Mass Quotes - Cancellation Acknowledgments
A Quote Cancel (tag 35-MsgType=Z) message is acknowledged with a Quote Cancel Acknowledgment (tag 35-MsgType=b) message from the CME Globex platform notifying the customer of accepted and rejected mass quote cancellations. In some cases, the response to a Quote Cancel message is a Business Level Reject message for a mass quote.
The 'thin' (one-tier) Quote Cancel Acknowledgment message provides users with positive or negative acknowledgment of the processing status for each Quote Cancel message, i.e. all accepted/all rejected. The 'fat' (two-tier) Quote Cancel Acknowledgment message contains the number of successfully processed cancellations and a list of rejected cancellations.
Useful Information
Accepted cancellations are not listed in the acknowledgment.
The following custom FIX tags are implemented for the Quote Cancel Acknowledgment message to support quote cancellation.
Tag | FIX Name | Description |
|---|---|---|
9772 | NoProcessedEntries | If response to Quote Cancel message: number of quotes successfully cancelled. |
9775 | UnsolicitedCancelType | Type of cancel acknowledged (A-F) if cancel initiated by CME Globex platform, |
9774 | CancelledSymbol | Product Code being cancelled. |
The following describe the specifications for the three Quote Cancel Acknowledgment (tag 35-MsgType=b) message formats.
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