Trade Cancel/Correct FIX Drop Clearing Edit Message Fields

Users of FIX Drop ports may opt-in to receive post-trade clearing edits via UCC messages via two different methods. These messages communicate changes that have been made using the Cboe Titanium U.S. Options Clearing Editor Specification. This feature requires the Send Clearing Edits port attribute to be set to 1 or 2.

The wave method message structure (Send Clearing Edits = 1) contains repeating groups of size and clearing information for each trade that communicate the previous and current trade details. Note that a single trade may be allocated into smaller trade records that total the original trade size. For example, a single trade for 10 contracts may be allocated into five smaller trade records of two contracts each where each smaller trade has a different CMTA. In this example, there would be six repeating groups. The first group will contain details of the original trade and associated clearing information and the next five would communicate the split of the original trade into five smaller pieces with different clearing information on each record. This is demonstrated below using ListSeqNo (67), WaveNo (105), AllocID (70), AllocShares (80), and AllocClearingFirm (25008).

Example: Single trade split into five smaller trade records with updated CMTA values:


ListSeqNo	WaveNo	AllocID	AllocShares	AllocClearingFirm	Comments
1	0	0	10	123	Original trade details
2	1	1	2	123	Allocation 1
3	1	2	2	456	Allocation 2
4	1	3	2	789	Allocation 3
5	1	4	2	321	Allocation 4
6	1	5	2	654	Allocation 5

Note the when using Send Clearing Edits set to 1 a FIX Drop port will continue to receive all messages for a given trade even if some or all of the trade has been allocated to a different EFID or PartyID (448). This also means that if a trade was originally assigned a given EFID and then that trade was re-allocated to a new EFID or set of EFIDs, then messages are not sent to the FIX Drop ports associated with the new EFIDs after the re-allocation. Using Send Clearing Edits set to 2 allows for cleaner handling of allocations that involve EFID changes.

Table 1. Trade Cancel/Correct FIX Drop Clearing Edit Message Fields
Tag		Field Name	Description
35		Standard Message Header	MsgType= UCC
20		ExecTransType	5=Clearing Edit
17		ExecID	Day-unique ID of execution message. Will be appended with '.B' or '.S' when opted-in by customers.
78 Repeating Group		NoAllocs	Number of allocation groups (repeating group)
➔	67	ListSeqNo	Item number. Starts at ‘1’ and increments upwards.
➔	105	WaveNo	Trade record identifier. A ‘0’ indicates original trade and numbers greater than zero indicate revisions. Note that it is possible for a trade to be edited multiple times.
➔	70	AllocID	Clearing edit revision number. There will be multiple revisions contained under the same WaveNo if a single trade is allocated into multiple trade records.
➔	25007	AllocExecRefID	The ExecID of this allocation/trade. Only present when WaveNo = 0 and AllocID = 0 unless a trade is being allocated/split into multiple smaller pieces. In this case, the allocations will all contain this field, which provides the new ExecID for each allocation.
➔	80	AllocShares	Contracts allocated to this trade record
➔	77	OpenClose	OpenClose of the trade record
➔	25008	AllocClearingFirm	CMTA number of the trade record (if present)
➔	1	Account	Account (1) for the trade record (if present)
➔	448	PartyID	EFID of the trade record
➔	523	PartySubID	ClearingAccount (440) for the trade record (if present)
➔	9324	ClearingOptionalData	ClearingOptionalData (9324) for the trade record (if present)
➔	25009	AllocClOrdID	ClOrdID of the original trade being edited.
➔	47	Capacity (Rule80A)	Capacity of the order trade record
37		OrderId	OrderId of the original trade being edited.
55		Symbol	Copied from original trade being edited.
200		MaturityMonth	Copied from original trade being edited.
205		MaturityDay	Copied from original trade being edited.
201		PutOrCall	Copied from original trade being edited.
202		StrikePrice	Copied from original trade being edited.
54		Side	Copied from original trade being edited.
9730		TradeLiquidityIndicator	Copied from original trade being edited.
128		DeliverToCompId	Copied from Tag 115 (OnBehalfOfCompId).
32		LastShares	Quantity of contracts on the original trade being edited.
31		LastPx	Price on the original trade being edited.
42		OrigTime	GMT date-time of original trade.
60		TransactTime	GMT date-time of cancel/correct.
440		ClearingAccount	(if present)
439		ClearingFirm	(if present)
11		ClOrdID	Copied from the original trade being edited.
19		ExecRefID	The ExecID (17) of the trade that is being edited. ExecID from the original trade will be included.

Users may also set the Send Clearing Edits port attribute to a value of 2, which will result in cancel + new messaging when changes occur in the clearing editor, including allocations/splits that involve EFID changes. This setting eliminates the wave methodology that is described above and replaces it with individual cancel + new messages. When a clearing edit occurs, the original trade is cancelled with a message containing ExecTransType (20) = 6 and TradeAllocation (25011) = 0. Same size or smaller size pieces are likely to follow (assuming the trade has not been completely allocated away from the FIX Drop user to other EFIDs) with ExecTransType (20) = 6 and TradeAllocation (25011) = 1.


ExecTransType	TradeAllocation	Message Type
6	0	Cancel/Bust
6	1	Edited trade

Table 2. Trade Cancel/Correct FIX Drop Clearing Edit Message Fields
Tag	Field Name	Description
35	Standard Message Header	MsgType= UCC
20	ExecTransType	6=Clearing Edit Allocation
17	ExecID	Day-unique id of execution message for this UCC message. Will be appended with '.B' or '.S' when opted-in by customers.
37	OrderId	OrderId of the original trade being edited.
55	Symbol	Copied from original trade being edited.
200	MaturityMonth	Copied from original trade being edited.
205	MaturityDay	Copied from original trade being edited.
201	PutOrCall	Copied from original trade being edited.
202	StrikePrice	Copied from original trade being edited.
54	Side	Copied from original trade being edited.
9730	TradeLiquidityIndicator	Copied from original trade being edited.
128	DeliverToCompId	The EFID on the trade being cancelled or the new EFID on the edited trade(s).
32	LastShares	Quantity of contracts on the original trade being cancelled or quantity of contracts on the edited trade(s).
31	LastPx	Price on the original trade being cancelled or price of the edited trade(s).
42	OrigTime	GMT date-time of original trade.
60	TransactTime	GMT date-time of allocation.
77	OpenClose	The open/close indicator on the trade being cancelled or the new open/close indicator on the edited trade(s).
1	Account	The Account on the trade being cancelled or the new Account on the edited trade(s).
9324	ClearingOptionalData	The ClearingOptionalData on the trade being cancelled or the new ClearingOptionalData on the edited trade(s).
47	Rule80A (OrderCapacity)	The capacity on the trade being cancelled or the new capacity on the edited trade(s).
440	ClearingAccount	The ClearingAccount on the trade being cancelled or the new ClearingAccount on the edited trade(s).
439	ClearingFirm	The CMTA on the trade being cancelled or the new CMTA on the edited trade(s).
22021	TerminalOperatorId (C1 only)	The TerminalOperatorId on the trade being cancelled or the new TerminalOperatorId on the edited trade(s). Requires the "Send Terminal Info" port attribute to be enabled.
22022	AdditionalClientInfo (C1 only)	The AdditionalClientInfo on the trade being cancelled or the new AdditionalClientInfo on the edited trade(s). Requires the "Send Terminal Info" port attribute to be enabled.
11	ClOrdID	Copied from the original trade being edited.
19	ExecRefID	ExecID (17) of the trade that is being cancelled/edited. The ExecID from the most recent trade correction will be included, if applicable.
7694	ContraCapacity	The capacity of the opposite side of the trade. Requires Send ContraCapacity port attribute to be enabled.
25011	TradeAllocation	A zero value will be sent to indicate the trade noted in ExecRefID (19) is being cancelled. A value of ‘1’ indicates a new trade allocation with ExecRefID (19) set to the value of the new ExecID for that allocation. 0=Bust 1=New trade allocation due to clearing edit
9324	ClearingOptionalData	Up to 16 characters in ASCII range 33-126 are allowed, except for comma, semicolon and pipe characters. Value will be reflected back on Execution Reports including FIX Drop. FIX Port attribute Send ClearingOptionalData set to 'Yes' is required to pass value to clearing.

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Trade Cancel/Correct FIX Drop Clearing Edit Message Fields