iLink 2 Quote Cancel Acknowledgment

iLink 2 Standard Header - CME Globex to Client System

MsgType

String(2)

b=Quote Acknowledgment (Cancel)

Y

Header tag identifying message type.

297

QuoteAckStatus

Int(3)

1=Cancel per instrument accepted

3=Cancel per group code accepted

4=Cancel all accepted

5=Rejected

100=Cancel per Quote Set accepted

Y

The Quote Cancel Acknowledgment message will have one of three formats when received in response to a Quote Cancel message:

• Positive acknowledgment with all cancels accepted - 1 tier/thin ack.

• Positive acknowledgment with some or all cancels rejected - 2 tiers/fat ack.

• Negative acknowledgment with all quotes rejected - 1 tier/thin ack.
  See Mass Quotes - Cancellation.

117

QuoteID

String(10)

Y*

Identifier of the corresponding Quote Cancel message.

300

QuoteRejectReason

Int(3)

1=Unknown symbol (security)
2=Exchange (Security) closed
3=Quote request exceeds limit
5=Unknown quote
6=Duplicate quote
7=Invalid bid/ask spread
8=Invalid price
9=Not authorized to quote security
20=Too many rejects and cancel Product Code*
98=Market maker protection*
99=Missing account number or 'other' reason*
*CME defined value

N

Contains reason (error code) why the Quote Cancel message was rejected.

7928

SelfMatchPreventionID

String(12)

N

This tag is required when market participants elect to use the optional Self Match Prevention functionality.

Sent only for an unsolicited quote cancel triggered by Self-Match Prevention.

9774

CancelledSymbol

String(2)

Y*

Group code being cancelled.

9772

NoProcessedEntries

Int(5)

Y*

Number of quotes that have been accepted from the corresponding inbound message.

9773

MMProtectionReset

Char(1)

N

This tag is sent and set to 'Y' only when  Mass Quote Cancellation has been triggered by Mass Quote Protection (tag 9775-UnsolicitedCancelType=F).

9775

UnsolicitedCancelType

Char(1)

Tag 9775-UnsolicitedCancelType Table of Values

N

Type of cancel (A-H) if initiated by CME Globex platform.

58

Text

String(200)

N

Reason (error text) for quote cancel reject.

1028

ManualOrderIndicator

Boolean(1)

Y=manual
N=automated

Y*

Value sent on inbound message from client system indicating the order as sent manually or generated by automated trading logic.

5149

Memo

String(75)

N

Allows users to submit a free-form Note tag with a customer order and persists from order entry through clearing

Note: if tag 5149-Memo value on inbound messages exceeds the max length of 75 bytes, iLink will return a truncated 75 bytes from the right on the response.

304

TotQuoteEntries

Int(3)

N

Always identifcal to tag 295-NoQuoteentries.

295

NoQuoteEntries

Int(3)

N

The number of quote cancels that follow in this message.

→299

QuoteEntryID

String(10)

Y

This tag contains the QuoteEntryID of the quote that failed to be cancelled or 'CME' if the quote could not be found, e.g. attempt to cancel an invalid contract.

→55

Symbol

String(6)

N

Group code of the quote that failed to be cancelled.

→107

SecurityDesc

String(20)

N

Instrument identifier.
Future Example:  GEZ8
Option Example:  GEZ9  C9375

→167

SecurityType

String(3)

FUT=Future
OPT=Option

N

Indicates instrument is future or option.

→48

SecurityID

Int(12)

N

Identifier of the instrument defined in tag 107-SecurityDesc.

→22

SecurityIDSource

Char(1)

8=Exchange symbol

N

Identifies class or source of the tag 48-SecurityID value.

→368

QuoteEntryRejectReason

Int(4)

Tag 368-QuoteEntryRejectReason Table of Values

Y*

This tag contains the reason (error code) why the cancellation failed.

296

NoQuoteSets

Int(2)

N

The number of quote sets that follow in this message.

→302

QuoteSetID

String(10)

Y

Unique ID for the Quote Set.

→9030

QuoteErrorReason

Int(4)

1=Unknown symbol (Security)

2=Exchange (Security) closed

4=Too late to enter

6=Duplicate quote set id (if CME Globex already processed this quote set id in the same message)

9=Not authorized to quote security

Y*

This tag contains the reason (error code) why the quote set cancellation failed.

5979

RequestTime

Int(20)

C

Information carried on a response to convey the time (UTC) when the request was received by the MSGW application. UTC timestamps are sent in number of nanoseconds since UNIX epoch with microsecond precision.

Sent only for a solicited quote cancel from Client System.

Not required for an unsolicited quote cancel.

5904

DelayDuration

Int

N

Indicates the amount of time in nanoseconds that a message was subject to additional processing as a result of being:

• split among multiple packets (tag 9553=0)

• out-of-order (tag 9553=1)

• a previously submitted split message (tag 9553=2)

Subtracting this number from tag 5979-RequestTime will represent original received time of in-flight message

9553

SplitMsg

Int(1)

0 – Split message 

1 – Out-of-order message 

2 – Complete message 

N

Indicates whether a message was subject to additional processing as a result of being:

• split among multiple packets (0)

• out-of-order (1)

• a previously submitted split message (2)

If absent, then the message was not subject to additional processing.

iLink 2 Standard Message Trailer

End of message.