Mass Order Cancel provides CME Globex customers an efficient way to cancel all working orders with a single request.

Contents

Client System Implementation Summary

Client implementation of Mass Order Cancel functionality includes the following system considerations:

Contact Information

For technical development support, please contact:

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For Mass Order Cancel functionality, the client system must be able to process the following message types:

• Order Mass Action Request (tag 35-MsgType=CA)

• Order Mass Action Report (tag 35-MsgType=BZ)

The Mass Order Cancel allows customers to cancel all working orders for an iLink SenderCompID (FIX tag 49) via the Order Mass Action Request message (tag 35-MsgType = CA & tag 1373-MassActionType=3) at the following levels:

• Cancel orders per instrument (tag 1374-MassActionScope=1)

• Cancel orders per Instrument Group (tag 1374-MassActionScope=10)

• Cancel orders per Market Segment ID basis (tag 1374-MassActionScope=9)

Client systems can also optionally specify if they want to exclude the following conditions from being cancelled:

• Day orders, GTC orders, GTD orders (identified by the value in tag 59-TimeInForce)

• Limit orders, Stop Limit orders (identified by the value in tag 40-OrdType)

• 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.

Entity Identifier

To cancel all working orders for the specific Tag 50-SenderSubID or Tag 1-Account, client system must include the tag 6115-MassCancelRequestType.

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) .

Order Identifiers

The use of order identifier parameters is optional.

• 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:

• Tag 1369-MassActionReportID

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• • If fragmented, then all messages must have the same value.

• Tag 533-TotalAffected Orders

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• • If fragmented, then this is the sum of NoAffectedOrders across all messages with the same MassActionReportID.

• Tag 534-NoAffectedOrders

• Tag 893-LastFragment

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• • Fragment tag to indicate if the report is complete.

Examples

• 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.

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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

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If a subset of orders could not be cancelled, the Order Mass Action Report message will contain a list of successfully cancelled orders only.

Request Rejected

If the Order Mass Action Request is rejected, the reason will be specified in the Business Level Reject (tag 35-MsgTyp = j).

The following diagram illustrates the conditions described above .

Sample Error TEXT (tag 58)

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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.

Security Definition (tag 35-MsgType=d)

Sample Messages

Order Mass Action Request

Order Mass Action Report Accepted

Business Level Reject

Order Mass Action Report Accepted (no orders cancelled)

Order Mass Action Report Accepted - Fragmented Report