1

CQGTransactionRecordNumber

Transaction record number at CQG

0+

Y

Big Integer

2

CQGOrderNumber

CQG identifier for the related order.

0+

Y

Integer

3

ExchOrderNumber

Exchange order number, sometimes called ticket number. Format is CQG-specific and can vary by exchange, but the value is based on exchange-reported identifier for the order. This field is empty for unacknowledged orders.

0+

N

String(128)

4

CQGFillOrderRecordNumber

Order Fill record number at CQG to which this transaction is related. (This field is empty if the transaction is not related to a fill). Note that multiple transactions can refer to the same Order Fill.

0+

N

Big Integer

5

OrderState

State of the order at the time of the transaction.

0+

Y

String(32)

6

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+

Y

Integer

7

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)

8

BuySell

b = buy

s = sell

0+

Y

String(1)

9

OrderQuantity

Quantity associated with the order.

0+

Y

Integer

10

FillSize

Fill quantity. This field is empty if the transaction is not associated with a fill.

0+

N

Integer

11

TimeInForce

Time-in-force identifier for the order.

0+

Y

String(5)

12

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)

13

Native Order Type

Native order type, as recognized by the exchange.

0+

N

String(8)

14

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)

15

TriggerQuantity

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

0+

N

Integer

16

Currency Code

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.

0-17

18+

N

N

String(3)

String(64)

17

Limit Price

Order limit price in CQG format.

0+

N

Float

18

Stop Price

Order stop price in CQG format.

0+

N

Float

19

Fill Price

Fill price in CQG format (the field is empty if the transaction is not associated with a fill).

0+

N

Float

20

AccountRep

Sales rep for the account, if provided.

0+

Y

String(16)

21

AccountNumber

FCM account number.

0+

Y

String(256)

22

CQGTraderName

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

0+

N

String(32)

23

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)

24

TransactionDate

Date of the transaction.

0+

Y

Date

25

TransactionTime

Time of the transaction.

The format of this value changed from HHMMSS to HH:MM:SS.ssssss as of version 9+. See Type/Format definitions in Data Files.

0+

Y

Time

26

ContractDate

Contract prompt date in YYYYMMDD format.

Note: In the case of relative daily futures, the prompt date for a future can change from one day to the next. This field reflects the prompt date associated with the future at the time the file is generated.

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 9+. 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 commodity, even with CQGSymbolPrefix.

The type of this value changed from String(6) to String(32) as of version 14+.

1+

Y

String(6)

32

CQGStrikePrice

Strike price in the CQG format.

1+

N

Integer

33

CQGOriginalOrderNumber

CQG identifier for the first order in the order chain.

1+

Y

Integer

34

CQGAccountID

CQG identifier for the account.

2+

Y

Integer

35

CQGTraderID

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

2+

N

Integer

36

RejectionReason

Reason order was rejected. This field is populated only for transactions of rejected orders.

3+

N

String(1024)

37

ExternalManualOrder

y = manual external CAST orders

n = order placed by trader in Gateway

4+

Y

String(1)

38

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.)

5+

Y

Integer

39

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.

6+

Y

String(2)

40

OmnibusAccountNumber

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

7+

N

String(256)

41

OmnibusFCMName

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

7+

N

String(32)

42

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)

8+

N

String(1)

43

SpeculationType

Specifies a speculation type for an order transaction.

S = Speculation

H = Hedge

A = Arbitrage

8+

N

String(1)

44

DiscretionaryOffset

Discretion offset in the number of discretionary ticks.

Maximum number of allowed ticks is calculated as tick_size/discretionary_tick_size - 1.

10+

N

Integer

45

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..

11+

N

String(32)

46

OTCInternalMatch

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

n – otherwise

12+

Y

String(1)

47

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

13+

N

String(1)

48

ExtendedSide

Refines side attribute: 5 = Sell Short

15+

N

String(1)

49

LocateID

Identifies a broker that lent an equity being sold short

15+

N

String(64)

50

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.

16+

N

String(64)

51

ISIN

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

17+

N

String(12)