iLink 2 Order Cancel-Replace Request
The Order Cancel-Replace Request (tag 35-MsgType=G) message effects the modification of a resting order. A modification may cause the order to lose priority in the book by cancelling an accepted order and replacing it with a new order.
See the following topics for more information:
Tag | Name | Enumeration | Req | Description | |
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35 | MsgType | String(2) | G=Order Cancel Replace Request | Y | Header tag identifying message type. |
1 | Account | String(12) |
| Y* | Executing account mnemonic as agreed between the broker and clearing member firm. See Trade Cancellation for additional information. |
11 | ClOrdID | String(20) |
| Y | Unique order identifier assigned and maintained by client system. Client system must maintain uniqueness of this value for the life of the order i.e. throughout the series of cancel/replace requests. Refer to iLink - CME Globex Identifiers for more information. |
37 | OrderID | String(17) |
| Y* | CME Globex assigned order identifier; globally unique for each message published. Note: Tag 37 value sent from client system to CME Globex must exactly match the value CME Globex assigned. |
21 | HandInst | Char(1) | 1=Automated execution | N | Order submitted for automated matching on CME Globex. |
38 | OrderQty | Int(9) |
| Y* | Order quantity. Must be a positive integer. Note: If this value is reduced from the original value submitted in the New Order message, the order will maintain priority in the order book. If this value is increased, the order will lose priority on the order book.
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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. |
40 | OrderType | Char(10) | 1=Market order (with protection) | Y | Order type. See iLink Order Types for complete details. |
41 | OrigClOrdID | String(20) |
| Y | Last accepted ClOrdID in the order chain. If a value is included in tag 41-OrigClOrdID, the same value is returned, however, if no value is sent, a value of '0' is returned in the Execution Report - Cancellation (tag 35-MsgType=8) message or tag 41-OrigClOrdID is not sent. Refer to iLink - CME Globex Identifiers for more information. |
44 | Price | Price(20) |
| C | Required for limit or stop-limit orders. Designates the price per single contract unit.
Note: If this value is changed from the original value submitted in the New Order message, the order will lose priority in the order book. |
54 | Side | Char(1) | 1=Buy | Y | Side of order. |
55 | Symbol | String(6) |
| N | This tag contains the Group Code of the instrument. If this tag is not sent on the inbound message, CME Globex will return the correct tag 55 value on all related outbound messages. |
58 | Text | String(18) |
| N | Free format text string. |
59 | TimeInForce | Char(1) | 0=Day | N | Specifies how long the order remains in effect. If not present, DAY order is the default. Note: If this value is changed from the original value submitted in the New Order message, the order will maintain priority in the order book. |
1028 | ManualOrderIndicator | Boolean(1) | Y=manual | Y* | 'N' indicates the message was generated by automated trading logic. Note: iLink messages containing a value other than 'Y' or 'N' in this tag will be rejected. This tag is subject to Rule 536.B.2 Electronic Audit Trail Requirements for Electronic Order Routing/Front-End Systems. |
60 | TransactTime | UTCTimestamp(21) |
| Y | UTC format YYYYMMDD-HH:MM:SS.sss |
78 | NoAllocs | NumInGroup(1) | 1 | C | Always set to '1'. |
79 | AllocAccount | String(11) |
| C | Indicates a give up account number. |
99 | StopPx | Price(20) |
| C | Required for stop and stop-limit orders. Designates stop trigger price specified by the individual entering the order or cancel/replace. The decimal, and if applicable the negative sign of the price, are each one character. The decimal, and if applicable the negative sign of the price are each one character. Client systems should not supply more than 9 characters to the left and 9 characters to the right of the decimal. See Fractional Pricing for products that tick fractionally but must be submitted in decimal. Note: If this value is changed from the original value submitted in the New Order message, the order will maintain priority in the order book. |
107 | SecurityDesc | String(20) |
| Y* | Unique instrument identifier. |
110 | MinQty | Int(9) |
| N | Minimum quantity of an order to be executed. The value of MinQty must be between 1 and the value in tag 38-OrderQty. The format of this tag is different from FIX protocol specifications. This tag must be an integer. |
167 | SecurityType | String(3) | FUT=Future OPT=Option IRS=Interest Rate Swap FXSPOT=FX Spot | N | Indicates instrument is future or option. |
204 | CustomerOrFirm | Int(1) | 0=Customer | Y* | The type of business conducted. |
210 | MaxShow | Qty(9) |
| N | Maximum quantity of an order to be shown in the order book at any given time.
Note: If this value is changed from the original value submitted in the New Order message, the order will maintain priority in the order book. Not available for some: In CME SOFR Futures products, the maximum display ratio is 1:60. See also: Order Types for Futures and Options or Order Qualifiers. |
432 | ExpireDate | LocalMktDate(8) |
| C | Required only if tag 59-TimeInForce=Good Till Date (GTD). |
7928 | SelfMatchPreventionID | String(12) |
| C | This tag is required when market participants elect to use the optional Self Match Prevention functionality. Non-implied orders with the same Self-Match Prevention identifier submitted with the same Executing Firm Identifier (subcomponent of tag 49-SenderCompID) will not match on CME Globex. |
8000 | SelfMatchPreventionInstruction | Char(1) | O=Cancel Resting | N | Indicates a cancel instruction when Self Match Prevention is triggered. Note:
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9702 | CtiCode | Char(1) | 1=CTI 1 | Y* | Customer Type Indicator (CTI) For electronic trading CTI codes are defined as:
This tag is subject to Rule 536.D Customer Type Indicator (CTI) Codes and to 536.B.2 Electronic Audit Trail Requirements for Electronic Order Routing/Front-End Systems. If you are unsure of which value to use, contact CME Group Market Regulation. Note: If this value is changed from the original value submitted in the New Order message, the order will maintain priority in the order book. |
1731 | AvgPxGroupID | String(20) |
| N | Used to identify account numbers or orders for grouping trades together for average price calculations. If incoming value is greater than max length, iLink will return the right-most twenty bytes. |
1598 | ClearingTradePriceType | String(1) | 0 – Trade Clearing at Execution Price | N | Indicates whether spread differential trade is clearing at execution price (tag 31-LastPx) or alternate clearing price (i.e. previous day’s settlement price). |
819 | AvgPXIndicator | Int(3) | 0 – No Average Pricing (Default) | N | Indicates if the resulting trade is to be average priced. This tag is also used to indicate type of average price grouping. |
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. |
9717 | CorrelationClOrdID | String(20) |
| Y* | This tag should contain the same value as the tag 11-ClOrdID of the original iLink 2 New Order message and is used to correlate iLink messages associated with a single order chain. Refer to iLink - CME Globex Identifiers for more information. |
9768 | OFMOverride | Char(1) | N=Disabled (default) | N | Indicates whether the cancel/replace supports IFM. IFM disabled is default behavior (N or tag not present). |
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Y: Required by FIX protocol, Y*: Required by CME Globex (not by FIX protocol), N: Not Required, C: Conditionally
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