The Execution Report - Elimination message is sent at order elimination.
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 message as assigned by exchange. Uniqueness will be 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.
This value is subject to Rule 576 Identification of CME Globex Terminal Operators.
iLink supports a value up to 32 bytes on inbound messages, but will return a truncated 20 bytes from the right on the response TargetSubID.
Additionally, Regulatory systems will truncate to 18 bytes from the right.
CME Group recommends all customers limit this value to 18 bytes.
In FirmSoft and Global Command Center queries for order status and cancellations, this value must be exact, including preceding and following spaces (“ “).
This value must:
@ (commercial) at
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:
|37||OrderID||uInt64||8||Y||Unique identifier for order assigned by the exchange. Uniqueness is guaranteed within a single trading day across all instruments.|
|44||Price||PRICE9||8||Y||Price per share or contract.|
|99||StopPx||PRICENULL9||8||N||The stop price of a stop limit and stop protect order (conditionally present if tag 40-OrdType=4).|
|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.|
OrderRequestID used to identify a request to enter, modify, or delete an order and echo the value on the Execution Report.
For the unsolicited events (e.g. fills and end of day eliminations), echo the value on the ExecutionReport representing the last accepted OrderRequestID on the corresponding order.
|548||CrossID||uInt64NULL||8||N||Identifier for a cross order. Will be present if execution report is in response to a Cross order.|
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.
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.
|48||SecurityID||Int32||4||Y||Security ID as defined in the market data Security Definition message.|
|38||OrderQty||uInt32||4||Y||Order quantity submitted by client.|
Total quantity filled.
This tag gets reset back to 0 with cancel, elimination, and non- IFM modification.
|110||MinQty||uInt32NULL||4||N||Minimum quantity of an order to be executed.|
The quantity to be displayed. Required for display quantity orders.
Note: on orders, this value specifies the qty to be displayed; on Execution Reports this value indicates the currently displayed quantity.
Identifies status of order as eliminated.
Describes the specific Execution Report while tag 39-OrdStatus always identifies the current order status.
Date of order expiration (last day the order can trade), always expressed in terms of the local market date.
Sent in number of days since Unix epoch.
|54||Side||SideReq||1||Y||Side of order.|
|59||TimeInForce||TimeInForce||1||Y||Specifies how long the order remains in effect.|
Indicates if order was sent 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
Type of cross submitted to the market (if in response to a cross order).
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.
Applicable only for BrokerTec Markets; should not be used for future and options markets.
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.
Indicates if an order was submitted for market making obligation as required for MIFID.
Applicable only for EU fixed income markets.
Boolean: flags a managed order.
Applicable only to Repo fixed income markets.
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.