The Execution Report - Trade Addendum Spread message notifies client system of trade cancellation or correction for spreads.
|9726||SeqNum||uInt32||4||Y||Sequence number assigned to this message.|
|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:
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.
Unique identifier for Order as assigned by the buy side (institution, broker, intermediary, etc.). 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; for example, by embedding a date within the ClOrdID field.
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.|
|37||OrderID||uInt64||8||Y||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 nano seconds since midnight January 1, 1970.|
|527||SecExecID||uInt64||8||Y||Unique identifier that allows linking between spread summary fill notice with leg fill notice and Trade Cancel messages.|
|9703||OrigSecondaryExecutionID||uInt64NULL||8||N||Unique identifier of the corrected fill.|
|9537||Location||String5Req||5||Y||Text describing sender's location (i.e. geographic location and/or desk).|
|48||SecurityID||Int32||4||Y||Security ID as defined in the market data Security Definition message.|
|37711||MDTradeEntryID||uInt32||4||Y||Market Data Trade Entry ID. This identifier is assigned to all trades that take place for an instrument at a particular price level.|
|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.|
Refers back to the unique ID assigned to the corrected trade.
|75||TradeDate||LocalMktDate||2||Y||Indicates date of trading day (expressed in local time at place of trade).|
Identifies status of order as trade cancellation or correction.
Describes the specific Execution Report as trade cancellation or correction.
|54||Side||SideReq||1||Y||Side of order.|
|1028||ManualOrderIndicator||ManualOrdIndReq||1||Y||Indicates if order was sent manually.|
Flags message as possible retransmission.
This will convey whether a message is an original transmission or duplicate in response to Retransmission Request.
Used when original messages are interleaved with Retransmission responses.
Indicates total number of leg fills for the spread.
Instructions for order handling for fixed income markets.
Only Best may be applied to resting and aggressing orders and:
Not Held (applies only to US Repo) eliminates quantity remaining from an FaKi order (tag 59=3) and ensures it will it not be included in a work-up session; however, the order can still trigger a work-up session.
AONs will have a separate book with a separate ISIN. The AON orders that cannot trade immediately can rest in the AON book. They can only trade with AON orders on the other side of the AON book that have the SAME PRICE and SAME QUANTITY.
Instruction for whether the order should rest on the book upon entry or match as an aggressor.
A Passive Order will rest in the market without executing unless matched with an Aggressive Order on the other side.
An Aggressive Order will match against any other order on the opposite side.
Applicable for US & EU Repos and TBAs.
Indicates if an order was submitted for market making obligation.
Applicable only for EU fixed income markets.
Boolean: flags a managed order.
Front end tool for Repo, knows any new bid/offer placed on same instrument is actually a cancel and replace, additional quantity will split to keep old priority.
Applicable for UK/EU markets.
Indicates the type of short sale on Sell orders only.
Indicator for Short Sales as required for MiFID II.
|1362||NoFills||groupSize||3||Y||Specifies the number of fill reasons included in this Execution Report.|
|→1364||FillPx||PRICE9||8||Y||Price of this fill reason or allocation. Required if NoFills (tag 1362) > 0. Same as tag 31-LastPx.|
|→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 leg executions.
|→1893||LegExecID||uInt64||8||Y||The tag 17-ExecID value corresponding to a trade leg.|
|→637||LegLastPx||PRICE9||8||Y||Execution price assigned to a leg of a multileg instrument|
|→1901||LegExecRefID||uInt64NULL||8||N||The original tag ExecID value corresponding to corrected trade leg.|
|→1894||LegTradeID||uInt32||4||Y||The TradeID value corresponding to a trade leg|
|→39023||LegTradeRefID||uInt32NULL||4||N||Refers to the original LegTradeID of the leg trade being corrected|
|→1418||LegLastQty||uInt32||4||Y||Fill quantity for the leg instrument.|
The side of this individual leg of a multileg security.
|1795||NoOrderEvents||groupSize||3||N||Number of fills which comprise fill quantity.|
|→1799||OrderEventPx||PRICE9||8||Y||Refers to the fill price; same as tag 31-LastPx.|
|→1802||OrderEventText||String5||5||N||Not 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; it will be 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.|