Execution Report - Trade Cancel (tag 35-MsgType=8, tag 39-OrdStatus=H)

Standard Header- CME Globex to Client System

1

Account

Y*

String (12)

Unique account identifier.

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

String (17)

CME Globex assigned order identifier; unique per
instrument per trading session.

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 HH:MM:SS.sss
Example: 10:00:29.714

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.

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 outrigh, 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)

Price for future used in calculating the conversion of volatility
to premium for the option. Conditionally required for premiums; not
required for volatility.

811

OptionDelta

C

Float (6,2)

Calculated delta, expressed as a decimal between -1 and 1.
Conditionally required for premiums; not required for volatility.

1188

Volatility

C

String (20)

Annualized volatility for option model calculations.
Conditionally required for premiums; not required for volatility.

1189

ExpirationTimeValue

C

Float

This value is expressed as a decimal portion of a year,
typically the days to expiration divided by the days in the year (year=365 days). Conditionally required for premiums; not required for volatility.

1190

RiskFreeRate

C

Price (20)

Risk-free rate. Conditionally required for premiums; not required
for volatility.

9717

CorrelationClOrdID

Y*

String (20)

Unvalidated value returned as submitted if sent by client system on inbound message.

Standard Trailer

Y

End of message.