In the positive IFM scenario, the cancel/replace quantity is greater than that of the quantity filled against the resting order while cancel/replace request is 'in flight'.
IFM is enabled by having tag 9768-OFMOverride=Y in the Order Cancel/Replace Request (tag 35-MsgType=G) message.
The following example shows how CME Globex updates the working quantity with IFM ennabled.
1. Original Order - Buy quantity 5 @ 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=5|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=049A
Assume one order at given price level 885.
| LOU2 C7750 | |||
|---|---|---|---|
| Bid | Ask | ||
| Quantity | Price | Price | Quantity |
5 | 885 | 889 | 12 |
7 | 887 | 891 | 8 |
15 | 887 | 891 | 15 |
2. Incoming sell order matches for 4 @ 885 - Buy quantity 1 remains working.
Order Matches 4 @ 885
| LOU2 C7750 | |||
|---|---|---|---|
| Bid | Ask | ||
| Quantity | Price | Price | Quantity |
1 | 885 | 889 | 12 |
7 | 887 | 891 | 8 |
15 | 888 | 893 | 15 |
3. Cancel/Replace the original order with an order to buy 10 @ 885 - CME Globex keeps 6 on the book (new quantity 10 - filled quantity 4).
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=Brio7101025| 11=qa51994|21=1|37=565870255|38=10|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
Keep 6 on the Book
| LOU2 C7750 | |||
|---|---|---|---|
| Bid | Ask | ||
| Quantity | Price | Price | Quantity |
6 | 885 | 889 | 12 |
7 | 887 | 891 | 8 |
15 | 888 | 893 | 15 |