Page History: Order Cancel Request
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Page Revision: 2013/02/28 13:45
Canceling Working OrdersThe Order Cancel Request message (MsgType=F) is used by the T4 FIX API to electronically cancel (i.e. pull) working orders. This message is used for all CTS strategy types including outright futures, futures options, spreads and multileg strategies. The instrument for which the cancel-request is submitted is identified with the following tags: Tag 48 (SecurityID), Tag 55 (Symbol) and Tag 207 (SecurityExchange). In addition to full market specification, all cancel requests must be uniquely identified with a verbose (>12 characters) Client Order Id (Tag 11).
Identifying the Order to be CanceledWorking Orders to be canceled can be identified with the working order (client-side) identifier or the (T4 FIX API generated) order identifier. For the cancel-request message, the OrigClOrdId (Tag 41) and the OrderId (Tag 37) are the corresponding required fields. Working orders that have experienced previous rejections can subsequently be canceled with OrderId or by using the ClOrdId of the rejection.
Orders submitted outside the T4 FIX API (e.g. with the CTS T4 Front-End and/or custom T4 API application) can only be canceled with OrderId (Tag 37). In this case, as OrigOrdClId is undetermined but is a required tag for the cancel request, the OrigOrdClId (Tag 41) is set to the value of the OrderId (Tag 37). To cover all scenarios, it is recommended that both OrigClOrdId (Tag 41) and OrderId (Tag 37) be specified for all cancel requests.
Important ConsiderationsMalformed cancel requests (including missing required tags, empty tags, invalid tag value range, etc.) will be rejected with a FIX Session
Reject message.
Please note that
all order routing including the submission of cancel requests must be preceded by a sucessful subscription to the account the request is submitted for. Please refer to the
Collateral Inquiry message on how to subscribe to customer accounts.
Contingent (multiple-component) orders like OCO's and AutoOCO's are atomically canceled if any of its components are canceled.
Message Dictionary
| Tag | Field Name | Req'd | Comments |
|---|
| Standard Header | Y | MsgType = F |
| 1 | Account | N | Account for which the cancel request is submitted. |
| 11 | ClOrdID | Y | (Client-Side) identifier for this cancel request. Must be unique. |
| 41 | OrigClOrdID | Y | (Client-Side) ClOrdID of the target working order. (NOT the initial order of the chain). |
| 37 | OrderId | N | Unique identifier (as assigned by T4 servers) of the target working order. OrderId uniqueness is guaranteed across all trading sessions regardless of order origin. |
| 48 | SecurityID | Y | Security identifier. This is the T4 Market ID. |
| 55 | Symbol | Y | Symbol. This is the T4 Contract ID. |
| 207 | SecurityExchange | Y | Exchange at which the security trades. This is the T4 Exchange ID. |
| 167 | SecurityType | N | Instrument type. Futures="FUT", Options="OPT", Stock="STK", Synthetic="SYN", Binary Option="BIN" |
| 54 | Side | Y | Side of the market. Valid values are: |
| | | 0 = None (used for Flatten orders) |
| | | 1 = Buy |
| | | 2 = Sell |
| 38 | OrderQty | N | The number of contracts to be canceled. For partially filled orders, this value reflects the working order's original Quantity (OrderQty) and not its remaining (unfilled) quantity. |
| 60 | TransactTime | Y | Time this cancel request was requested for. Specified in UTC form. |
| 58 | Text | N | Free form Text. |
| 109 | CliendID | N | Firm identification for third-party transactions |
| 107 | SecurityDesc | N | Description of the specified Security ID (Tag 48) |
| | Standard Trailer | Y |
Sample MessagesCanceling a Working Order entered through the T4 FIX API
[FIXCANCEL] 34=290|49=T4Example|56=T4|50=TraderName|52=20121212-20:27:03.637|1=Account1|11=fc-634909192236370301|37=FA657BC9-A1D2-4644-B558-A1155C731DA4|41=fr-634909107579297721|48=CME_20121200_ESZ2|54=1|55=ES|207=CME_Eq|60=20121212-20:27:03.637|167=FUT|
[MsgSeqNum] 34 = 290
[SenderCompID] 49 = T4Example
[TargetCompID] 56 = T4
[SenderSubID] 50 = TraderName
[SendingTime] 52 = 20121212-20:27:03.637
[Account] 1 = Account1
[ClOrdID] 11 = fc-634909192236370301
[OrderID] 37 = FA657BC9-A1D2-4644-B558-A1155C731DA4
[OrigClOrdID] 41 = fr-634909107579297721
[SecurityID] 48 = CME_20121200_ESZ2
[Side] 54 = 1 (BUY)
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[TransactTime] 60 = 20121212-20:27:03.637
[SecurityType] 167 = FUT (FUTURE)
[fixexecutionreport] 34=648|49=T4|56=T4Example|50=T4FIX|52=20121212-20:27:03.715|143=US,IL|1=Account1|11=fc-634909192236370301|41=fr-634909107579297721|17=48202.71332626389_ESZ2.63490919244745000018.2.FA657BC9|150=4|37=FA657BC9-A1D2-4644-B558-A1155C731DA4|39=4|48=CME_20121200_ESZ2|55=ES|207=CME_Eq|200=201212|59=0|107=E-mini S&P 500 Dec12|54=1|167=FUT|38=1|40=2|44=143075|60=20121212-20:27:24.745|
[MsgSeqNum] 34 = 648
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20121212-20:27:03.715
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = fc-634909192236370301
[OrigClOrdID] 41 = fr-634909107579297721
[ExecID] 17 = 48202.71332626389_ESZ2.63490919244745000018.2.FA657BC9
[ExecType] 150 = 4 (CANCELED)
[OrderID] 37 = FA657BC9-A1D2-4644-B558-A1155C731DA4
[OrdStatus] 39 = 4 (CANCELED)
[SecurityID] 48 = CME_20121200_ESZ2
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201212
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Dec12
[Side] 54 = 1 (BUY)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 143075
[TransactTime] 60 = 20121212-20:27:24.745
Canceling a Working Order entered through the CTS Front-end
[FIXCANCEL] 34=309|49=T4Example|56=T4|50=TraderName|52=20121212-20:33:42.046|1=Account1|11=fc-634909196220461298|37=4C3DFFB6-04CC-4B1F-8152-0EC58C9E5653|41=4C3DFFB6-04CC-4B1F-8152-0EC58C9E5653|48=CME_20121200_ESZ2|54=2|55=ES|207=CME_Eq|60=20121212-20:33:42.046|167=FUT|
[MsgSeqNum] 34 = 309
[SenderCompID] 49 = T4Example
[TargetCompID] 56 = T4
[SenderSubID] 50 = TraderName
[SendingTime] 52 = 20121212-20:33:42.046
[Account] 1 = Account1
[ClOrdID] 11 = fc-634909196220461298
[OrderID] 37 = 4C3DFFB6-04CC-4B1F-8152-0EC58C9E5653
[OrigClOrdID] 41 = 4C3DFFB6-04CC-4B1F-8152-0EC58C9E5653
[SecurityID] 48 = CME_20121200_ESZ2
[Side] 54 = 2 (SELL)
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[TransactTime] 60 = 20121212-20:33:42.046
[SecurityType] 167 = FUT (FUTURE)
[fixexecutionreport] 34=787|49=T4|56=T4Example|50=T4FIX|52=20121212-20:33:42.092|143=US,IL|1=Account1|11=fc-634909196220461298|17=48212.71332696293_ESZ2.63490919643143000018.2.4C3DFFB6|150=4|37=4C3DFFB6-04CC-4B1F-8152-0EC58C9E5653|39=4|48=CME_20121200_ESZ2|55=ES|207=CME_Eq|200=201212|59=0|107=E-mini S&P 500 Dec12|54=2|167=FUT|38=1|40=2|44=143525|60=20121212-20:34:03.143|
[MsgSeqNum] 34 = 787
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20121212-20:33:42.092
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = fc-634909196220461298
[ExecID] 17 = 48212.71332696293_ESZ2.63490919643143000018.2.4C3DFFB6
[ExecType] 150 = 4 (CANCELED)
[OrderID] 37 = 4C3DFFB6-04CC-4B1F-8152-0EC58C9E5653
[OrdStatus] 39 = 4 (CANCELED)
[SecurityID] 48 = CME_20121200_ESZ2
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201212
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Dec12
[Side] 54 = 2 (SELL)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 143525
[TransactTime] 60 = 20121212-20:34:03.143
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