Canceling Orders with Multiple ComponentsThe List Cancel Request message (MsgType=K) is used by the T4 FIX API to electronically cancel (i.e. pull) all components of contingent (Batch) orders (e.g. OCO, AutoOCO, Spark). The constituent order components must be in the working or suspended (held) state to result in a successful cancellation.
This message is used for all CTS strategy types including outright futures, futures options, spreads and multileg strategies.
Identifying the Order to be CanceledFor list cancellations, multiple-component orders can only be identified with the (client-side) ListID identifier (Tag 66).
Important ConsiderationsMalformed List cancel requests (including missing required tags, empty tags, invalid tag value range, etc.) will be rejected with a FIX Session
Reject message. All other rejections will be indicated with the
Cancel Reject message.
Please note that
all order routing including the submission of list 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.
Batch 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 the
Order Cancel Request. To cancel all components (as the List Cancel Request message does), the
Order Cancel Request must be submitted for a working component of the batch.
Message Dictionary
| Tag | Field Name | Req'd | Comments |
|---|
| Standard Header | Y | MsgType = K |
| 66 | ListID | Y | Unique Identifier for the all components of the Order List. |
| 60 | TransactTime | Y | Time this cancel request was requested for. Specified in UTC form. |
| 75 | TradeDate | N | Indicates date of trade (format: YYYYMMDD). Absence of this field indicates current day (expressed in local time at place of trade). |
| 58 | Text | N | Free format text string |
| 354 | EncodedTextLength | N | Byte length of encoded (non-ASCII characters) EncodedText (Tag 355) field. |
| 355 | EncodedText | N | Encoded (non-ASCII characters) representation of the Text (Tag 58) field. |
| 1028 | ManualOrderIndicator | N | Indicates if the order was sent Manually (i.e. order action is immediate from a human). Valid values are: |
| | | Y = Order was entered Manually |
| | | N = Order was entered by an Automated System, Program or Algorithm |
| | Standard Trailer | Y |
Sample MessagesCanceling a Working AutoOCO Order entered through the T4 FIX API
>> 4/26/2013 11:43:37 AM [FIXLISTCANCELREQUEST] 34=2166|49=T4Example|56=test|50=Account1|52=20130426-16:43:37.552|66=fnl-635025734129974450|60=20130426-16:43:37.552|
[FIXLISTCANCELREQUEST]
[MsgSeqNum] 34 = 2166
[SenderCompID] 49 = T4Example
[TargetCompID] 56 = test
[SenderSubID] 50 = Account1
[SendingTime] 52 = 20130426-16:43:37.552
[ListID] 66 = fnl-635025734129974450
[TransactTime] 60 = 20130426-16:43:37.552
<< 4/26/2013 11:43:37 AM [fixexecutionreport] 34=144588|49=T4|56=T4Example|50=T4FIX|52=20130426-16:43:37.568|143=US,IL|1=Account1|11=auto-2-635025734129974450|66=fnl-635025734129974450|17=0..018.2.F4B7C503|150=4|37=F4B7C503-A5F1-4943-971B-00E9867622C1|39=4|48=CME_20130600_ESM3|55=ES|207=CME_Eq|200=201306|59=0|107=E-mini S&P 500 Jun13|54=2|167=FUT|38=0|40=2|44=-50|21=1|204=0|1385=2|10101=157800|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 144588
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-16:43:37.568
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-2-635025734129974450
[ListID] 66 = fnl-635025734129974450
[ExecID] 17 = 0..018.2.F4B7C503
[ExecType] 150 = 4 (CANCELED)
[OrderID] 37 = F4B7C503-A5F1-4943-971B-00E9867622C1
[OrdStatus] 39 = 4 (CANCELED)
[SecurityID] 48 = CME_20130600_ESM3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201306
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Jun13
[Side] 54 = 2 (SELL)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 0
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = -50
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 157800
<< 4/26/2013 11:43:37 AM [fixexecutionreport] 34=144589|49=T4|56=T4Example|50=T4FIX|52=20130426-16:43:37.583|143=US,IL|1=Account1|11=auto-3-635025734129974450|66=fnl-635025734129974450|17=0..018.2.3ED43239|150=4|37=3ED43239-67AB-4F82-8D3D-ACD22DA9C3E5|39=4|48=CME_20130600_ESM3|55=ES|207=CME_Eq|200=201306|59=0|107=E-mini S&P 500 Jun13|54=2|167=FUT|38=0|40=3|99=75|21=1|204=0|1385=2|10101=157800|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 144589
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-16:43:37.583
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-3-635025734129974450
[ListID] 66 = fnl-635025734129974450
[ExecID] 17 = 0..018.2.3ED43239
[ExecType] 150 = 4 (CANCELED)
[OrderID] 37 = 3ED43239-67AB-4F82-8D3D-ACD22DA9C3E5
[OrdStatus] 39 = 4 (CANCELED)
[SecurityID] 48 = CME_20130600_ESM3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201306
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Jun13
[Side] 54 = 2 (SELL)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 0
[OrdType] 40 = 3 (STOP)
[StopPx] 99 = 75
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 157800
<< 4/26/2013 11:43:37 AM [fixexecutionreport] 34=144590|49=T4|56=T4Example|50=T4FIX|52=20130426-16:43:37.583|143=US,IL|1=Account1|11=auto-1-635025734129974450|66=fnl-635025734129974450|17=48342.6447004098_ESM3.63502573419860000018.2.BAA9E40D|150=4|37=BAA9E40D-86CE-45B1-B3B8-FFE288F5FD88|39=4|48=CME_20130600_ESM3|55=ES|207=CME_Eq|200=201306|59=0|107=E-mini S&P 500 Jun13|54=1|167=FUT|38=1|40=2|44=157800|60=20130426-16:43:39.860|21=1|204=0|1385=2|10101=157800|
[FIXEXECUTIONREPORT]
[MsgSeqNum] 34 = 144590
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130426-16:43:37.583
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = auto-1-635025734129974450
[ListID] 66 = fnl-635025734129974450
[ExecID] 17 = 48342.6447004098_ESM3.63502573419860000018.2.BAA9E40D
[ExecType] 150 = 4 (CANCELED)
[OrderID] 37 = BAA9E40D-86CE-45B1-B3B8-FFE288F5FD88
[OrdStatus] 39 = 4 (CANCELED)
[SecurityID] 48 = CME_20130600_ESM3
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201306
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Jun13
[Side] 54 = 1 (BUY)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 157800
[TransactTime] 60 = 20130426-16:43:39.860
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[ContingencyType] 1385 = 2 (AUTO_OCO)
[TriggerPrice] 10101 = 157800
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