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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

FIX Name

Req

Valid Values

Description

Standard Header- CME Globex to Client System

 

 

 

 

 

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.

14

CumQty

Y

 

Qty (9)

Contains cumulated traded quantity throughtout
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
identified; unqiue per instrument 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*

 

Qty (9)

Quantity of canceled trade.

37

OrderID

Y

 

Int (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.

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 instrument group code.

60

TransactTime

Y*

 

UTC
Timestamp
(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 (10)

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
Bust Ack

Char (1)

Indicates type of Execution Report.

167

SecurityType

N

FUT=Future
OPT=Option

String (3)

Indicates instrument is future or option.

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

N

 

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.

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.

Standard Trailer

 

Y

 

 

End of message.

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

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