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OrderExecutionUSFuturesV1

Field NameOffsetLengthData TypeDescription
StartOfMessage02Binary B0 E3 (58288)
MessageLength22Binary 65 00 (101)
MessageType42Binary E1 05 (1505)
MatchingUnit61BinaryMatching Unit which created this message.
Reserved71BinaryUnspecified
SequenceNumber84BinaryThe sequence number for this message. Distinct per Matching Unit
TransactionTime128DateTimeThe time the event occurred in the CFE Matching Engine (not the time the message was sent).
ClOrdId2020TextThe order which was executed
ExecId408Binary
  • Sent to the OCC in the Trade Id field.
  • Execution Id. Unique across all matching units on a given day. Note: ExecIds will be represented on ODROP and FIXDROP ports as base 36 ASCII.
LastShares484BinaryExecuted contracts quantity.
LastPx528BinaryPricePrice of this fill. Note the use of Price type to represent positive and negative prices, which can occur with spread instruments.
LeavesQty604BinaryQuantity still open for further execution. If zero, the order is complete.
BaseLiquidityIndicator641Text
  • Indicates whether the trade added or removed liquidity.
  • A = Added Liquidity
  • R = Removed Liquidity
  • C = Market opening / re-opening trade
SubLiquidityIndicator651Text
  • Additional information about the liquidity of an order. CFE may add additional values without notice. TPHs must gracefully ignore unknown values.
  • NULL (0x00) = No Additional Information
  • C = Carried Order Indicator
  • U = Qualifying Market Turner order
Side661TextEchoed back from the TPH message
Symbol678AlphanumericEchoed back from the TPH message
ClearingFirm754AlphaEchoed back from the TPH message
MaturityDate794DateMaturity date of the instrument
FeeCode832AlphanumericIndicates fee associated with an execution. Fee codes are published in the pricing schedule. New fee codes may be sent with little or no notice. TPHs are encouraged to code their systems to accept unknown fee codes.
TradeDate854Date
  • Business date of the execution.
  • Note that on CFE, business date is not always the same as the calendar date. For example, the VX/VT products open for trading on the calendar day prior to the associated business date. Executions that occur after the open and before midnight will have a TradeDate value that is not the same as the calendar date of the execution.
ClearingSize894BinarySize to clear with OCC. Same value as LastShares, except in VA and VAO where ClearingSize is 0 on execution, and the converted clearing size on restatement.
PendingStatus931Text
  • Field is provided as a convenience to determine whether an Order Execution message is a preliminary notification representing a pending trade. The value P indicates that the execution is associated with a product for which the Order Execution message is a preliminary notification of an execution and for which a post-settlement restatement will be sent.
  • N = Not applicable
  • P = Pending
MultilegReportingType941Text
  • Present on Order Execution and TAS Restatement messages representing either Spread orders or Simple orders that are part Spread execution.
  • 1 = Simple instrument execution
  • 2 = Simple instrument execution that is part of a Spread execution
  • 3 = Spread instrument execution
SecondaryExecId958Binary Indicates whether an execution is a spread or a simple instrument execution that is part of a spread trade.

If SecondaryExecId field is not present, the execution is a simple instrument execution only. If SecondaryExecId is present and is the same as the ExecId required field, the execution represents a spread execution for which associated simple instrument executions will follow.

Simple instrument executions associated with a spread execution will contain a SecondaryExecId value that matches the ExecId of the associated spread execution.

(New fields may be introduced at the end of this message. Consequently, TPHs must treat any additional bytes present as undefined values.)

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