Standard Header

Y

MsgType = 8

1

Account

String(256)

N

Account ID (managed by the CQG gateway)

6

AvgPx

Price

Y

Calculated average price of all fills on this order. If order has no fills, the CQG gateway sends 0 in this tag.

11

ClOrdID

String(64)

C

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

12

Commission

Price

N

Commission charged for a fill.

13

CommType

Char

N

Identifies commission type.

Valid values:

3 = Absolute

14

CumQty

Qty

Y

Total number of shares that have filled over the life of this order.

17

ExecID

String

Y

Identifier generated by the CQG gateway for this execution report. Unique for order chain.

18

ExecInst

Multiple ValueString

N

As per the New Order Single or Cancel/Replace Request.

20

ExecTransType

Char

Y

Identifies transaction type.

Valid value:

3 = Status [response to Order Mass Status Request (UAF)]

22

IDSource

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.

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.

37

OrderID

String(32)

Y

Unique identifier for the order as assigned by the CQG gateway. This ID changes as a result of changes to an order. New OrderID appears in Execution Report with ExecType = Replace and OrdStatus = Replaced.

38

OrderQty

Qty

Y*

Order’s total quantity.

39

OrdStatus

Char

Y

Identifies the current status of an order.

Valid values:

0 = New

1 = Partially filled

2 = Filled

4 = Canceled

5 = Replaced

6 = Pending Cancel

8 = Rejected

9 = Suspended

A = Pending New

C = Expired

E = Pending Replace

Z = Disconnected (order may be cancelled because a disconnect occurred)

40

OrdType

Char

N

Used to specify the type of order. As per the New Order Single.

44

Price

Price

N

As per the New Order Single or Cancel/Replace Request.

48

SecurityID

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.

54

Side

Char

Y

As per the New Order Single.

55

Symbol

String(64)

Y

As per the New Order Single.

58

Text

String

N

Custom user-supplied text for this order (“Order comment” specified from CQG client).

59

TimeInForce

Char

N

As per the New Order Single.

60

TransactTime

UTC Timestamp

N

Time at which the execution being reported occurred.

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 this 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

99

StopPx

Price

N

As per the New Order Single or Cancel/Replace Request.

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.

126

ExpireTime

UTCTimestamp

C

Time of order expiration. Conditionally required if TimeInForce = GTT.

128

DeliverToCompID

String(32)

N

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. Part of Standard Header.

150

ExecType

Char

Y

Describes the nature of the execution report while OrdStatus identifies the status of the order.

Valid value:

I = Order Status

151

LeavesQty

Qty

Y

Amount of shares open for further execution. Always 0 if OrdType (tag 39) = 4 (Canceled).

167

SecurityType

String

N

Indicates type of security.

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.

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 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.

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 API 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 API 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 API 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 API vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

210

MaxShow

Qty

C

Conditionally present if ExecInst contains “i” (Iceberg). Maximum number of shares within an order to be shown to other customers.

211

PegDifference

Price

C

Conditionally required if ExecInst includes R (Trailing). Matches New Order Single.

223

CouponRate

Price

N

For fixed income. Coupon rate of the bond.

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.

388

DiscretionInst

Char

C

Code to identify the price a DiscretionOffset is related to and should be mathematically added to. Required if DiscretionOffset is specified.

Valid values:

0 = Related to displayed price

389

DiscretionOffset

Float

C

Amount (signed) added to the "related to" price specified via DiscretionInst, in the context of DiscretionOffsetType.

432

ExpireDate

LocalMktDate

C

Date of order expiration; last day the order can execute in terms of local market date. Conditionally Required if TimeInForce (tag 59) = GTD (6).

442

MultiLegReportingType

Char

C

Used to indicate what an Execution Report (8) represents (e.g. used with multi-leg securities, such as option strategies, spreads, etc.).

Valid values:

1 = Single security (default if not specified)

2 = Individual leg of a multi-leg security

3 = Multi-leg security

541

MaturityDate

LocalMktDate

N

Date of maturity.

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.

1028

ManualOrderIndicator

Boolean

N

Echoes value specified in corresponding order request (place, cancel, replace).

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 API vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

50479

CommCurrency

String(64)

N

Specifies ISO code of currency to be used for Commission (tag 12). 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.

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 API vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

51031

CustOrderHandlingInst

Char

N

FIA Execution Source Code value for this request.

Possible values:

W – Desk

Y – Electronic (Default)

C – Vendor-provided Platform billed by Executing Broker

G - Sponsored Access via Exchange API or FIX provided by Executing Broker

H - Premium Algorithmic Trading Provider billed by Executing Broker

D - Other, including Other-provided Screen

20001

Aggressive

Boolean

N

Flag used to identify whether the fill is made as aggressor or not. Presence of the flag depends on exchange support.

20004

TriggerQty

Qty

C

Trigger quantity for quantity triggered order types as per the original order.

20010

AccountName

String

N

Symbolic name of account.

20014

FCMAccountNumber

String

N

Unique identifier of the account of the FCM.

20026

OrderSource

String(24)

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 begins with letters “CAST”.

Format for other systems is not defined and can change any time.

20029

ChainOrderID

String(64)

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 this 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.

20052

PeggedStopPx

Price

C

Conditionally required if ExecInst includes R (Trailing) and OrdType=3 (Stop) or 4 (Stop limit). Provides the stop price of the order, as adjusted by CQG gateway according to Trailing exec instructions.

20062

SalesSeriesNumber

String(16)

N

Reserved for account sales series identification used by custom FIX API 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).

20112

LastModifierUsername

String(32)

N

Name of the trader who made the last order status change.

20115

OrderCheckMark

Boolean

N

Order check mark.

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

20119

ExchangeKeyID

String(10)

N

Unique identifier of exchange assigned by the CQG gateway.

20130

FillCareOrderRequestID

String(64)

N

Identifier for a fill care request.

20137

IsCareOrder

Boolean

N

Indicates that message corresponds to care order.

20154

SpeculationType

Char

N

Specifies a speculation type for an order.

Valid values:

S = Speculation

H = Hedge

A = Arbitrage

20172

ExpireTimeHR

UTC HR Timestamp

C

The high-precision time of order expiration. Conditionally required if TimeInForce = GTT. Supported format: YYYYMMDD-HH:MM:SS.ssssss (microseconds).

20175

TransactTimeHR

UTC HR Timestamp

N

The high-precision time at which the execution being reported occurred. Supported format: YYYYMMDD-HH:MM:SS.ssssss (microseconds).

20176

MifidAlgorithmID

String

C

Must be supplied if the order execution decision was made by an algorithm under MiFID II definitions.

20177

MifidAlgorithmIDType

Int

C

Specified the type of MifidAlgorithmID (20176).

Valid values:

1 = External Mifid Algorithm ID

2 = CQG Mifid Algorithm ID

20178

MifidAppliedAlgorithmID

String

C

MiFID algorithm ID associated with the order request for execution in this account.

20179

MifidAppliedAlgorithmIDType

Int

C

Specified the type of MifidAppliedAlgorithmID (20178).

Valid values:

1 = External Mifid Algorithm ID

2 = CQG Mifid Algorithm ID

20180

MifidExecutionDecision

String

C

Value of MiFID Execution Within Firm associated with this order for execution in this account, reflects FCM+route short code mapping if configured.

20182

MifidExecutionDecisionIsAlgo

Boolean

C

Indicates whether MiFID execution decision identifies a person (N) or algorithm (Y).

20183

MifidInvestmentDecision

String

C

Value of MiFID Investment Decision Within Firm associated with this order.

20184

MifidInvestmentDecisionIsAlgo

Boolean

C

Indicates whether MiFID investment decision identifies a person (N) or algorithm (Y).

20191

ContingentSourceOrderID

Int

С

Order chain ID of a contingent order that is a source of this order. Filled only when this order is created by OPO partial fill handling.

20193

TodayCutoff

UTCTimestamp

N

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

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.

20618

ExternalAccountNumber

String

C

Secondary FCMAccountNumber specified by a broker. Completely overridde the value of tag Account (1) when the order gets sent to the execution system.

20619

TrailPeg

Char

C

Conditionally required if ExecInst includes R (Trailing) for limit orders only.

Valid values:

1 = Best Bid

2 = Best Ask

3 = Last Trade

20632

ExtraLimitPx

Price

N

As per the New Order Single or Cancel/Replace Request.

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.

Start of component block, expanded in line < LegsGrp >

50555

NoLegs

NumInGroup

C

Number of legs repeating group instances. Sent only if Tag 442 (MultiLegReportingType) is 3 (Multi-leg security).

à

50556

LegCurrency

String(64)

C

Currency code associated with a particular leg's quantity. First field in repeating group. Required if NoLegs (50555) > 0. 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.

à

50564

LegOpenClose

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

➔

50600

LegSymbol

String(64)

C

Multi-leg instrument’s individual security symbol.

➔

50601

LegSymbolSfx

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.

➔

50602

LegSecurityID

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.

➔

50603

LegSecurityIDSource

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.

➔

50608

LegCFICode

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 API vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

➔

50609

LegSecurityType

String

N

Indicates type of security.

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.

➔

50610

LegMaturityMonthYear

MonthYear

N

Month and year of the maturity.

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.

➔

50611

LegMaturityDate

LocalMktDate

N

Date of maturity.

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.

➔

50612

LegStrikePrice

Price

N

Option strike price.

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.

➔

50615

LegCouponRate

Price

N

For fixed income. Coupon rate of the bond.

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.

➔

50616

LegSecurityExchange

String

N

Market used to help identify a security.

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.

➔

50623

LegRatioQty

Qty

N

Ratio of quantity for this individual leg relative to the entire multileg security.

➔

50624

LegSide

Char

C

Side of this individual leg (multi-leg security).

Valid values:

1 = Buy

2 = Sell

Required if NoLegs (50555) > 0.

➔

50687

LegQty

Qty

C

Quantity of this individual leg (multi-leg security). Required if NoLegs (50555) > 0.

➔

20109

LegPutOrCall

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 API vendor contract symbol mappings. It should not appear for FIX vendors that do not have it explicitly configured.

➔

20120

LegExchangeKeyID

String(10)

N

Unique identifier, assigned by the CQG gateway, of exchange for specific leg.

à

20155

LegSpeculationType

Char

N

Specifies a speculation type for an order.

Valid values:

S = Speculation

H = Hedge

A = Arbitrage

à

20199

LegMaturityDay

Int

N

Day of the maturity.

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.

à

20610

LegContractDate

LocalMktDate

N

Сontract date of the leg 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 LegContractMonthYear and LegContractDay.

à

20611

LegContractDay

Int

N

Contract day of the leg 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.

à

20612

LegContractMonthYear

MonthYear

N

Contract month and year of the leg 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.

à

20616

LegCumQty

Qty

C

Total number of shares that have filled over the life of this order for this leg.

à

50566

LegPrice

Price

N

Price of covering futures contract. Send only for a Covered options UDS.

à

51017

LegOptionDelta

Float

N

Delta used to calculate the quantity of futures used to cover the option or options spread.

If this tag is present when RatioQty tag is specified for the same repeating group, message will be rejected.

Value range depends on specific exchange rules.

End of component block, expanded in line < LegsGrp >

50584

MassStatusReqID

String(64)

Y

Send only if responding to an Order Mass Status Request (AF). Echo back the value provided by the requester.

50839

PeggedPrice

Price

C

Conditionally required if ExecInst includes R (Trailing) and OrdType=2 or 4 (Limit or Stop limit). Provides the Limit price of the order, as adjusted by CQG gateway according to Trailing exec instructions.

50842

DiscretionOffsetType

Int

C

Type of Discretion Offset value. Required if DiscretionOffset is specified.

Valid values:

2 = Ticks

50934

ParentChainOrderID

String(32)

N

For child orders. Unique identifier of the first order in parent's order chain as assigned by the CQG gateway.

Standard Trailer

Y