If CME Group determines that an executed trade on CME Globex has taken place outside the defined price band for that product or for any other reason deems a trade is in violation of the CME Group Rulebook, CME Globex sends an Execution Report - Trade Cancellation (tag 35-MsgType=8).
Prior to a trade cancellation, each client involved in the trade has already received an Execution Report - Fill Notice (tag 35-MsgType=8) containing the following tags:
- Tag 37-OrderID - assigned when the order is accepted.
- Tag 17-ExecID - identifier for the Execution Report.
Tag 37711-MDTradeEntryID - common trade identifier
GCC Trade Cancellation
If CME Global Command Center (GCC) cancels a trade, the client application receives an Execution Report – Trade Cancellation (MsgType = 8) containing the following tags:
- Tag 39-OrdStatus set to 'H' for trade cancelled
- Tag 150-ExecType set to 'H' for trade cancelled
- Tag 19-ExecRefID containing the Trade Number for the trade being cancelled; the Trade Number as originally contained in the ExecID of the trade being cancelled. Tag 19-ExecRefID in the trade cancellation notice identifies the specific cancelled trade.
- Tag 32-LastShares set to the quantity of the trade that is being cancelled.
- Tag 37711-MDTradeEntryID - a common trade identifier
The following diagram illustrates the message flow for a trade cancellation scenario on the CME Globex platform.
- The client sends a New Order (tag 35-MsgType=D).
- CME Globex platform sends an Execution Report – Order Confirmation (tag 35-MsgType=8) followed by an Execution Report – Fill Notice.
- GCC cancels the trade and an Execution Report – Trade Cancellation Notice (tag 35-MsgType=8) message is sent.
- Tag 19-ExecRefID in the trade cancellation message contains the Trade Number of the ExecID from the previously-received message.
- Tag 151-LeavesQty is not returned in the Execution Report - Trade Cancellation Notice.
Spread Trade Cancellation
When a spread trade is cancelled, CME Globex sends the Execution Report - Trade Cancellation message (tag 35-MsgType=8, tag 39-OrdStatus=H) for both spread and legs. Client systems can correlate tag 527-SecondaryExecID for multiple Trade Cancellation Execution Reports. The following diagram shows the tag value relationship throughout a spread order chain which culminates in a trade cancellation.
- When a spread trade is cancelled, trade cancellation for the spread is communicated to the customer via iLink and MDP 3.0 messages.