Page History

{table-plus:sortIcon=true|sortColumn=1,2,3|sortTip=sort|columnTypes=I,S,S,X,X,X|id=35=8,H}




|| *Tag* || *FIX Name* || *Req* || *Valid Values* || [Format|iLink Message Specification#Format] || *Description* ||
| [Standard Header\- CME Globex to Client System |EPICSANDBOX:Standard Header - CME Globex to Client System] | | | | | |
| 1 | Account | Y\* | | String (12) | Unique account identifier. |
| 6 | AvgPx | Y | 0 | Price (20) | Always '0'. |
| 11 | ClOrdID | Y | | String (20) | Unique order identifier assigned by client system. \\
Client system must maintain uniqueness of this \\
value for the life of the order. |
| 14 | CumQty | Y | | Qty (9) | Contains cumulated traded quantity throughtout \\
lifespan of an order. This value does not reset \\
if order is cancel/replaced. |
| 17 | ExecID | Y | | String (40) | CME Globex assigned execution report message \\
identified; unqiue per instrument per trading session. |
| 19 | ExecRefID | Y\* | | String (9) | Contains unique ID for the trade being cancelled. \\
These are the last 9 characters of tag 17-ExecID. |
| 20 | ExecTransType | Y | 1=Cancel | Char (1) | Identifies transaction type. |
| 31 | LastPx | Y\* | | Price (20) | Price of the canceled trade. |
| 32 | LastQty | Y\* | | Qty (9) | Quantity of canceled trade. |
| 37 | OrderID | Y | | Int (17) | CME Globex assigned order identifier; unique per \\
instrument per trading session. |
| 39 | OrdStatus | Y | H=Trade \\
Cancelled | Char (1) | Identifies trade status as canceled. |
| 41 | OrigClOrdID | N | | String (20) | The last accepted ClOrdID in an order chain. \\
If the value is included in tag41-OrigClOrdID, the same value \\
is returned; however, if no value is sent, a value of '0' is \\
returned in the Execution Report (tag 35-MsgType=8) \\
Cancellation message, else tag 41-OrigClOrdID is not sent. |
| 48 | SecurityID | Y\* | | Int (12) | Identifier of the instrument defined in tag 107. |
| 54 | Side | Y | 1=Buy \\
2=Sell | Char (1) | Side of order. |
| 55 | Symbol | Y | | String (6) | This tag contains the instrument group code. |
| 60 | TransactTime | Y\* | | UTC \\
Timestamp \\
(21) | UTC format YYYYMMDD-HH:MM:SS.sss \\
e.g. 20091216-19:21:41.109 |
| 75 | TradeDate | Y\* | | LocalMktDate \\
(8) | Indicates date of trade referenced in this message in \\
YYYYMMDD format. Absence of this field indicates \\
current day (expressed in local time at place of trade). |
| 78 | NoAllocs | N | 1 | Char (1) | Returned on Execution Report if sent on inbound message. |
| 79 | AllocAccount | N | | String (10) | Returned on Execution Report if sent on inbound message. |
| 107 | SecurityDesc | Y\* | | String (20) | Instrument identifier used on iLink to uniquely identify an instrument. \\
Future Example: GEZ8 \\
Option Example: GEZ9 C9375 |
| 150 | ExecType | Y | H=Trade \\
Bust Ack | Char (1) | Indicates type of Execution Report. |
| 167 | SecurityType | N | FUT=Future \\
OPT=Option | String (3) | Indicates instrument is future or option. |
| 393 | TotalNumSecurities | N | | Int (3) | Number of leg trade elimination messages for a given \\
counterparty. The value will be '0' (zero) for outrights. |
| 442 | MultiLegReportingType | N | 1=Outright \\
2=Leg of spread \\
3=Spread | Int (1) | Indicates if acknowledgment message is sent for an outrigh, leg of spread or spread. |
| 527 | SecondaryExecID | N | | String (40) | Unique identifier that allows linking of spread summary fill notice \\
with leg fill notice and trade cancel messages. |
| 810 | UnderlyingPx | C | | Price (20) | Price for future used in calculating the conversion of volatility \\
to premium for the option. Conditionally required for premiums; not \\
required for volatility. |
| 811 | OptionDelta | C | | Float (6,2) | Calculated delta, expressed as a decimal between \-1 and 1. \\
Conditionally required for premiums; not required for volatility. |
| 1188 | Volatility | C | | String (20) | Annualized volatility for option model calculations. \\
Conditionally required for premiums; not required for volatility. |
| 1189 | ExpirationTimeValue | C | | Float | This value is expressed as a decimal portion of a year, \\
typically the days to expiration divided by the days in the year (year=365 days). Conditionally required for premiums; not required for volatility. |
| 1190 | RiskFreeRate | C | | Price (20) | Risk-free rate. Conditionally required for premiums; not required \\
for volatility. |
| 1028 \\ | ManualOrderIndicator \\ | Y\* \\ | Y=manual \\
N=automated \\ | Boolean(1) \\ | Value sent on inbound message from client system indicating the order as sent manually or generated by automated trading logic. |
| 9717 | CorrelationClOrdID | Y\* | | String (20) | Unvalidated value returned as submitted if sent by client system on inbound message. \\ |
| [EPICSANDBOX:Standard Trailer] | | Y | | | End of message. |
Y: Required by FIX protocol, Y*: Required by CME Globex (not by FIX protocol), N: Not Required, C: Conditionally
{table-plus}