    151LeavesQtyuInt324Y

    Quantity open for further execution.

    LeavesQty = OrderQty (38) - CumQty (14)

    110MinQtyuInt32NULL4N
    Minimum quantity of an order to be executed.
    1138DisplayQtyuInt32NULL4N

    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.

    432ExpireDateLocalMktDate2N

    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.

    39OrdStatusOrderStatus1Y
    • OrdStatus=0 (New)
    • OrdStatus=1 (Partially Filled)
    • OrdStatus=2 (Filled)
    • OrdStatus=4 (Cancelled)
    • OrdStatus=8 (Rejected)
    • OrdStatus=U (Undefined)

    Identifies status of order.

    New: outstanding order with no executions and remaining quantity. (also applicable to orders that have been modified)

    Partially Filled: outstanding order with executions and remaining quantity.

    150ExecTypeExecTypStatus0Y

    ExecType=I (Status)

    Describes the specific Execution Report as order status.

    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=6 (GTD)
    Specifies how long the order remains in effect.
    1028ManualOrderIndicator

    ManualOrdIndReq

    1Y
    • 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

    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

    912LastRptRequestedBooleanNULL1N
    • LastRptRequested=0 (No)
    • LastRptRequested=1 (Yes)
    Indicates whether this message is the last report message in response to an Order Mass Status Request. Required if responding to a Order Mass Status Request.
    549CrossTypeuInt8NULL1N
    • CrossType=3

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

    18ExecInstExecInst1N
    • 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.

    5906ExecutionModeExecMode1N
    • 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.

    9373LiquidityFlagBooleanNULL1N
    • 0=False
    • 1=True

    Indicates if an order was submitted for market making obligation as required by MIFID.

    Applicable only for EU fixed income markets.

    6881ManagedOrderBooleanNULL1N
    • 0=False
    • 1=True

    Boolean: flags a managed order.

    Applicable only to Repo fixed income markets.

    5409ShortSaleTypeShortSaleType1N
    • 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 type of short sale on Sell orders only as required for MiFID.

    Should not be used for Buy orders.

    Applicable only for EU fixed income markets.

  • Page:
    iLink 3 Security Definition Request (Electronic Platform Information Console)

    Tag

    Name

    Binary Type

    Binary Length

    Req

    Enumeration

    Description

    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.
    320SecurityReqIDuInt648Y
    Unique ID of a Security Definition Request.
    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 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

    9726SeqNumuInt324Y

    Sequence number assigned to this message.

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

    5392SenderIDString20Req20Y

    For futures and options markets: represents Operator ID.

    For 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.

    321SecurityReqTypeSecurityReqType0Y
    • SecurityRequestType=1

    Type of Security Definition Request.

    Constant value.

    5297SendingTimeEpochuInt648Y
    Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.
    762SecuritySubTypeString8Req8Y
    • COMBO
    • COVERED
    • REPO

    Identifies specific type of UDS; valid values are COMBO, COVERED, and REPO.

    9537LocationString5Req5Y
    Text describing sender's location (i.e. geographic location and/or desk).
    916StartDateLocalMktDate2N
    Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral.
    917EndDateLocalMktDate2N
    End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral.
    541MaturityDateLocalMktDate2N
    The expiration date of the series to use for the TM template.
    37715MaxNoOfSubstitutionsuInt8NULL1N

    Max number of substitutions allowed. The value of 0 indicates that substitutions are not allowed.

    Applicable for US Repos.

    5677SourceRepoIDInt32NULL4N
    Represents the source Repo instrument on which the new Repo should be modeled.
    555NoLegsgroupSize3Y
    • minValue=2
    • maxValue=40

    UDS cannot exceed supported max number of legs.

    • UDS on options - 40 legs
    • Recursive UDS - no more than 40 instruments that make up the Recursive
    • UDS on futures - 40 legs

    Will be set to 0 for REPO

    • An iLink Security Definition Request (tag 35-MsgType=c) is rejected as "'Too Many Legs for combo combo: <option/future leg count> Max: <max option/future leg>" due to tag 555 is more than 40
    • An iLink Security Definition Request (tag 35-MsgType=c) is rejected as "'Not Enough Legs: <leg count> Min: 2'" due to tag 555 is less than 2

    →603LegSecurityIDSourceLegSecIDSource0Y
    • LegSecurityIDSource=8 (exchange symbol)

    Identifies class or source of the tag 602-LegSecurityID.

    Constant value.

    →566LegPricePRICENULL98N
    Price of the futures contract as part of UDS Covered
    →602LegSecurityIDInt324Y
    ISIN code, this is the primary tag used to identify the contract and it must be populated with the corresponding tag 48-SecurityID value from the market data 35=d Security Definition message.
    →1017LegOptionDeltaDecimal32NULL4N

    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.

    The exponent cannot be greater than 0 and it can either be null or between -5 and 0.

    →624LegSideSideReq1Y
    • 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 contracts are defined from the buy side perspective (i.e. buying the spread).

    →623LegRatioQtyuInt8NULL1N
    • minValue=1
    • maxValue=20

    Specifies ratio for the instrument defined in this repeating group.

    Required for any UDS options leg.
    Optional for Covereds leg.

  • Page:
    iLink 3 Order Cancel Replace Request (Electronic Platform Information Console)

    Tag

    Name

    Binary Type

    Binary Length

    Req

    Enumeration

    Description

    44PricePRICENULL98N
    Price per share or contract. Conditionally required if the order type requires a price (not market orders).
    38OrderQtyuInt324Y

    Number of shares or contracts ordered.

    • Cancel Replace Request submitted with quantity greater than 99999 will be rejected with a Business Level Reject (35=j) message.
    • Cancel Replace Request submitted with quantity greater than the Max Quantity and less than 99999 will be rejected with an Execution Report - Reject (35=8) message.
      Maximum Quantity is defined in the market data Security Definition(35=d) message in tag 1140-MaxTradeVol.
      • Note - the CME Globex maximum quantity limit per instrument also serves as an effective constraint on the maximum order value as required by MiFID II.
    48SecurityIDInt324Y
    Security ID as defined in the market data Security Definition message.
    54SideSideReq1Y
    • Side=1 (Buy)
    • Side=2 (Sell)
    Side of order.
    9726SeqNumuInt324Y

    Sequence number assigned to this message.

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

    5392SenderIDString20Req20Y

    For futures and options markets: represents Operator ID.

    For 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.

    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.
    37OrderIDuInt648Y

    Unique identifier for order as assigned by the exchange. Uniqueness is guaranteed within a single trading day across all instruments.

    99StopPxPRICENULL98N
    The stop price of a stop limit and stop protect order (conditionally required if tag 40-OrdType = 3 or 4).
    2422OrderRequestIDuInt648Y

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

    5297SendingTimeEpochuInt648Y
    Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.
    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: for Cancel/Replace (tag 35-MsgType=G) messaging, the tag 142 value submitted in the original New Order will not persist for the lifetime of the order.

    110MinQtyuInt32NULL4N
    Minimum quantity of an order to be executed.
    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

    432ExpireDateLocalMktDate2N
    Date of order expiration (last day the order can trade), always expressed in terms of the local market date. Applicable only to GTD orders, which expire at the end of the trading session specified. This value must be a future or current session date and cannot be in the past.
    40OrdTypeOrderTypeReq1Y
    • OrdType=1 (Market order with protection)
    • OrdType=2 (Limit order)
    • OrdType=3 (Stop order with protection)
    • OrdType=4 (Stop limit order)
    • OrdType=K (Market limit order)
    Order type.
    59TimeInForceTimeInForce1Y
    • TimeInForce=0 (Day)
    • TimeInForce=1 (GTC)
    • TimeInForce=3 (FAK)
    • TimeInForce=6 (GTD)
    Specifies how long the order remains in effect.
    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 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

    9768OFMOverrideOFMOverrideReq1Y
    • OFMOverride=0 (Disabled)
    • OFMOverride=1 (Enabled)
    Flag indicating whether the order quantity stipulated on replace request should be entered into the market as stated without reduction for any fills that have occurred. Once enabled in the order chain, OFMOverride cannot be disabled.
    18ExecInstExecInst1N
    • 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 (i.e. tag 18=00000000).

    An order cancel/replace request submitted with tag 18 instructions for futures and options markets will be rejected with 35=j, except:

    • Limit FAK orders submitted with Not Held instruction
    • Market FAK orders submitted with Not Held instruction
    5906ExecutionModeExecMode1N
    • 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 only for US & EU Repos:

    • ExecutionMode change from passive to aggressive not allowed
    • ExecutionMode change from aggressive to passive only allowed for Managed Orders

    An Order Cancel/Replace Request submitted with tag 5906 = P will be rejected for Non-Repo fixed income  and futures and options markets

    9373LiquidityFlagBooleanNULL1N
    • 0=False
    • 1=True

    Indicates if an order was submitted for market making obligation as required for MiFID.

    Applicable only for EU fixed income markets.

    6881ManagedOrderBooleanNULL1N
    • 0=False
    • 1=True

    Boolean: flags a managed order.

    Applicable only to Repo fixed income markets.

    New Orders submitted with tag 6881 = 1 will be rejected for futures and options markets.

    5409ShortSaleTypeShortSaleType1N
    • 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 type of short sale on Sell orders only as required for MIFID.

    Should not be used for Buy orders.

    Applicable only for EU fixed income markets.

  • Page:
    iLink 3 Party Details Definition Request (Electronic Platform Information Console)

    Tag

    Name

    Binary Type

    Binary Length

    Req

    Enumeration

    Description

    1505PartyDetailsListReqIDuInt648Y

    The unique identifier of the Party Details Definition Request.

    5297SendingTimeEpochuInt648Y
    Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.
    1324ListUpdateActionListUpdAct1Y

    A=Add

    D=Delete (TBD)

    Indicates if all of the information sent in this message with a unique new PartyDetailsListReqID is a new addition or deletion of existing information associated with an existing PartyDetailsListReqID.

    For PartyDetailsListReqID=0 this should always be set to "A".

    9726SeqNumuInt324Y

    Sequence number assigned to this message.

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

    5149MemoString7575N

    This general purpose text field can mapped from iLink to Clearing STP for trades.

    Not available for use with the short format where PartyDetailsListReqID≠0.

    Available for use only with the long format where PartyDetailsListReqID=0.

    1731AvgPxGroupIDString2020N

    Used by submitting firm to group trades being allocated into an average price group.

    The trades in average price group will be used to calculate an average price for the group.

    Not applicable for fixed income markets.

    2362SelfMatchPreventionIDuInt64NULL8N
    Identifies an order or trade that should not be matched to an opposite order or trade if both buy and sell orders for the same asset contain the same tag 2362-SelfMatchPreventionID and were submitted by the same firm.
    9708CmtaGiveupCDCmtaGiveUpCD1N

    G=GiveUp

    S=SGX Offset

    Indicates if the order is a give-up or SGX offset.

    Not applicable for fixed income markets.

    582CustOrderCapacityCustOrderCapacity1N

    1=Applies to orders entered or trades executed by an individual member for their own account, for an account they controls, or for an account in which they have an ownership or financial interest. However, transactions initiated and executed by a member for the proprietary account of a member firm must be designated as CTI 2 transactions.

    2=Applies to orders entered or trades executed for the proprietary accounts of a member firm, including Rule 106.H., I., N., R. and S. firms.

    3=Applies to orders entered by a member or a nonmember terminal operator for the account of another individual member or an account controlled by such individual member

    4=Applies to all orders and transactions not included in CTI categories 1, 2, or 3. These typically are orders entered by or on behalf of nonmember entities.

    Capacity of customer placing the order.

    Used by futures exchanges to indicate the CTICode (customer type indicator) as required by the US CFTC (Commodity Futures Trading Commission).

    Not applicable for fixed income markets.

    1816ClearingAccountTypeClearingAcctType1N

    0=Customer

    1=Firm

    Designates the account type to use for the order when submitted to clearing.

    Not applicable for fixed income markets.

    8000SelfMatchPreventionInstructionSMPI1N

    N=Cancel Newest

    O=Cancel Oldest

    Used to act upon the outcome when a self-match is detected and an order is prevented from trading against another order with the same tag 2362-SelfMatchPreventionID.

    N=Cancel newest signifies that incoming order is cancelled.

    O=Cancel Oldest signifies that the resting order is cancelled.

    Absence of this field (with tag 2362) is interpreted as cancel oldest.

    819AvgPxIndicatorAvgPxInd1N

    0=No average pricing

    1=Trade is part of an average price group identified by the AvgPxGroupID (tag 1731)

    3=Trade is part of a notional value average price group

    A notional value average price (NVAP) group is effectively closed and available for allocation as long as the NVAP of the group is non-zero

    Average pricing indicator.

    Not applicable for fixed income markets.

    1598ClearingTradePriceTypeSLEDS1N

    0=Trade clearing at execution price

    1=Trade clearing at alternate clearing price

    Indicates to recipient whether trade is clearing at execution prices tag 31-LastPx or alternate clearing price (prior day settlement price).

    Not applicable for fixed income markets.

    1031CustOrderHandlingInstCustOrdHandlInst1N
    • C = FCM-provided screen
    • D = Other provided screen
    • G = FCM API or FIX
    • H = Algo Engine
    • W = Desk – Electronic
    • Y = Client – Electronic 

    Codes that apply special information that the Broker/Dealer needs to report, as specified by the customer.

    Identifies source of the order.

    Required for CME Group futures and options only.
    5290ExecutoruInt64NULL8N

    Will be populated with the MIFID short code for the person or algo identified in FIX tag 5392 which will be mapped to National ID or Algo at reporting time.

    Applicable for EU fixed income markets only.

    36023IDMShortCodeuInt64NULL8N

    Represents the MIFID Short Code of the Investment Decision Maker Short Code.

    Applicable for EU fixed income markets only.

    1676NoPartyUpdatesNoPtyUpd0Y

    Always "1"

    Number of party updates.

    Constant value of 1.

    1671NoPartyDetailsgroupSize3Y

    minValue=1

    maxValue=5

    Number of party details.

    More than one occurrence of the same party role will be rejected.

    →1691PartyDetailIDString20Req20Y
    The identification of the party.
    →1692PartyDetailIDSourcePartyIDSource0YAlways “C” – Generally accepted market participant identifier

    Used to identify source of PartyDetailID value.

    Constant value.

    →1693PartyDetailRolePartyDetailRole2Y
    • PartyDetailRole=96 (take up firm)
    • PartyDetailRole=1000 (take up account)
    • PartyDetailRole=1 (executing firm)
    • PartyDetailRole=118 (operator)
    • PartyDetailRole=24 (customer account)

    Identifies the type of PartyDetailID.

    • PartyDetailRole=24 is required for futures and options markets.
    • PartyDetailRole=1 is required for futures, options and fixed income markets.
    • PartyDetailRole=118 represents the party responsible for submission of the message. It is required for futures and options markets and fixed income markets. 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.

    • PartyDetailRole= 96 represents the executing firm ID to which the fill is given up or mutually off-set for eligible contracts.
    • PartyDetailRole=1000 represents a give up account number.

    Note - PartyDetailRole=96 and 1000 are applicable only for futures and options markets.  Must be used in conjunction with tag 9708-CmtaGiveupCD.

    2668

    NoTrdRegPublications

    groupSize

    3

    N


    Number of regulatory publication rules in repeating group for MIFID reporting.

    Used to indicate that an ESCB customer can exempt from disclosure any activity that is related to central banking activity.

    Should always be '1' if used otherwise set to '0'

    →2669

    TrdRegPublicationType

    uInt8

    1

    Y

    2=Exempt from Publication

    Specifies the type of regulatory trade publication

    Additional reasons for the publication type will be specified in tag 2670-TrdRegPublicationReason.

    Represents allowable exemptions for the post-trade publication of trade transactions

    Required when NoTrdRegPublications (tag 2668) > 0

    Should always be '2'

    →2670

    TrdRegPublicationReason

    uInt8

    1

    Y

    12=Exempted due to European System of Central Banks (ESCB) policy transaction

    Additional reason for trade publication type specified in tag 2669-TrdRegPublicationType.

    Reasons may be specific to regulatory trade publication rules

    Required when NoTrdRegPublications (tag 2668) > 0

    Should always be '12'

  • Page:
    iLink 3 New Order - Single (Electronic Platform Information Console)

    Tag

    Name

    Binary Type

    Binary Length

    Req

    Enumeration

    Description

    44PricePRICENULL98N
    Price per share or contract. Conditionally required if the order type requires a price (not market orders).
    38OrderQtyuInt324Y

    Number of shares or contracts ordered.

    • New Order - Single  submitted with quantity greater than 99999 will be rejected with a Business Level Reject (35=j) message.
    • New Order - Single submitted with quantity greater than the Max Quantity and less than 99999 will be rejected with an Execution Report - Reject (35=8) message.
      Maximum Quantity is defined in the market data Security Definition(35=d) message in tag 1140-MaxTradeVol.
      • Note - the CME Globex maximum quantity limit per instrument also serves as an effective constraint on the maximum order value as required by MiFID II.
    48SecurityIDInt324Y

    Security ID as defined in the market data Security Definition message.

    54SideSideReq1Y
    • Side=1 (Buy)
    • Side=2 (Sell)
    Side of order.
    9726SeqNumuInt324Y

    Sequence number assigned to this message.

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

    5392SenderIDString20Req20Y

    For futures and options markets: represents Operator ID.

    For 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.

    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.
    2422OrderRequestIDuInt648Y

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

    5297SendingTimeEpochuInt648Y
    Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.
    99StopPxPRICENULL98N
    The stop price of a stop limit or stop protect order (conditionally required if tag 40-OrdType=3 or 4).
    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.
    110MinQtyuInt32NULL4N
    Minimum quantity of an order to be executed.
    1138DisplayQtyuInt32NULL4N

    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.

    432ExpireDateLocalMktDate2N
    Date of order expiration (last day the order can trade), always expressed in terms of the local market date. Applicable only to GTD orders, which expire at the end of the trading session specified. This value must be a future or current session date and cannot be in the past.
    40OrdTypeOrderTypeReq1Y
    • OrdType=1 (Market order with protection)
    • OrdType=2 (Limit order)
    • OrdType=3 (Stop order with protection)
    • OrdType=4 (Stop limit order)
    • OrdType=K (Market limit order)
    Order type.
    59TimeInForceTimeInForce1Y
    • TimeInForce=0 (Day)
    • TimeInForce=1 (GTC)
    • TimeInForce=3 (FAK)
    • TimeInForce=6 (GTD)
    Specifies how long the order remains in effect.
    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 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

    18ExecInstExecInst1N
    • 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 (i.e. tag 18=00000000)

    New orders submitted with tag 18 instructions for futures and options markets will be rejected with 35=j, except:

    • Limit FAK orders submitted with Not Held instruction
    • Market FAK orders submitted with Not Held instruction
    5906ExecutionModeExecMode1N
    • 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.

    New Orders submitted with tag 5906 = P will be rejected for Non-Repo fixed income  and futures and options markets

    9373LiquidityFlagBooleanNULL1N
    • 0=False
    • 1=True

    Indicates if an order was submitted for market making obligation as required for MIFID.

    Applicable only for EU fixed income markets.

    6881ManagedOrderBooleanNULL1N
    • 0=False
    • 1=True

    Boolean: flags a managed order.

    Applicable only to Repo fixed income markets.

    New Orders submitted with tag 6881 = 1 will be rejected for futures and options markets.

    5409ShortSaleTypeShortSaleType1N
    • 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 type of short sale on Sell orders only as required for MiFID.

    Should not be used for Buy orders.

    Applicable only for EU fixed income markets.

  • Page:
    Retransmit Request (Electronic Platform Information Console)
    TagNameBinary TypeBinary LengthReqEnumerationDescription
    39001UUIDuInt648Y

    Matches Establish.UUID.

    39017LastUUIDuInt64NULL8N

    If the Retransmit Request is for a previous UUID, that value should be used. Otherwise, the default null value should be used.

    0 – Default CME assigned UUID or Last UUID used in last Establish message.

    39002RequestTimestampuInt648Y
    Time of request. CME Group recommends using the number of nanoseconds since epoch (Jan 1, 1970) as the timestamp.
    39018FromSeqNouInt324Y

    Sequence number of the first business message requested.

    Tag 39018 will not be zero, but it contains the starting sequence number either for current UUID, previous UUID or the default UUID of 0.  

    39019MsgCountuInt162Y

    Number of business messages requested.

    Cannot exceed 2500 at a time or the message will be rejected.

    0 – Up to 2500 messages subsequent to FromSeqNo, when available. If the missing messages exceed 2500, it will be capped such that the request does not exceed total of 2500.

  • Page:
    iLink 3 Business Reject (Electronic Platform Information Console)

    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.
    58TextString256256N


    Reject reason details.

    Used only for descriptive rejects.

    5392SenderIDString2020N

    For futures and options markets: represents Operator ID.

    For 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.

    1505PartyDetailsListReqIDuInt64NULL8N

    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.
    5297SendingTimeEpochuInt648Y
    Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.
    379BusinessRejectRefIDuInt64NULL8N

    Identifier of the rejected message as follows:

    • Tag 2422 for New Order Single, Order Cancel Replace Request, Order Cancel Request, New Order Cross
    • Tag 790 for Order Status Request
    • Tag 2422 for Order Mass Action Request
    • Tag 584 for Order Mass Status Request
    • Tag 320 for Security Definition Request
    • Tag 1505 for Party Details List Request
    • Tag 1505 for Party Details Definition Request
    • Tag 131 for Request for Quote
    • Tag 117 for Mass Quote and Quote Cancel

    Required unless the ID field is absent.

    9537LocationString55N

    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.

    45RefSeqNumuInt32NULL4N

    Tag 9726 - SeqNum of the rejected message.

    Any business reject message with the following reject code will have tag 45-RefSeqNum = NULL.

    3 – Unsupported Message Type 

    109 – Incoming message could not be decoded

    Note: When the tag 45 value is NULL, this indicates CME Globex did not increment the message sequence number of the rejected business message and:

    • The client system should not increment the message sequence number of the next business message to be sent
    • If client system increments the message sequence number of the next business message to be sent, a Not Applied message will be sent to the customer to let them know that  sequence number has not been applied by CME Globex.
    371RefTagIDuInt16NULL2N
    The tag number of the invalid FIX/FIXP field.
    380BusinessRejectReasonuInt162Y

    Code to identify reason for a Business Message Reject message.

    0 – Other

    1 – Unknown ID (unknown PartyDetailsListReqID being referenced in business message)

    2 – Unknown Security

    3 – Unsupported Message Type (for example using messages specific to cash markets for futures)

    5 – Required Field Missing

    6 – Not Authorized

    8 – Throttle Limit Exceeded (volume controls)

    100 – Value is incorrect (out of range) for this tag (for example using a value outside defined range of integer) 

    101 – Incorrect data format for value (for example using ASCII character outside 32-126 in string field)

    102 Rejected due to Kill Switch

    103 – Rejected due to Risk Management API

    104 – Rejected due to Globex Credit Controls

    105 – Not Authorized to trade Deliverable Swap Futures

    106 – Not Authorized to trade Interest Rate Swap Futures

    107 – Rejected due to Inline Credit Controls

    108 – Invalid PartyDetailsListReqID (reusing already existing PartyDetailsListReqID while creating Party Details Definition Request)

    109 – Incoming message could not be decoded

    110 – Same repeating group entry appears more than once

    111 – Exceeded maximum number of allowable Party Details Definition Requests

    112 – Technical Error in Registering Party Details

    113 – Rejected due to Cross Venue Risk

    114 – Order Status Not Available

    115 – Enum Not Supported

    116 – Order Status Not Found

    117 – Mass Order Status Cannot be Completed

    118 – Exceeded Maximum Number of Allowable RequestingPartyID's in Party Details List Request

    119 – Duplicate Order Threshold Exceeded

    120 – On-Demand Message Rejected Due to Corresponding PartyDetailsDefinitionRequest Being Rejected 

    121 – Message Rejected Since PartyDetailsListReqID Does Not Match with Corresponding PartyDetailsDefinitionRequest as part of On-demand Message 

    122 – Party Details Definition Request sent to MSGW Being Rejected Due to Corresponding Business Message Being Rejected

    123 – Another Message Sent in Between Party Details Definition Request and Business Message when using On-demand administrative information

    124 – Cannot Have More Than One In-Flight Mass Order Status Request in Progress

    125 – Exceeded Maximum Number of In-Flight Order Status Requests

    126 – Cannot Have More Than One In-Flight Party Details List Request in Progress

    127 – Party Details List Request is Missing Requesting Party ID and Party ID

    128 – Party Details List Request cannot contain both RequestingPartyID and PartyID

    129 – Party Details Definition Request Being Rejected Since Another Message was sent in Between On-Demand Message

    130 – Buy Side Firm ID Does Not Match Sell Side Firm ID in New Order Cross

    131 – Message Type Not Supported on Backup Instance

    132 – New Order Cross Does Not Contain Buy Side Followed by Sell Side

    372RefMsgTypeString22N

    The MsgType of the FIX message being referenced.

    D – New Order Single

    G – Order Cancel Replace Request

    F – Order Cancel Request

    i – Mass Quote

    Z – Quote Cancel

    H – Order Status Request

    CA – Order Mass Action Request

    AF – Order Mass Status Request

    s – New Order Cross

    R – Request for Quote

    c – Security Definition Request

    CX – Party Details Definition Request

    CF – Party Details List Request

    SQ – Sequence

    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

    1028ManualOrderIndicator

    ManualOrdInd

    1N
    • 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

    9553SplitMsgSplitMsg1N
    • 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.

  • Page:
    Not Applied (Electronic Platform Information Console)

    Tag

    Name

    Binary Type

    Binary Length

    Req

    Enumeration

    Description

    39001UUIDuInt644Y

    Matches Establish.UUID.

    39018FromSeqNouInt324Y

    First not applied sequence number.

    39019MsgCountuInt322Y

    Count of how many messages have not been applied.

    9553SplitMsgSplitMsg1N

    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

  • Page:
    Establishment Reject (Electronic Platform Information Console)
    TagField NameBinary TypeBinary LengthReqEnumerationDescription
    39011ReasonString4848N

    Reject reason details.

    Only used for descriptive rejects.

    39001UUIDuInt648Y

    Matches Establish.UUID value.

    39002RequestTimestampuInt648Y
    Matches Establish.RequestTimestamp value.
    39013NextSeqNouInt324Y

    Next expected message sequence number.

    On primary connection, the expected message sequence number of the next business message from CME to customer.

    • At the beginning of the week this should be set to 1
    • Should be set to last known message sequence number + 1 for Establish message sent midweek using same UUID as previous Establish message
    • Should be set to 1 for Establish message sent midweek using different UUID from previous Establish message

    On backup connection, this will be set to 0.

    39012ErrorCodesuInt162Y

    Rejection codes:

    0 - HMACNotAuthenticated: failed authentication because identity is not recognized

    1 - HMACNotAvailable: HMAC component is not responding (5sec)

    2 - InvalidUUID: UUID is not greater than the one last used or value sent by the client is out of acceptable range (MIN, MAX)

    3 - InvalidTimestamp: Timestamp is not greater than the one last used or value sent by the client is out of acceptable range (MIN, MAX)

    4 - RequiredHMACSignatureMissing: empty bytes in HMACSignature field

    5 - RequiredAccessKeyIDMissing: empty bytes in AccessKeyID field

    6 - RequiredSessionMissing: empty bytes in Session field

    7 - RequiredFirmMissing: empty bytes in Firm field

    8 - RequiredUUIDMisssing: null value in UUID field

    9 - RequiredRequestTimestampMissing: null value in RequestTimestamp field

    10 - SessionBlocked: session and firm are not authorized for this port

    11 - InvalidKeepAliveInterval: value is out of acceptable range (MIN, MAX)

    12 – InvalidAccessKeyID: contains non-printable ASCII character

    13 – InvalidSession: contains non-printable ASCII character

    14 – InvalidFirm: contains non-printable ASCII character

    15 - Volume Controls - exceeding TPS limit as defined for volume controls (reject action)

    16 - SplitMessageRejected - Messages queued due to split message penalty being rejected because of logout or disconnect

    17 - SplitMessageQueue - Reached threshold of messages queued due to split message penalty

    18 - RequiredTradingSystemNameMissing: empty bytes in TradingSystemName

    19 - RequiredTradingSystemVersionMissing: empty bytes in TradingSystemVersion

    20 - RequiredTradingSystemVendorMissing: empty bytes in TradingSystemVendor

    21 - RequiredKeepAliveIntervalMissing: null value in KeepAliveInterval field

    22 - RequiredNextSeqNoMissing: empty bytes in NextSeqNo field

    23 - InvalidTradingSystemName: contains non-prinatable ASCII character

    24 - InvalidTradingSystemVersion: contains non-prinatable ASCII character

    25 - InvalidTradingSystemVendor: contains non-prinatable ASCII character

    27 - DesignatedBackup - Using Designated backup before designated primary not allowed

    39010FaultToleranceIndicatorFTI1Y

    0 – Backup

    1 – Primary

    Indicates whether the connection is the primary or backup.

    9553SplitMsguInt8NULL Enum1N

    0=Split Msg Delayed

    1=Out of Order Msg Delayed

    2=Complete Msg Delayed

    Indicates one of the following:

    • 0 = a message was delayed as a result of being split among multiple packets (0)
    • 1 = a message was delayed as a result of TCP re-transmission (1)
    • 2 = 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.

  • Page:
    Negotiation Reject (Electronic Platform Information Console)
    TagNameBinary TypeBinary LengthReqEnumerationDescription
    39011ReasonString4848N

    Reject reason details.

    Only used for descriptive rejects.

    39001UUIDuInt648Y

    Matches Negotiate.UUID.

    39002RequestTimestampuInt648Y
    Matches Negotiate.RequestTimestamp.
    39012ErrorCodesuInt162Y

    Rejection codes:

    0 - HMACNotAuthenticated: failed authentication because identity is not recognized

    1 - HMACNotAvailable: HMAC component is not responding (5sec)

    2 - InvalidUUID: UUID is not greater than the one last used or value sent by the client is out of acceptable range (MIN, MAX)

    3 - InvalidTimestamp: Timestamp is not greater than the one last used or value sent by the client is out of acceptable range (MIN, MAX)

    4 - RequiredHMACSignatureMissing: empty bytes in HMACSignature field

    5 - RequiredAccessKeyIDMissing: empty bytes in AccessKeyID field

    6 - RequiredSessionMissing: empty bytes in Session field

    7 - RequiredFirmMissing: empty bytes in Firm field

    8 - RequiredUUIDMisssing: null value in UUID field

    9 - RequiredRequestTimestampMissing: null value in RequestTimestamp field

    10 - SessionBlocked: session and firm are not authorized for this port

    12 – InvalidAccessKeyID: contains non-printable ASCII character

    13 – InvalidSession: contains non-printable ASCII character

    14 – InvalidFirm: contains non-printable ASCII character

    15 - Volume Controls - exceeding TPS limit as defined for volume controls (reject action)

    16 - SplitMessageRejected - Messages queued due to split message penalty being rejected because of logout or disconnect

    17 - SplitMessageQueue - Reached threshold of messages queued due to split message penalty

    27 - DesignatedBackup - Using Designated backup before designated primary not allowed

    28 - NegotiateNotAllowed - Not allowed to negotiate on backup when established on primary

    39010FaultToleranceIndicatorFTI1Y

    0=Backup

    1=Primary

    Indicates whether the connection is primary or backup.

    9553SplitMsgSplitMsg1N

    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.

  • Page:
    iLink 3 Party Details List Request (Electronic Platform Information Console)

    Tag

    Name

    Binary Type

    Binary Length

    Req

    Enumeration

    Description

    1505PartyDetailsListReqIDuInt648Y

    The unique identifier of the Party Details List Request (35=CF) message.

    5297SendingTimeEpochuInt648Y
    Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.
    9726SeqNumuInt324Y

    Sequence number assigned to this message.

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

    1657NoRequestingPartyIDsgroupSize3N

    minValue=0

    maxValue=1

    Number of requesting party identifiers.

    Will be zero if specific PartyDetailsDefinitionIDs are being requested.

    Will be populated only if all PartyDetailsDefinitions are requested for a specific Firm.

    →1658RequestingPartyIDString5Y
    Party identifier for the requesting party. Required when NoRequestingPartyIDs (tag 1657) > 0.
    →1659RequestingPartyIDSourceChar1YAlways “C” – Generally accepted market participant identifier

    Identifies the source of the RequestingPartyID(1658) value. Required when NoRequestingPartyIDs (tag 1657) > 0.

    →1660RequestingPartyRoleChar1Y

    Always "1"

    PartyRole=1 (executing firm)

    Identifies the type or role of the RequestingPartyID (tag 1658) specified.

    453NoPartyIDsgroupSize3N

    minValue=1

    maxValue=175

    Number of PartyID (tag 448), PartyIDSource (tag 447), and PartyRole (tag 452) entries

    Applicable only if specific Party Details Definitions are being requested; otherwise set to 0.

    →448PartyIDuInt648Y

    Required if NoPartyIDs (tag 453) > 0

    Identification of the PartyDetailsListReqID of PartyDetailsDefinitionRequestAck.

    →447PartyIDSourceChar1YAlways “C” – Generally accepted market participant identifier

    Required if NoPartyIDs(453) > 0.

    Used to identify classification source.

    →452PartyRoleuInt162YAlways "1000" – PartyDetailsDefinition

    Required if NoPartyIDs(453) > 0.

    Identifies the type of PartyID (tag 448).

  • Page:
    iLink 3 Execution Report - Elimination (Electronic Platform Information Console)

    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 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: represents Operator ID.

    For 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.

    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.
    37OrderIDuInt648Y
    Unique identifier for order assigned by the exchange. Uniqueness is guaranteed within a single trading day across all instruments.
    44PricePRICE98Y
    Price per share or contract.
    99StopPxPRICENULL98N
    The stop price of a stop limit and stop protect order (conditionally present if tag 40-OrdType=4).
    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.
    2422OrderRequestIDuInt648Y

    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.

    548CrossIDuInt64NULL8N
    Identifier for a cross order. Will be present if execution report is in response to a Cross order.
    961HostCrossIDuInt64NULL8N

    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.

    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.
    48SecurityIDInt324Y
    Security ID as defined in the market data Security Definition message.
    38OrderQtyuInt324Y
    Order quantity submitted by client.
    14CumQtyuInt324Y

    Total quantity filled.

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

    110MinQtyuInt32NULL4N
    Minimum quantity of an order to be executed.
    1138DisplayQtyuInt32NULL4N

    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.

    39OrdStatusOrdStatusExp0Y
    • OrdStatus=C (Expired)

    Identifies status of order as eliminated.

    Constant value.

    150ExecTypeExecTypeExp0Y
    • ExecType=C (Expired)

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

    Constant value.

    432ExpireDateLocalMktDate2Y

    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.

    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=6 (GTD)
    Specifies how long the order remains in effect.
    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 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

    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

    549CrossTypeuInt8NULL1N
    • CrossType=3

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

    18ExecInstExecInst1N
    • 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.

    5906ExecutionModeExecMode1N
    • 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.

    9373LiquidityFlagBooleanNULL1N
    • 0=False
    • 1=True

    Indicates if an order was submitted for market making obligation as required for MIFID.

    Applicable only for EU fixed income markets.

    6881ManagedOrderBooleanNULL1N
    • 0=False
    • 1=True

    Boolean: flags a managed order.

    Applicable only to Repo fixed income markets.

    5409ShortSaleTypeShortSaleType1N
    • 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 type of short sale on Sell orders only as required for MiFID.

    Should not be used for Buy orders.

    Applicable only for EU fixed income markets.

  • Page:
    iLink 3 Order Cancel Request (Electronic Platform Information Console)

    Tag

    Name

    Binary Type

    Binary Length

    Req

    Enumeration

    Description

    37OrderIDuInt648Y

    Unique identifier for order assigned by the exchange. Uniqueness is guaranteed within a single trading day across all instruments.

    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.
    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 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

    9726SeqNumuInt324Y

    Sequence number assigned to this message.

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

    5392SenderIDString20Req20Y

    For futures and options markets: represents Operator ID.

    For 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.

    2422OrderRequestIDuInt648Y

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

    5297SendingTimeEpochuInt648Y
    Time when the message is sent. 64-bit integer expressing the number of nano seconds since midnight January 1, 1970.
    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.
    48SecurityIDInt324Y
    Security ID as defined in the market data Security Definition message.
    54SideSideReq1Y
    • Side=1 (Buy)
    • Side=2 (Sell)

    Side of the order to be cancelled.

    9373LiquidityFlagBooleanNULL1N
    • 0=False
    • 1=True

    Indicates if an order was submitted for market making obligation as required for MIFID.

    Applicable only for EU fixed income markets.

  • Page:
    iLink 3 New Order Cross (Electronic Platform Information Console)

    Tag

    Name

    Binary Type

    Binary Length

    Req

    Enumeration

    Description

    548CrossIDuInt648Y
    Identifier for a cross order. Must be unique during a given trading day.
    2422OrderRequestIDuInt648Y
    Use OrderRequestID to identify a request to enter a cross order. Echoed back on the Execution Report.
    1028ManualOrderIndicatorManualOrdIndReq1

    Y

    • 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

    9726SeqNumuInt324Y

    Sequence number assigned to this message.

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

    5392SenderIDString20Req20Y

    For futures and options markets: represents Operator ID.

    For 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.
    40OrdTypeCrossOrdType0Y
    • OrdType=2 (Limit order)

    Only ‘2’ (limit order) supported.

    Constant value.

    549CrossTypeCrossType0Y
    • CrossType=3

    A cross order which is executed on one side with any unfilled quantity remaining active.

    Constant value.

    550CrossPrioritizationCrossPrioritization0Y
    • CrossPrioritization=0 (None)

    Indicates if one side of the cross order should be prioritized.

    Constant value.

    44PricePRICE98Y
    Conditionally required when tag 40-OrdType=2 (Limit).
    483TransBkdTimeuInt648Y
    For derivatives, a timestamp to indicate when this order was booked with the agent prior to submission to the exchange. Indicates the time at which the order was finalized between the buyer and seller prior to submission. 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.
    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.
    48SecurityIDInt324Y

    Security ID as defined in the market data Security Definition message.

    552NoSidesgroupSize3Y
    • minValue=2
    • maxValue=2

    Number of Side repeating group instances.

    2=Both Sides

    →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 Party Details Definition Request Acknowledgment associated with this message; this is the value submitted on the inbound message.

    For pre-registered messages:

    • Party Details Definition Request Ack message would have been sent beforehand and that unique ID should be provided here
    • PartyDetailsListRequestID≠0.

    For on-demand messages:

    • If not registered beforehand through iLink then Party Details Definition Request Ack message will be sent along with the business message and will immediately precede it
    • PartyDetailsListRequestID=0.
    →38OrderQtyuInt324Y

    Order quantity. Must be the same for both sides.

    →54SideSideReq1Y
    • Side=1 (Buy)
    • Side=2 (Sell)
    Side of order.
    →962SideTimeInForceSideTimeInForce1Y
    • SideTimeInForce=0 (Day)
    • SideTimeInForce=3 (FAK)
    Indicates how long the order as specified in the side stays in effect. SideTimeInForce allows a two-sided cross order to specify order behavior separately for each side.
  • Page:
    iLink 3 Security Definition Response (Electronic Platform Information Console)

    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.
    58TextString256256N


    Reject reason details.

    Used only for descriptive rejects.

    2714FinancialInstrumentFullNameStringLength3535N
    Long name of the instrument for TM Repo.
    5392SenderIDString20Req20Y

    For futures and options markets: represents Operator ID.

    For 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.

    55SymbolString2020N
    Instrument Short Name for TM Repo.
    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.
    320SecurityReqIDuInt648Y
    Unique ID of a Security Definition Request.
    322SecurityResponseIDuInt648Y


    Unique ID of a Security Definition message.
    5297SendingTimeEpochuInt648Y
    Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.

    1151

    SecurityGroup

    StringLength6

    6

    N
    Product group
    167SecurityTypeStringLength6

    6

    N
    • 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)

    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.

    48

    SecurityID

    Int32NULL

    4

    N
    Identifier of the UDS/UDI.

    15

    Currency

    String3

    3

    N
    Identifies currency used for price.

    22

    SecurityIDSource

    SecurityIDSource

    0

    YAlways 4=ISIN number

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

    Constant value.

    200

    MaturityMonthYear

    MaturityMonthYear

    2

    N

    Instrument expiration; earliest leg maturity in the options strategy.

    Format YYYYMM (i.e. 200912)

    5904DelayDurationuInt16NULL2N

    Not currently being used.

    916StartDateLocalMktDate2N
    Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral.
    917EndDateLocalMktDate2N
    End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral.
    37715MaxNoOfSubstitutionsuInt8NULL1N
    Max number of substitutions allowed. '0 ' indicates that substitutions are not allowed.
    5677SourceRepoIDInt32NULL4N
    Represents the source repo instrument on which the new tailor made repo should be modeled on
    788TerminationTypeString88N
    Represents the term code
    323SecurityResponseTypeSecRspTyp1Y
    • SecurityRequestType=1
    • SecurityResponseType=2 (Accept security proposal 
      with revisions as indicated 
      in the message)
    • SecurityResponseType=5 (Reject security proposal)
    Type of response.

    9779

    UserDefinedInstrument

    UDI

    0

    Y
    • Y=User defined instrument 

    Identifies user-defined instruments

    Constant value

    827

    ExpirationCycle

    ExpCycle

    1

    N
    • 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
    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 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

    9553SplitMsgSplitMsg1N
    • 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

    BooleanFlag

    1

    Y
    • 0=False
    • 1=True

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

    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

    555NoLegsgroupSize3Y
    • minValue=2
    • maxValue=40
    Up to 26 legs (i.e., repeating groups) supported for UDS for options. Up to 40 legs (i.e., repeating groups) supported for UDS for futures.
    →566LegPricePRICENULL98N
    Price of the futures contract as part of UDS Covered.
    →1017LegOptionDeltaDecima32NULL4N

    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
    →603LegSecurityIDSourceLegSecIDSource0Y
    • LegSecurityIDSource=8 (exchange symbol)

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

    Constant value.

    →602LegSecurityIDInt324Y
    ISIN code, this is the primary tag used to identify the contract and it must be populated with the corresponding tag 48-SecurityID value from the market data 35=d Security Definition message.
    →624LegSideSideReq1Y
    • 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).

    →623LegRatioQtyuInt8NULL Enum1N
    • minValue=1
    • maxValue=20

    Specifies ratio for the instrument defined in this repeating group.

    Required for any UDS options leg.

    Optional for Covereds leg.

  • Page:
    iLink 3 Quote Cancel (Electronic Platform Information Console)

    Tag

    Name

    Binary Type

    Binary Length

    Req

    Enumeration

    Description

    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.
    5297SendingTimeEpochuInt648Y


    Time when the message is sent. 64-bit integer expressing the number of nano seconds since midnight January 1, 1970.
    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 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

    9726SeqNumuInt324Y

    Sequence number assigned to this message.

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

    5392SenderIDString20Req20Y

    For futures and options markets: represents Operator ID.

    For 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.

    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.
    117QuoteIDuInt324Y

    Client system generated identifier of the Quote Cancel message.

    Must be unique per message trading session.

    298QuoteCancelTypeQuoteCxlTyp1Y
    • 1=Cancel for Instrument
    • 3=Cancel for Security Group
    • 4=Cancel All Quotes
    • 100=Cancel for Quote Set

    Identifies the type of Quote Cancel. Cancel can an be by instrument, quote set, product group, or all.

    9373LiquidityFlagBooleanNULL1N
    • 0=False
    • 1=True

    Indicates if an order was submitted for market making obligation as required for MIFID.

    Applicable only for EU fixed income markets.

    295NoQuoteEntriesgroupSize3Y
    • minValue=1
    • maxValue=100

    The number of quote entries for quote sets, instruments, product group, or cancel all.

    298=1 → 1 to 100

    298=3 → 1

    298=4 → 1

    298=100 → 1 (for cancel by quote set a product group has to be specified here)

    →1151SecurityGroupStringLength66Y

    A designation assigned a group of related securities which may be concurrently affected by market events and actions.

    Must be first field in the repeating group.

    Should contain [N/A] for cancel all.

    All quote sets and individual instruments must belong to a specific product group; the first determines the group to be applied for the rest of the repeating group entries.

    →48SecurityIDInt32NULL4N

    Should be conditionally populated only for 298=1 (cancel for instrument).

    Will be ignored if present for any QuoteCancelType other than Instrument.

    296NoQuoteSetsgroupSize3N
    • minValue=1
    • maxValue=15

    The number of sets of quotes in the message. Conditionally required if 298=100.

    Set the groupSize to 0 when not required.

    →134BidSizeuInt32NULL4N

    Should be conditionally populated and set to zero only for 298=100 (cancel for Quote Set) to cancel all buy side quotes for Quote Set ID.

    Will be ignored if present for any QuoteCancelType other than Quote Set.

    →135OfferSizeuInt32NULL4N

    Should be conditionally populated and set to zero only for 298=100 (cancel for Quote Set) to cancel all sell side quotes for Quote Set ID.

    Will be ignored if present for any QuoteCancelType other than Quote Set.

    →302QuoteSetIDuInt162Y

    Should be conditionally populated only for 298=100 (cancel for Quote Set).

    Will be ignored if present for any QuoteCancelType other than Quote Set.

  • Page:
    iLink 3 Order Mass Action Request (Electronic Platform Information Console)

    Tag

    Name

    Binary Type

    Binary Length

    Req

    Enumeration

    Description

    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.
    2422OrderRequestIDuInt648Y

    Use OrderRequestID to identify a request to enter, modify, or delete an order. Echoed back on the Order Mass Action Report response.

    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 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

    9726SeqNumuInt324Y

    Sequence number assigned to this message.

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

    5392SenderIDString20Req20Y

    For futures and options markets: represents Operator ID.

    For 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.

    1373MassActionTypeMassAction0Y
    • Cancel=3

    Specifies the type of action requested.

    5297SendingTimeEpochuInt648Y
    Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.
    1151SecurityGroupStringLength66N

    Specifies the Product Group for which working orders should be cancelled. Conditionally required if MassActionScope=“Product Group” (tag 1374=10). Will be ignored if present for any MassActionScope other than Product Group.

    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.
    48SecurityIDInt32NULL4N

    Conditionally required if MassActionScope=”Instrument” (tag 1374=1). Will be ignored if present for any MassActionScope other than Instrument.

    1374MassActionScopeMassActionScope1Y
    • MassActionScope=1 (Instrument)
    • MassActionScope=9 (Market Segment ID)
    • MassActionScope=10 (Product Group)

    Specifies the scope of the action.

    1300MarketSegmentIDuInt8NULL1N

    Specifies the market segment (physical match engine partition) for which working orders should be cancelled. Conditionally Required if MassActionScope=”Market Segment” (tag 1374=9). Will be ignored if present for any MassActionScope other than Market Segment.

    6115MassCancelRequestTypeMassCxlReqTyp1N
    • MassCancelRequestType=100 (Operator ID)

    • MassCancelRequestType=101 (Account) 

    If present specifies the scope of the Order Mass Action Request within the context of Session and Firm. If absent all orders belonging to Session and Firm combination will be cancelled for specified MassActionScope.

    54SideSideNULL1N
    • Side=1 (Buy)
    • Side=2 (Sell)

    If present only orders belonging to one side will be cancelled.

    If absent orders belonging to both sides will be cancelled.

    40OrdTypeMassActionOrdTyp1N
    • OrdType=2 (Limit)
    • OrdType=4 (StopLimit)

    If present then only orders of this type will be cancelled.

    If absent then all order types will be cancelled.

    59TimeInForceMassCancelTIF1N
    • TimeInForce=0 (Day)
    • TimeInForce=1 (GTC)
    • TimeInForce=6 (GTD)

    If present then only orders with this qualifier will be cancelled.

    If absent then all Day & GT orders will be cancelled.

    9373LiquidityFlagBooleanNULL1N
    • 0=False
    • 1=True

    Indicates if an order was submitted for market making obligation as required for MIFID.

    Applicable only for EU fixed income markets.

  • Page:
    iLink 3 Order Mass Status Request (Electronic Platform Information Console)

    Tag

    Name

    Binary Type

    Binary Length

    Req

    Enumeration

    Description

    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.
    584MassStatusReqIDuInt648Y

    Unique ID of Order Mass Status Request as assigned by the customer. Echoed back in Execution Report.

    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 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

    9726SeqNumuInt324Y

    Sequence number assigned to this message.

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

    5392SenderIDString20Req20Y

    For futures and options markets: represents Operator ID.

    For 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.

    5297SendingTimeEpochuInt648Y
    Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.
    1151SecurityGroupStringLength66N

    Conditionally required if OrderStatusRequestType=“Product Group” (tag 585=3).

    Status for working orders belonging to this particular product group will be returned.

    Will be ignored if present for any other criteria specified in OrderStatusRequestType besides product group (tag 585=3).

    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.

    48SecurityIDInt32NULL4N

    Conditionally required if OrderStatusRequestType=”Instrument” (Tag 585=1).

    Status for working orders belonging to this particular instrument will be returned.

    Will be ignored if present for any other criteria specified in OrderStatusRequestType besides Instrument.

    585MassStatusReqTypeMassStatusReqTyp1Y
    • MassStatusRequestType=1 (Instrument)
    • MassStatusRequestType=3 (Product Group)
    • MassStatusRequestType=100 (Market Segment)

    Specifies the scope of the Order Mass Status Request within the context of working orders only. Status will be returned for all orders matching the criteria specified here for Session and Firm.

    5000OrdStatusReqTypeMassStatusOrdTyp1N
    • OrdStatusReqType=100 (Operator ID)

    • OrdStatusReqType=101 (Account) 

    If present – specifies the scope of the Order Mass Status Request within the context of MassStatusRequestType (tag 585) and Session and Firm for working orders only.

    Status will be returned for all orders matching the criteria specified here for Session and Firm combination.

    59TimeInForceMassStatusTIF1N
    • TimeInForce=0 (Day)
    • TimeInForce=1 (GTC)
    • TimeInForce=6 (GTD)

    Specifies the scope of the OrderMassStatusRequest within the context of MassStatusRequestType (tag 585) if present.

    Absence of this tag is interpreted as Day / GTC / GTD. FAK is excluded since scope is limited to working orders only.

    1300MarketSegmentIDuInt8NULL1N

    Conditionally required if OrderStatusRequestType=“Market Segment” (tag 585=100). Status for working orders belonging to this particular market segment will be returned. Will be ignored if present for any other criteria specified in OrderStatusRequestType besides market segment (tag 585=100)

  • Page:
    iLink 3 Request for Quote (Electronic Platform Information Console)

    Tag

    Name

    Binary Type

    Binary Length

    Req

    Enumeration

    Description

    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.
    131QuoteReqIDuInt648Y
    Unique identifier for Quote Request.
    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 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

    9726SeqNumuInt324Y

    Sequence number assigned to this message.

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

    5392SenderIDString20Req20Y

    For futures and options markets: represents Operator ID.

    For 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.

    5297SendingTimeEpochuInt648Y
    Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.
    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.

    537QuoteTypeQuoteTyp1N
    • 1=Tradeable
    Identifies the type of quote.
    146NoRelatedSymgroupSize3Y
    • minValue=1
    • maxValue=1

    Specifies the number of repeating symbols.

    →48SecurityIDInt324Y
    Security ID as defined in the market data Security Definition message.
    →38OrderQtyuInt32NULL4N
    Order quantity. Mandatory for buy or sell but not required for cross.
    →54SideRFQSide1N
    • Side=1 (Buy)
    • Side=2 (Sell)
    • Side=8 (Cross)
    For buy, sell, or cross RFQ, send tag 54.
  • Page:
    iLink 3 Order Status Request (Electronic Platform Information Console)

    Tag

    Name

    Binary Type

    Binary Length

    Req

    Enumeration

    Description

    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.
    790OrdStatusReqIDuInt648Y
    Used to uniquely identify a specific Order Status Request message. Echoed back on Execution Report.
    1028ManualOrderIndicatorManualOrdIndReq1Y
    • 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

    9726SeqNumuInt324Y

    Sequence number assigned to this message.

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

    5392SenderIDString20Req20Y

    For futures and options markets: represents Operator ID.

    For 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.

    37OrderIDuInt648Y
    Unique identifier for order as assigned by the exchange. Uniqueness is guaranteed within a single trading day across all instruments.
    5297SendingTimeEpochuInt648Y
    Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970
    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.

  • Page:
    Establish (Electronic Platform Information Console)
    TagNameBinary TypeBinary LengthReqEnumerationDescription
    39003HMACVersionHMACVersion0YCME-1-SHA-256Constant.
    39005HMACSignatureString32Req32Y

    Contains the HMAC signature.

    HMAC signature will be calculated using HMAC data consisting of the following fields which should be in ascending order and delimited with new line (\n) characters. There should be no trailing new line.

    • RequestTimestamp + '\n' +
    • UUID + '\n' +
    • SessionID + '\n' +
    • FirmID+ '\n' +
    • TradingSystemName + '\n' +
    • TradingSystemVersion + '\n' +
    • TradingSystemVendor + '\n' +
    • NextSeqNo + '\n' +
    • KeepAliveInterval

    The HMAC signature is an encoded hash (digest) of the nine fields mentioned above using the Secret Key provided by CME. 

    In pseudo code:

    HmacSHA256(HmacData, secretKey)

    39004AccessKeyIDString20Req20Y

    Contains the AccessKeyID assigned to this session on this port.

    For example: TXkgU2VjcmV0IEtleQ

    1603TradingSystemNameString30Req30Y
    Provides the name of the application system used to generate FIX application messages.
    1604TradingSystemVersionString10Req10Y
    Provides the version of the application system being used to initiate FIX application messages
    1605TradingSystemVendorString10Req10Y
    Provides the vendor of the application system.
    39001UUIDuInt648Y

    Session Identifier defined as type long (uInt64); CME Group recommends using timestamp as number of microseconds since epoch (Jan 1, 1970).

    • Unique at the beginning of the week on Sunday to start with sequence number 1
    • Keep using same UUID in midweek Establish messages to maintain continuous sequence numbers

    CME track of last known used UUID.

    The Negotiate message must be sent prior to the Establish message with a new UUID midweek.

    When used after Negotiate, Negotiate.UUID should have the same value as Etablish.UUID or the message will be rejected.

    Client systems must use the same UUID for both primary and backup connections if using active-active fault tolerance to ensure that the sequence numbers will continue after a failover. 

    39002RequestTimestampuInt648Y
    Time of request; CME Group recommends using the number of nanoseconds since epoch (Jan 1, 1970) as the timestamp.
    39013NextSeqNouInt324Y

    Next expected message sequence number.

    On primary connection, the expected message sequence number of the next business message from customer to CME.

    On primary connection the next expected message sequence number represents the sequence number of the next business message to be sent from customer to CME.

    • At the beginning of the week this should be set to 1
    • Should be set to last known message sequence number + 1 for Establish message sent midweek using same UUID as previous Establish message
    • Should be set to 1 for Establish message sent midweek using different UUID from previous Establish message

    On backup connection, this will be set to 0.

    39006SessionString3Req3Y
    Session ID.
    39007FirmString5Req5Y
    Firm ID.
    39014KeepAliveIntervaluInt162Y

    The longest time in milliseconds the client system can remain silent before sending a keep alive message.

    Allowed range is between 5000-60000. Any value outside this range will be rejected

    If no message is sent from customer after 1 interval lapses, CME will send a Sequence message indicating that one keep alive interval from customer has lapsed.

    If still no response is sent from the customer and the second keep alive interval lapses, the session will be terminated.

    39008

    Credentials

    DATA

    variable

    N


    Currently not supported; however the length of variable data needs to be set to 0, represented as two bytes 00 00.

  • Page:
    Negotiate (Electronic Platform Information Console)
    Tag

    Name

    Binary TypeBinary LengthReqEnumerationDescription
    39000CustomerFlowClientFlowType0YIdempotentConstant value representing type of flow from customer to CME.
    39003HMACVersionHMACVersion0YCME-1-SHA-256Constant.
    39005HMACSignatureString32Req32Y

    Contains the HMAC signature.

    HMAC signature will be calculated using HMAC data consisting of these fields which should be in ascending order and delimited with new line (\n) characters. There should be no trailing new line.

    • RequestTimestamp + '\n' +
    • UUID + '\n' +
    • SessionID + '\n' +
    • FirmID

    The HMAC signature is an encoded hash (digest) of the four fields mentioned above using the Secret Key provided by CME. 

    In pseudo code:

    HmacSHA256(HmacData, secretKey)

    39004AccessKeyIDString20Req20Y

    Contains the AccessKeyID assigned to this session on this port.

    For example: TXkgU2VjcmV0IEtleQ

    39001UUIDuInt648Y

    Session Identifier defined as type long (uInt64); CME Group recommends using the number of microseconds since epoch (Jan 1, 1970) as the timestamp.

    • Unique at the beginning of the week on Sunday to start with sequence number 1
    • Keep using same UUID in midweek Establish messages to maintain continuous sequence numbers

    CME track of last known used UUID.

    The Negotiate message must be sent prior to the Establish message with a new UUID midweek.

    When used after Negotiate, Negotiate.UUID should have the same value as Etablish.UUID or the message will be rejected.

    Client systems must use the same UUID for both primary and backup connections if using active-active fault tolerance to ensure that the sequence numbers will continue after a failover. 

    39002RequestTimestampuInt648Y
    Time of request. CME Group recommends using the number of nanoseconds since epoch (Jan 1, 1970) as the timestamp.
    39006SessionString3Req3Y
    Session ID.
    39007FirmString5Req5Y
    Firm ID.
    39008CredentialsDATA0N

    Currently not supported; however the length of variable data needs to be set to 0, represented as two bytes 00 00.

  • Page:
    Terminate (Electronic Platform Information Console)
    TagNameBinary TypeBinary LengthReqEnumerationDescription
    39011ReasonString4848N

    Terminate reason details.

    Will only be used for descriptive scenarios.

    39001UUIDuInt648Y

    Matches Establish.UUID used to establish the connection.

    39002RequestTimestampuInt648Y


    Time of request;  CME Group recommends using the number of nanoseconds since UNIX epoch (Jan 1, 1970) as the timestamp.

    Outgoing response will match incoming Terminate.RequestTimestamp if sent in response to Terminate.

    If sent in response to an incoming message, it will have the same RequestTimestamp from that message.

    If sent unsolicited for auto port closure or volume controls (logout action), it will be set to the current system time.

    39012ErrorCodesuInt162Y

    0 - Finished: session is being terminated without finalization

    2 - Unnegotiated: Sending any message when session has not been Negotiated 

    3 - NotEstablished: Sending any message (except Negotiate) when session has not been established

    4 - AlreadyNegotiated: NegotiationResponse was already sent; Negotiate was redundant

    5 - NegotiationInProgress: Previous Negotiate still being processed; Wait for NegotiationResponse or timeout

    6 - AlreadyEstablished: EstablishmentAck was already sent; Establish was redundant

    7 - EstablishInProgress: Previous Establish still being processed; Wait for EstablishmentAck or timeout

    8 - CMEAdministeredPortClosure: due to invalid number of Negotiate/Establish attempts being exceeded

    9 - Volume Controls - exceeding TPS limit as defined for volume controls (logout action)

    10 - InvalidNextSeqNo - value is not greater than the one last used for same UUID or value sent by the client is out of acceptable range (MIN, MAX)

    11 - InvalidMsgSeqNo - value is lower than the last one used for the same UUID or value is not initialized to 1 at the beginning of the week or value sent by the client is out of acceptable range (MIN, MAX)

    12 - InvalidLastSeqNo - value is lower than the last one used for the same UUID or value sent by the client is out of acceptable range (MIN, MAX)

    13 - InvalidUUID: UUID value does not match current UUID or value sent by the client is out of acceptable range (MIN, MAX)

    14 - InvalidTimestamp: Timestamp value does not match with RequestTimestamp sent by CME or value sent by the client is out of acceptable range (MIN, MAX)

    15 - RequiredUUIDMisssing: null value in UUID field

    16 - RequiredRequestTimestampMissing: null value in RequestTimestamp field

    17 - RequiredCodeMisssing: null value in Code field

    18 - InvalidSOFH: Invalid message length or invalid encoding type specified

    19 - DecodingError: Incoming message could not be decoded

    20 - KeepAliveIntervalLapsed: KeepAliveInterval has lapsed without any response so terminating session

    21 – RequiredNextSeqNoMissing: null value in NextSeqNo field

    22-RequiredKeepAliveIntervalLapsedMissing: null value in KeepAliveIntervalLapsed field

    23 - Non-Negotiate/Establish message received when not Negotiated/Established

    24 - TerminateInProgress: Previous Terminate still being processed; Wait for Terminate or timeout

    25 - Other: any other error condition not mentioned above

    26 - DisconnectFromPrimary: Backup session will be terminated as well

    Termination code.


    9553SplitMsgSplitMsg1N

    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.

  • Page:
    Sequence (Electronic Platform Information Console)
    TagNameBinary TypeBinary LengthReqEnumerationDescription
    39001UUIDuInt648Y

    Matches Establish.UUID used to establish the connection.

    39013NextSeqNouInt324Y

    Next expected message sequence number.

    On the primary connection, the next expected message sequence number represents the sequence number of the next business message to be sent from the customer to CME or from CME to the customer.

    On the backup connection, this will be set to 0.

    Upon failover, the newly elected primary will send a Sequence message with NextSeqNo=the last message sequence number used by the primary + 1.

    39010FaultToleranceIndicatorFTI1N

    0=Backup

    1=Primary

    Indicates whether the connection is the primary or backup.

    Upon failover, the newly elected primary will send a Sequence message with Status=1.

    Not required to be sent from customer to CME.

    39016

    KeepAliveIntervalLapsed

    KeepAliveLapsed

    1Y

    0=Not Lapsed

    1=Lapsed

    Indicates whether one Keep Alive interval has lapsed without any message received.

    If an additional KeepAliveInterval lapses with no message received, then the socket connection will be disconnected.

  • Page:
    Retransmit Reject (Electronic Platform Information Console)
    TagNameBinary TypeBinary LengthReqEnumerationDescription
    39011ReasonString4848N

    Reject reason details.

    Will only be used for descriptive rejects.

    39001UUIDuInt648Y

    Matches RetransmitRequest.UUID.

    39017LastUUIDuInt64NULL8N

    Matches RetransmitRequest.LastUUID.

    39002RequestTimestampuInt648Y
    Matches RetransmitRequest.RequestTimestamp.
    39012ErrorCodesuInt162Y

    Rejection reasons:

    0 - OutOfRange: FromSeqNo + Count is beyond the range of sequence numbers

    1 - InvalidUUID: The specified UUID is unknown or is not authorized for the requester to access.

    2 - RequestLimitExceeded: The message count exceeds maximum retransmission size of single request

    3 - RetransmitAlreadyInProgress: Prior Retransmit still in progress so cannot send a new one

    4 - InvalidTimestamp: Value sent by the client in RequestTimestamp is out of acceptable range (MIN, MAX)

    5 - InvalidFromSeqNo: Value sent by the client in FromSeqNo is out of acceptable range (MIN, MAX)

    6 - RequiredUUIDMisssing: null value in UUID field

    7 - RequiredRequestTimestampMissing: null value in RequestTimestamp field

    8 - RequiredFromSeqNoMissing: null value in FromSeqNo field

    9 - RequiredMsgCountMissing: null value in MsgCount field

    9553SplitMsgSplitMsg1N

    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.

  • Page:
    Establishment Acknowledgment (Electronic Platform Information Console)
    TagNameBinary TypeBinary LengthReqEnumerationDescription
    39001UUIDuInt648Y

    Matches Establish.UUID.

    39002RequestTimestampuInt648Y
    Matches Establish.RequestTimestamp.
    39013NextSeqNouInt324Y

    Next expected message sequence number.

    On primary connection, the expected message sequence number of the next business message from CME to customer.

    • At the beginning of the week this should be set to 1
    • Should be set to last known message sequence number + 1 for Establish message sent midweek using same UUID as previous Establish message
    • Should be set to 1 for Establish message sent midweek using different UUID from previous Establish message

    On backup connection, this will be set to 0.

    39021PreviousSeqNouInt324Y

    Reflects the sequence number of the last business message published by CME with the PreviousUUID.

    If no business message was published, this will be zero.

    39015PreviousUUIDuInt648Y

    Refers to the UUID sent in the previous message before this message from CME.

    • This can be the CME assigned default UUID=0 for messages published by CME before first Negotiation of customer at the beginning of the week
    • This can be the last UUID as used by the customer from the previously Established session
    • If no business message has been published by CME, this will also be set to 0
    39014KeepAliveIntervaluInt162Y

    The longest time in milliseconds that CME will wait before sending a keep alive Sequence message.

    CME Globex will echo back the keep-alive interval submitted in the customer Establish message.

    39022SecretKeySecureIDExpirationuInt16NULL2N
    Indicates in how many days the HMAC secret key will expire.
    39010FaultToleranceIndicatorFTI1Y

    0 – Backup

    1 – Primary

    Indicates whether the connection is the primary or backup.

    9553SplitMsgSplitMsg1N

    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.

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