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The Execution Report - Trade Spread message is sent upon fill or partial fill of client order:

  • Fill Execution Report only for spread instruments

35=8, 39=1,2

Tag

Field Name

Binary Type

Binary Length

Required

Value

Description

9726SeqNumuInt324Y
Sequence number assigned to this message.
39001UUIDuInt648Y
Matches Establish.UUID used to establish the connection.
17ExecIDString4040Y

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.

5392SenderIDString20Req20Y

For futures and options markets:

Operator ID.

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.

11CIOrdIDString20Req20Y

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.

1505PartyDetailsListReqIDuInt648Y

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:

  • Unique ID from Party Details Definition Request Acknowledgment message
  • PartyDetailsListRequestID≠0.

For on-demand messages:

  • If not registered beforehand through iLink then Party Details Definition Request Ack message will be sent along with the business message and will immediately precede it
  • PartyDetailsListRequestID=0.

31

LastPx

PRICE9

8

Y
Price of this (last) fill
37OrderIDuInt648Y
Unique identifier for order as assigned by the exchange. Uniqueness is guaranteed within a single trading day across all instruments.
44PricePRICE98Y
Price per share or contract.
99StopPxPRICENULL98N
The stop price of a stop limit and stop protect order (Conditionally present if tag 40-OrdType=4).
60TransactTimeuInt648Y
Time the transaction represented by this Execution Report (35=8) occurred. Expressed as nanoseconds since epoch time.
5297SendingTimeEpochuInt648Y
Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.
2422OrderRequestIDuInt648Y

OrderRequestID used to identify a request to enter, modify, or delete an order and echo the value on the Execution Report.

527SecExecIDuInt648Y

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) + SecExecID (527) + TradeDate (75)
548CrossIDuInt64NULL8N
Identifier for a Cross order. Will be present if Execution Report is in response to a Cross order.
961HostCrossIDuInt64NULL8N

Host-assigned entity ID used to reference all components of a Cross: sides + strategy + legs.

The HostCrossID also links components of the Cross order. For example, each individual Execution Report associated with the order will contain HostCrossID to tie them to the original Cross order.

9537LocationString5Req5Y

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.
48SecurityIDInt324Y
Security ID as defined in the market data Security Definition message.
38OrderQtyuInt324Y
Order quantity submitted by client.
32LastQtyuInt324Y
Quantity bought/sold on this (last) fill.
14CumQtyuInt324Y
Total quantity filled.
37711MDTradeEntryIDuInt324Y
Market Data Trade Entry ID. This identifier is assigned to all trades that take place for an instrument at a particular price level.
1506SideTradeIDuInt324Y
The unique ID assigned to the trade once it is received or matched by the exchange.
151LeavesQtyuInt324Y

Quantity open for further execution

 LeavesQty = OrderQty (tag 38) - CumQty (tag 14)

Only present for outrights and spreads and not spread legs.

75TradeDateLocalMktDate2Y
Indicates date of trading day (expressed in local time at place of trade).
432ExpireDateLocalMktDate2Y
Date of order expiration (last day the order can trade), always expressed in terms of the local market date.
39OrdStatusOrdStatusTrd1Y
  • OrdStatus=1 (Partially Filled)
  • OrdStatus=2 (Filled)
Identifies status of order as partially filled or completely filled.
150ExecTypeExecTypTrade0Y

ExecType=F (Trade)

Describes the specific ExecutionRpt (e.g. Cancel) while tag 39-OrdStatus will always identify the current order status (e.g. Partially Filled).

Constant value.

40OrdTypeOrderType1Y
  • OrdType=1 (Market order with protection)
  • OrdType=2 (Limit order)
  • OrdType=4 (Stop limit order)
  • OrdType=K (Market limit order)
Order type.
54SideSideReq1Y
  • Side=1 (Buy)
  • Side=2 (Sell)
Side of order.
59TimeInForceTimeInForce1Y
  • TimeInForce=0 (Day)
  • TimeInForce=1 (GTC)
  • TimeInForce=3 (FAK)
  • TimeInForce=4 (FOK)
  • TimeInForce=6 (GTD)
Specifies how long the order remains in effect.
1028ManualOrderIndicatorManualOrdIndReq1Y
  • 0=Automated
  • 1=Manual
Indicates if order was sent manually.
9765PossRetransFlagBooleanFlag1Y
  • 0=False
  • 1=True

Flags message as possible retransmission.

This will convey whether a message is an original transmission or duplicate in response to RetransmissionRequest.

Used when original messages are interleaved with Retransmission responses.

1057

AggressorIndicator

BooleanFlag1Y
  • AggressorIndicator=0 (No)
  • AggresorIndicator=1 (Yes)

Indicates if order was incoming or resting for the match event.

549CrossTypeuInt8NULL1N
  • CrossType=3

Type of Cross submitted to the market (if in response to a cross order).

393TotalNumSecuritiesuInt81Y

Indicates total number of leg fills for the spread

Will represent total number of Execution Report Trade Spread Leg messages sent for the spread and will be set to 0 when spread leg fills are consolidated with spread fill.

18ExecInstExecInst1N
  • Bit 0=AON
  • Bit 1=Only Best
  • Bit 2=Not Held

Instructions for order handling for fixed income markets.

Only Best may be applied to resting and aggressing orders and:

  • Prevents submission of an order if the order’s price is not equal to or better than the best price on the book.
  • Cancels an order from the book if a new order with a better price enters the queue.
  • This order condition permits the order to be alone at the best price level or join other orders at the best price level.

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.

Applicable only for BrokerTec Markets; should not be used for future and options markets.

5906ExecutionModeExecMode1N
  • A=Aggressive
  • P=Passive

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.

9373LiquidityFlagBooleanNULL1N
  • 0=False
  • 1=True

Indicates if an order was submitted for market making obligation as required for MIFID.

Applicable only for EU fixed income markets.

5409ShortSaleTypeShortSaleType1N
  • 0=Long Sell
  • 1=Short Sale With No Exemption (SESH)
  • 2=Short Sale With Exemption (SSEX)
  • 3=Undisclosed Sell (Information not available – UNDI)

Indicates the type of short sale on Sell orders only as required for MiFID.

Should not be used for Buy orders.

Applicable only for EU fixed income markets.

1362NoFillsgroupSize3Y
Specifies the number of fill reasons included in this Execution Report.
→1364FillPxPRICE98Y
Price of this fill reason or allocation. Required if NoFills (1362) > 0. Same as LastPx (31)
→1365FillQtyuInt324Y
Quantity bought/sold for this fill reason.
→1363FillExecIDString22Y
Used as an identifier for each fill reason or allocation reported in single Execution Report. Required if NoFills (1362) > 0. Append FillExecID with ExecID to derive unique identifier for each fill reason or allocation.
→1622FillYieldTypeuInt81Y

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.
555NoLegsgroupSize3N

Number of Leg executions. Set to '0'.

→1893LegExecIDuInt648Y
The tag 17-ExecID value corresponding to a trade leg.
→637LegLastPxPRICE98Y
Execution price assigned to a leg of a multileg instrument.
→602LegSecurityIDInt324Y
Multileg instrument's individual security's SecurityID.
→1894LegTradeIDuInt324Y
The TradeID value corresponding to a trade leg.
→1418LegLastQtyuInt324Y
Fill quantity for the leg instrument.
→624LegSideSieReq1Y

The side of this individual leg of a multileg security.

1795NoOrderEventsgroupSize3N
Number of fills which comprise fill quantity.
→1799OrderEventPxPRICE98Y
Refers to the fill price; same as tag 31-LastPx.
→1802OrderEventTextString55N
Not present for BrokerTec US; populated with the firm ID of the opposite order for BrokerTec EU bilateral trades.
→1797OrderEventExecIDuInt324Y
Unique ID which ties together a specific fill between two orders; unique per instrument per day.
→1800OrderEventQtyuInt324Y
Refers to the specific fill quantity between this order and the opposite order.
→1796OrderEventTypeOrderEventType1Y
  • 4=Partially Filled
  • 5=Filled
The type of event affecting an order.
→1798OrderEventReasonuInt81Y
  • 100=Binary Trade Reporting
Action that caused the event to occur.

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