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The Execution Report - Trade Cancel (tag 35-MsgType=8, tag 39-OrdStatus=H) message notifies client system of trade cancellation.

Tag

Name

Enumeration

Req

Description

Standard Header - CME Globex to Client System




35MsgTypeString(2)8=Execution ReportYHeader tag identifying message type.

1

Account

String(12)


Y*

Unique account identifier.

Note: This tag value is always uppercase, regardless of the case in the inbound message tag. Client systems are not required to submit capitalized account values to CME Globex.

6

AvgPx

Price(20)

0

Y

Always '0'.

11

ClOrdID

String(20)


Y*

Unique order identifier assigned by client system. Client system must maintain uniqueness of this value for the life of the order.

Not returned for Trade Cancels originating from a Mass Quote.

For Mass Quotes the value references 299-QuoteEntryID.

Refer to iLink - CME Globex Identifiers for more information.

14

CumQty

Int(9)


Y

Contains cumulated traded quantity throughout lifespan of an order. This value does not reset if order is cancel/replaced.

37711MDTradeEntryIDInt(10)
YCommon identifier that associates CME STP cleared trades with order execution and market data messaging. Will continue to refer back to the original value as assigned to the trade being busted or adjusted. Unique across all iLink sessions and market segments per trading week.

17

ExecID

String(40)


Y*

CME Globex assigned execution report message identifier; unique per market segment per trading session.

19

ExecRefID

String(9)


Y*

Contains unique ID for the trade being cancelled.
These are the last 9 characters of tag 17-ExecID.

20

ExecTransType

Char(1)

1=Cancel

Y

Identifies transaction type.

31

LastPx

Price(20)


Y*

Price of the canceled trade.

32

LastQty

Int(9)


Y*

Quantity of canceled trade.

37

OrderID

String(17)


Y

CME Globex assigned order identifier; unique across all iLink sessions and market segments.

39

OrdStatus

Char(1)

H=Trade Cancelled

Y

Identifies trade status as canceled.

41

OrigClOrdID

String(20)


N

The last accepted ClOrdID in an order chain.
If the value is included in tag41-OrigClOrdID, the same value is returned; however, if no value is sent, a value of '0' is returned in the Execution Report (tag 35-MsgType=8) Cancellation message, else tag 41-OrigClOrdID is not sent.

Refer to iLink - CME Globex Identifiers for more information.

48

SecurityID

Int(12)


Y*

Identifier of the instrument defined in tag 107.

54

Side

Char(1)

1=Buy
2=Sell

Y

Side of order.

55

Symbol

String(6)


Y

This tag contains the Group Code.

60

TransactTime

UTCTimestamp(21)


Y*

UTC format YYYYMMDD-HH:MM:SS.sss
e.g. 20091216-19:21:41.109

75

TradeDate

LocalMktDate(8)


Y*

Indicates date of trade referenced in this message in
YYYYMMDD format. Absence of this field indicates
current day (expressed in local time at place of trade).

78

NoAllocs

Char(1)

1

N

Returned on Execution Report if sent on inbound message.

79

AllocAccount

String(11)


N

Returned on Execution Report if sent on inbound message.

Note: This tag value is always uppercase, regardless of the case in the inbound message tag. Client systems are not required to submit capitalized account values to CME Globex.

107

SecurityDesc

String(20)


Y*

Instrument identifier used on iLink to uniquely identify an instrument.
Future Example: GEZ8
Option Example: GEZ9 C9375

150

ExecType

Char(1)

H=Trade
Cancel Ack

Y

Indicates type of Execution Report.

167

SecurityType

String(3)

FUT=Future

OPT=Option

IRS=Interest Rate Swap

FXSPOT=FX Spot

N

Indicates instrument type.

393

TotalNumSecurities

Int(3)


N

Number of leg trade elimination messages for a given counterparty. The value will be '0' (zero) for outrights.

442

MultiLegReportingType

Int(1)

1=Outright
2=Leg of spread
3=Spread

N

Indicates if acknowledgment message is sent for an outright, leg of spread, or spread.

527

SecondaryExecID

String(40)


Y

Unique identifier that allows linking of spread summary fill notice with leg fill notice and trade cancel messages.

810

UnderlyingPx

Price(20)


C

Reserved for future use.

811

OptionDelta

Float(6.2)


C

Reserved for future use.

1188

Volatility

String(20)


C

Reserved for future use.

1189

ExpirationTimeValue

Float


C

Reserved for future use.

1190

RiskFreeRate

Price(20)


C

Reserved for future use.

1028

ManualOrderIndicator

Boolean(1)

Y=manual
N=automated

Y*

Value sent on inbound message from client system indicating the order as sent manually or generated by automated trading logic.

7928SelfMatchPreventionIDString(12)
N

This tag is required when market participants elect to use the optional Self Match Prevention functionality.

Non-implied orders with the same Self-Match Prevention identifier submitted with the same Executing Firm Identifier (subcomponent of tag 49-SenderCompID) will not match on CME Globex.

9717

CorrelationClOrdID

String(20)


Y*

Unvalidated value returned as submitted if sent by client system on inbound message. See tag 9717-CorrelationClOrdID note in the New Order message specification for further details.

Not returned for Trade Cancels originating from a Mass Quote.

5979RequestTimeInt(20)
NInformation carried on a response to convey the time (UTC) when the request was received by the MSGW application. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

Standard Message Trailer





End of message.

Y: Required by FIX protocol, Y*: Required by CME Globex (not by FIX protocol), N: Not Required, C: Conditionally

Standard Header-CME Globex to Client System