The DontKnowTrade(35=Q) message (a.k.a. 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.
Additional detail from the official source
This message has special utility when dealing with one-way execution reporting. If the initial order acknowledgment (ExecutionReport(35=8) message with LastQty(32)=0 and OrdStatus(39)=0 (New)) does not match an existing order, this message may be used to notify the recipient of a potential problem order.
The decision to "DK an execution" lies with the party receiving the execution message. Some of the mismatches listed in DKReason(127) may be acceptable and will not require a DontKnowTrade(35=Q) message to be generated.
Message structure 3890 distinct fields
Source order, including nested components and groups. Group counts precede the repeated entries. “Required here” is relative to the enclosing component or group, not unconditional in the message. A dash means not marked required; conditional requirements remain in the source notes. This is a reference, not a counterparty-specific validator.
Includes nested components and groups. Escape clears the filter.