In the negative IFM scenario, the cancel/replace quantity is less than that of the quantity filled against the resting order while the Order Cancel/Replace Request (tag 35-MsgType=G) message is 'in flight'. With IFM enabled, the following example shows how CME Globex updates the working quantity.
1. Original Order Buy Quantity 10 @ 885.
Example Message
8=FIX.4.2 | 9=217 | 35=D| 34=1993 |49=qa5649P |50=dummy |52=20091216-19:21:41.109 |56=CME |
142=Brio | 1=Brio-7101025 | 11=qa51993 | 21=1 | 38=10 | 40=2 |
44=885.0000000 | 54=1 | 55=LO | 57=G | 59=0 | 60=20091216-19:21:41.109 |
107=LOU2 C7750 | 204=1 | 9702=1 | 9717=qa51993 | 10=049 |
Buy 10@ 885
| LOU2 C7750 | |||
|---|---|---|---|
| Bid | Ask | ||
| Quantity | Price | Price | Quantity |
10 | 885 | 889 | 12 |
7 | 887 | 891 | 8 |
15 | 888 | 893 | 15 |
2. Incoming Sell order matches for 6 @ 885, Buy quantity 4 remains working.
Buy 1 @ 885
| LOU2 C7750 | |||
|---|---|---|---|
| Bid | Ask | ||
| Quantity | Price | Price | Quantity |
4 | 885 | 889 | 12 |
7 | 887 | 891 | 8 |
15 | 888 | 893 | 15 |
3. Cancel/Replace the original order with an order to buy 5 @ 885 - CME Globex cancels the order because the new quantity of 5 is less than the filled quantity of 6..
Example Message
8=FIX.4.2 |9=248 |35=G |34=1994 |49=qa5649P |50=dummy |52=20091216-19:22:14.338 |56=CME |
142=Brio |1=Brio-7101025 |11=qa51994 |21=1 |37=565870255 |38=5 |40=2 |41=qa51993 |
44=885.0000000 |54=1 |55=LO |57=G |59=0 |60=20091216-19:22:14.338 |107=LOU2 C7750 |
204=1 |9702=1 |9717=qa51993 |9768=Y |10=190