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QuoteExecutionUSFuturesV1

Field NameOffsetLengthData TypeDescription
StartOfMessage02Binary B0 E3 (58288)
MessageLength22Binary 51 00 (81)
MessageType42Binary EE 05 (1518)
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).
QuoteUpdateId2016TextEchoed back from the most recent Quote Update request for this quote.
OrderId368Binary
  • Order identifier supplied by CFE. This identifier corresponds to the identifiers used in CFE market data products.
  • Sent to the OCC in the Exchange Data field.
ExecId448Binary
  • 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.
QuoteSymbol526AlphanumericEchoed back from the TPH message
ClearingFirm584Alpha
  • EFID that will clear the trade. Port attribute value of 'Default EFID' is used if not provided.
  • Sent to OCC in Exec Broker field.
LastShares624BinaryExecuted contracts quantity.
LastPx668BinaryPricePrice of this fill. Note the use of Price type to represent positive and negative prices, which can occur with spread instruments.
LeavesQty744BinaryQuantity still open for further execution. If zero, the order is complete.
Side781TextEchoed back from the TPH message
BaseLiquidityIndicator791Text
  • Indicates whether the trade added or removed liquidity.
  • A = Added Liquidity
  • R = Removed Liquidity
  • C = Market opening / re-opening trade
SubLiquidityIndicator801Text
  • 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
FeeCode812AlphanumericIndicates 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.

(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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