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The client system is responsible for the uniqueness of each Quote Set ID. |
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Mass Quotes submitted Quotes submitted with a Quote Set ID value greater than 3 characters in length will be rejected. CME Globex will send a Business Level Reject (tag 35-MsgType=j) message including tag 58=<Reject Reason>. |
Cancel by Quote Set functionality supports cancellation of quote sets with a single Quote Cancel (tag 35-MsgType=Z) message as follows:
cancel a designated quote set by quote set ID
cancel a side (Buy/Sell) of the designated quote set.
Contents
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Messaging Summary
Cancel by Quote Set ID functionality utilizes iLink messages as follows.
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A Quote Set Cancel instruction submitted without tag 134-BidSize or tag 135-OfferSize will cancel both sides. |
Quote Cancel (tag 35-MsgType=Z) | Description | ||
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tag 302-QuoteSetID | Identifies quote set to cancel with value submitted on original Mass Quote (tag 35-MsgType=i) message tag 302-QuoteSetID. | ||
tag 134-BidSize | Instruction to cancel all Buy quotes for the Quote Set ID: tag 134=0 (cancel all bids) | ||
tag 135-OfferSize | Instruction to cancel all Sell quotes for the Quote Set ID: tag 135=0 (cancel all offers) | ||
tag 298-Quote Cancel type | Enumeration to indicate that Quote Cancel is for a particular quote set ID. tag 298=100 (Cancel by quote set ID) | ||
Quote Acknowledgment (tag 35-MsgType=b) | |||
tag 297-QuoteAckStatus | Enumeration to indicate that Quote Cancel Acknowledgment is for Cancel by quote set ID:
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Cancel by Quote Set ID Messaging Example
The following example shows the messaging sequence for the Cancel by Quote Set ID function.
First, the client system submits a Mass Quote message containing three Quote Sets. CME Globex accepts all quotes.
The client system then submits a Quote Cancel message to cancel the Offer side for QuoteSetID=500.
CME Globex accepts the Quote Cancel request and sends the Quote Cancel Acknowledgment with the canceled Quote Set ID=500.
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Sample Messages
From Client System to CME Globex
Client system cancels both sides of three quote sets: (tag 134-BidSize and tag 135-OfferSize not sent).
8=FIX.4.2|9=168|35=Z|34=36|49=ZUB007P|50=ABCDEFGHIJKLMNOPQRS|52=20140124-17:07:05.632|56=CME|142=007|57=G|369=0|117=QID00001f|298=100|1028=Y|295=3|55=2B|302=2vd|55=2B|302=2ve|55=2B|302=2vf|10=127
Cancelling both sides of three quote sets: (FIX Tags 134 & 135 are both specified and set to zero)
8=FIX.4.2|9=168|35=Z|34=36|49=ZUB007P|50=ABCDEFGHIJKLMNOPQRS|52=20140124-17:07:05.632|56=CME|142=007|57=G|369=0|117=QID00001f|298=100|1028=Y|295=3|55=2B|302=2vd|134=0|135=0|55=2B|302=2ve|134=0|135=0|55=2B|302=2vf|134=0|135=0|10=127
Client system cancels one side of three quote sets: (tag 134-BidSize=0)
8=FIX.4.2|9=168|35=Z|34=36|49=ZUB007P|50=ABCDEFGHIJKLMNOPQRS|52=20140124-17:07:05.632|56=CME|142=007|57=G|369=0|117=QID00001f|298=100|1028=Y|295=3|55=2B|302=2vd|134=0|55=2B|302=2ve|134=0|55=2B|302=2vf|134=0|10=127
Client system cancels different sides for different quote sets: (tag 134-BidSize and 135-OfferSize set to zero for the respective QuoteSetID)
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8=FIX.4.2|9=168|35=Z|34=36|49=ZUB007P|50=ABCDEFGHIJKLMNOPQRS|52=20140124-17:07:05.632|56=CME|142=007|57=G|369=0|117=QID00001f|298=100|1028=Y|295=3|55=2B|302=2vd|134=0|55=2B|302=2ve|134=0|135=0|55=2B|302=2vf|10=127
Client system cancels both sides for different quote sets: (tag 134-BidSize=0 and tag 135-OfferSize =0)
8=FIX.4.2|9=168|35=Z|34=36|49=ZUB007P|50=ABCDEFGHIJKLMNOPQRS|52=20140124-17:07:05.632|56=CME|142=007|57=G|369=0|117=QID00001f|298=100|1028=Y|295=3|55=2B|302=2vd|134=0|135=0|55=2B|302=2ve|55=2B|302=2vf|10=127
From CME Globex to Client System
All three quote set cancellations accepted. CME Globex reports only the total number of quotes cancelled:
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8=FIX.4.2|9=194|35=b|34=441|369=17|52=20140611-12:34:04.796|49=CME|50=G|56=ZUB007P|57=ABCDEFGHIJKLMNOPQRS|143=007|117=QID00001gt|297=100|296=2||302=2ve|9030=1|302=2vf|9030=1|1028=Y|9772=1|9774=2B|10=229
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8=FIX.4.2|9=179|35=b|34=1608|369=308|52=20130719-21:01:55.831|49=CME|50=G|56=ZUB007N|57=007|143=007|58=Quote rejected: Exchange (security) closed|117=_772|297=5|300=2|1028=N|9772=0|9774=2B|10=003