Page tree

Versions Compared

Key

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

...

Message NameMessage Level ChangesGateway
iLink 3 Business Reject 

The Business Message Reject message notifies customers a message has failed application-level business validation.

Business Reject message will be used in these scenarios:

  • Rejection of incoming message due to:
    • Blocked trading due to Kill Switch Activation
    • Blocked trading due to Risk Management API 
    • Restricted from trading Deliverable Swap Futures
    • Restricted from trading Interest Rate Swaps
    • Blocked trading due to CME Globex Credit Controls
    • Blocked trading due to Inline Credit Controls
    • Exceeding Volume Control thresholds
    • Failure to decode message
  • Rejection of incoming message due to invalid SecurityID
  • Rejection of incoming message due to invalid PartyDetailsListReqID
  • FIX field of the wrong type (sending a STRING for an INTEGER field, for example)
  • Tag value is all spaces
  • Missing required fields
  • Using invalid combination of fields such as:
    • Missing expire date tag for GTD orders
    • Including expire date tag on non-GTD orders
    • Using FAK/FOK with iceberg orders
    • Using FAK/FOK with stop orders
    • Including price (tag 44) with market orders
    • Missing stop price (tag 99) on stop orders
    • Including stop price (tag 99) on non-stop orders
    • Iceberg quantity greater than total quantity
    • Minimum quantity greater than total quantity
    • Order quantity greater than total quantity
MSGW
Execution Report - New

Execution Report - New is sent in response to New Order Single as well as activation of stop orders

Tag 2422-OrderRequestID is used to tie responses to requests

Execution Report - New message does not contain these fields

  • Tag 6-AvgPx
  • Tag 14-CumQty
  • Tag 20-TransType
  • Tag 41-OrigClOrdID
  • Tag 151-LeavesQty 
MSGW
iLink 3 Execution Report - Modify

Execution Report - Modify message is sent in response to Order Cancel Replace Request

  • Modification order will be represented by tag 39-OrderStatus = 5 and tag 150-ExecType 150=5
  • Tag 2422-OrderRequestID  is used to tie back responses to requests

Execution Report - Modify message does not contain these fields

  • Tag 6-AvgPx
  • Tag 20-TransType
  • Tag 41-OrigClOrdID
MSGW
iLink 3 Execution Report - Cancel

Execution Report - Cancel message is sent in response to Order Cancel Request as well as to report unsolicited cancellation of orders due to:

  • Market Operations
  • Cancel On Disconnect
  • Self-Match Prevention
  • CME Globex Credit Controls
  • Risk Management API
  • CME One

Tag 2422-OrderRequestID  is used to tie back responses to request

Execution Report - New message does not contain these fields

  • Tag 6-AvgPx
  • Tag 20-TransType
  • Tag 41-OrigClOrdID
  • Tag 151-LeavesQty 
MSGW
iLink 3 Execution Report - Status

Execution Report - Status message is sent in response to Order Status Request or Order Mass Status Request

  • Tag 790-OrdStatusReqID is used to correlate Order Status Request with response

To make the exchange FIX compliant, now current state of the order will be represented by tag 39-OrderStatus and the specific type of event will be represented in tag 150-ExecType

  • Order status response will be 39=0, 1, 2, 4, 5, C and 8 and 150=I 

Execution Report - Status message does not contain these fields

  • Tag 6-AvgPx
  • Tag 20-TransType
  • Tag 41-OrigClOrdID
MSGW
iLink 3 Execution Report - Trade Outright 

The Execution Report - Trade (Outright/Spread/Leg) messages are sent upon fill or partial fill of client order:

  • Fill Execution Report only for outright, spread, and spread leg instruments

To make the exchange FIX compliant, now current state of the order will be represented by tag 39-OrderStatus and the specific type of event will be represented in tag 150-ExecType

  • Fill message will contain 39=1 or 2 and 150=F 
  • Trade number now in its separate field called tag 1506-SideTradeID instead of embedding in tag 17-ExecID

Execution Report - Trade (Outright/Spread/Leg) messages  does not contain these fields:

  • Tag 6-AvgPx
  • Tag 20-TransType
  • Tag 41-OrigClOrdID
  • Tag 337-ContraTrader 
  • Tag 375-ContraBroker
  • Tag 442-MultiLegReportingType 

Execution Report - Trade Spread Leg message does not contain these fields:

  • Tag 38-OrderQuantity 
  • Tag 44-Price 
  • Tag 59-TimeInForce 
  • Tag 99-Stop Price 
  • Tag 110-MinQty 
  • Tag 151-LeavesQty
  • Tag 548-CrossID
  • Tag 549-CrossType
  • Tag 1057 AggressorIndicator 
  • Tag 1138-DisplayQty
  • Tag 2422-OrderRequestID 
  • Tag 37711-MDTradeEntryID
MSGW
iLink 3 Execution Report - Trade Spread MSGW
iLink 3 Execution Report - Trade Spread Leg MSGW
iLink 3 Execution Report - Elimination

The Execution Report - Elimination message is sent at order elimination

Execution Report - Elimination message does not contain these fields

  • Tag 6-AvgPx
  • Tag 20-TransType
  • Tag 41-OrigClOrdID
  • Tag 151-LeavesQty
MSGW
iLink 3 Execution Report - Reject

The Execution Report - Reject message notifies client system of rejected order

  • Tag 2422-OrderRequestID  is used to tie back responses to requests

Execution Report - Reject message does not contain these fields:

  • Tag 6-AvgPx
  • Tag 14-CumQty
  • Tag 20-TransType
  • Tag 41-OrigClOrdID
  • Tag 151-LeavesQty
MSGW
iLink 3 Execution Report - Trade Addendum Outright

The Execution Report - Trade Addendum (Outright/Spread/Leg) message notifies client system of trade cancellation or correction for outright, spread, and leg

  • Trade number in separate tag 1506-SideTradeID 
  • For Trade Cancel, tag 19-ExecRefID, replaced with tag 1506-SideTradeID
  • For Trade Correction, tag 19-ExecRefID replaced with tag 1507-OrigSideTradeID
  • Tag 32-LastQty value will be the quantity bought/sold on this (last) trade, NOT the quantity of canceled trade.

Execution Report - Trade Addendum Outright/Spread/Legs message does not contain these fields

  • Tag 6-AvgPx
  • Tag 20-TransType
  • Tag 41-OrigClOrdID
  • Tag 14-CumulativeQty 
  • Tag 38-OrderQuantity 
  • Tag 110-MinQty 
  • Tag 1138-DisplayQty 
  • Tag 40-OrderType
  • Tag 44-Price 
  • Tag 99-StopPrice 
  • Tag 59-TimeInForce 
  • Tag 151-LeavesQuantity 
  • Tag 2422-OrderRequestID 
  • Tag 432-ExpireDate  
  • Tag 1057-AggressorIndicator 

Execution Report - Trade Addendum Spread Leg does not contain these fields: 

  • Tag 810-UnderlyingPx
  • Tag 811-PriceDelta
  • Tag 1188-Volatility
  • Tag 1189-TimeToExpiration
  • Tag 1190-RiskFreeRate
  • Tag 337-ContraTrader 
  • Tag 375-ContraBroker
  • Tag 432-ExpireDate 
  • Tag 442-MultiLegReportingType 
  • Tag 548-CrossID 
  • Tag 549-CrossType 
  • Tag 961-HostCrossID
  • Tag 1028-ManualOrderIndicator
  • Tag 37711-MDTradeEntryID
MSGW
iLink 3 Execution Report - Trade Addendum SpreadMSGW

iLink 3 Execution Report - Trade Addendum Spread Leg

MSGW

iLink 3 Order Cancel Reject

The Order Cancel Reject message is issued upon receipt of a cancel request message which cannot be honored and a rejected cancellation will generate an Order Cancel Reject message

  • Tag 2422-OrderRequestID is used to tie back responses to requests

State of the cancel/modification will be represented by tag 39-OrderStatus & tag 434-CxlRejResponseTo

  • Rejection of cancel will be tag 39=U & tag 434=1
  • Rejection of modification will be tag 39=U & tag 434 =2

Execution Report - Order Cancel  and Cancel Replace Reject messages do not contain does not contain tag 41-OrigCIOrdID

MSGW

iLink 3 Order Cancel Replace Reject

MSGW
iLink 3 Security Definition Response

This message is sent in response to an attempt to create a new security definition

The Security Definition message is used for the following:

  • Accept the security defined in a Security Definition Request message
  • Accept the security defined in a Security Definition Request message with changes to the definition and/or identity of the security
  • Reject the security requested in a Security Definition Request message

Tag 602-LegSecurityID is use for spread leg identification

The following tags are no longer being used:

  • Tag 600-NoLegSymbol
  • Tag 620-LegSecurityDesc
  • Tag 608-LegCFICode 
  • Tag 612-LegStrikePrice
  • Tag 610-LegMaturityMonthYear
  • Tag 942-LegStrikeCurrency
MSGW

iLink 3 Mass Quote Acknowledgment

The Mass Quote Acknowledgment message is used as the response to a Mass Quote to notify customers of accepted and rejected quotes

The Mass Quote Acknowledgment message contains the number of successfully processed quotes and a list of rejected quotes identified by tag 299-QuoteEntryID

Only one quote set allowed per message to avoid nested repeating groups—this means that quote set itself is not represented as a repeating group

MSGW

iLink 3 Request for Quote Acknowledgment

Request for Quote Ack message is used in response to a Request for Quote message to either accept it or reject it

MSGW

iLink 3 Quote Cancel Acknowledgment

Quote Cancel Ack message is used in response to a Quote Cancel message to either accept it or reject it.

Info

For quote eliminations, customers will receive the Party Details Definition Request Acknowledgment message before the Quote Cancel Acknowledgment message regardless of whether they were sent in using the pre-registered or on-demand administrative information.

  • Party Details Definition Request Ack + Quote Cancel Ack
MSGW

iLink 3 Order Mass Action Report

An Order Mass Action Report is used to acknowledge an Order Mass Action Request and is sent by CME back to the customer since it is meant to verify that CME has successfully received and processed the Order Mass Action RequestMSGW

iLink 3 Party Details Definition Request Acknowledgment

Used to respond to the Party Details Definition Request message indicating whether the request has been accepted

  • Rejects will be communicated using the Business Reject.

The Party Details Definition Request Acknowledgment message will be sent by CME via:

  • New Service Gateway for pre-registering administrative information 
  • MSGW for On-demand administrative information

Only one party update allowed per message to avoid nested repeating groups

Customer and Account classification fields will be included to facilitate risk management functions via Drop Copy:

  • Tag 582-CustOrderCapacity 
  • Tag 1816-ClearingAccountType 
  • Tag 1693-PartyDetailRole=96 (take up firm)
  • Tag 1693-PartyDetailRole=1000 (take up account)

Also depending upon the type of message the amount of information contained in the Party Details Definition Request Acknowledgment could vary; for example:

  • On-demand Business Reject: the Party Details Definition Request Acknowledgment that is sent with Business Reject has the least amount of information; i.e. only the Executing Firm, Memo and Operator Party Detail Role will be present
  • On-demand Execution Report: the Party Details Definition Request Acknowledgment that is being sent with Execution Report has a lot more information but it will still not be complete and will be missing fields such as CustOrderCapacity, ClearingAccountType,  CmtaGiveUpCD CmtaGiveUpCD, Operator, and Take-Up Firm PartyDetailRole
  • On-Demand Order Cancel Reject/Order Cancel Replace Reject: the Party Details Definition Request Acknowledgment that is being sent with Order Cancel Reject/Order Cancel Replace Reject: has only some information present and other fields will not be present; for example Executing Firm, Customer Account, Operator and Take-Up Account PartyDetaillRole, Memo and CustOrderHandlingInst will be present
SGW/MSGW

iLink 3 Party Details List Report

Used to replay all of the Party Details Definition information such as clearing instructions, order source, self match parameters etc for a particular firm ID 

Each Party Details Definition will be returned as a separate Party Details List Report message

  • Tag 1512-TotNoParties will indicate the total number of Party Details List Report messages being returned
  • Tag 893-LastFragment will indicate when the last Party Details List Report message has been sent
SGW

...