FIX Adapter Reference

Order Cancel Request (F)

Purpose

Used to cancel an order

Message Direction

From FIX client to TT FIX Adapter

Message Availability

Use Case Price Session Order Session

Drop Copy

No No

Order Routing

No Yes

Supported Tags

\
Tag # Field Name Req’d Comments
Component Block <Standard Header> Y 35=F (MsgType)
11 ClOrdID

Y

New ID for the canceled order. This value must be unique since the last TT FIX Adapter reset.

Data type: string

37 OrderID

C

Internal TT order key assigned to all orders submitted through any TT software. The value remains constant for the life of an order.

Data type: String

Condition: Must include either Tag 37 (OrderID) or Tag 41 (OrigClOrdID)

41 OrigClOrdID

C

Previous order ID. Equal to Tag 11 (ClOrdID) of the original message.

Data type: String

Condition: Required when the message does not contain Tag 37 (OrderID).

Note: Tag 11 (ClOrdID) of an order can change over time. Tag 41 (OrigClOrdID) must match the current value of Tag 11 (ClOrdID).

11028 ManualOrderIndicator

N

Whether the order is sent manually or through automated trading logic. Valid values include:

  • Y: Manual
  • N: Automated

Data type: Char

16142 OrderOriginationID

n

Order originator's location

Data type: String

Note: TT FIX Adapter forwards this tag only to TT CME ateways 7.14.3 and above.

Additional Information:

If you provide this tag, TT FIX Adapter sends the value to the TT Gateway. Otherwise, TT FIX Adapter tries to populate the value from the information stored in TT User Setup for this FIX client User. If the value still cannot be determined, TT FIX Adapter does not send the tag.

For more information about valid values, refer to the TT CME help.

The following tags are supported only for exchanges subject to the MIFID II regulations.
528

OrderCapacity

C

Designates the capacity of the firm placing the order. The value corresponds to the Trading Capacity setting for Customer Defaults in Setup.

Valid values include:

  • A: Agency (maps to AOTC)
  • P: Principal (maps to DEAL)
  • R: Riskless Principal (maps to MATCH)

Data type: char

Condition: Required for exchanges subject to MiFID II regulations.

16566 DropCopyOrder C

Indicates the message is a drop copy order message or a pending execution report 35=8, 150=6, A or E). This tag is generated by TT FIX Adapter to provide a complete audit trail for the order, as required by the MiFID II regulations.

Data type: char

Condition: Sent only for Drop Copy FIX Adapter sessions on exchanages the are subject to MiFID II regulatations. When sent, the value of this tag will always be Y.

Note: FIX clients should not send this tag for incoming messages.

16901 FFT4 C

Free form text field that can be used to supply certain exchange-specific data.

Data type: String

Condition: Required only for specific MiFID II exchanges identified by TT; ignored for all others.

16902 FFT5 N

Free form text field for user-defined data that travels with order and execution messages but is not sent to the exchange.

Data type: String

16903 FFT6 N

Free form text field for user-defined data that travels with order and execution messages but is not sent to the exchange.

Data type: String

Group: OrderAttributesGrp Y

For tags to include in the OrderAttributesGrp and any restrictions in their use, refer to Group: OrderAttributesGrp

Group: PartiesGrp Y

For tags to include in the PartiesGrp and any restrictions in their use, refer to Group: PartiesGrp

Component Block <Standard Trailer>

Y

Message Notes

The Order Cancel Request (F) message is used by FIX client to cancel an existing order in the market.

Related Information

Order Cancel Reject (9)

Order Cancel/Replace Request (G)