CME Globex allows firms to submit orders on behalf of clients or other clearing member firms for whom the submitting firm is authorized to transact.
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Cancel on Behalf (COB) functionality on CME Globex allows iLink 3 sessions to cancel resting orders and mass quotes from different iLink 3 sessions under the same CME Globex Firm ID (GFID). This functionality is enabled for all CME Group futures and options on futures on CME Globex. It is only available on iLink 3 sessions using the schema version 8.
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Route-throughs, which allow a single iLink session to support order routing on behalf of multiple GFIDs, cannot utilize COB across multiple GFIDs. |
iLink 3 sessions can cancel resting orders or mass quotes on behalf of a single single SenderCompID without the Fault Tolerance Indicator (e.g. ABC123; the left-most 3 characters represent the Session ID and the next 3 characters are the GFID) under the same GFID. In response, CME Globex sends Cancel Acknowledgement Cancel Acknowledgement messages to both the original and on-behalf sessions.
The following diagram illustrates iLink 3 messages leveraging COB functionality.
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- Enable COB for a single session in a GFID (i.e. this session could initiate cancels for any other session under that GFID but not vice-versa)
- Enable COB for some of the assigned sessions in a GFID (i.e. only the enabled sessions will be able to cancel any other session's orders or vice-versa only for the enabled sessions)
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The maximum number of sessions that could initiate COB for a particular GFID is restricted to 5 sessions. |
The opt-in sessions for COB are bi-directional for enabled sessions and unidirectional for non-enabled sessions. For example,
- GFID has three sessions: AAA, BBB and CCC.
- Only AAA and BBB are enabled via Request Center.
- Since session AAA and BBB are both enabled, both sessions can initiate cancellation of each other’s orders as well as for session CCC, but session CCC cannot initiate cancellation because it is not enabled.
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To prevent an infinite loop in which the original session continues sending mass quotes even after the quotes are cancelled by the on-behalf session, COB for mass quotes provides the ability to block mass quotes for the original SenderCompID until the original session resets the block.
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| Tag | Tag Value | Behavior |
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| 9182-QuoteEntryOpen | 0 | Cancel and Block quotes |
| 1 | Cancel quotes | |
| null | Cancel quotes |
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For a Quote Cancel message per Instrument or Quote Set level, tag 9182-QuoteEntryOpen must be set to null; otherwise, it will be rejected via Business Reject message with a new error code: tag 380 = 144 - Quotes cannot be blocked for instrument or quote set on-behalf. |
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- Tag 9182-QuoteEntryOpen will be ignored if only used for cancelling a SenderCompID's own quotes, and the Quote Cancel Acknowledgment will not return tag 9182-QuoteEntryOpen.
- The blocked quotes on behalf of another session will not persist in the following cases. The original session would be able to send mass quotes.
- across calendar weeks from one trading week to the next
- If there is a market halt midweek
- When unsolicited Quote Cancel Acknowledgment messages are published because of a group state change, these messages will not contain tag 9182-QuoteEntryOpen to indicate whether quotes are still blocked or not.
- Tag 9182-QuoteEntryOpen is only present in the Quote Cancel Acknowledgment published in response to the Quote Cancel on behalf which is sent to both the original session as well as the initiating session.
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| Mass Quote - Tag 9182-QuoteEntryOpen | Mass Quotes | Result |
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| 1 | Blocked | Unblock Quotes and the Mass Quote Acknowledgment message will include tag 9182 =1. |
| 1 | Not blocked | Tag 9182 will be ignored and the Mass Quote Acknowledgment message will not include tag 9182. |
| 0 | Blocked | Quotes remain blocked and the Business Reject message will include a new error code: tag 380 = 145 - Quote rejected: Blocked from quoting this instrument 'cannot quote group: xx'. |
| 0 | Not blocked | Tag 9182 will be ignored and the Mass Quote Acknowledgment message will not include tag 9182. |
| null | Blocked | Quotes remain blocked and the Business Reject message will include a new error code: tag 380 = 145 - Quote rejected: Blocked from quoting this instrument 'cannot quote group: xx'. |
| null | Not blocked | Tag 9182 will be ignored and the Mass Quote Acknowledgment message will not include tag 9182. |
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| On-behalf session BBB will receive a Quote Cancel Acknowledgment for each permissioned Product Code. However, Original session AAA will not receive a Quote Cancel Acknowledgment for ‘E3’ Product Code since there are no active quotes to be cancelled. |
AND:
- Session: AAA and GFID: 123 places quotes for Bid@93.0/Ask@92.0 for SR1Z3 P0575 with QuoteEntryOpen absent
- SenderCompID AAA123 receives Business Reject because new mass quotes have been blocked for product group SR1
- Session: AAA and GFID: 123 places quotes for Bid@93.0/Ask@92.0 for SR1Z3 P0575 with QuoteEntryOpen=Y
- Matching engine will detect that existing block for product group SR1 has been reset and will now accept and book the quotes
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