Edward Sanchez, federal prisoner # 35757-044, appeals the district court’s *302 order construing his 28 U.S.C. § 2241 petition as a 28 U.S.C. § 2255 motion and transferring his case to the Eastern District of Missouri. This court must examine the basis of its jurisdiction sua sponte if necessary. Mosley v. Cozby, 813 F.2d 659, 660 (5th Cir. 1987). As the order in question is interlocutory and does not fall within the parameters of the collateral order doctrine, we lack jurisdiction to review it. See Brinar v. Williamson, 245 F.3d 515, 516-18 (5th Cir. 2001). Sanchez’s appeal is therefore DISMISSED FOR LACK OF JURISDICTION.