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OrderCancelReject (35=9)

The Order Cancel Reject (9) message is issued by the broker upon receipt of a cancel request or cancel/replace request message which cannot be honored. Requests to change price or decrease quantity are executed only when an outstanding quantity exists. Filled orders cannot be changed (i.e quantity reduced or price change. However, the broker/sellside may support increasing the order quantity on a currently filled order).

When rejecting a Cancel/Replace Request (or Cancel Request), the Cancel Reject (9) message should provide the ClOrdID (11) which was specified on the Cancel/Replace Request (or Cancel Request) message for identification, and the OrigClOrdId should be that of the last accepted order (except in the case of CxlRejReason (102) = "Unknown Order".

Cancel reject received
Schema
    OrderID Tag 37 (string)required

    Newly created order ID

    ClOrdID Tag 11 (string)

    Unique identifier for Order as assigned by the buy-side. Uniqueness must be guaranteed across trading sessions.

    OrigClOrdID Tag 41 (string)

    Original Unique identifier for Order as assigned by the buy-side. Uniqueness must be guaranteed across trading sessions.

    OrdStatus Tag 39 (string)required

    Possible values: [0, 1, 2, 4, 6, 8, A]

    OrdStatus value after this cancel reject is applied.

    CxlRejResponseTo Tag 434 (string)required

    Possible values: [1, 2]

    1 = Order Cancel Request, 2 = Order Cancel/Replace Request

    CxlRejReason Tag 102 (integer)

    Cancel reject reason

    Text Tag 58 (string)
    ExecRefID Tag 19 (string)

    For CDC internal reference only.

    MsgType Tag 35 (string)

    Possible values: [9]

    Message Type = 9 (Order Cancel Reject)