The Quote Cancel message is used by a market maker to cancel all quotes or a partial set of quotes submitted during a specific session which are still tradeable and have not been rejected or expired. This message can be used to:
- Cancel all active quotes
- Cancel all active quotes for a Product Group
- Cancel individual quotes for an instrument
- Cancel all active quotes for a Quote Set per side
- Quote Cancel messages are processed upon receipt by CME regardless of whether the corresponding resting quotes are completely or partially filled
Bolded red text indicates support for EBS Market.
35=Z
Tag | Name | Binary Type | Binary Length | Req | Enumeration | Description |
|---|---|---|---|---|---|---|
| 1505 | PartyDetailsListReqID | uInt64 | 8 | Y | The unique identifier of the Party Details Definition Request Acknowledgment associated with this message; this is the value submitted on the inbound message. For pre-registered messages:
For on-demand messages:
| |
| 5297 | SendingTimeEpoch | uInt64 | 8 | Y | Time when the message is sent. 64-bit integer expressing the number of nano seconds since midnight January 1, 1970. | |
| 1028 | ManualOrderIndicator | ManualOrdIndReq | 1 | Y |
| Indicates if the message was initially received manually. '0' indicates the message was generated by automated trading logic. iLink messages containing a value other than '0' or '1' in this tag will be rejected. This tag is subject to Rule 536.B.2 Electronic Audit Trail Requirements for Electronic Order Routing/Front-End Systems. https://www.cmegroup.com/rulebook/files/cme-group-Rule-536-B-Tag1028.pdf |
| 9726 | SeqNum | uInt32 | 4 | Y | Sequence number assigned to this message. The max value is 999999999 which is 1 short of 1 billion. | |
| 5392 | SenderID | String20Req | 20 | Y | For futures and options markets: represents Operator ID. For EBS and fixed income markets: represents the Entering Trader. For EBS this value must be 3 characters. This value represents the individual or team submitting the message and is subject to registration requirements and character limits as required by Rule 576 and the Advisory below: https://www.cmegroup.com/rulebook/files/cme-group-Rule-576.pdf In FirmSoft and Global Command Center queries for order status and cancellations, this value must be exact. | |
| 9537 | Location | String5Req | 5 | Y | ISO identifier of the physical location of the individual or team head trader identified by the tag 5392 (SenderID) in the message. The first two bytes as per ISO 3166-1, identify the country (e.g., JP = Japan, CN = China). The next three bytes indicate a comma-delimited state or province code (e.g., CA = California, QC = Quebec). For valid values, refer to ftp.cmegroup.com/fix/coo. Market Regulation requires only the submission of the two first characters of tag 9537-Location for all countries with the exception of Canada. For Canada, the 5 bytes including the province code must be submitted. Note: this field is optional for EBS Market and eFIX Matching Service instruments. | |
| 117 | QuoteID | uInt32 | 4 | Y | Client system generated identifier of the Quote Cancel message. Must be unique per message trading session. | |
| 298 | QuoteCancelType | QuoteCxlTyp | 1 | Y |
| Identifies the type of Quote Cancel. Cancel can an be by instrument, quote set, product group, or all. |
| 9373 | LiquidityFlag | BooleanNULL | 1 | N |
| Indicates if an order was submitted for market making obligation as required for MIFID. Applicable only for EU BrokerTec. |
9937 | OrigOrderUser | String8 | 8 | N | Represents the original SenderComp for whom quotes are to be cancelled. | |
9182 | QuoteEntryOpen | BooleanNULL | 1 | N | A boolean value indicating whether or not new quotes should be rejected for the SenderComp for whom quotes are being cancelled; also used to reset such a block on Mass Quotes being sent by the blocked SenderComp. | |
| 295 | NoQuoteEntries | groupSize | 3 | Y |
| The number of quote entries for quote sets, instruments, product group, or cancel all. 298=1 → 1 to 15 298=3 → 1 298=4 → 1 298=100 → 1 (for cancel by quote set a product group has to be specified here) |
| →1151 | SecurityGroup | StringLength6 | 6 | Y | A designation assigned a group of related securities which may be concurrently affected by market events and actions. Must be first field in the repeating group. Should contain [N/A] for cancel all. All quote sets and individual instruments must belong to a specific product group; the first determines the group to be applied for the rest of the repeating group entries. | |
| →48 | SecurityID | Int32NULL | 4 | N | Should be conditionally populated only for 298=1 (cancel for instrument). Will be ignored if present for any QuoteCancelType other than Instrument. | |
| 296 | NoQuoteSets | groupSize | 3 | N |
| The number of sets of quotes in the message. Conditionally required if 298=100. Set the groupSize to 0 when not required. |
| →134 | BidSize | uInt32NULL | 4 | N | Should be conditionally populated and set to zero only for 298=100 (cancel for Quote Set) to cancel all buy side quotes for Quote Set ID. Will be ignored if present for any QuoteCancelType other than Quote Set. | |
| →135 | OfferSize | uInt32NULL | 4 | N | Should be conditionally populated and set to zero only for 298=100 (cancel for Quote Set) to cancel all sell side quotes for Quote Set ID. Will be ignored if present for any QuoteCancelType other than Quote Set. | |
| →302 | QuoteSetID | uInt16 | 2 | Y | Should be conditionally populated only for 298=100 (cancel for Quote Set). Will be ignored if present for any QuoteCancelType other than Quote Set. Customers must assign an identifier between 1-999. |