Order Cancel Request
Canceling Working Orders
The Order Cancel Request message (MsgType=F) is used by the T4 FIX API to electronically cancel (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 * Tag 207 = SecurityExchange
All cancel requests must also be uniquely identified with a verbose Client Order Id (Tag 11) between 12 and 20 characters.
Identifying the Order to be Canceled
Working orders can be identified by:
* OrigClOrdId (Tag 41) – Client-side identifier of the target working order * OrderId (Tag 37) – T4 FIX API-generated unique identifier
Note: Orders with previous rejections can be canceled using either OrderId or the ClOrdId of the rejection.
Orders submitted outside the T4 FIX API (e.g., CTS T4 Front-End) must use OrderId (Tag 37), and OrigClOrdId should be set to the same value.
It is recommended to specify both OrigClOrdId and OrderId for all cancel requests.
Important Considerations
* Malformed cancel requests (missing required tags, empty tags, invalid values) will be rejected with a FIX Session Reject. * All order routing must be preceded by a successful subscription to the account. See Collateral Inquiry for instructions. * Contingent orders like OCO and AutoOCO:
- Canceling a working component cancels all components (working and suspended)
- Canceling a suspended component cancels only that targeted suspended component
Message Dictionary
| Tag | Field Name | Req'd | Comments |
|---|---|---|---|
| Standard Header | Y | MsgType = F | |
| 1 | Account | Y | Account (code) for which the cancel request is submitted |
| 11 | ClOrdID | Y | Client-Side identifier for this cancel request. Max characters: 20 |
| 41 | OrigClOrdID | Y | Client-Side ClOrdID of the target working order. Max characters: 20 |
| 37 | OrderId | Y | T4-generated unique identifier for the target working order |
| 48 | SecurityID | Y | T4 Market ID |
| 55 | Symbol | Y | T4 Contract ID |
| 207 | SecurityExchange | Y | T4 Exchange ID |
| 167 | SecurityType | N | Instrument type: FUT, OPT, STK, SYN, BIN |
| 54 | Side | Y | 0=None (Flatten), 1=Buy, 2=Sell |
| 38 | OrderQty | N | Number of contracts to cancel. Reflects original quantity for partially filled orders |
| 60 | TransactTime | Y | Time cancel request was requested (UTC) |
| 109 | ClientID | N | Firm identification for third-party transactions |
| 107 | SecurityDesc | N | Description of the specified SecurityID (Tag 48) |
| 1028 | ManualOrderIndicator | N | Y=Manual, N=Automated |
| Standard Trailer | Y |
Sample Messages
Canceling 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