iLink - Trade Cancellation

If CME Group determines that an executed trade on CME Globex has taken place outside the defined price band for that product or for any other reason deems a trade is in violation of the CME Group Rulebook, CME Globex sends an Execution Report - Trade Cancellation (tag 35-MsgType=8).

Prior to a trade cancellation, each client involved in the trade has already received an Execution Report - Fill Notice (tag 35-MsgType=8) containing the following tags:

• Tag 37-OrderID - assigned when the order is accepted.

• Tag 17-ExecID - identifier for the Execution Report.

• Tag 37711-MDTradeEntryID - common trade identifier

GCC Trade Cancellation

If CME Global Command Center (GCC) cancels a trade, the client application receives an Execution Report – Trade Cancellation (MsgType = 8) containing the following tags:

• Tag 39-OrdStatus set to 'H' for trade cancelled

• Tag 150-ExecType set to 'H' for trade cancelled

• Tag 19-ExecRefID containing the Trade Number for the trade being cancelled; the Trade Number as originally contained in the ExecID of the trade being cancelled. Tag 19-ExecRefID in the trade cancellation notice identifies the specific cancelled trade.

• Tag 32-LastShares set to the quantity of the trade that is being cancelled.

• Tag 37711-MDTradeEntryID - a common trade identifier

The following diagram illustrates the message flow for a trade cancellation scenario on the CME Globex platform.

• The client sends a New Order (tag 35-MsgType=D).

• CME Globex platform sends an Execution Report – Order Confirmation (tag 35-MsgType=8) followed by an Execution Report – Fill Notice.

• GCC cancels the trade and an Execution Report – Trade Cancellation Notice (tag 35-MsgType=8) message is sent.

• Tag 19-ExecRefID in the trade cancellation message contains the Trade Number of the ExecID from the previously-received message.

• Tag 151-LeavesQty is not returned in the Execution Report - Trade Cancellation Notice.

Spread Trade Cancellation

When a spread trade is cancelled, CME Globex sends the Execution Report - Trade Cancellation message (tag 35-MsgType=8, tag 39-OrdStatus=H) for both spread and legs. Client systems can correlate tag 527-SecondaryExecID for multiple Trade Cancellation Execution Reports. The following diagram shows the tag value relationship throughout a spread order chain which culminates in a trade cancellation.

• When a spread trade is cancelled, trade cancellation for the spread is communicated to the customer via iLink and MDP 3.0 messages.