List Cancel Request

Modified on 2016/04/07 18:39 by ernestoaparcedo — Categorized as: Uncategorized

Canceling Orders with Multiple Components

The 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 Canceled

For list cancellations, multiple-component orders can only be identified with the (client-side) ListID identifier (Tag 66).

Important Considerations

Malformed 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 Messages

Canceling 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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