TT® FIX

Order Cancel Reject (9) Message

Purpose

Used to reject an order cancel or cancel/replace request

Message Direction

From TT FIX to FIX client

Supported Tags

Tag # Field Name Req’d Data type Comments
Component Block <Standard Header> Y 35=9 (MsgType)
37 OrderID Y String

Internal TT order key assigned to all orders submitted through any TT software

The value remains constant for the life of an order. In the following situations, the tag contains a value other than an internal key.

For messages where the order is unknown, TT FIX returns the string NONE.

11 ClOrdID Y String

Client order identifier specified by the FIX Client; included in Tag 11 (ClOrdID) of the initial message

41 OrigClOrdID Y String

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

198 SecondaryOrderID N String

Unique identifier for the order, as assigned by the exchange.

Note: The value can vary over time for the same order.

10011 TTClOrdID C String

New tag for TT

Internal unique id across TT system

Condition: Sent when available

39 OrdStatus Y char

Status of the order

Possible values include:

  • 0: New
  • 1: Partially filled
  • 2: Filled
  • 4: Cancelled
  • 5: Replaced
  • 6: Cancel pending
  • 8: Rejected
  • 9: Suspended (Held)
  • A: Pending new
  • C: Expired
  • E: Pending replace

Note: If more than one of these values applies, TT FIX sends the value required by the FIX 4.2 specification.

60 TransactTime Y UTCTimestamp

Time, in UTC, the transaction occurred

For MiFID II markets, the time will use microsecond precision; otherwise, the time uses millisecond precision. For exampe:

  • Millisecond precision: 60=20170509-22:34:56.881
  • Millisecond precision: 60=20170509-22:34:56.881321

Note: Some Exchanges might send milliseconds or microseconds in certain circumstances, in the form: YYYYMMDD-HH:MM:SS.sss or YYYYMMDD-HH:MM:SS.ssssss. TT recommends that you allocate enough memory to handle the longer timestamp should an Exchange send it.

434 CxlRejResponseTo Y int

Type of rejected message

Possible values include:

  • 1: Reject is for an Order Cancel Request (F)
  • 2: Reject is for an Order Cancel Replace Request (G)
102 CxlRejReason Y int

Reason for rejecting the cancel request

Possible values include:

  • 0: Too Late to Cancel
  • 1: Unknown Order
  • 2: Broker Option
  • 3: Action Already Pending
  • 4: Unable to process Order Mass Cancel Request
  • 5: OrigOrdModTime (586) did not match last TransactTime (60) of order
  • 6: Duplicate ClOrdID (11) received
  • 7: Price exceeds current price
  • 8: Price exceeds current price band
  • 9: Trade Along Required
  • 10: Invalid Investor Id
  • 11: Unsupported Order Characteristic
  • 12: Surveillence Option
  • 13: Incorrect Quantity
  • 14: Incorrect Allocated Quantity
  • 15: Unknown Account
  • 16: Price Exceeds Current Price Band
  • 18: Invalid Price Increment
  • 19: Message Pending
  • 20: Routing Error
  • 99: Other
  • 1003: Market Closed
  • 1007: Fix Field Missing Or Incorrect
  • 1010: Required Field Missing
  • 1011: Fix Field Incorrect
  • 1012: Price Must Be Greater Than Zero
  • 1013: Invalid Order Qualifier
  • 1014: User Not Authorized
  • 2013: Market Orders Not Supported By Opposite
  • 2019: Invalid Expire Date
  • 2044: Order Not In Book
  • 2045: Order Not In Book2
  • 2046: Disclosed Qty Cannot Be Greater
  • 2047: Unknown Contract
  • 2048: Cancel With Different Sender Comp Id
  • 2049: Clordid Different Than Correlationclordid
  • 2050: Clordid Different Than Originalclordid
  • 2051: Different Side
  • 2052: Different Group
  • 2053: Different Security Type
  • 2054: Different Account
  • 2055: Different Qty
  • 2056: Cancel With Different Trader Id
  • 2058: Stop Price Must Be Greater
  • 2059: Stop Price Must Be Smaller
  • 2060: Sell Stop Price Must Be Below Ltp
  • 2061: Buy Stop Price Must Be Above Ltp
  • 2100: Different Product
  • 2101: Different Inflight Fill Mitigation
  • 2102: Modify With Different Sender Comp Id
  • 2103: Modify With Different Trader Id
  • 2115: Order Qty Outside Allowable Range
  • 2130: Invalid Order Type For Pcp
  • 2137: Order Price Outside Limits
  • 2179: Order Price Outside Bands
  • 2311: Invalid Order Type For Group
  • 2500: Instrument Cross Request In Progress
  • 2501: Order Qty Too Low
  • 7000: Order Rejected
  • 7024: Market In No Cancel
  • 7027: Invalid Order Type For Reserved Market
  • 7028: Order Session Date In Past
  • 7613: Disclosed Qty Cannot Be Smaller
  • 2600: Market Maker Protection Has Tripped
  • 4000: Engine Did Not Respond
  • 7001: Contract Not Gtc Gtd Eligible
  • 7009: Contract Past Expiration
  • 7011: Max Contract Working Qty Exceeded
  • 7015: Modify With Different Side
  • 7018: Contract Not Gtc Gtd Eligible2
  • 7020: No Trading Calendar For Expire Date
  • 7021: Expire Date Beyond Instrument Expiration
  • 7022: Expire Date Beyond Leg Instrument Expiration
  • 9999: Technical Error Function Not Performed
18222 AOTCPreventionActionType N int

New tag for TT

Indicates the prevention action specified for internal crossing orders

Possible values include:

  • 0: None
  • 1: Held
  • 2: Cancel
  • 3: Fill
  • 4: Reduced order
  • 5: Reduced change
  • 6: Released order
  • 7: Replaced order
  • 8: No action on order
  • 9: Cancel replace
Component Block: <Trader> Y

Information about the trader routing the order

58 Text C String

Additional information about the message

Condition: Sent with TT FIX needs to provide additional information

21 HandlInst C int

Order handling instructions.

Possible values include:

  • 1: Automated execution order, private, no broker intervention
  • 2: Automated execution order, public, broker intervention OK
  • 3: Staged order, broker intervention required

Condition: Required when submitting a staged order

16106 StagedOrderMsg N string, 256 character maximum

Message text associated with the staged order.

Typically used to provide additional information to the broker responsible for managing the order.

Note: Sent only for staged orders (Tag 21 (HandlInst)=3)

16111 StagedRoutingLevel C char

Indicator of who can work the staged order.

Possible values include:

  • B: Broker
  • I: Internal

Condition: Sent for staged orders (Tag 21 (HandlInst)=3)

16110 StagedOrderOwner C String

ID of the trader working the staged order.

Condition: Sent for staged orders (Tag 21 (HandlInst)=3)

21 StagedOrderStatus C char

Claim status of the staged order

Possible values include:

  • A: Staged order is available to claim
  • O: Staged order has been claimed

Condition: Sent for staged orders (Tag 21 (HandlInst)=3)

16115 ExternalSource N Boolean

Whether this message was imported from an external source.

16116 OrderIDGUID C int

TT order ID

This tag is populated with the regular TT order ID when a shortened ID is sent in tag 37 (OrderID).

Condition: Sent only when the Send and receive Order ID values in short form setting is enabled for the FIX session in the Setup application.

16999 ClearingAccountOverride N String

Overrides the clearing account defined in the Setup application for the user's account named in Tag 1.

16558 TextTT N String Value corresponding to the Text TT field in TT widgets
Component: <StrategyParametersGrp> C

Strategy parameter repeating group for TT Order types, user-defined ADL algos, third-party algos, or informational fields

Condition: Sent for rejections associated with these types of orders.

Component Block <Standard Trailer> Y

Message Notes

The Order Cancel Reject (9) message is used by TT FIX to reject an Order Cancel Request (F) or Order Cancel Replace Request (G) message.

Notes for 7.X TT FIX Adapter Developers

The following Order Cancel Reject (9) message tags from TT FIX Adapter 7.X are deprecated in TT FIX:

  • TTUsername [10553]
  • UserTag [16104]