Page tree

Versions Compared

Key

  • This line was added.
  • This line was removed.
  • Formatting was changed.

...

Excerpt

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 marketsBrokerTec and EBS MiFID.

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.

...