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Trade Cancel or Correct Message Fields

Used to relay a trade which has been cancelled (busted) or corrected (price change only). The CorrectedPrice field will be set to 0 for cancelled trades and to the new trade price for corrected trades. Trade Cancel or Correct messages can be sent for same day as well as previous day trades.

Permitted return bitfields are described in Trade Cancel or Correct.

Table 1. Trade Cancel or Correct Message Fields
FieldOffsetLengthData TypeDescription
StartOfMessage02BinaryMust be 0xBA 0xBA.
MessageLength22BinaryNumber of bytes for the message, including this field but not including the two bytes for the StartOfMessage field.
MessageType41Binary0x2D
MatchingUnit51BinaryThe matching unit which created this message. Matching units in BOE correspond to matching units on Multicast PITCH.
SequenceNumber64BinaryThe sequence number for this message. Distinct per matching unit.
TransactionTime108DateTimeThe time the event occurred in the Cboe Matching Engine (not the time the message was sent).
ClOrdID1820TextClOrdID of the order whose fill is being cancelled or corrected.
OrderID388Binary
  • Corresponds to OrderID (37) in Cboe FIX.
  • Order whose fill is being cancelled or corrected.
ExecRefID468Binary
  • Corresponds to ExecRefID (19) in Cboe FIX.
  • Refers to the ExecID of the fill being cancelled or corrected.
Side541AlphanumericSide of the order.
BaseLiquidity Indicator551Alphanumeric
  • Indicates whether the trade added or removed liquidity.
  • A=Added Liquidity
  • R=Removed Liquidity
  • X=Routed to Another Market
  • C=Auction/Uncrossing
  • W=Waiting for execution at pre-market time as dictated by TimeInForce value and 'Hold Early to 7am' port setting. Only applied on the initial order acknowledgment.
ClearingFirm564AlphaEchoed back from the original order.
ClearingAccount604TextEchoed back from the original order.
LastShares644BinaryNumber of shares of the trade being cancelled.
LastPx688Binary Price
  • Price of the trade being cancelled.
  • Note the use of Binary Price type to represent positive and negative prices, which can occur with complex instruments.
CorrectedPrice768Binary Price
  • For trade corrections, this is the new trade price.
  • For trade breaks, this is set to 0.
OrigTime848DateTime
  • Corresponds to OrigTime (42).
  • The date and time of the original trade, in GMT.
ReservedInternal921BinaryReserved for Cboe internal use.
  • NumberOfReturn
  • Bitfields
931BinaryNumber of bitfields to follow.
ReturnBitfield¹941BinaryBitfield identifying fields to return.
…
ReturnBitfieldᶯ1BinaryLast bitfield.
Optional fields. . .
Table 2. Trade Cancel or Correct Message Example
Field NameHexadecimalNotes
StartOfMessageBA BAStart of message bytes.
MessageLength66 00102 bytes
MessageType2DTrade Cancel or Correct
MatchingUnit03Matching Unit 3
SequenceNumber64 00 00 00Sequence number 100
TransactionTimeE0 FA 20 F7 36 71 F8 111,294,909,373,757,324,000
ClOrdID41 42 43 31 32 33 00 00 00 00 00 00 00 00 00 00 00 00 00 00ABC123
OrderID05 10 1E B7 5E 39 2F 02171WC1000005 (base 36)
ExecRefID01 F0 B7 D9 71 21 00 00D19800001 (base 36)
Side31Buy
BaseLiquidity Indicator41A=Added
ClearingFirm54 45 53 54TEST
ClearingAccount00 00 00 00(empty)
LastSharesC4 09 00 002,500 shares
LastPx5C 13 04 00 00 00 00 00$26.71
CorrectedPrice00 00 00 00 00 00 00 000 (cancelled)
OrigTimeE0 BA 75 95 15 4C EB 111,291,209,373,757,324,000
ReservedInternal00Ignore
NumberOfReturn Bitfields022 bitfields to follow
ReturnBitfield100No fields from byte 1
ReturnBitfield201Symbol
Symbol4D 53 46 54 00 00 00 00MSFT
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