The Don't Know Trade (DK) message notifies a trading partner that an electronically received execution has been rejected. This message can be thought of as an execution reject message.
This message has special utility when dealing with one-way execution reporting. If the initial Order Acknowledgment message (Execution Report with LastQty <32>=0 and OrdStatus <39>=New) does not match an existing order this message can be used to notify the broker of a potential problem order.
Note that the decision to DK an execution lies with the institution. Some of the mismatches listed in the DKReason <127> field may be acceptable and will not require a DK messages to be generated.