Mass Quote Cancel Acknowledgment - Accept and Partial Accept - Audit Trail Requirements

2

Receiving Timestamps

Presence: Mandatory for all architectures

Format: UTC Timestamp

Value: YYYYMMDD-hh:mm:ss.sss populated minimally at millisecond precision. 

60 - Transact Time

3

Message Direction

Presence: Mandatory

Format: String

Value: "FROM CME"

57 - TargetSubID

4

Operator ID

Presence: Mandatory

Format: String with a maximum length of 18 bytes.

Value: Must only contain letters, numbers and/or the following characters:

   _ - : @ . + ( ) / \

57 - TargetSubID

5

Self-Match Prevention ID

Presence: Mandatory if present in captured message.

Format: String

7928 - SelfMatchPreventionID

7

Session ID

Presence: Mandatory

Format: String

Value: Exactly 3 Characters

56 - TargetCompID

8

Executing Firm ID

Presence: Mandatory

Format: String

Value: Exactly 3 Characters

56 - TargetCompID

9

Manual Order Identifier

Presence: Mandatory

Format: String

Value: 'Y' or 'N'

1028 - ManualOrderIndicator

10

Message Type

Presence: Mandatory

Format: String

Value:

"b/1" or "b\1" - Cancel per instrument accepted

"b/3" or "b\3" - Cancel per instrument group accepted

"b/4" or "b\4" - Cancel all accepted

"b/100" or "b\100" - Cancel by Quote Set ID accepted

"b/A" or "b\A" - Cancel Hard Disconnect accepted

"b/B" or b\B" - Cancel Client Logout accepted

"b/C" or "b\C" - Cancel GCC Eliminated All accepted

"b/D" or "b\D" - Cancel GCC Eliminated Group accepted

"b/E" or b\E" - Expired accepted

"b/F" or "b\F" - Cancel per Market Maker Protection accepted

"b/H" or "b\H" - Cancel due to Self-Trade Prevention accepted

35 - MsgType / 297 - QuoteAckStatus

17

Instrument Description

Presence: Mandatory

Format: String

Value: must be 2- or 3-character long (instrument group)

9774 - CancelledSymbol

18

Market Segment ID

Presence: Mandatory if present in captured message.

Format: String

Value: Must be the Market Segment ID corresponding to the Instrument.

50 - SenderSubID

37

Reject Reason

Presence: Mandatory if present in the captured message.

Format: String

368 - QuoteEntryRejectReason

38

Processed Quotes

Presence: Mandatory

Format: Integer

9772 - NoProcessedEntries

41

Message Quote ID

Presence: Mandatory

Format: String

Value: Must only contain letters, numbers and/or the following characters:

   _ - : @ . + ( ) / \

Must not be used for any other Mass Quote ID from customer-generated messages in the file.

117 - QuoteID

42

Quote Entry ID

Presence: Mandatory if present in the captured message.

Format: String

Value: Must only contain letters, numbers and/or the following characters:

   _ - : @ . + ( ) / \

Must not be used for any other instrument code in the file.

299 - QuoteEntryID