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Excerpt

Tag

Name

Binary Type

Binary Length

Req

Enumeration

Description

9726SeqNumuInt324Y
Sequence number assigned to this message.
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:

Operator ID.

Should be unique per Firm ID.

Assigned value used to identify specific message originator.

Represents last individual or team responsible for the system that modifies the order prior to submission to CME Globex.

For fixed income markets: represents the Entering Trader.

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 short 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 long 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.
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.
9537LocationString5Req5Y
Text describing sender's location (i.e. geographic location and/or desk).
102CxlRejReasonuInt162Y
Code to identify reason for cancel replace rejection.
5904DelayDurationuInt16NULL2N

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 5979-RequestTime will represent original received time of in-flight message.

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.

This will convey whether a message is an original transmission or duplicate in response to Retransmission Request.

This will become pertinent when original messages get interleaved with Retransmission responses.

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.

Applicable only for EU fixed income markets.