OrderID

1
Execution Date Action Description Quantity Description Price Order Number
2/15/21 22:18 Buy To Open 20 ESH213500P - E Mini S&P 500 March 2021 03/19/2021 3500 Put 12 703754148
2/15/21 22:42 Buy To Open 17 RTMH212000P - Emini Russell 2000 Index June 2021 03/31/2021 2000 Put 21.9 297172994
2/15/21 22:42 Buy To Open 3 RTMH212000P - Emini Russell 2000 Index June 2021 03/31/2021 2000 Put 22 297172994
2/16/21 15:42 Buy To Open 20 ESH213500P - E Mini S&P 500 March 2021 03/19/2021 3500 Put 13.25 297162925
3/3/21 11:10 Buy To Open 20 R4EH212170P - Emini Russell 2000 Index June 2021 03/26/2021 2170 Put 48.3 298154105
3/3/21 11:24 Buy To Open 20 E1CH213850P - E Mini S&P 500 March 2021 03/03/2021 3850 Put 7.75 298057549
3/3/21 11:35 Buy To Open 10 R4EH212170P - Emini Russell 2000 Index June 2021 03/26/2021 2170 Put 44 298111208
3/3/21 13:26 Buy To Open 20 E1CH213850P - E Mini S&P 500 March 2021 03/03/2021 3850 Put 7 298115753
3/3/21 15:56 Sell To Close 50 E1CH213850P - E Mini S&P 500 March 2021 03/03/2021 3850 Put 27 298204228
3/3/21 15:57 Sell To Close 50 E1CH213850P - E Mini S&P 500 March 2021 03/03/2021 3850 Put 27 298122050
3/3/21 15:59 Sell To Close 1 QN1H2112750P - E Mini Nasdaq 100 March 2021 03/05/2021 12750 Put 185 298034210

Hey there,

Does anyone know what these “order numbers” may represent? CME has disclaimed them and I can’t get any iterations to work through fiximate or any other resources. I cannot for the life of me figure out what may have caused the numbers to fluctuate in that manner (this is just a sample set) and trust me I have tried extensively

2

I could imagine that only CME can tell you how the numbers are generated.
In general I think that it is not necessary to know about the composition of the order numbers to build whatever system you are building. Unless you are building for CME. :wink:

3

What FIX tag are you pulling OrderID from?

4

Did that data come directly from CME or from a broker / connectivity provider? When you say CME has disclaimed them do you mean that CME has said that they don’t recognise those identifiers? If that’s the case then they are probably generated by the broker/connectivity provider you are using rather than CME itself.

Normally an Order Number/Id is just a unique identifier for the order and you shouldn’t really attach any meaning to it beyond that. The fact that they appear to fluctuate shouldn’t really matter as long as they remain unique. That said, looking at the data sample you posted I suspect the order number is scoped by the instrument you’re trading on - you can see the order number increases over time for each instrument. That would make sense for an exchange where, as an exchange implementer, you’d want the order books to be entirely independent of each other and so each order book will be responsible for generate it’s own sequence of order ids.

5

There’s insufficient context regarding your data to properly answer this question. Take for example the E1CH213850P - E Mini S&P 500 March 2021 contract in this example.

  1. there are 3 different execution date/time involved in this data
  2. the 3/3/21 execution date has both a “buy to open” and “sell to close” transactions for what looks like same option contract
  3. those order numbers for these executions are all different
    My only conclusion is the so called “order number” is not the OrderID(37) or ClOrdID(11) in the FIX sense, but maybe the ExecID(17) of each of the trade fill.

You need to figure out what is the context form where this data came from to really determine what is it that you’re actually dealing with. We can only guess here.

6

Hey all….thank you for your responses and apologies for any lack of information initially. This data came from a broker/connectivity provider, the CME stated they do not provide any order information that looks like those identifiers.

I completely understand the point made about unique identifier; however, although the IDs do increase over time generally they fluctuate wildly within that range. That is also true on an individual instrument level, although I see your point there as well.

My concern is that there may be issues occurring where original orders which were modified are not being cancelled properly…and then later executed. A sample set is included below for a several day period…as can be seen, although the overall trend moves higher there is meaningful variance within that range. As I understand it, order state changes could account for some of this variance (potentially), but if the overall numbers are increasing I am not sure how to properly understand why there are large jumps back and forth.

My original assumption was there must be some sort of embedded sequencing or date/time value that drove the general trend in increasing numbers…but that doesn’t appear to fit the data set (hence my fear).

I’ve attached a one-week example….let me know what other information would be helpful or if anyone has thoughts. Thank you so much for looking at this!

Order Example.pdf (59.9 KB)

7

You need to go to that provider and ask about the semantics of that data and how it is generated. Only the issuer of the data will be able to provide an answer to you.

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