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POSITION
FROM TO
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FIELD NAME AND FORM
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SAMPLE DATA
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FORMAT
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DESCRIPTION AND COMMENTS
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R-EX
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1
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3
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Message Identifier
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P or 1
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AN
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Message Identifier
CME:
TRX – Inbound record from firm or Outbound message from CME
CBOT:
Use one-character CBOT Record Type (Card Code):
1 – Futures for Clearing & Bookkeeping
J – Futures for Clearing Only
A – Futures for Bookkeeping Only
3 – Futures/Options Correction (MisClear)
4 – Futures Delete
P – Options for Clearing & Bookkeeping
Q – Options for Clearing Only
B – Options for Bookkeeping Only
K – Options Correction
L – Options Delete
H – Options Transfer
U – Options Adjustments
E – Options Exercise
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CB
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4
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4
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Message Version
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N/A
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N
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Message Version: “1” for ETC transactions
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C
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5
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12
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Message Time
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10120600
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N
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Time of TREX Record Creation (HHMMSS00)
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CB
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13
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20
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TOPS Special ID
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AN
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TOPS Combination terminal id and sequence number
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CB
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21
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24
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Message Length
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0211
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N
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Message Length of main record and special blocks
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CB
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25
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25
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Action Code
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A
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A
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Action Code
A = Add C = Change D = Delete
S = SIMEX Confirm B = InterExchange Out-trade (cleared locally but did not clear InterExchange match)
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CB
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26
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26
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Trade Route Indicator
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N/A
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N
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CBOT: Identifies how transactions are processed for the executing firm.
1 = Clearing only
2 = Bookkeeping only
3 = Clearing and bookkeeping
CME: Identifies source of trade submission on outbound messages only.
1 = Firm assigned Trade IDs
3 = CME assigned Trade IDs from ETC, TES, GLOBEX, C21 EFP, Eurodollar bundles, FLEX and out of range or duplicate firm trades.
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CB
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27
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34
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Trade Date
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19981103
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N
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Date transactions executed. If this field is blank, it will be interpreted as the current date. " As of” trades (out-trades) must have the correct trade date entered.
Format: CCYYMMDD
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CB
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35
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39
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Exchange ID
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51
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AN
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Exchange where trades are executed:
CME or 02 - Chicago Mercantile Exchange
IMM or 16 - CME Int'l Monetary Market
BOT or 01 - Chicago Board of Trade
MACE or 03 - Mid-Am Commodity Exchange
51 – CBOT Evening (Project A)
53 – MidAm Evening
TOPS Only Exchanges:
06 – CSCE
04 – COMEX
08 – KCBT
09 – Minneapolis
13 – FINEX
07 – NYMEX
11 – WCE
15 – NYFE
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CB
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40
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44
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Clearing Member Firm
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835
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AN
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Clearing firm number
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CB
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45
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49
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Executing Broker
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835
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AN
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Executing Broker ID
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CB
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50
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51
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Transaction Type Code
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1
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AN
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Trade type code, valid entries are:
CME:
2 = GLOBEX Trades
5 = GLOBEX Spread Trades
6 = Spread Trades
7 = TMS Transfer (FLEX, GUS, GGU)
8 = Transfer trades between different firms and origin
9 = Cash Exchange trades used for bookkeeping processing and CFTC reporting of a purchase or sale of cash commodities. Used only if the account has or had a reportable position with this commodity.
L = Legged spread
CBOT:
3 = Mis-clears
6 = Spread transactions
7 = In-House Transfer trades between origin
8 = Transfer trades between different firms
9 = Cash Exchange trades used for bookkeeping, processing and CFTC reporting of a purchase or sale of cash commodities. Used only if the account has or had a reportable position within this commodity.
F = From Option Transfer
L = Legged spread
T = To Option Transfer
D = Differential Spread (for Futures only)
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CB
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52
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52
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Buy/Sell Code
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1
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AN
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Buy/Sell Code
B or 1 = Buy, S or 2 = Sell
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CB
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53
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57
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Commodity Code
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17
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AN
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Commodity Code (left justified)
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CB
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58
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65
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Contract Year/Month
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19981200
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AN
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Contract Year/Month (CCYYMMDD)
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CB
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66
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66
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Put/Call Indicator
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P
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A
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Put/Call Code; P = Put, C = Call (Blank = Futures)
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CB
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67
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74
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Strike Price
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0100
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AN
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Option Exercise Price
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CB
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75
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75
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Strike Price Sign
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-
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AN
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RESERVED FOR FUTURE USE
Strike Price Sign indicating value entered as positive or negative amount
Blank or "+" = Positive, "-" = Negative
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CB
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76
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80
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Opposite Clearing Member Firm
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275
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AN
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Opposite Firm Number
CBOT: For Trade ID Matching (Modified Contra):
Trade ID Match code must be 2-3 characters, minimum of 2, must contain at least 1 alpha, 1 numeric character.
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CB
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81
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85
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Opposite Broker
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N/A
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AN
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Opposite Broker Number/Symbol
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CB
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86
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99
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Trade Price
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0964200
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AN
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Price (right justified) APS ROUNDED AVERAGE PRICE
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CB
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100
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100
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Trade Price Sign
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+
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AN
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RESERVED FOR FUTURE USE
Trade Price Sign indicating value entered as positive or negative amount
Blank or "+" = Positive, "-" = Negative
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CB
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101
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105
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Quantity
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3
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N
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Quantity of contracts traded:
Note: For CME, the current value cannot exceed 9999 |
CB
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106
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108
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Time Bracket Code
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N/A
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AN
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Time Bracket Code (left justified)
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CB
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109
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118
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Account Number
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12345678
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AN
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Account for which trade was executed
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CB
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119
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119
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CTI Code
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1
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N
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Customer Type Indicator:
1 = Broker/trader trading for own account.
2 = Broker/trader trading for clearing member firm's house account. (A "2" in this field will cause a record to be rejected if submitted for customer accounts-see Origin.)
3 = Broker/trader trading for the account of another broker/trader present on the trading floor or an account controlled by such broker/trader.
4 = Broker/trader trading for any other customer's account or for the account of a broker/trader not present on the floor.
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CB
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120
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121
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Origin Code
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N/A
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N
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Origin Code for customer or house accounts:
(right justified)
CME:
1 = Customer (always 1 for ETC)
2 = Non-Customer
CBOT:
1 = Customer
2 = Non-Customer
3 = House Floor Broker (Options Only)
4 = Floor Broker (Options Only)
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CB
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122
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129
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Card/Order ID
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N/A
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AN
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Card/Order Number (right justified)
For outbound CME/ETC records, format =XXX99999
Where XXX = Trader Symbol
99999= Card sequence number
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CB
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130
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131
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Fee Code
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N/A
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AN
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Clearing/Exchange Fee
Not used on outbound ETC record.
CME:
E = Equity Members, Clearing Members*
L = Lessee/106.F. Employees
B = CBOE Member (trading S&P products only)
H = 106.H./J. Firms
C = Non-Member (customer)
M = Member rate for futures side of BK broker combination trades.
* A 106.F. member, who is an owner of a clearing member firm and whose seat is assigned for clearing privileges, is entitled to equity rates and therefore should use the fee code of E.
If this field is blank, the default value is determined by the CTI code as follows:
CTI Code Rate
1 Equity, Lessee/106.F. Employee, 106.H./J., or Customer Rate
1, 3, 4 Customer Rate
However, please note that a valid FEE type must be entered for APS and GUS Transactions. If not, the trade record will not route to GUS or APS.
CBOT:
C = Customer
F = Full and associate members trading for their own account and as floor brokers
I = GIM, IDEM and COM membership interest holders
M = All other ownership types
1 = 1st year delegate trading for his own account
2 = 2nd year delegate trading for his own account
3 = 3rd year delegate trading for his own account
4 = 4th year delegate trading for his own account
5 = 5th year delegate trading for his own account
9 = 6th year and beyond delegate trading for his own account
If this field is blank, the default value is determined by the CTI code as follows:
CTI Code Exchange Fee Default
1, 2 Based on membership designation of executing broker
3 9
4 C
Note: For Clearing Corporation bookkeeping subscribers, the system uses the Margin class classification or the CBOT Broker/ Delegate file to determine the default fee. For options trades, exercises, transfers and adjustments, leave column blank.
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CB
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132
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132
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RESERVED FOR FUTURE USE
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133
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138
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CTR Card Sequence Number
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X00100 or 093000
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AN
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CME:
CTI = 1,2,3 or 4 = (X ### or - ###)
CBOT:
CTI = 1: Card Sequence = ####
CBOT Approved CTI = 2&4:
Card Sequence Number (X ### or - ###)
All other timing information must be reflected in Regulatory Block R1.
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CB
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139
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139
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Open/Close Indicator
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O
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A
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Open/Close Indicator
CBOT - options trades only
CME - FLEX option trades only
O = Opening Trade
C = Closing (offsetting) trade
X = Closing (offsetting) variable cabinet trade
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CB
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140
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145
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Trade ID Seq. Number
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002075
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N
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Trade record ID assigned by member firm or clearing organization. (right justified, zero filled)
CME:
1 - 64,999 - firm assignment*
65,000 - 81,999 – CME TES assignment
NOTE - On all confirm records with this range of CME assigned trade IDs, this field will be blank. The CME assigned trade ID will appear in the M1 block. The CME will only assign 5 digit Trade Ids.
*GUS/MQM NOTE - For Pending Give-Up MQM records, CME assigns trade Ids beginning in the 50,000 range.
81,000 - 81,999 – FLEX Products System
82,000 - 84,999 - C21 EFP Trade Entry System
85,000 - 89,999 – TOPS assignment
90,000 - 94,999 - ETC assignment
95,000 - 99,999 – GLOBEX trade, GLOBEX GUS and GLOBEX APS
CBOT:
1-59,999 - reserved for BOTCC and/or Firm assignment
60,000 – 74,999 for Project A
75,000 – 79,999 reserved for future use
80,000 – 89,999 Order Route
90,000 – 99,999 AUDIT
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CB
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146
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148
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Trade ID Source Code
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N/A
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A
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CME Source System Code:
B21 = Matched Trade Indicator
ETC = Electronic Trading Card
EFP = Entry via C21 EFP Trade Entry System
FLX = Entry via FLEX Products System
GBX = GLOBEX Matched Trade
GGU = GLOBEX Give-Up System
GUS = RTH Give-Up System
MQM = Firm Back-Office System
TES = Entry via TES (CME Trade Entry System)
TOP = Initiated in TOPS/Route System
CBOT Source Code:
Blank = Firm Back-Office System (via ARCS)
MQM = Firm Back-Office System (via MQM)
OTS = entry via OTIS (BOTCC Trade Entry System)
TOP = from TOPS/Route System
CNF = Confirmation from BOTCC
TPS = from Firm Back-office system which originated
from the TOPS/Route System
PJA = from Project A
EUR = from Eurex
DUG = Giveup Duplication
DUA = APS Duplication
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CB
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149
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150
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Trade ID Cycle Code
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N/A
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N
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RESERVED FOR FUTURE USE
Day of the Month
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CB
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151
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152
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Order Type Code
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N/A
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AN
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Order Type Codes:
S = Stop Order
M = Market Orders
L = Limit Orders
E = Error (CME Rule 551)
C = MOC (Market on Close) Orders
D = DRT Orders
Q = All other Orders
R = Currency LOX (CME Only)
U = All-or-None Pit LOX (CME Only)
X = S&P LOX trades (CME Only)
Z = Rule 527 Liquidation (CME) and Assignment Trades (CBOT Regulation 350.04a)
ETC trades = “Q” only.
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CB
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153
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157
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Floor Broker ID
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HAN
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AN
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Broker for whom the executing broker executed the trade.
CBOT:
This field is used for Origins 3 and 4.
RESERVED FOR FUTURE USE AT THE CME
Not sent on outbound ETC record.
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B
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158
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158
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Cabinet Indicator
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N/A
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A
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N = Regular Trade
Y = Cabinet Trade
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CB
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159
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160
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Transfer/Reason Code
(populated in OTI field)
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N/A
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AN
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CME:
Transfer Reason
A - Error in assignment of account (in-house)
B - Rule 527 Transfers
C - Transfer at the request of a customer (to another firm)
E - Transfer to correct a firm-to-firm error in clearing a trade
F - Transfer for liquidation (offset) for a trade which cleared at the wrong house due to clerical error only
G- GLOBEX Error Trades
I - Customer/House origin transfer due to error
N - Transfer of positions to a newly approved clearing member
T - Transfer due to the merger of two or more clearing members
W - Transfer due to the withdrawal of a clearing member
X- SIMEX trades that liquidate existing positions
Z - Rule 527 - Intra-day liquidations
Not sent on outbound ETC record.
CBOT -
1 - Partially filled working orders
2 - Legging spread or crush orders
3 - Adjusting trade to reflect split fill
Late Submission
Indicates that this trade is excluded from fines or credits assessed by the trade submission incentive program.
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CB
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161
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162
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Opposing Origin Code
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N/A
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N
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Opposing customer or house account
This field is only used for option adjustments..
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B
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163
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163
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Opposing Open/Close Indicator
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N/A
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A
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Opposing trade Open/Close Indicator
O = Opening position on the opposite side of entry
C = Closing (offsetting) position on the opposite side of the entry
This field is only used for option adjustments.
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B
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164
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164
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Cancel Indicator
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N/A
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A
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Automatic Exercise Cancel Indicator = C
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B
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165
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167
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Authorization Code / Trade ID
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N/A
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AN
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Exercise Out-of-Money or Cancel an auto-exercise that is in the money. Authorization Code must reside on the BOTCC database or entry is not accepted.
CBOT: For Trade ID Matching (Modified Contra):
(Use of this field for Trade ID Matching has NOT been scheduled – firms should continue to use Opposite Firm Number, pos. 76-80)
Trade ID Match code must be 2-3 characters, minimum of 2, must contain at least 1 alpha, 1 numeric character.
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B
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168
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168
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APS/GUS Indicator
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T or F
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AN
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Blank = Regular Trade
A = Average Price
G = Give-Up Trade
Not sent on outbound CME/ETC record.
For CBOT Giveup Duplications from BOTCC:
F = From Transfer
T = To Transfer
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CB
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169
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173
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APS Group ID
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12345
|
AN
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Unique Group ID that defines a group of trades for price averaging.
Not sent on outbound ETC record.
CBOT -
For Give-up Trades:
Position 169 = "G"
Position 170-172 = Carrying Firm (optional)
For Giveup Memo Add Transactions:
Position 169 = “M”
Position 170-172 = Carrying Firm (optional) |
CB
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174
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179
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Order Execution Time
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N/A
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N
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Execution time of a trade: HHMMSS
CME: For ETC trades only.
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C
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180
|
184
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Business Cycle Code
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RTH
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AN
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Trading Session
RTH = Regular Trading hours (CB)
ETH = Electronic (GLOBEX) trading hours (C)
PJD = Project A Day Session (B)
PJA = Project A Afternoon Session (B)
PJO = Project A Overnight Session (B)
EUR = Eurex (B)
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CB
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