Standard Header - Client to CME Globex
|35||MsgType||String(2)||D=New Order||Y||Header tag identifying message type.|
Unique account identifier.
Unique order identifier assigned by client system.
Client system must maintain uniqueness of this value for the life of the order.
Refer to iLink - CME Globex Identifiers for more information.
Order submitted for automated matching on CME Globex.
W - Desk
Y - Electronic (Default)
C - Vendor-provided Platform billed by Executing Broker
G - Sponsored Access via Exchange API or FIX provided by Executing Broker
H - Premium Algorithmic Trading Provider billed by Executing BrokerD - Other, including Other-provided Screen
Defines source of original order.
Order quantity. Must be a positive integer.
- New Orders submitted with quantity greater than the Max Quantity and less than 99999 will be rejected with 35=8.
- New Orders submitted with quantity greater than 99999 will be rejected with 35=3.
Maximum Quantity is defined in the market data Security Definition (MsgType-tag 35-d) message in tag 1140-MaxTradeVol.
- For GC2, A New Order submitted with a quantity greater than the allowed clip size will be rejected with a Session Level Reject (35=3) with tag 58-Text= 'Credit Limit Violation: Order Quantity x exceeds Clip Size: y'.
1=Market order (with protection)
3=Stop order (with protection)
Order type. See also iLink Order Types and Order Types for Futures and Options for complete details.
The state of an order type can change over the life of an order. For example, a submitted stop order (3) can turn into a market order (1) when the stop price level has been crossed.
Required for limit or stop-limit orders. Designates the price per single contract unit. The decimal, and if applicable the negative sign of the price are each one character. Client systems should not supply more than 9 characters to the left and 9 characters to the right of the decimal.
See Fractional Pricing for products that tick fractionally but must be submitted in decimal.
Side of order.
This tag contains the Group Code of the instrument.
1=Good Till Cancel (GTC)
3=Fill and Kill
6=Good Till Date
Specifies how long the order remains in effect. If not present, DAY order is the default.
For GTD, ExpireDate is required.
For FAK, MinQty can also be specified.
See Order Type Qualifiers for more information.
Timestamp of the business event of submitting the order (e.g., click the submission button).
UTC format YYYYMMDD-HH:MM:SS.sss
'N' indicates the message was generated by automated trading logic.
|iLink messages containing a value other than 'Y' or 'N' in this tag will be rejected.|
This tag is subject to Rule 536.B.2 Electronic Audit Trail Requirements for Electronic Order Routing/Front-End Systems.
|78||NoAllocs||NumInGroup(1)||1||C||Always set to '1'. |
Indicates the number of give up accounts. CME Globex supports only 1 give up account.
Must be used in conjunction with tag 9708-CmtaGiveupCD, tag 9707-GiveupFirm and tag 79-AllocAccount.
Indicates a give up account number.
Must be used in conjunction with tag 9708-CmtaGiveupCD, tag 9707-GiveupFirm and tag 78-NoAllocs.
Required for stop and stop-limit orders. Designates stop trigger price specified by the individual entering the order or cancel/replace. The decimal, and if applicable the negative sign of the price are each one character. Client systems should not supply more than 9 characters to the left and 9 characters to the right of the decimal.
See tag 44-Price description for fractional pricing information.
Future Example: GEZ8
Option Example: CEZ9 C9375
Minimum quantity of an order to be executed. This tag is used only when tag 59-TimeInForce=3 (Fill and Kill).
The value of MinQty must be between 1 and the value in tag 38-OrderQty.
The format of this tag is different from FIX protocol specifications.
This tag must be an integer.
IRS=Interest Rate Swap
Indicates security type.
Note: For options strategy including UDS COMBO or COVERED, send OPT. For UDS Futures, send FUT.
The type of business conducted.
- If the order is sent by a customer of a clearing firm, then tag 204 = 0 (Customer)
- If the order is sent by a proprietary trader within a clearing firm, then tag 204 = 1 (Firm)
Display quantity of an order to be shown in the order book at any given time.
- The value of MaxShow must be a fixed number N between 1 and value in tag 38-OrderQty. If MaxShow is reduced (due to matches) to 0, then MaxShow is reset to the lesser of N or the number in tag 38-OrderQty remaining and the order reinstated at the bottom of the book.
- See also: Order Display Quantity.
Not available for some:
In CME Eurodollar Futures products, the maximum display ratio is 1:60.
Required only if tag 59-TimeInForce=Good Till Date (GTD). CME Globex does not support tag 126-ExpireTime. Only the expiration date can be set. Orders expire at the end of the trading session of the specified date.
This tag is required when market participants elect to use the optional Self Match Prevention functionality.
Non-implied orders with the same Self-Match Prevention identifier submitted with the same Executing Firm Identifier (subcomponent of tag 49-SenderCompID) will not match on CME Globex.
Indicates a cancel instruction when Self Match Prevention is triggered.
- To use tag 8000-SelfMatchPreventionInstruction, client systems must include tag 7928-SelfMatchPreventionID on the originating message
- If tag 8000-SelfMatchPreventionInstruction is not sent, the resting order will be cancelled.
Customer Type Indicator (CTI)
For electronic trading CTI codes are defined as:
- CTI 1: Applies to orders entered or trades executed by an individual member for their own account, for an account they controls, or for an account in which they have an ownership or financial interest. However, transactions initiated and executed by a member for the proprietary account of a member firm must be designated as CTI 2 transactions.
- CTI 2: Applies to orders entered or trades executed for the proprietary accounts of a member firm, including Rule 106.H., I., N., R. and S. firms.
- CTI 3: Applies to orders entered by a member or a nonmember terminal operator for the account of another individual member or an account controlled by such individual member.
- CTI 4: Applies to all orders and transactions not included in CTI categories 1, 2, or 3. These typically are orders entered by or on behalf of nonmember entities.
This tag is subject to Rule 536.D Customer Type Indicator (CTI) Codes and to 536.B.2 Electronic Audit Trail Requirements for Electronic Order Routing/Front-End Systems.
If you are unsure of which value to use, contact CME Group Market Regulation.
Used to identify account numbers or orders for grouping trades together for average price calculations.If incoming value is greater than max length, iLink will return the right-most twenty bytes.
|1598||ClearingTradePriceType||String(1)||0 – Trade Clearing at Execution Price|
1 – Trade Clearing at Alternate Clearing Price
|N||Indicates whether spread differential trade is clearing at execution price (tag 31-LastPx) or alternate clearing price (i.e. previous day’s settlement price).|
|819||AvgPXIndicator||String(3)||0 – No Average Pricing (Default)|
1 – Trade is part of an Average Price Group Identified by the AvgPxGroupID
3 - Notional Value Average Pricing with Average Price Group Identified by the AvgPxGroupID
Indicates if the resulting trade is to be average priced.This tag is also used to indicate type of average price grouping.
Allows users to submit a free-form Note tag with a customer order and persists from order entry through clearing
Note: if tag 5149-Memo value on inbound messages exceeds the max length of 75 bytes, iLink will return a truncated 75 bytes from the right on the response.
Identifies the executing firm ID to which the fill is given up or mutually off-set for eligible contracts.
Indicates if order is a give-up or mutual off-set with the Singapore Exchange (SGX).
|CME STRONGLY RECOMMENDS this tag contain the same value as tag 11-ClOrdID for use in correlating all iLink messages associated with the order chain originating with this New Order message. However, CME Globex does not validate this value and returns it as submitted on all subsequent messages from CME Globex to the Client System for the order chain.|
Refer to iLink - CME Globex Identifiers for more information.
Standard Message Trailer
End of message.