Page tree

Versions Compared

Key

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

...

Table of Contents
maxLevel4

Summary of iLink Execution Report - Fill

...

Messaging Behavior

Scenario

Behavior

Aggressing OrderOne fill sent per trade price and per liquidity source regardless of how many counter-parties traded with
Resting Order (FIFO Market)For all order types other than Display Quantity, no change from today.
Resting Order (Non-FIFO Market)One fill sent with trade quantity aggregated from all match algorithm steps
Display Quantity (DQ) OrderOne fill sent with trade quantity aggregated from all refreshes

Opening Trade

All bids and asks receive one fill for each order in alternating sequence (i.e., BUY/SELL, BUY/SELL, etc.)

Video overview of iLink Execution Report - Fill Messaging Behavior

HTML
<p><a href="https://www.cmegroup.com/education/videos/ilink-fill-report-messaging-behavior.html" target="_blank" rel="nofollow"><img src=http://www.cmegroup.com/globex/images/eid-thumb.png alt="iLink Fill Report Messaging Behavior"></a></p>
 

Fills for Aggressing Orders

...