Page tree
Skip to end of metadata
Go to start of metadata

You are viewing an old version of this page. View the current version.

Compare with Current View Page History

« Previous Version 4 Next »

Tag

FIX Name

Req

Valid Values

Format

Description

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.
An execution report message sent by CME Globex
can be identified by the unique value of
tag 56-TargetCompID+tag107-SecurityDesc+tag 17-ExecID.

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 cancelled trade.

32

LastQty

Y*

 

Qty (9)

Quantity of cancelled trade.

37

OrderID

Y

 

String (17)

CME Globex assigned order identifier; unique per
instrument per trading session.

39

OrdStatus

Y

H=Trade
Cancelled

Char (1)

Identifies trade status as cancelled.

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 HH:MM:SS.sss
Example: 10:00:29.714

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)

Will always be '1'.

79

AllocAccount

N

 

String (10)

Give up account number.

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=Spreadq

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 bust 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.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Y: Required by FIX protocol, Y*: Required by CME Globex (not by FIX protocol), N: Not Required, C: Conditionally

  • No labels