The Execution Report - Trade Addendum Spread Leg message notifies client system of trade cancellation or correction for spread legs.
Bolded red text indicates this change supports EBS Market.
Sequence number assigned to this message.
The max value is 999999999 which is 1 short of 1 billion.
|39001||UUID||uInt64||8||Y||Matches Establish.UUID used to establish the connection.|
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: represents Operator ID.
For EBS and fixed income markets: represents the Entering Trader. For EBS this value must be 3 characters.
This value represents the individual or team submitting the message and is subject to registration requirements and character limits as required by Rule 576 and the Advisory below:
Unique identifier for Order as assigned by client system. 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.
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:
For on-demand messages:
|Y||Price of this (last) fill.|
Unique identifier for order as assigned by the exchange. Uniqueness is guaranteed within a single trading day across all instruments.
|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.|
Unique identifier linking spread summary fill notice with leg fill notice and trade cancel messages.
To uniquely identify each fill, Client System can concatenate: OrderID (37) + TradeDate (75) + SecExecID (527)
|9703||OrigSecondaryExecutionID||uInt64NULL||8||N||Unique identifier of the corrected fill.|
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.
Note: this field is optional for EBS Market and eFIX Matching Service instruments.
|48||SecurityID||Int32||4||Y||Security ID as defined in the market data Security Definition message.|
|32||LastQty||uInt32||4||Y||Quantity bought/sold on this (last) fill.|
|1506||SideTradeID||uInt32||4||Y||The unique ID assigned to the trade once it is received or matched by the exchange.|
|1507||OrigSideTradeID||uInt32NULL||4||N||Refers to the unique ID assigned to the corrected trade.|
Indicates date of trading day (expressed in local time at place of trade).
Sent in number of days since Unix epoch.
Identifies status of order as trade cancellation or correction.
Describes the specific Execution Report as trade cancellation or correction.
Indicates if the message was initially received manually.
'0' indicates the message was generated by automated trading logic.
iLink messages containing a value other than '0' or '1' 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.
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
|54||Side||SideReq||1||Y||Side of Trade Addendum Spread Leg.|
|64||SettlDate||LocalMktDate||2||N||Specific date of trade settlement for the Spot leg|
Total amount traded (in notional) in counter currency for the Spot leg
|381||GrossTradeAmt||Decimal64NULL||9||N||Total amount traded (in notional) in base currency for the Spot leg|
Specifies the number of fill reasons included in this Execution Report.
Maximum number of fill reasons is 6.
|→1364||FillPx||PRICE9||8||Y||Price of this fill reason or allocation. Required if NoFills (1362) > 0. Same as LastPx (31)|
|→1365||FillQty||uInt32||4||Y||Quantity bought/sold for this fill reason.|
|→1363||FillExecID||String2||2||Y||Used as an identifier for each fill reason or allocation reported in single Execution Report. Required if NoFills (tag 1362) > 0. Append FillExecID with ExecID to derive unique identifier for each fill reason or allocation.|
0 – Future Hedge
1 – Pro Rata
2 – LMM
3 – TOP
4 – FIFO
5 – Cross BMG
8 – Covering
9 – Cross BPM
10 – Leveling
11 – Aggressor
14 – Leg
16 – Opening
18 – Implied Opening
19 – FIFO Percent
|Enumeration of the Fill Reason field using Integer. This identifies the type of match algorithm.|
Number of fills which comprise fill quantity.
The maximum number of fills is configured 100.
Applicable for BrokerTec markets only.
For Trade Cancel, refers to price of the canceled trade.
For Trade Correction, refers to the new fill price.
|→1802||OrderEventText||String5||5||N||Will not be present for BrokerTec US; will be populated with the firm ID of the opposite order for BrokerTec EU bilateral trades.|
|→1797||OrderEventExecID||uInt32||4||Y||This is a unique ID which ties together a specific fill between two orders; unique per instrument per day.|
|→1800||OrderEventQty||uInt32||4||Y||Refers to the specific fill quantity between this order and the opposite order.|
|→1796||OrderEventType||TradeAddendum||1||Y||The type of event affecting an order.|
|→1798||OrderEventReason||uInt8||1||Y||Action that caused the event to occur.|
Contains the previous tag 1797-OrderEventExecID value of the trade being adjusted or busted.
Will not be present on the following message types