Page tree

Versions Compared

Key

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

...

    • Remove “Null” enum value(255)
Version 6 Enhancements

 

Updates

Template Name

Template IDs

CME FX Link Enhancements

Add these three new fields to support CME FX Link enhancements:

  • SettlDate (tag 64)
  • GrossTradeAmt (tag 381)
  • CalcCcyLastQty (tag 1056)

ExecutionReportTradeSpreadLeg527

ExecutionReportTradeAddendumSpreadLeg550

527

550

Schema Attribute Changes

Update description for PartyDetailsListReqID(tag 1505) from FFFFFFFF to 0 

PartyDetailsDefinitionRequest518

518

Semantic Type for NewOrderCross template changed from ‘c’ to ‘s’

NewOrderCross544

544

Add new enum value (0) for OrdType (tag 40) to represent null value

ExecutionReportTradeAddendumSpread549

549

Add new enum value (0) for OrdType (tag 40) to represent null value

Add new enum value (255) for TimeInForce (tag 59) to represent null value

Add new enum value (7) for Side (tag 54) to represent undefined value

ExecutionReportStatus532

532

EBS Changes

Add new field DiscretionPrice (tag 845) to support Price Discretion orders

NewOrderSingle514

OrderCancelReplaceRequest515

ExecutionReportNew522

ExecutionReportReject523

ExecutionReportElimination524

ExecutionReportTradeOutright525

ExecutionReportModify531

ExecutionReportStatus532

ExecutionReportCancel534

ExecutionReportTradeAddendumOutright548

514

515

522

523

524

525

531

532

534

548

Add new enum value (99) for TimeInForce (tag 59) to represent Good For Session (GFS) orders

NewOrderSingle514

OrderCancelReplaceRequest515

ExecutionReportNew522

ExecutionReportReject523

ExecutionReportElimination524

ExecutionReportTradeOutright525

OrderMassStatusRequest530

ExecutionReportModify531

ExecutionReportStatus532

ExecutionReportCancel534

ExecutionReportTradeAddendumOutright548

514

515

522

523

524

525

530

531

532

534

548

Add three new fields to support eFIX trades:

  • TradeType (tag 828)
  • ExecRestatementReason (tag 378)
  • BenchmarkPrice (tag 6262)

ExecutionReportTradeOutright525

ExecutionReportTradeAddendumOutright548

525

548

Add six new fields to support FXSPOT/FXNDF trades:

  • SettlDate (tag 64)
  • MaturityDate (tag 541)
  • GrossTradeAmt (tag 381)
  • CalcCcyLastQty (tag 1056)
  • ContraGrossTradeAmt (tag 5542)
  • ContraCalculatedCcyLastQty (tag 5971)

ExecutionReportTradeOutright525

ExecutionReportTradeAddendumOutright548

525

548

Update data type for OrderID (tag 37) from uInt64 to uInt64NULL to support Order Cancel and Order Cancel Replace by ClOrdID (tag 11)

OrderCancelReplaceRequest515

OrderCancelRequest516

515

516

Add new templates to support Minimum Quote Life

ExecutionReportPendingCancel564

ExecutionReportPendingReplace565

564

565

Add two new enum values for OrderStatus (tag 39) to represent Pending Cancel (6) and Pending Replace (E) to support Minimum Quote Life (MQL).

ExecutionReportStatus532

532

Futures and Options on Futures - Production Rollout

Date

Messages from Client

Messages from CME Globex
DATEMESSAGES FROM CLIENTMESSAGES FROM CME GLOBEX
Currently

V5

V5
March 7 through
April 11
March 28: Phased launch

V5 or  V7 for market segments that support V7

V5 and V7

V7
V7 for market segments that support V7
March 28V5 or V7 for all market segmentsV7 only
Sunday, May 16V7 onlyV7


Please Note: BrokerTec on CME Globex will remain on iLink 3 version 5.

...

iLink 2 Fill Message

 iLink 3 Fill Messages

Current tag 31 value

New tag 31 value




Execution Report – Fill Notice


Execution Report – Trade Spread 

CME FX Link spread: 6E:XF:EURUSD:Z7

Tag 31-LastPx=spread price

N/A - Same as today



Execution Report – Trade Spread Leg

CME FX Futures leg: 6EZ7

Tag 31-LastPx=futures leg price

N/A - Same as today

CME FX Spot leg  (non-tradable)EURUSDZ5031

Tag 31-LastPx=spread price

CME FX Spot leg (non-tradable): US Dollar Spot FX              

Tag 31-LastPx=actual OTC Spot price

...