DKT on Order Cancel Reject

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Imported from previous forum

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[ original email was from Amit Pimple - apimple@latentzero.com ]
When a OrderCancelReject is DKT’d how will the DKT message carry the identifier for the OrderCancelReject being DKT’d?

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You cannot DK a Cancel reject ER as tag 17 is a reqd tag for DK trade and a Cancel Reject ER does not has one. I guess, in case a buy side wants to reject the Cancel reject ER, it can use 35=j message.

Regards
Sunil Singh

4

When a OrderCancelReject is DKT’d how will the DKT message carry the
identifier for the OrderCancelReject being DKT’d?

As previously specified, 35 MsgType = Q Don’t Know Trade is not a valid response to a 35 = 9 Order Cancel Reject.

Please instead use a 35 = j Business Message Reject. One can specify the unique identifier of the message being rejected in the BMR.