Can anyone help me understand CME's aggressor side tag? In particular, what is CME's definition of "aggressive" and in what instance(s) is the aggressor side null? Thanks.
I'm a little embarrassed, I was reading essentially the wrong CME documentation when I asked this question. Here's what their "EPICSANDBOX" documentation says which is satisfactory for my purposes. Per CME: Order Aggressor Indicator An "Aggressor" or "Aggressing Order" by definition is an incoming order matching with one or more orders resting on the order book. The Aggressor pulls liquidity out of the order book by triggering a match event removing resting quantity and potentially price level from the order book. The Aggressor is identified in each order match during the continuous trading period and reported on all three customer interfaces: Order Entry, Market Data and Post-Matching/Clearing. There is no Aggressor indicator for trades occurring at the end of the market opening auction or any other state other than continuous trading. For trades involving spread instruments, the Aggressor is reported at the spread level only. Meaning, that the aggressor flag is only present in the Fill Notice for the spread summary and the flag is not present in the Fill Notices submitted for the leg components of the spread. For stop-limit and stop with protection orders, once triggered a stop order is treated as an Aggressor limit order and Fill Notices reflects this behavior.