Mass Quotes - Cancel by Quote Set

Authorized client systems submitting Mass Quotes on the CME Globex platform can cancel quotes by Quote Set ID as described below.

The Quote Set ID is the value associated with the quote set submitted by the client system in tag 302-QuoteSetID in the Mass Quote (tag 35-MsgType=i) message.

The client system is responsible for the uniqueness of each Quote Set ID.

Mass Quotes submitted with a Quote Set ID value greater than 3 characters in length will be rejected. CME Globex will send a Business Level Reject (tag 35-MsgType=j) message including tag 58=<Reject Reason>.

Cancel by Quote Set functionality supports cancellation of quote sets with a single Quote Cancel (tag 35-MsgType=Z) message as follows:

  • cancel a designated quote set by quote set ID

  • cancel a side (Buy/Sell) of the designated quote set.


Testing and Certification

Certification in AutoCert+ for Cancel by Quote Set ID functionality is optional.

Messaging Summary

Cancel by Quote Set ID functionality utilizes iLink messages as follows.

A Quote Set Cancel instruction submitted without tag 134-BidSize or tag 135-OfferSize will cancel both sides.

Quote Cancel (tag 35-MsgType=Z)


Quote Cancel (tag 35-MsgType=Z)


tag 302-QuoteSetID 

Identifies quote set to cancel with value submitted on original Mass Quote (tag 35-MsgType=i) message tag 302-QuoteSetID.

tag 134-BidSize

Instruction to cancel all Buy quotes for the Quote Set ID:

tag 134=0 (cancel all bids)

tag 135-OfferSize 

Instruction to cancel all Sell quotes for the Quote Set ID:

tag 135=0 (cancel all offers) 

tag 298-Quote Cancel type

Enumeration to indicate that Quote Cancel is for a particular quote set ID.

tag 298=100 (Cancel by quote set ID)

Quote Acknowledgment (tag 35-MsgType=b)


tag 297-QuoteAckStatus

Enumeration to indicate that Quote Cancel Acknowledgement is for Cancel by quote set ID:

  • Positive acknowledgment with all cancels accepted (100=Cancel per Quote Set accepted)

  • Positive acknowledgment with some or all cancels rejected (5=Rejected)

Cancel by Quote Set ID Messaging Example

The following example shows the messaging sequence for the Cancel by Quote Set ID function.

  • First, the client system submits a Mass Quote message containing three Quote Sets. CME Globex accepts all quotes.

  • The client system then submits a Quote Cancel message to cancel the Offer side for QuoteSetID=500.

  • CME Globex accepts the Quote Cancel request and sends the Quote Cancel Acknowledgment with the canceled Quote Set ID=500.

Sample Messages

From Client System to CME Globex

Client system cancels both sides of three quote sets: (tag 134-BidSize and tag 135-OfferSize not sent).


Cancelling both sides of three quote sets: (FIX Tags 134 & 135 are both specified and set to zero)


Client system cancels one side of three quote sets: (tag 134-BidSize=0)


Client system cancels different sides for different quote sets: (tag 134-BidSize and 135-OfferSize set to zero for the respective QuoteSetID)


Client system cancels both sides and a specific side for different quote sets using tag 134-BidSize and tag 135-OfferSize:


Client system cancels both sides for different quote sets: (tag 134-BidSize=0 and tag 135-OfferSize =0)


From CME Globex to Client System

All three quote set cancellations accepted. CME Globex reports only the  total number of quotes cancelled:


Enumerated reject with one quote set cancellation accepted and two quote set cancellations rejected due to instrument state not allowing cancellations:


All entries rejected

8=FIX.4.2|9=179|35=b|34=1608|369=308|52=20130719-21:01:55.831|49=CME|50=G|56=ZUB007N|57=007|143=007|58=Quote rejected: Exchange (security) closed|117=_772|297=5|300=2|1028=N|9772=0|9774=2B|10=003

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