Standard Header

Y

MsgType = UAP

1

Account

String(256)

Y

Account ID (managed by the CQG gateway).

6

AvgPx

Price

Y

Average trade price.

11

ClOrdID

String(64)

C

ClOrdID of the original New Order Single or Cancel/Replace Request. Format for orders originating from CQG IC: ‘CQG_’ + numeric order identifier.

15

Currency

String(64)

C

Currency code associated with the price. Sent only if tag 150 (ExecType) is 1 (Partial Fill) or 2 (Fill) on reports for single securities. For multi-leg securities, tag 50556 (LegCurrency) is populated instead. Currency format is ISO-4217-based currency code, note that cryptos use codes that are ISO-4217-style, though usually not actual ISO codes and can be longer than 3 chars.

17

ExecID

String

C

Identifier generated by the CQG gateway for the execution report corresponding to this fill. Unique for order chain. Present if PosReqType (tag 50724) is ‘1’ (Trade).

22

IDSource

String

N

Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

30

LastMkt

String(4)

N

Market of execution for last fill, or an indication of the market where an order was routed. Market identification codes (ISO 10383) are used as exchange identifiers.

32

LastShares

Qty

Y

Quantity of the open position.

37

OrderID

String(32)

Y

Order ID associated with a particular fill and assigned by the CQG gateway. For the original order ChainOrderID = OrderID.

48

SecurityID

String

N

Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

54

Side

Char

Y

Indicates the side of the order.

Valid values:

1 = Long

2 = Short

5 = Sell Short

6 = Sell Short Exempt

55

Symbol

String(64)

Y

Qualifier used to indicate the trading instrument of the CQG system for which orders are returned.

58

Text

String

N

Custom user-supplied text for an order this fill report corresponds to.

60

TransactTime

UTC Timestamp

C

The time at which the execution being reported occurred.

Present if PosReqType (tag 50724) is ‘1’ (Trade).

64

FutSettDate

LocalMktDate

N

Specific date of trade settlement expressed in local time at place of settlement.

65

SymbolSfx

String

N

Reserved for contract identification used by custom FIX API vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

66

ListID

String(64)

C

Required if the filled order is a leg of a compound order and helps client identify the compound order. Matches the value supplied by the client in its original New Order List request.

77

OpenClose

Char

N

Indicates whether the resulting position after a trade should be an opening position or closing position.

Valid values:

O = Open

C = Close

P = Close previous day

115

OnBehalfOfCompID

String(32)

N

Broker company ID used when sending notifications via the CQG gateway. Note this field is a part of Standard Header.

128

DeliverToCompID

String(32)

C

Trading firm that the trader specified in tag 129 (DeliverToSubID) belongs to. Part of Standard Header.

129

DeliverToSubID

String(32)

N

CQG username of the trader who placed the order. Trading firm that the trader specified in tag 129 (DeliverToSubID) belongs to.

Part of Standard Header.

167

SecurityType

String

N

Indicates type of security.

Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

198

SecondaryOrderID

String

N

Unique order ID assigned by the execution system or exchange.

200

MaturityMonthYear

MonthYear

N

Month and year of the maturity.

Format: YYYYMM.

Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

For FIX message consistency, CQG defines maturity as contract last trading date.

201

PutOrCall

Int

N

Indicates whether an option is a put or call.

Valid values:

0 = Put

1 = Call

Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

202

StrikePrice

Price

N

Option strike price.

Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

205

MaturityDay

Int

N

Day of the maturity. Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

207

SecurityExchange

String

N

Market used to help identify a security.

Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

223

CouponRate

Price

N

For fixed income. Coupon rate of the bond.

Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

325

UnsolicitedIndicator

Boolean

Y

Set to Y if message is sent as a result of a subscription request or out of band configuration as opposed to a Position Request (UAN).

541

MaturityDate

LocalMktDate

N

Date of maturity.

Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

For FIX message consistency, CQG defines maturity as contract last trading date.

20119

ExchangeKeyID

String(10)

N

Unique identifier, assigned by the CQG gateway, of exchange.

50461

CFICode

String

N

Indicates the type of security as per ISO 10962 standard.

For futures: FXXXXX;

For options: OPXXXX, OCXXXX;

For spreads: MXXXXX;

For other instruments: XXXXXX.

Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

50762

SecuritySubType

String

N

Sub-type qualification/identification of the SecurityType(167). For SecurityType(167) = "MLEG" CQG can provide the name of the futures strategy, such as Calendar, Crack, Butterfly, etc.

Reserved for contract identification used by custom FIX Connect vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

20010

AccountName

String

N

Symbolic name of account.

20014

FCMAccountNumber

String

N

Unique identifier of the account of the FCM.

20023

StatementDate

LocalMktDate

Y

FCM statement date.

20026

OrderSource

String(48)

N

Identifier of the CQG sub-system that originated this order. It can be used to identify trades entered manually by FCM using CQG Customer and Account Service Tool (CAST). For such orders this string will begin with letters “CAST”. Format for other systems is not defined and can change any time.

20027

TradeID

String(32)

Y

Unique identifier for trade operation. Present if PosReqType (tag 50724) is ‘1’ (Trade).

20029

ChainOrderID

String(32)

Y

Unique identifier for the whole order chain, which stays unchanged even when order is modified or cancelled. For the original order ChainOrderID = OrderID.

20036

CQGListID

String(32)

C

Required if the filled order is a leg of a compound order and helps client identify the compound order. Matches the value assigned by CQG gateway and returned with List Status Request.

20062

SalesSeriesNumber

String(16)

N

Reserved for account sales series identification used by custom FIX Connect vendor. It should not appear for FIX vendors that do not have it explicitly configured.

20111

OrderPlacementTime

UTCTimestamp

N

Time the order was first placed (received by CQG gateway).

20115

OrderCheckMark

Boolean

N

Order check mark.

Note: This is not the same order check mark as in CQG IC client.

20130

FillCareOrderRequestID

String(64)

N

Identifier for fill care request.

20132

SpecificSymbol

String

N

Identifier for a specific instrument mapped at the moment of this fill report to Relative Daily Future contract. See Syntax for Symbol (tag 55).

20133

SpecificMaturityDate

LocalMktDate

N

Date of maturity for specific symbol.

Reserved for contract identification used by custom FIX API vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

For FIX message consistency, CQG defines maturity as contract last trading date.

Present only when tag SpecificSymbol(20132) is present.

20134

SpecificMaturityDay

Int

N

Day of maturity for specific symbol.

Reserved for contract identification used by custom FIX API vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured

For FIX message consistency, CQG defines maturity as contract last trading date.

Present only when tag SpecificSymbol(20132) is present.

20135

SpecificMaturityMonthYear

MonthYear

N

Month and year of the maturity for specific symbol.

Format: YYYYMM.

Reserved for contract identification used by custom FIX API vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

For FIX message consistency, CQG defines maturity as contract last trading date.

Present only when tag SpecificSymbol(20132) is present.

20154

SpeculationType

Char

C

Specifies a speculation type for an order.

Valid values:

S = Speculation

H = Hedge

A = Arbitrage

20193

TodayCutoff

UTCTimestamp

N

UTC timestamp this order fill should be considered a previous day fill.

20226

TradingVenueTransactionID

String(64)

N

MIFID Trading Venue Transaction Identification Code (TVTIC)

20601

SpecificContractDate

LocalMktDate

N

Contract date of the Specific Symbol.

Remember that contract date may not match contract LTD, e.g. a June monthly contract may have LTD during May, while the first/last weekly contracts for a given month may have LTD in the prior/following month.

Month and Day portions follow the same rules described in ContractMonthYear and ContractDay.

Present only when tag SpecificSymbol(20132) is present.

20602

SpecificContractDay

Int

N

Contract day of the Specific Symbol. Contains day of month (1-31).

For products with weekly listings, Contract Day identifies the day within the week according to product-specific conventions, e.g. some options use Friday's date to identify the week, while some weekly power contracts use Monday's date to identify the week.

For products with monthly or yearly listings, Contract Day is always 1.

Present only when tag SpecificSymbol(20132) is present.

20603

SpecificContractMonthYear

MonthYear

N

Contract month and year of the Specific Symbol.

Format: YYYYMM.

Remember that contract month/year may not match LTD month/year, e.g. a June contract may have LTD during May.

For products with yearly listings, month portion is always 01.

Present only when tag SpecificSymbol(20132) is present.

20618

ExternalAccountNumber

String

C

Secondary FCMAccountNumber specified by a broker. Used as account ID for the order on execution system.

20185

NoExtraAttributes

NumInGroup

N

Extra attributes repeating group

à

20186

ExtraAttributeName

String(32)

Y

Extra attribute name

à

20187

ExtraAttributeValue

String(64)

Y

Extra attribute value

50526

SecondaryClOrderID

String

C

Order identifier assigned by CQG gateway when sending the order to the execution system.

50724

PosReqType

Int

Y

Identifier used to determine type of Position Reports to be sent.

Valid values:

0 = Position (FCM-confirmed positions)

1 = Trade (current day fills)

50710

PosReqID

String(64)

Y

Unique ID for the corresponding request as assigned by the FIX client.

50715

ClearingBusinessDate

LocalMktDate

Y

Clearing business date.

50880

TrdMatchID

String(64)

N

Identifier assigned to a trade by a matching system.

20607

ContractDate

LocalMktDate

N

Contract date of the symbol.

Remember that contract date may not match contract LTD, e.g. a June monthly contract may have LTD during May, while the first/last weekly contracts for a given month may have LTD in the prior/following month.

Month and Day portions follow the same rules described in ContractMonthYear and ContractDay.

20608

ContractDay

Int

N

Contract day of the symbol. Contains day of month (1-31).

For products with weekly listings, Contract Day identifies the day within the week according to product-specific conventions, e.g. some options use Friday's date to identify the week, while some weekly power contracts use Monday's date to identify the week.

For products with monthly or yearly listings, Contract Day is always 1.

20609

ContractMonthYear

MonthYear

N

Contract month and year of the symbol.

Format: YYYYMM.

Remember that contract month/year may not match LTD month/year, e.g. a June contract may have LTD during May.

For products with yearly listings, month portion is always 01.