Quote Cancelled Message Fields
A Quote Cancelled message will be sent to indicate an unsolicited cancellation of a quote entered with a Quote Update or Complex Quote Update message. An unsolicited cancellation is used, for example, when a resting quote is cancelled due to MTP with an inbound order or quotes are being cancelled due to a risk trip.
This message may be expanded in length in the future with new fields added to the end. To maintain forward compatibility, be prepared to receive a message longer than the documented length and to gracefully ignore those extra fields.
| Field | Offset | Length | Data Type | Description |
|---|---|---|---|---|
| StartOfMessage | 0 | 2 | Binary | Must be 0xBA 0xBA. |
| MessageLength | 2 | 2 | Binary | Number of bytes for the message, including this field but not including the two bytes for the StartOfMessage field. |
| MessageType | 4 | 1 | Binary | 0x53 |
| MatchingUnit | 5 | 1 | Binary | Unsequenced application message. MatchingUnit will be set to 0. |
| SequenceNumber | 6 | 4 | Binary | Unsequenced application message. SequenceNumber will be set to 0. |
| TransactionTime | 10 | 8 | DateTime | The time the event occurred in the Cboe Matching Engine (not the time the message was sent). |
| QuoteUpdateID | 18 | 16 | Text | Echoed back from the most recent Quote Update or Complex Quote Update request for this quote. |
| OrderID | 34 | 8 | Binary | Order ID assigned by the matching engine |
| Symbol | 42 | 6 | Alphanumeric | Cboe native identifier |
| Side | 48 | 1 | Alphanumeric |
|
| CancelReason | 49 | 1 | Text |
|
| CancelSubreason | 50 | 1 | Text |
|
| Field Name | Hexadecimal | Notes |
|---|---|---|
| StartOfMessage | BA BA | Start of message bytes. |
| MessageLength | 31 00 | 49 bytes |
| MessageType | 53 | Quote Cancelled |
| MatchingUnit | 03 | Matching Unit 3 |
| SequenceNumber | 64 00 00 00 | Sequence number 100 |
| TransactionTime | E0 FA 20 F7 36 71 F8 11 | 1,294,909,373,757,324,000 |
| QuoteUpdateID | 41 42 43 31 32 33 00 00 00 00 00 00 00 00 00 00 | ABC123 |
| OrderID | 05 10 1E B7 5E 39 2F 02 | 171WC1000005 (base 36) |
| Symbol | 30 30 36 69 70 41 | 006ipA |
| Side | 32 | 2 = Sell |
| CancelReason | 55 | U = User |
| CancelSubreason | 42 | B = Purge/mass cancel symbol level by user |