Mass Order Cancel provides CME Globex customers an efficient way to cancel all working orders with a single request.
Contents
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Client System Implementation Summary
Client implementation of Mass Order Cancel functionality includes the following system considerations:
iLink |
Inbound and outbound messages: |
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Outbound message:
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| Market Data Platform |
Security Definition (tag 35-MsgType=d) tag 1300-MarketSegmentID
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Contact Information
For technical development support, please contact:
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Certification Support for Electronic Trading (CSET)Phone: United States 312.930.2322 Asia +65 6593-5593 Email: cset@cmegroup.com For all other inquiries, please contact: GAM Email: globalaccountmanagement@cmegroup.com Global Account Management (GAM)CME Global Account Management – Chicago 20 S. Wacker Dr. CME Global Account Management – London One New Change, 4th Floor EC4M 9AF London UK CME Global Account Management – Asia One Raffles Quay #27-10 South Tower Singapore 048583 Phone: +65 6593 5555 |
Mass Order Cancel Functionality on iLink
For Mass Order Cancel functionality, the client system must be able to process the following message types:
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- Buy or Sell side of the market (identified by the value in tag 54-Side)
Cancel Parameters
The conditions for the Mass Order Cancel are defined in the Order Mass Action Request (tag 35-MsgType=CA) message at the following levels with the following tags.
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| If tag 6115 is absent, then Mass Order cancel will cancel all working orders for all tag 1-Account and tag 50-SenderSubID under tag 49-SenderCompID. |
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Mass Cancel Request Type=”Account” (Tag 6115=101) is not supported for BrokerTec Markets on CME Globex. |
Market Identifier
To cancel all working orders for either Market SegmentID, Instrument Group or Instrument, client system must specify the value for tag 1374-MassActionScope in the Order Mass Action Request (tag 35-MsgType=CA) .
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- If any order identifiers (tag40-OrdType, tag 59-TimeInForce, tag54-Side) are present, only working orders that meet the criteria will be cancelled.
- If none are present, all working orders in that Mass Order Scope will be cancelled.
Fragmentation
If there are too many entries within a repeating group to fit into one Order Mass Action Report, then the entries can be continued in another Order Mass Action Report with these parameters:
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- Mass Action Report ID=7450, Total Affected Orders=200, NoAffectedOrders=125, Last Fragment=N
- Mass Action Report ID=7450, Total Affected Orders=200, NoAffectedOrders=75, Last Fragment=Y
Messaging Scenarios
Upon submission of an Order Mass Action Request, CME Globex will respond to indicate whether the request is successful or not as follows.
Request Accepted, All Orders Processed
The Order Mass Cancel Report (tag 35-MsgTyp=BZ & tag 1375-MassActionResponse=1) message will contain a repeating tag group identifying the attributes of each cancelled order including:
- tag 41-OrigClOrdID
- tag 84-CxlQty
- tag 535-AffectedOrderID
Request Accepted, No Orders Cancelled
If the Order Mass Action Request is accepted but order cancels cannot be processed e.g. due to a restricted instrument state, the Order Mass Action Report message will indicate that no orders could be cancelled (tag 533-TotalAffectedOrders=0).
Request Accepted, Some Orders Cancelled
If a subset of orders could not be cancelled, the Order Mass Action Report message will contain a list of successfully cancelled orders only.
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| The individual cancel reject messages will not be sent and nor will the Report explicitly call out which orders could not be cancelled. |
Request Rejected
If the Order Mass Action Request is rejected, the reason will be specified in the Business Level Reject (tag 35-MsgTyp = j).
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Sample Error TEXT (tag 58)
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Client Order ID Missing – CltOrdId (11) tag is not present All Spaces – tag CltOrdId (11) cannot contain spaces only Mass Action Type Missing – MassActionType (1373) tag is not present All Spaces – tag MassActionType (1373) cannot contain spaces only Mass Action Scope Missing – MassActionScope (1374) tag is not present All Spaces – tag MassActionScope (1374) cannot contain spaces only Unrecognized – FIX field incorrect 'Unhandled mass action scope: '2' tag: 1374' Market Segment ID Conditionally Required Missing – MarketSegmentID (1300) tag is not present Unrecognized – FIX field incorrect 'Invalid market segment ID: '90' tag: 1300' (could be extended to apply to all invalid values such as all spaces or greater than max length) Symbol Conditionally Required Missing – Symbol (55) tag is not present Unrecognized – FIX field incorrect 'Invalid symbol: 'DOL' tag: 55' (could be extended to apply to all invalid values such as all spaces or greater than max length) Security Desc Conditionally Required Missing – Security Desc (107) tag is not present Unrecognized – FIX field incorrect 'Invalid security desc: 'BOVAR1' tag: 107' (could be extended to apply to all invalid values such as all spaces or greater than max length) |
Drop Copy
Mass Order Cancel messaging will send one new message type, Order Mass Action Report (tag 35-MsgType=BZ) for Drop Copy processing as shown in the diagram below.
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Market Data Platform
Tag 1300-MarketSegmentIDon the market data Security Definition (tag 35-MsgType=d) message identifies the market segment by which an order can be cancelled.
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Tag | FIX Name | Valid Values | Format | Description |
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1300 | MarketSegmentID | Int | Identifies the market segment. Populated for all CME Globex instruments. |
Sample Messages
Order Mass Action Request
8=FIX.4.2|9=702|35=CA|34=1371912|49=ZZA147N|50=147|52=20101017-14:22:00.542|56=CME|57=G|142=US,IL|369=15880|11=BFGW12ed8hqt|1373=3|1374=9|1300=50|6115=100|54=1|60=20101017-14:22:00.260|1028=N|10=184 |
Order Mass Action Report Accepted
8=FIX.4.2|9=702|35=BZ|34=1371913|49=CME|50=G|52=20101017-14:22:00.942|56=ZZA147N|57=147|143=US,IL|11=BFGW12ed8hqt|1369=7450|1373=3|1374=9|1375=1|533=3|534=3| 41=ORD:50659-34450659|84=10|535=743067542|41=ORD:50659-34450660|84=15|535=743067543|41=ORD:50659-34450661|84=20|535=743067544|893=Y|1300=50|6115=100|54=1|60=20101017-14:22:00.960|1028=N|10=184 |
Business Level Reject
8=FIX.4.2|9=169|35=j|34=45007|369=42527|52=20130405-16:24:14.470|49=CME|50=G|56=PPX125N|57=JIM|143=CH,IL|45=42527|58=MassActionScope (1374) tag is not Present|372=CA|379=PPX42527|380=0|10=236 |
Order Mass Action Report Accepted (no orders cancelled)
8=FIX.4.2|9=702|35=BZ|34=1371913|49=CME|50=G|52=20101017-14:22:00.942|56=ZZA147N|57=147|143=US,IL|11=BFGW12ed8hqt|1369=7450|1373=3|1374=9|1375=1|533=0||893=Y|1300=50|6115=100|54=1|60=20101017-14:22:00.960|1028=N| 10=184 |
Order Mass Action Report Accepted - Fragmented Report
8=FIX.4.2|9=255|35=BZ|34=0|49=CME|50=G|52=20130604-12:49:32.222|56=SM1123N|57=DUMMY|143=CH,IL|1028=N|11=SM1578596|1369=501080:110|1373=3|1374=10|1375=1|533=6|534=5|41=SM1578590|84=1|535=50753460|41=SM1578591|84=2|535=50753461|41=SM1578592|84=3|535=50753462|41=SM1578593|84=4|535=50753463|41=SM1578594|84=5|535=50753464|893=N|55=F5|60=20130604-12:49:32.044|10=109| |
| 8=FIX.4.2|9=131|35=BZ|34=0|49=CME|50=G|52=20130604-12:49:32.223|56=SM1123N|57=DUMMY|143=CH,IL|1028=N|11=SM1578596|1369=501080:110|1373=3|1374=10|1375=1|533=6|534=1|41=SM1578595|84=6|535=50753465|893=Y|55=F5|60=20130604-12:49:32.044|10=055| |