Mass Order Cancel provides CME Globex customers an efficient way to cancel all working orders with a single request.

Contents

Client System Implementation Summary

Client implementation of Mass Order Cancel functionality includes the following system considerations:

Contact Information

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Mass Order Cancel Functionality on iLink

For Mass Order Cancel functionality, the client system must be able to process the following message types:

• Order Mass Action Request (tag 35-MsgType=CA)

• Order Mass Action Report (tag 35-MsgType=BZ)

The Mass Order Cancel allows customers to cancel all working orders for an iLink SenderCompID (FIX tag 49) via the Order Mass Action Request message (tag 35-MsgType = CA & tag 1373-MassActionType=3) at the following levels:

• Cancel orders per instrument (tag 1374-MassActionScope=1)

• Cancel orders per Instrument Group (tag 1374-MassActionScope=10)

• Cancel orders per Market Segment ID basis (tag 1374-MassActionScope=9)

Client systems can also optionally specify if they want to exclude the following conditions from being cancelled:

• Day orders, GTC orders, GTD orders (identified by the value in tag 59-TimeInForce)

• Limit orders, Stop Limit orders (identified by the value in tag 40-OrdType)

• Buy or Sell side of the market (identified by the value in tag 54-Side)

Cancel Parameters

The conditions for the Mass Order Cancel are defined in the Order Mass Action Request (tag 35-MsgType=CA) message at the following levels with the following tags.

Entity Identifier

To cancel all working orders for the specific Tag 50-SenderSubID or Tag 1-Account, client system must include the tag 6115-MassCancelRequestType.

Market Identifier

To cancel all working orders for either Market SegmentID, Instrument Group or Instrument, client system must specify the value for tag 1374-MassActionScope in the Order Mass Action Request (tag 35-MsgType=CA) .

Order Identifiers

The use of order identifier parameters is optional.

• If any order identifiers (tag40-OrdType, tag 59-TimeInForce, tag54-Side) are present, only working orders that meet the criteria will be cancelled.

• If none are present, all working orders in that Mass Order Scope will be cancelled.

Fragmentation

If there are too many entries within a repeating group to fit into one Order Mass Action Report, then the entries can be continued in another Order Mass Action Report with  these parameters:

• Tag 1369-MassActionReportID

• Tag 533-TotalAffected Orders

• Tag 534-NoAffectedOrders

• Tag 893-LastFragment

Examples

• Mass Action Report ID=7450, Total Affected Orders=200, NoAffectedOrders=125, Last Fragment=N

• Mass Action Report ID=7450, Total Affected Orders=200, NoAffectedOrders=75, Last Fragment=Y

Messaging Scenarios

Upon submission of an Order Mass Action Request, CME Globex will respond to indicate whether the request is successful or not as follows.

Request Accepted, All Orders Processed

The Order Mass Cancel Report (tag 35-MsgTyp=BZ & tag 1375-MassActionResponse=1) message will contain a repeating tag group identifying the attributes of each cancelled order including:

• tag 41-OrigClOrdID

• tag 84-CxlQty

• tag 535-AffectedOrderID

Request Accepted, No Orders Cancelled

If the Order Mass Action Request is accepted but order cancels cannot be processed e.g. due to a restricted instrument state, the Order Mass Action Report message will indicate that no orders could be cancelled (tag 533-TotalAffectedOrders=0).

Request Accepted, Some Orders Cancelled

If a subset of orders could not be cancelled, the Order Mass Action Report message will contain a list of successfully cancelled orders only.

Request Rejected

If the Order Mass Action Request is rejected, the reason will be specified in the Business Level Reject (tag 35-MsgTyp = j).

The following diagram illustrates the conditions described above .

Sample Error TEXT (tag 58)

Drop Copy

Mass Order Cancel messaging will send one new message type, Order Mass Action Report (tag 35-MsgType=BZ) for Drop Copy processing as shown in the diagram below.

Market Data Platform

Tag 1300-MarketSegmentIDon the market data Security Definition (tag 35-MsgType=d) message identifies the market segment by which an order can be cancelled.

Security Definition (tag 35-MsgType=d)

Sample Messages

Order Mass Action Request

Order Mass Action Report Accepted

Business Level Reject

Order Mass Action Report Accepted (no orders cancelled)

Order Mass Action Report Accepted - Fragmented Report