1

RecordType

F = fill record

C = corrected fill

X = cancelled fill

0+

Y

String(1)

2

CQGFillRecordNumber

Fill record number at CQG. For a cancel or correction, this is the number of the original record being cancelled or corrected.

For both cancels and corrections, the original record should be deleted.

If the record is a correction, then a new Fill record contains corrected fill information and the correction record indicates which fill is being replaced.

0+

Y

Big Integer

3

CQGOrderNumber

CQG identifier for the related order.

0+

Y

Integer

4

ExchRecordNumber

Fill, correction, or cancel record number assigned by the originator.

0+

N

String(128)

5

CQGExchangeNumber

CQG Exchange number. It can be referenced in the Exchanges.txt data. (Please contact the CQG FCM Support Desk for the latest version of the Exchanges.txt file.)

0+

N

Integer

6

FullCQGContractName

Full CQG contract name. For futures, this looks like "F.US.EP.M08". For options, "C.US.EP.M08.1100". For LME futures, "X.US.LDKZ".

0+

Y

String(32)

7

BuySell

b = buy

s = sell

0+

Y

String(1)

8

FillQuantity

Fill quantity.

0+

Y

Integer

9

TimeInForce

Time-in-force identifier for the order.

0+

Y

String(5)

10

CQG Order Type

CQG order type. This may be a CQG synthetic order type and can differ from the native order type (i.e. the exchange order type).

0+

Y

String(8)

11

Native Order Type

Native order type, as recognized by the exchange.

0+

N

String(8)

12

ExecutionInstructions

This is a multi-valued field that stores execution instruction IDs.

e.g. “1/2/3” indicates:

1 = all or nothing

2 = quantity-triggered stop

3 = iceberg

0+

N

String(32)

13

TriggerQuantity

This is the quantity associated with certain types of execution instructions (e.g. QTS orders).

0+

N

Integer

14

Currency Code

Three-letter currency code associated with the contract. Three-letter currency code associated with the contract.

Be careful that currencies  may have codes that do not fit into this field and therefore may have non-unique or non-usable value.

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.

0-27

28+

N

N

String(3)

String(64)

15

Limit Price

Order limit price in CQG format.

0+

N

Float

16

Stop Price

Order stop price in CQG format.

0+

N

Float

17

Fill Price

Fill price in CQG format.

0+

Y

Float

18

AccountRep

Sales rep for the account, if provided.

0+

Y

String(16)

19

AccountNumber

FCM account number.

0+

Y

String(256)

20

CQGTraderName

CQG user name of the trader that placed the order, or the on-behalf-of trader.

0+

N

String(32)

21

OrderName

Front-end name assigned to the order. This is not required to be unique. It may be useful in confirming the original order placement.

0+

N

String(48)

22

FillDate

Date of fill.

0+

Y

Date

23

FillTime

Time of fill.

The format of this value changed from HHMMSS to HH:MM:SS.ssssss as of version 20+. See Type/Format definitions in Data Files.

0+

Y

Time

24

CancelCorrectDate

If this is a cancel or correction, indicates date cancel or correction was made. If this is a fill, field is empty.

0+

N

Date

25

CancelCorrectTime

If this is a cancel or correction, indicates time cancel or correction was made. If this is a fill, field is empty.

The format of this value changed from HHMMSS to HH:MM:SS.ssssss as of version 20+. See Type/Format definitions in Data Files.

0+

N

Time

26

ContractDate

Contract prompt date in YYYYMMDD format.

0+

Y

Date

27

RecordCreatedDate

Date fill record was created in Gateway. UTC or local depending on configuration.

See Type/Format definitions in Data Files.

0+

Y

Date

28

RecordCreatedTime

Time fill record was created in Gateway. UTC or local depending on configuration.

The format of this value changed from HHMMSS to HH:MM:SS.ssssss as of version 20+. See Type/Format definitions in Data Files.

0+

Y

Time

29

OrderComments

Comments associated with the order contained in double quotes. If no order comments were specified, then “” populates the field.

1+

N

String(64)

30

ContractType

f = future

c = call

p = put

d = daily future

(space) = other contract types, such as strategies and FX

1+

Y

String(1)

31

CQGSymbol

Commodity symbol in CQG form. It can be referenced in the Symbols.txt file. (Please contact the CQG FCM Support Desk for the latest version of the Symbols.txt file.)

Does not uniquely identify the commodity, even with CQGSymbolPrefix.

The type of this value changed from String(6) to String(32) as of version 24+.

1+

Y

String(6)

32

CQGStrikePrice

Strike price in the CQG format.

1+

N

Integer

33

ExchOrderNumber

Ticket number for the related order. Format is CQG-specific and can vary by exchange, but the value is based on exchange-reported identifier for the order.

1+

N

String(128)

34

CQGParentOriginalOrderNumber

Parent order ID for child order.

For example, if the order associated with this fill was placed by CQG Spreader as a leg order to execute a synthetic spread, then this field contains CQGParentOriginalOrderNumber of that synthetic spread order (see Orders Message Layout Version).

Value is present even if the order was later released for manual control, e.g. due to synthetic spread order cancellation.

Previous to gateway version 5.8, this field was CQGOriginalSSOrderNumber.

2+

N

Integer

35

CQGFillOrderRecordNumber

Order fill record number at CQG to which this leg fill is related. note that multiple leg fills can refer to the same order fill.

3+

Y

Big Integer

36

CQGOriginalOrderNumber

CQG identifier for the first order in the order chain.

3+

Y

Integer

37

CQGAccountID

CQG identifier for the account.

4+

Y

Integer

38

OrderAckDate

Date the related order was originally acknowledged by the exchange.

4+

Y

Date

39

OrderAckTime

Time the related order was originally acknowledged by the exchange.

The format of this value changed from HHMMSS to HH:MM:SS.ssssss as of version 20+. See Type/Format definitions in Data Files.

4+

Y

Time

40

TradeDate

Exchange trade date for this fill, as reported by exchange or calculated by CQG.

4+

Y

Date

41

CQGTraderID

The CQG identifier for the trader, or the on-behalf-of trader ID.

5+

N

Integer

42

CQGOrderFillTransactionRecordNumber

The transaction record number at CQG for the last Order Fill transaction referencing this Leg Fill.

Warning! In the case of multi-leg orders, a single Order Fill transaction will usually reference multiple Leg Fills, so this value is not guaranteed to be unique.

5+

Y

Big Integer

43

CQGRouteName

CQG’s name for route the order was placed to.

6+

Y

String(128)

44

PrivateLabel

Private label associated with the order. Value corresponds to Vendor Name field in FIX billing reports.

7+

N

String(32)

45

SecondaryClOrderID

Order identifier assigned by CQG when sending the order to the execution system, if reporting of the identifier is supported by the order’s route. Otherwise, this field is empty.

8+

N

String(64)

46

NativeStrategy

y = fill record corresponds to a leg fill on a strategy order native to the execution system

n = fill record does not correspond to a leg fill on a strategy order native to the execution system

9+

Y

String(1)

47

ExternalManualOrder

y = manual external CAST orders

n = order placed by trader in Gateway

10+

Y

String(1)

48

PassengerAccountNumber

Only set when (1) the fill is reported for an omnibus account, i.e. AccountNumber is an omnibus account, (2) passenger account reporting is enabled for this MODES instance, and (3) passenger account disclosure is enabled for the firm using the omnibus account. Otherwise, this field is empty.

11+

N

String(256)

49

CQGInstrumentGroup

CQG instrument group identifier. For example:

1 = futures

2 = options

3 = strategies

It can be referenced in the InstrumentGroups.txt file. (Please contact the CQG FCM Support Desk for the latest version of the InstrumentGroups.txt file.)

12+

Y

Integer

50

AllocationIndicator

r = Regular order fill

n = Allocation order fill

d = Allocated order fill

13+

Y

String(1)

51

AllocationMessageID

ID of allocation request. Used only for allocation and allocated fills.

May be empty for allocation fill until allocation request is received.

13+

N

String(24)

52

FillCareOrderRequestID

Identifies care order fill request. Empty if order was not filled by a care order request.

14+

N

String(64)

53

CQGSymbolPrefix

Commodity prefix in CQG form. Can be referenced in the Symbols.txt file. (Please contact the CQG FCM Support Desk for the latest version of the Symbols.txt file.)

It is possible to have several commodities with different prefixes but the same CQGSymbol code, e.g. US.xx and AU.xx.

15+

Y

String(2)

54

OmnibusAccountNumber

Omnibus account number. Empty unless order was executed via omnibus account.

16+

N

String(256)

55

OmnibusFCMName

Omnibus account FCM. Empty unless order was executed via omnibus account.

16+

N

String(32)

56

SettlementDate

Date at location of trade settlement.

17+

N

Date

57

LastTradingDate

Last trading date for the fill’s contract. Empty for contracts that do not expire.

18+

N

Date

58

FillEffect

Specifies whether the order fill is opening/increasing or closing/reducing a position.

O = opening new current day position

C = closing (current day only if instrument uses explicit close)

P = closing previous day (if instrument uses explicit close)

19+

N

String(1)

59

SpeculationType

Specifies a speculation type for an order fill.

S = Speculation

H = Hedge

A = Arbitrage

19+

N

String(1)

60

SenderOperatorID

(was: OnBehalfOfSubID)

Explicit "sender operator ID" supplied to CQG with the order request, if any. Supported by Web API (see OrderRequest.sender_operator_id) and FIX Connect in DirectOnBehalfOfSubID Mode (see OnBehalfOfSubID(116) and https://help.cqg.com/apihelp/#!Documents/directonbehalfofsubidmode.htm). Empty in other cases.

21+

N

String(32)

61

OTCInternalMatch

y – if the fill originated as a result of an internal cross from the CQG OTC  Internal Match First engine.

n – otherwise

22+

Y

String(1)

62

TradeMatchID

Identifier assigned to both sides of a trade by a matching system. Empty if not provided.

22+

N

String(64)

63

ExecutionSourceCode

The single character that indicates source of execution."Y" = Electronic (Default), "W" = Desk, "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

23+

N

String(1)

64

ExtendedSide

Refines side attribute: 5 = Sell Short

25+

N

String (1)

65

LocateID

Identifies a broker that lent an equity being sold short

25+

N

String (64)

66

EffectiveOperatorID

The effective "operator ID" applied to this order request by CQG. It is based on either supplied value (see also SenderOperatorID) or Trader configuration, further modified by applicable Operator ID mapping configuration. Note: only present for exchanges/routes that utilize operator ID.

26+

N

String(64)

67

ISIN

ISIN per ISO 6166, where available in CQG reference data at time of file generation.

27+

N

String(12)