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

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 client system.

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.
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.

For the unsolicited events (e.g. fills and end of day eliminations), echo the value on the ExecutionReport representing the last accepted OrderRequestID on the corresponding order.

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.
102CxlRejReasonuInt162Y
Code to identify reason for order rejection.
5904DelayDurationuInt16NULL2N

Not currently being used.

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 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

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 as required for MIFID.

Applicable only for EU fixed income markets.

7552DelayToTimeuInt64NULL8N

Indicates the amount of time that a message was delayed as a result of being:

  • split (9553=0)
  • out of order due to TCP retransmission (9553=1)
  • queued behind a split message (9553=2)

Represented as number of nanoseconds in UNIX epoch format (since Jan 1, 1970). Subtracting this number from FIFO time will represent original received time of delayed message.