How are orders canceled at the end of the Blue Ocean ATS trading day?
End-of-day cancellations are identified by unsolicited cancel messages with specific FIX tags.
Orders that are done for day (DFD) are automatically canceled at the close of the Blue Ocean Session. These cancellations are identified through unsolicited cancel messages carrying the following tags:
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MsgType [35] = 8 (Execution Report)
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OrderStatus [39] = 4 (Cancel)
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ExecType [150] = 4 (Cancel)
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CustomCancelReasonCode [21004] = 4 (EndOfTrading)
These tags indicate the order was canceled due to the end of the trading session.