iLink 2 Order Cancel and Order Cancel-Replace Reject
The Order Cancel Reject (tag 35-MsgType=9) message notifies client system of iLink 2 Order Cancel Request or iLink 2 Order Cancel-Replace Request reject.
Tag | Name | Enumeration | Req | Description | |
---|---|---|---|---|---|
 |  |  |  |  | |
35 | 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) | Â | 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) | Â | Y* | CME Globex assigned execution report message identifier; globally unique for each message published. |
37 | OrderID | String(17) | Â | 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) | Â | 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) | Â | N | Identifier of the instrument defined in tag 107. |
58 | Text | String(200) | Â | N | Text reason order cancel was rejected. |
60 | TransactTime | UTCTimestamp(21) | Â | Y* | UTC format YYYYMMDD-HH:MM:SS.sss |
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) | Â | N | Instrument identifier, e.g. ESM0. |
434 | CancelRejResponseTo | Char(1) | 1=Order Cancel Request | Y | Identifies the type of request reject message is in response to. |
1028 | ManualOrderIndicator | Boolean(1) | Y=manual | 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) | Â | 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) | Â | 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) | Â | 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) | Â | 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:
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:
If absent, then the message was not subject to additional processing. |
 |  |  |  | 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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