| StartOfMessage | 0 | 2 | Binary |
B0 E3 (58288) |
| MessageLength | 2 | 2 | Binary | (79 + QuoteCnt*20) |
| MessageType | 4 | 2 | Binary |
F2 03 (1010) |
| MatchingUnit | 6 | 1 | Binary | Must be zero or correct unit |
| Reserved | 7 | 1 | Binary | Must be zero |
| SequenceNumber | 8 | 4 | Binary | The sequence number for this message |
| QuoteUpdateId | 12 | 16 | Text |
- Id chosen by the client. Characters in the ASCII range 33-126 are allowed, except for comma, semicolon, and pipe.
- All quote response messages will include this identifier.
- Note: CFE strongly recommends that QuoteUpdateId be kept unique for a trading day across both Futures and Options.).
|
| ClearingFirm | 28 | 4 | Alpha |
- EFID that will clear the trade. Port attribute value of 'Default EFID' is used if not provided.
- Sent to OCC in Exec Broker field.
|
| ClearingAccount | 32 | 4 | Alpha |
- Supplemental identifier. Recorded and made available in execution reports. Available via Drop feeds.
- This field can be blank or populated with an optional four character string, except for comma, semicolon, and pipe.
- This field is not sent to the OCC.
|
| CMTANumber | 36 | 4 | Binary |
- CMTA Number of the firm that will clear the trade. Must be specified for CMTA orders and left unspecified for non-CMTA orders.
- Sent to the OCC in the CMTA CM# field.
|
| Account | 40 | 16 | Text |
- Unique account identifier associated with an order. This field will be reflected back on execution reports associated with this order.
- The first 10 characters are sent to the OCC in the Account # field. The entire 16 character string will appear in the optional CM Data field. Valid characters include ASCII 32-126.
|
| CustomGroupId | 56 | 2 | Binary | Used to group orders for use in mass cancels where multiple orders can be cancelled by specifying a list of CustomGroupIds. A zero value is treated as "no CustomGroupIds". |
| Capacity | 58 | 1 | Text |
-
C
=
Customer
-
F
=
Firm
- The Capacity refers to the OCC account type. A value of "C" denotes an account that clears in the Customer range at OCC. A value of "F" denotes an account that clears in the Clearing Firm range at OCC.
|
| CtiCode | 59 | 1 | Text |
- Valid values: 1, 2, 3, 4
-
1
=
CTI 1: Transactions initiated and executed by an individual TPH for the TPH’s own account, for an account the TPH controls, or for the account in which the TPH has an ownership or financial interest.
-
2
=
CTI 2: Transactions executed for the proprietary account of a clearing TPH or non-clearing TPH.
-
3
=
CTI 3: Transactions where an individual TPH or authorized trader executes for the personal account of another individual TPH, for an account the other individual TPH controls or for an account in which the other individual TPH has an ownership or financial interest.
-
4
=
CTI 4: Any transaction not meeting the definition of CTI 1, 2 or 3. (These should be non-TPH customer transactions).
|
| ManualOrderIndicator | 60 | 1 | Text |
-
Y
=
Manual order entry
-
N
=
Automated order entry
|
| OEOID | 61 | 18 | Text |
- Identifies the Order Entry Operator responsible for this message.
- Min length 3, max length 18. Values in ASCII range 33-126 except comma, semicolon, and pipe are permissible.
|
| SizeModifier | 79 | 1 | Text |
- Controls the behavior of the quote OrderQty field. Using "R" allows for a TPH to ensure that in-flight fills or cancels do not result in unwanted additional size exposure.
- NULL (0x00) = New quote size will be set to value of OrderQty.
-
R
=
Reduce outstanding size of quote by the OrderQty provided.
- When using "R", if the resulting size is zero or negative, then the quote is cancelled. TPHs are expected to track the remaining quantity of each quote as resulting size is not included on the
Quote Update Acknowledgement message.
|
| QuoteCnt | 80 | 1 | Binary | Number of repeating groups included in this message. Allowed values are 1-20. |
| → QuoteSymbol | 81 | 6 | Alphanumeric | CFE native identifier of the instrument being quoted. |
| → Side | 87 | 1 | Text |
|
| → OpenClose | 88 | 1 | Text |
- Indicates status of client position in a trade resulting from the order.
-
O
=
Open
-
C
=
Close
-
N
=
None
- NUL (0x00) = None
|
| → Price | 89 | 8 | BinaryPrice |
- Limit price. Four implied decimal places.
- Required for limit orders (OrdType = 2). If specified on market order (OrdType = 1), the order will be rejected.
- Orders will be rejected if Price does not fall on the applicable minimum trading increment.
- For all contracts other than Trade at Settlement contracts, simple orders will be rejected if Price is less than or equal to zero, or greater than or equal to 100,000. For Trade at Settlement (TAS) contracts, simple orders will be rejected if Price is outside the price limits presented in the contract specification.
- Spread orders will be rejected if Price is outside the price limits implied by the spread instrument definition and constituent instrument min and max prices.
|
| → OrderQty | 97 | 4 | Binary | Order quantity. System limit is 999,999 contracts. |
