The Order Cancel Replace Reject message is issued upon receipt of a cancel replace request message which cannot be honored and a rejected modification will generate an Order Cancel Replace Reject message.
Sequence number assigned to this message.
The max value is 999999999 which is 1 short of 1 billion.
|39001||UUID||uInt64||8||Y||Matches Establish.UUID used to establish the connection.|
Reject reason details.
Used only for descriptive rejects
Unique identifier of Execution Report message as assigned by exchange. Uniqueness is guaranteed within a single trading day or the life of a multi-day order.
For futures and options markets:
Should be unique per Firm ID.
Assigned value used to identify specific message originator.
Represents last individual or team responsible for the system that modifies the order prior to submission to CME Globex.
For fixed income markets: represents the Entering Trader.
Unique identifier for Order as assigned by client system. Uniqueness must be guaranteed within a single trading day.
Firms, particularly those which electronically submit multi-day orders, trade globally, or throughout market close periods, should ensure uniqueness across days.
The unique identifier of the Party Details Definition Request Acknowledgment associated with this message; this is the value submitted on the inbound message.
For pre-registered messages:
For on-demand messages:
|37||OrderID||uInt64||8||Y||Unique identifier for order as assigned by the exchange. Uniqueness is guaranteed within a single trading day across all instruments.|
|60||TransactTime||uInt64||8||Y||Time the transaction represented by this Order Cancel Replace Reject (35=9) occurred. Expressed as nanoseconds since epoch time.|
|5297||SendingTimeEpoch||uInt64||8||Y||Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.|
OrderRequestID used to identify a request to enter, modify, or delete an order. Echoed back on the Execution Report.
For the unsolicited events (e.g. fills and end of day eliminations), echo the value on the ExecutionReport representing the last accepted OrderRequestID on the corresponding order.
ISO identifier of the physical location of the individual or team head trader identified by the tag 5392 (SenderID) in the message.
The first two bytes as per ISO 3166-1, identify the country (e.g., JP = Japan, CN = China).
The next three bytes indicate a comma-delimited state or province code (e.g., CA = California, QC = Quebec).
For valid values, refer to ftp.cmegroup.com/fix/coo.Market Regulation requires only the submission of the two first characters of tag 9537-Location for all countries with the exception of Canada. For Canada, the 5 bytes including the province code must be submitted.
|102||CxlRejReason||uInt16||2||Y||Code to identify reason for order rejection.|
Not currently being used.
Identifies status of modification reject.
Identifies the type of request that a Cancel Reject is in response to.
|1028||ManualOrderIndicator||ManualOrdIndReq||1||Y||Indicates if the message was initially received manually.|
Flags message as possible retransmission or duplicate
Indicates if message is an original transmission or duplicate in response to Retransmission Request or possible duplicate
Used when original messages are interleaved with Retransmission responses
Possible duplicate means the same message may have been sent again with different sequence number
Indicates if a message was delayed as a result of:
If absent then the message was not delayed, split, or received out of order.
Indicates if an order was submitted for market making obligation as required for MIFID.
Applicable only for EU fixed income markets.
Indicates the amount of time that a message was delayed as a result of being:
Represented as number of nanoseconds in UNIX epoch format (since Jan 1, 1970). Subtracting this number from FIFO time will represent original received time of delayed message.