TT® FIX

Order Cancel Request (F) Message

Purpose

Used to cancel an order

Message Direction

From FIX client to TT FIX

Supported Tags

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

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

The value remains constant for the life of an order.

Condition: Required when the message does not contain Tag 41 (OrigClOrdID)

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.

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

Original order ID. Equal to the current value of Tag 11 (ClOrdID) of the order that this message modifies.

Note: Tag 11 (ClOrdID) of an order can change over time.

1028 ManualOrderIndicator N char

Whether the order is sent manually or through automated trading logic.

Possible values include:

  • Y: Manual
  • N: Automated
Component Block: <Trader> Y

Information about the trader routing the order

376 ComplianceId C string

New tag for TT

ID used to represent this transaction for compliance purposes

ID representing the algorithm associated with the order, for compliance purposes

FIX Adapter will continue to echo the Compliance ID in 376 for backward compatibility with pre-MIFID Eurex gateways. If the FIX client sends tag 376 on a new order, the value will not be copied into the MIFID Algo ID field. We're assuming if the client sends tag 376, they are still connecting to a legacy Eurex GW so it will be communicated in the pre-MIFID implemention.

MIFID alogrithm IDs must be sent / received using the Parties repeating group with 2376=22 (algorithm).

Condition: Required when tag 1028=N and the associated exchange requires the tag

60 TransactTime N UTCTimestamp

Time, in UTC, that the FIX Client submitted the message

For MiFID II markets, the time will require 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
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
528 OrderCapacity C char

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

Possible values include:

  • A: Agency (maps to [AOTC])
  • G: Proprietary (maps to [AOTC])
  • I: Individual (maps to [AOTC])
  • P: Principal (maps to [DEAL])
  • R: Riskless Principal (maps to [MTCH])
  • W: Agent for Other Member (maps to [AOTC])

Condition: Required for exchanges subject to MiFID II regulations.

1724 OrderOrigination C int

Identifies the origin of the order. whether the order was received from a customer of the firm, originated by the firm, or whether the order was received from another broker-dealer. The value corresponds to the Direct Electronic Access setting for Customer Defaults in Setup.

Valid values include:

  • 5: Order from a direct access or sponsored access customer
  • 99: Other

Condition: Required for exchanges subject to MiFID II regulations.

16566 DropCopyOrder C char

Indicates the message is a drop copy order message (35=D,F or G) or a pending execution report (35=8, 150=6, A or E). This tag is generated by TT FIX to provide a complete audit trail for the order.

Condition: Sent only for Drop Copy FIX Adapter sessions with the Compliance Fee (Send original order/cancle/change messsages and pending execution reports) option is enabled in Setup. When sent, the value of this tag will always be Y.

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

Component Block: <PartiesGrp> Y

Entities involved in the financial transaction associated with this FIX message

Component Block <Standard Trailer> Y

Message Notes

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

Notes for 7.X TT FIX Adapter Developers

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

  • Account [1]
  • ClearingAccount [440]
  • CustomerOrFirm [375]
  • FFT2 [16102]
  • FFT3 [16103]
  • OrderOriginationID [16142]