iLink 2 Order Cancel and Order Cancel-Replace Reject

iLink 2 Standard Header - CME Globex to Client System

MsgType

String(2)

9=Order Cancel Reject

Y

Header tag identifying message type.

1

Account

String(12)

Y*

Unique account identifier. Returned only for the reject of an Order Cancel/Replace Request.

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. 

11

ClOrdID

String(20)

Y

CME Globex returns this value from the rejected iLink 2 Order Cancel Request message tag 11-ClOrdID, up to 20 bytes.

Refer to iLink - CME Globex Identifiers for more information.

17

ExecID

String(40)

Y*

CME Globex assigned execution report message identifier; globally unique for each message published.

37

OrderID

String(17)

Y

CME Globex assigned order identifier; globally unique for each message published.

39

OrdStatus

Char(1)

U=Undefined

Y

Identifies reason for cancel reject.

41

OrigClOrdID

String(20)

N

Last accepted ClOrdID in the order chain. If a value is included in tag 41 on order entry, the same value is returned. If not, the tag will contain '0'.

Refer to iLink - CME Globex Identifiers for more information.

48

SecurityID

Int(12)

N

Identifier of the instrument defined in tag 107.

58

Text

String(200)

N

Text reason order cancel was rejected.

60

TransactTime

UTCTimestamp(21)

Y*

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

102

CXlRejReason

Int(6)

1003=Orders may not be cancelled while the market is closed

2045=This order is not in the book

2048=The order was submitted with a different SenderCompID than the requesting cancel

2051=The Order was submitted with a different side than the requesting Cancel side

2058=Stop price maxi-mini must be greater than or equal to trigger price

2060=Sell order stop price must be below last trade price

2061=Buy order stop price must be above last trade price

2137=Order price is outside the limits

2179=Order price is outside bands

7009=The contract for this order is past expiration/for future activation date and may no longer/not yet be traded

7024=Order cannot be modified or cancelled while the market is in No Cancel

N

Cancel reject reason.

107

SecurityDesc

String(20)

N

Instrument identifier, e.g. ESM0.

434

CancelRejResponseTo

Char(1)

1=Order Cancel Request
2=Order Cancel/Replace
Request

Y

Identifies the type of request reject message is in response to.

1028

ManualOrderIndicator

Boolean(1)

Y=manual
N=automated

Y*

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

1031

CustOrderHandlingInst

String(1)

W - Desk

Y - Electronic (Default)

C - Vendor-provided Platform billed by Executing Broker

G - Sponsored Access via Exchange API or FIX provided by Executing Broker

H - Premium Algorithmic Trading Provider billed by Executing Broker

D - Other, including Other-provided Screen

Y

Defines source of original order.

5149

Memo

String(75)

N

Allows users to submit a free-form Note tag with a customer order and persists from order entry through clearing

Note: if tag 5149-Memo value on inbound messages exceeds the max length of 75 bytes, iLink will return a truncated 75 bytes from the right on the response.

7928

SelfMatchPreventionID

String(12)

N

Use of this tag indicates client does not wish to trade against itself on CME Globex.

Non-implied orders with the same Self-Match Prevention identifier submitted with the same Executing Firm Identifier (sub-component of tag 49-SenderCompID) will not match on CME Globex.

9717

CorrelationClOrdID

String(20)

Y*

Unvalidated value returned as submitted if sent by client system on inbound message. See tag 9717-CorrelationClOrdID note in the iLink 2 New Order message specification for further details.

5979

RequestTime

Int(20)

Y

Information carried on a response to convey the time (UTC) when the request was received by the MSGW application. UTC timestamps are sent in number of nanoseconds since UNIX epoch with microsecond precision.

5904

DelayDuration

Int

N

Indicates the amount of time in nanoseconds that a message was subject to additional processing as a result of being:

• split among multiple packets (tag 9553=0)

• out-of-order (tag 9553=1)

• a previously submitted split message (tag 9553=2)

Subtracting this number from tag 5979-RequestTime will represent original received time of in-flight message

9553

SplitMsg

Int(1)

0 – Split message 

1 – Out-of-order message 

2 – Complete message 

N

Indicates whether a message was subject to additional processing as a result of being:

• split among multiple packets (0)

• out-of-order (1)

• a previously submitted split message (2)

If absent, then the message was not subject to additional processing.

iLink 2 Standard Message Trailer

End of message.