|9726||SeqNum||uInt32||4||Y||Sequence number assigned to this message.|
|39001||UUID||uInt64||8||Y||Matches Establish.UUID used to establish the connection.|
Reject reason details.
Only for descriptive rejects.
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.
For futures and options markets:
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.
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.
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 Ack message would have been sent beforehand and that unique ID should be provided hereAcknowledgment message
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
|37||OrderID||uInt64||8||Y||Unique identifier for order as assigned by the exchange. Uniqueness is guaranteed within a single trading day across all instruments.|
|44||Price||PRICENULL9||8||N||Price per share or contract.|
|99||StopPx||PRICENULL9||8||N||The stop price of a stop limit and stop protect order (Conditionally present if tag 40-OrdType=4).|
|60||TransactTime||uInt64||8||Y||Time the transaction represented by this Execution Report (35=8) occurred. Expressed as nanoseconds since epoch time.|
|5297||SendingTimeEpoch||uInt64||8||Y||Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.|
|2422||OrderRequestID||uInt64||8||Y||OrderRequestID used to identify a request to enter, modify, or delete an order. Echoed back on the Execution Report.|
|790||OrdStatusReqID||uInt64NULL||8||N||Used to uniquely identify a specific Order Status Request message.|
|584||MassStatusReqID||uInt64NULL||8||N||Unique ID of Order Mass Status Request as assigned by the client system.|
|548||CrossID||uInt64NULL||8||N||Identifier for a Cross order. Will be present if Execution Report is in response to a Cross order.|
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.
|9537||Location||String5Req||5||Y||Text describing sender's location (i.e. geographic location and/or desk).|
|48||SecurityID||Int32||4||Y||Security ID as defined in the market data Security Definition message.|
Number of shares or contracts ordered.
|14||CumQty||uInt32||4||Y||Total quantity filled.|
Quantity open for further execution.
LeavesQty = OrderQty (38) - CumQty (14)
|110||MinQty||uInt32NULL||4||N||Minimum quantity of an order to be executed.|
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.
|432||ExpireDate||LocalMktDate||2||Y||Date of order expiration (last day the order can trade), always expressed in terms of the local market date.|
- OrdStatus=0 (New)
- OrdStatus=1 (Partially Filled)
- OrdStatus=2 (Filled)
- OrdStatus=4 (Cancelled)
- OrdStatus=5 (Replaced)
- OrdStatus=C (Eliminated)
- OrdStatus=8 (Rejected)
- OrdStatus=U (Undefined)
|Identifies status of order.|
Describes the specific Execution Report as order status.
- OrdType=1 (Market order with protection)
- OrdType=2 (Limit order)
- OrdType=4 (Stop limit order)
- OrdType=K (Market limit order)
- Side=1 (Buy)
- Side=2 (Sell)
|Side of order.|
- TimeInForce=0 (Day)
- TimeInForce=1 (GTC)
- TimeInForce=3 (FAK)
- TimeInForce=4 (FOK)
- TimeInForce=6 (GTD)
|Specifies how long the order remains in effect.|
Indicates if order was sent manually.
Flags message as possible retransmission.
This will convey whether a message is an original transmission or duplicate in response to Retransmission Request.
Used when original messages are interleaved with Retransmission responses.
- 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.|
Type of Cross submitted to a market (if in response to a cross order).
- 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.
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 and TBAs.
Indicates if an order was submitted for market making obligation.
Applicable only for EU fixed income markets.
Boolean: flags a managed order.
Front end tool for Repo, knows any new bid/offer placed on same instrument is actually a cancel and replace, additional quantity will split to keep old priority.
Applicable for UK/EU markets.
- 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.
Indicator for Short Sales as required for MiFID II.