Cancel Order Message Fields
Request to cancel either a single order or mass cancellation of a group of orders. Note that this does not apply to open orders across multiple sessions.
A single order cancellation references the ClOrdID from a previous order (OrigClOrdID field). An Order Cancel Request message cannot be used to cancel a single quote, referencing a previous OrderID from a quote will be rejected.
Cancel Order messages for GTC and GTD orders may continue to be issued anytime after the trading session ends. All other order message types received after the market closes will be rejected. See Cancellation of Carried Orders Between Trading Sessions for more details on when orders are allowed to be cancelled following the close of trading.
Mass cancellation of a group of orders can be done with the MassCancelInst optional field.
- Specify the MassCancelInst optional field.
- Specify the ClearingFirm field, optionally the RiskRoot field, and optionally MassCancelId if the Acknowledgement Style is set to S or B.
- Risk lockout is optionally specified using the MassCancelInst field. Effective x/x/x, Mass Cancel messages with Lockout Instruction = L will be rejected.
- EFID values specified in OnBehalfOfCompId that are not allowed to clear for the firm will be rejected.
When specifying the RiskRoot field, using the underlying symbol is strongly recommended. Mass cancellations are always performed at the risk root (underlying) level.
The system limits the rate at which identical Mass Cancel requests can be submitted to the system. Requests are restricted to ten (10) messages per second per port.
An identical Mass Cancel message is defined as a message having all of the same CustomGroupID, Symbol, Clearing Firm, Instrument Type Filter and GTC Order Filter field values, as a previously received message.
All Members that send mass cancellations must include the SendTime field. This is required to ensure that a valid cancellation send time is captured and reported to the CAT.
Permitted input optional fields are described in Cancel Order.
| 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 | 0x39 |
| MatchingUnit | 5 | 1 | Binary | Always 0 for inbound (Member to Cboe) messages. |
| SequenceNumber | 6 | 4 | Binary | The sequence number for this message. |
| OrigClOrdID | 10 | 20 | Text | Corresponds to OrigClOrdID (41) in Cboe FIX. ClOrdID of the order to cancel. For mass cancel requests, must be empty (all zeroes). |
| NumberOf CancelOrder Bitfields | 30 | 1 | Binary | Bitfield identifying bitfields which are set. May be 0. Field values must be appended to the end of the message. |
| CancelOrder Bitfield¹ | 31 | 1 | Binary | Bitfield identifying fields to follow. Only present if NumberOfCancelOrderBitfields is non-zero. |
| … | ||||
| CancelOrder Bitfieldᶯ | 1 | Binary | Last bitfield. | |
| Optional fields. . . |
| Field Name | Hexadecimal | Notes |
|---|---|---|
| StartOfMessage | BA BA | Start of message bytes. |
| MessageLength | 2A 00 | 42 bytes |
| MessageType | 39 | Cancel Order |
| MatchingUnit | 0 | Always 0 for inbound messages |
| SequenceNumber | 64 00 00 00 | Sequence Number 100 |
| OrigClOrdID | 41 42 43 31 32 33 00 00 00 00
00 00 00 00 00 00 00 00 00 00 | ABC123 |
| NumberOfCancel | 02 | Two bitfields to follow |
| OrderBitfields | ||
| CancelOrderBitfield1 | 01 | ClearingFirm |
| CancelOrderBitfield2 | 08 | SendTime |
| ClearingFirm | 54 45 53 54 | TEST |
| SendTime | E0 7A B9 DA 13 3B 42 16 | 1,603,909,373,757,324,000 = Wed, Oct 28, 2020 at 14:22:53.757324 ET. |
| Field Name | Hexadecimal | Notes |
|---|---|---|
| StartOfMessage | BA BA | Start of message bytes. |
| MessageLength | 54 00 | 84 bytes |
| MessageType | 39 | Cancel Order |
| MatchingUnit | 00 | Always 0 for inbound messages |
| SequenceNumber | 64 00 00 00 | Sequence Number 100 |
| OrigClOrdID | 00 00 00 00 00 00 00 00 00 00
00 00 00 00 00 00 00 00 00 00 | (empty) |
| NumberOfCancel | 02 | Two bitfields to follow |
| OrderBitfields | ||
| CancelOrderBitfield1 | 19 | ClearingFirm, RiskRoot, MassCancelId |
| CancelOrderBitfield2 | 09 | MassCancelInst, SendTime |
| ClearingFirm | 54 45 53 54 | TEST |
| RiskRoot | 4D 53 46 54 00 00 | MSFT |
| MassCancelId | 41 42 43 31 32 33 00 00 00 00
00 00 00 00 00 00 00 00 00 00 | ABC123 |
| MassCancelInst | 46 53 4C 42 00 00 00 00 00 00
00 00 00 00 00 00 |
|
| SendTime | E0 7A B9 DA 13 3B 42 16 | 1,603,909,373,757,324,000 = Wed, Oct 28, 2020 at 14:22:53.757324 ET. |