Execution Report - Trade Cancel

1

Account

Y*

String(12)

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

Y

0

Price(20)

Always '0'.

11

ClOrdID

Y*

String(20)

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

Y

Int(9)

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

17

ExecID

Y*

String(40)

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

19

ExecRefID

Y*

String(9)

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

20

ExecTransType

Y

1=Cancel

Char(1)

Identifies transaction type.

31

LastPx

Y*

Price(20)

Price of the canceled trade.

32

LastQty

Y*

Int(9)

Quantity of canceled trade.

37

OrderID

Y

String(17)

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

39

OrdStatus

Y

H=Trade Cancelled

Char(1)

Identifies trade status as canceled.

41

OrigClOrdID

N

String(20)

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

Y*

Int(12)

Identifier of the instrument defined in tag 107.

54

Side

Y

1=Buy
2=Sell

Char(1)

Side of order.

55

Symbol

Y

String(6)

This tag contains the Group Code.

60

TransactTime

Y*

UTCTimestamp(21)

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

75

TradeDate

Y*

LocalMktDate(8)

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

N

1

Char(1)

Returned on Execution Report if sent on inbound message.

79

AllocAccount

N

String(11)

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

Y*

String(20)

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

150

ExecType

Y

H=Trade
Cancel Ack

Char(1)

Indicates type of Execution Report.

167

SecurityType

N

FUT=Future

OPT=Option

IRS=Interest Rate Swap

FXSPOT=FX Spot

String(3)

Indicates instrument type.

393

TotalNumSecurities

N

Int(3)

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

442

MultiLegReportingType

N

1=Outright
2=Leg of spread
3=Spread

Int(1)

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

527

SecondaryExecID

Y

String(40)

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

810

UnderlyingPx

C

Price(20)

Reserved for future use.

811

OptionDelta

C

Float(6.2)

Reserved for future use.

1188

Volatility

C

String(20)

Reserved for future use.

1189

ExpirationTimeValue

C

Float

Reserved for future use.

1190

RiskFreeRate

C

Price(20)

Reserved for future use.

1028

ManualOrderIndicator

Y*

Y=manual
N=automated

Boolean(1)

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

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

Y*

String(20)

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.

Standard Message Trailer

End of message.