Mass Order Status functionality for iLink provides an efficient way to obtain statuses for all working orders with a single request.

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Mass Order Status Functionality on iLink

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

• iLink 2 Order Mass Status Request

• Order Status Acknowledgment (tag 35-MsgType=8, tag 150-ExecType=I)

Mass Order Status functionality allows client systems to obtain the statuses of all working orders for an iLink SenderCompID (FIX tag 49) via the Order Mass Status Request (tag 35-MsgType=AF) message at the following levels:

• Status for all working orders for an instrument (tag 585-MassStatusReqType=1)

• Status for all working orders for an instrument group (tag 585-MassStatusReqType=3)

• Status for all working orders (tag 585-MassStatusReqType=7) *only available for CGW sessions.
  
  

• Status for all working orders for a market segment (tag 585-MassStatusReqType=100)
  
  

Client systems can also optionally request the statuses only for working orders with the following order qualifiers:

• Day orders (tag 59-TimeInForce=0)

• GTC orders (tag 59-TimeInForce=1)

• GTD orders  (tag 59-TimeInForce=6)

Mass Order Status Request Parameters

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

Entity Identifier

To obtain the statuses of all working orders for the specific tag 50-SenderSubID or tag 1-Account values, the client system must include tag 5000-OrdStatusReqType in the Order Mass Status Request (tag 35-MsgType=AF) message.

Market Identifier

To obtain statuses for all working orders, a specific instrument, or a specific instrument group, the client system must specify the value for tag 585-MassStatusReqType in the Order Mass Status Request (tag 35-MsgType=AF) message.

Order Identifiers

The use of order identifier parameters is optional.

• If the order identifier (tag 59-TimeInForce) is present, only the statuses for working orders that meet the criteria will be returned.

• If no order identifier is present, all working orders under the specified tag 49-SenderCompID will be returned.

Message Processing

Upon submission of a iLink 2 Order Mass Status Request message:

1. If the Mass Order Status Request is accepted, CME Globex will respond with individual Execution Report: Order Status Request Acknowledgment (tag 35-MsgType=8, tag 150-ExecType=I) messages, indicating the order status (tag 39-OrdStatus) for all orders matching the criteria provided on the request.

2. If the Mass Order Status Request is accepted, but no orders are found, CME Globex will respond with individual Execution Report: Order Status Request Acknowledgment [tag 35-MsgType=8, tag 150-ExecType=I, tag 39-OrdStatus=U (Unknown)] messages, with tag 58-Text=Order Status Not Found.

3. If the Mass Order Status Request is rejected (i.e., missing required tags, invalid FIX tags, etc.), the message is rejected with a Business Level Reject (tag 35-MsgType=j) message.

The following diagram shows the message flow for the individual Execution Report: Order Status Acknowledgment (tag 35-MsgType=8, tag 150-ExecType=I) messages.

Sample Messages

Order Mass Status  Request

Execution Report - Order Status Request Acknowledgment (Not Last Message)

Execution Report - Order Status Request Acknowledgment (Last Message)