The Order Cancel Replace Reject message is issued upon receipt of a cancel replace request message which cannot be honored and a rejected modification will generate an Order Cancel Replace Reject message.
Bolded red text indicates support for EBS Market.
35=9, 434=2
Tag | Name | Binary Type | Binary Length | Req | Enumeration | Description |
|---|---|---|---|---|---|---|
| 9726 | SeqNum | uInt32 | 4 | Y | Sequence number assigned to this message. The max value is 999999999 which is 1 short of 1 billion. | |
| 39001 | UUID | uInt64 | 8 | Y | Matches Establish.UUID used to establish the connection. | |
| 58 | Text | String256 | 256 | N | Reject reason details. Used only for descriptive rejects | |
| 17 | ExecID | String40 | 40 | Y | Globally unique identifier for each Execution Report message assigned by exchange. | |
| 5392 | SenderID | String20Req | 20 | Y | For futures and options markets: represents Operator ID. For EBS and fixed income markets: represents the Entering Trader. For EBS this value must be 3 characters. This value represents the individual or team submitting the message and is subject to registration requirements and character limits as required by Rule 576 and the Advisory below: https://www.cmegroup.com/rulebook/files/cme-group-Rule-576.pdf In FirmSoft and Global Command Center queries for order status and cancellations, this value must be exact. This tag value is always uppercase, regardless of the case in the inbound message tag. Client systems are not required to submit capitalized identifier to CME Globex. | |
| 11 | CIOrdID | String20Req | 20 | Y | Unique identifier for Order as assigned by client system. Uniqueness must be guaranteed within a single trading day. Firms, particularly those which electronically submit multi-day orders, trade globally, or throughout market close periods, should ensure uniqueness across days. | |
| 1505 | PartyDetailsListReqID | uInt64 | 8 | Y | The unique identifier of the Party Details Definition Request Acknowledgment associated with this message; this is the value submitted on the inbound message. For pre-registered messages:
For on-demand messages:
| |
| 37 | OrderID | uInt64 | 8 | Y | Globally unique identifier for each order assigned by the exchange. Will be set to 0 if in response to OrderCancelReplaceRequest using ClOrdID. | |
| 60 | TransactTime | uInt64 | 8 | Y | Time the transaction represented by this Order Cancel Replace Reject (35=9) occurred. Expressed as nanoseconds since epoch time. | |
| 5297 | SendingTimeEpoch | uInt64 | 8 | Y | Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970. | |
| 2422 | OrderRequestID | uInt64 | 8 | Y | OrderRequestID used to identify a request to enter, modify, or delete an order. Echoed back on the Execution Report. For the unsolicited events (e.g. fills and end of day eliminations), echo the value on the ExecutionReport representing the last accepted OrderRequestID on the corresponding order. | |
| 9537 | Location | String5Req | 5 | Y | ISO identifier of the physical location of the individual or team head trader identified by the tag 5392 (SenderID) in the message. The first two bytes as per ISO 3166-1, identify the country (e.g., JP = Japan, CN = China). The next three bytes indicate a comma-delimited state or province code (e.g., CA = California, QC = Quebec). For valid values, refer to ftp.cmegroup.com/fix/coo. Market Regulation requires only the submission of the two first characters of tag 9537-Location for all countries with the exception of Canada. For Canada, the 5 bytes including the province code must be submitted. Note: this field is optional for EBS Market and eFIX Matching Service instruments. | |
| 102 | CxlRejReason | uInt16 | 2 | Y | Code to identify reason for order rejection. See BrokerTec Reject Codes for BrokerTec Markets. See EBS Reject Codes for EBS Market | |
| 5904 | DelayDuration | uInt16NULL | 2 | N | Not currently being used. | |
| 39 | OrdStatus | OrdStatusCxrRej | 0 | Y |
| Identifies status of modification reject. Constant value. |
| 434 | CxlRejResponseTo | CxrRejRsp | 0 | Y |
| Identifies the type of request that a Cancel Reject is in response to. Constant value. |
| 1028 | ManualOrderIndicator | ManualOrdIndReq | 1 | Y |
| Indicates if the message was initially received manually. |
| 9765 | PossRetransFlag | BooleanFlag | 1 | Y |
| Flags message as possible retransmission or duplicate Indicates if message is an original transmission or duplicate in response to Retransmission Request or possible duplicate Used when original messages are interleaved with Retransmission responses Possible duplicate means the same message may have been sent again with different sequence number |
| 9553 | SplitMsg | SplitMsg | 1 | N |
| Indicates if a message was delayed as a result of:
If absent then the message was not delayed, split, or received out of order. |
| 9373 | LiquidityFlag | BooleanNULL | 1 | N |
| Indicates if an order was submitted for market making obligation as required for MIFID. Applicable only for EU BrokerTec and EBS MiFID. |
| 7552 | DelayToTime | uInt64NULL | 8 | 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 60-TransactTime will represent original received time of in-flight message. |