Mass Quotes - Unsolicited Quote Cancel Acknowledgment Messages

In addition to iLink 2 Quote Acknowledgment messages received in response to Quote Cancel messages, client systems can also receive unsolicited Quote Acknowledgment messages in response to cancels initiated by the CME Globex platform. The unsolicited cancel code is contained in tag 9775-UnsolicitedCancelTypes; the reason text will not be sent in the message.

Quote Cancel – iLink Gateway Disconnect and Failure Scenarios

CME Group provides a quote cancellation program whereby the iLink gateway, on a best-efforts basis, attempts to send Quote Cancel messages on behalf of the customer in the following two situations:

1. The CME Globex platform detects a system failure that does not automatically cancel quotes when the Mass Quote session is gracefully disconnected from the iLink gateway (i.e. a voluntary iLink2.X log out or iLink 3 terminate initiated by the client system).  If the Mass Quote customer is experiencing difficulties with their session logoff or termination attempt, the iLink gateway will attempt to send Quote Cancel messages for the Mass Quote customer.

2. During certain CME Globex platform connectivity failure situations, the iLink gateway will attempt to send Quote Cancel messages on behalf of the Mass Quote customer.
   When a disconnect is detected without preceding Quote Cancel messages, the iLink gateway will attempt to cancel resting quotes on behalf of the Mass Quote customer. CME Group cannot guarantee that all failure scenarios will necessarily generate the appropriate Quote Cancel messages and/or alert mechanisms. Therefore, client systems submitting Mass Quotes must always explicitly cancel all quotes before logging off. In the case of a disconnection, Mass Quote customers must verify their quote status either by immediately reconnecting and logging in to confirm the quote cancellation, or by calling the GCC to request resubmission of Quote Cancel messages on their behalf.

Cancellation Exception – Out-of-Sequence Cancel All Message

Scenario

Under normal market conditions, CME Globex evaluates inbound messages in the order they are received. However, it is possible, though highly unlikely, that CME Globex may evaluate a Cancel All message prior to evaluating its corresponding Mass Quote message, even if the Mass Quote is sent in before the Cancel All.

In such a scenario, CME Globex cancels all quotes on the book and sends a confirmation to the user. However, the cancellation will NOT include quotes in the Mass Quote message that CME Globex evaluated AFTER the Cancel All message. In such case, the quotes will not appear on the book nor will CME Globex send a cancel confirmation to the user.

Example

A customer sends messages in the following order:

1. Mass Quote 1 to add 50 quotes to the book.

2. Mass Quote 2 to add 25 more quotes to the book (none are cancel/replace).

3. Cancel All. This message is sent almost simultaneously with Mass Quote 2 due as the result of either a hard disconnect or a user entry.

CME Globex platform evaluates the messages in the following order:

1. Mass Quote 1 - CME Globex adds 50 quotes to the system.

2. Cancel All - CME Globex cancels all 50 quotes for Mass Q1 from the book and sends a cancellation confirmation.

3. Mass Quote 2 - CME Globex ignores the quotes in this message. The customer receives no acknowledgment or cancellation information for these 25 quotes.

Comparison of Out-of-Sequence Events

Receiving an Execution Report (tag 35-MsgType=8) Message

The Execution Report includes the QuoteEntryID to indicate:

• Fill Notice if a trade is the result of a quote.

• Trade cancellation (trade "busted" by CME Global Command Center (GCC)

Execution Report Fields Relevant to Mass Quotes