Trade Cancel or Correct Message Fields
Used to relay a trade which has been cancelled (busted) or corrected (price or size change only). The CorrectedPrice and optional CorrectedSize fields will be set to 0 for cancelled trades and to the new trade price and/or size for corrected trades. Trade Cancel or Correct messages can be sent for same day as well as previous day trades.
Trade cancels or corrections to complex instruments will result in individual Trade Cancel or Correct messages being sent for each leg. No cancels or corrections will be sent for complex instruments.
Permitted return bitfields are described in Trade Cancel or Correct.
| 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 | 0x2D |
| MatchingUnit | 5 | 1 | Binary |
|
| SequenceNumber | 6 | 4 | Binary | The sequence number for this message. Distinct per matching unit. |
| TransactionTime | 10 | 8 | DateTime | The time the event occurred in the Cboe Matching Engine (not the time the message was sent). |
| ClOrdID | 18 | 20 | Text | ClOrdID of the order whose fill is being cancelled or corrected. |
| OrderID | 38 | 8 | Binary |
|
| ExecRefID | 46 | 8 | Binary |
|
| Side | 54 | 1 | Alphanumeric | Side of the order. |
| BaseLiquidity Indicator | 55 | 1 | Alphanumeric |
|
| ClearingFirm | 56 | 4 | Alpha | Echoed back from the original order. |
| ClearingAccount | 60 | 4 | Text | Echoed back from the original order. |
| LastShares | 64 | 4 | Binary | Number of shares of the trade being cancelled. |
| LastPx | 68 | 8 | Binary Price |
|
| CorrectedPrice | 76 | 8 | Binary Price |
|
| OrigTime | 84 | 8 | DateTime |
|
| ReservedInternal | 92 | 1 | Binary | Reserved for Cboe internal use. |
| NumberOfReturnBitfields | 93 | 1 | Binary | Number of bitfields to follow. |
| ReturnBitfield¹ | 94 | 1 | Binary | Bitfield identifying fields to return. |
| … | ||||
| ReturnBitfieldᶯ | 1 | Binary | Last bitfield. | |
| Optional fields. . . |
| Field Name | Hexadecimal | Notes |
|---|---|---|
| StartOfMessage | BA BA | Start of message bytes. |
| MessageLength | 76 00 | 118 bytes |
| MessageType | 2D | Trade Cancel or Correct |
| 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 |
| ClOrdID | 41 42 43 31 32 33 00 00 00 00
00 00 00 00 00 00 00 00 00 00 | ABC123 |
| OrderID | 05 10 1E B7 5E 39 2F 02 | 171WC1000005 (base 36) |
| ExecRefID | 01 F0 B7 D9 71 21 00 00 | D19800001 (base 36) |
| Side | 31 | Buy |
| BaseLiquidity Indicator | 41 | A=Added |
| ClearingFirm | 54 45 53 54 | TEST |
| ClearingAccount | 00 00 00 00 | (empty) |
| LastShares | 64 00 00 00 | 100 contracts |
| LastPx | 70 17 00 00 00 00 00 00 | 0.60 |
| CorrectedPrice | 00 00 00 00 00 00 00 00 | 0 (cancelled) |
| OrigTime | E0 BA 75 95 15 4C EB 11 | 1,291,209,373,757,324,000 |
| ReservedInternal | 00 | Ignore |
| NumberOfReturn Bitfields | 04 | Four bitfields to follow |
| ReturnBitfield1 | 00 | No fields from byte 1 |
| ReturnBitfield2 | 01 | Symbol |
| ReturnBitfield3 | 00 | No fields from byte 3 |
| ReturnBitfield4 | 17 | MaturityDate, StrikePrice, PutOrCall, OpenClose |
| Symbol | 30 30 51 30 6B 41 00 00 | 00Q0kA |
| MaturityDate | EF DB 32 01 | 2011-03-19 |
| StrikePrice | 98 AB 02 00 00 00 00 00 | 17.50 |
| PutOrCall | 31 | 1=Call |
| OpenClose | 4F | O=Open |