iLink 3 Quote Cancel Acknowledgment

9726

SeqNum

uInt32

4

Y

Sequence number assigned to this message.

The max value is 999999999 which is 1 short of 1 billion.

39001

UUID

uInt64

8

Y

Matches Establish.UUID used to establish the connection.

58

Text

String256

256

N

Reject reason details.

Used only for descriptive rejects.

5392

SenderID

String20Req

20

Y

For futures and options markets: represents Operator ID.

For EBS and fixed income markets: represents the Entering Trader. For EBS this value must be 3 characters.

This value represents the individual or team submitting the message and is subject to registration requirements and character limits as required by Rule 576 and the Advisory below: 

https://www.cmegroup.com/rulebook/files/cme-group-Rule-576.pdf

In FirmSoft and Global Command Center queries for order status and cancellations, this value must be exact.

1505

PartyDetailsListReqID

uInt64

8

Y

The unique identifier of the Party Details Definition Request Acknowledgment associated with this message; this is the value submitted on the inbound message.

For pre-registered messages:

• Unique ID from Party Details Definition Request Acknowledgment message

• PartyDetailsListRequestID≠0.

For on-demand messages:

• If not registered beforehand through iLink then Party Details Definition Request message will be sent along with the business message and will immediately precede it

• PartyDetailsListRequestID=0.

5979

RequestTime

uIn64

8

Y

Time (UTC) the request was received by the MSGW. UTC timestamps are sent in number of nanoseconds since the UNIX epoch with microsecond precision.

5297

SendingTimeEpoch

uInt64

8

Y

Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.

9774

CancelledSymbol

StringLength6

6

Y

Security Group cancelled for a Quote Cancel acknowledgment.

9537

Location

String5Req

5

Y

ISO identifier of the physical location of the individual or team head trader identified by the tag 5392 (SenderID) in the message.

The first two bytes as per ISO 3166-1, identify the country (e.g., JP = Japan, CN = China).

The next three bytes indicate a comma-delimited state or province code (e.g., CA = California, QC = Quebec).

For valid values, refer to 

https://www.cmegroup.com/ftp/fix/coo/. 

Market Regulation requires only the submission of the two first characters of tag 9537-Location for all countries with the exception of Canada. For Canada, the 5 bytes including the province code must be submitted.

117

QuoteID

uInt32

4

Y

Unique identifier for Quote Cancel message.

300

QuoteRejectReason

uInt16NULL

2

N

1=Unknown symbol (security)
2=Exchange (Security) closed
3=Quote request exceeds limit
5=Unknown quote
6=Duplicate quote
7=Invalid bid/ask spread
8=Invalid price
9=Not authorized to quote security
20=Too many rejects and cancel Product Code*
98=Market maker protection*
99=Missing account number or 'other' reason*
*CME defined value

Contains reason (error code) the corresponding Request for Quote message has been rejected.

5904

DelayDuration

uInt16NULL

2

N

Not currently being used.

1028

ManualOrderIndicator

ManualOrdIndReq

1

Y

• 0=Automated

• 1=Manual

Indicates if the message was initially received manually.

'0' indicates the message was generated by automated trading logic.

iLink messages containing a value other than '0' or '1' in this tag will be rejected.

This tag is subject to Rule 536.B.2 Electronic Audit Trail Requirements for Electronic Order Routing/Front-End Systems.

https://www.cmegroup.com/rulebook/files/cme-group-Rule-536-B-Tag1028.pdf

297

QuoteStatus

QuoteCxlStatus

1

Y

• 1=Cancel per Instrument

• 3=Cancel for Security Group

• 4=Cancel All Quotes

• 5=Rejected

• 100=Cancel per Quote Set

Identifies the type of Quote Cancel. A working quote can be cancelled by providing either it's instrument, quote set, product group, or by cancelling all.

9772

NoProcessedEntries

uInt32

1

Y

Number of quotes that have been accepted from the corresponding inbound message.

9773

MMProtectionReset

BooleanFlag

1

Y

• 0=False

• 1=True

Set to '1' on the Quote Cancel Acknowledgment message sent after Market Maker Protection is triggered and all resting quotes are cancelled for that particular group (tag 297=3).

9765

PossRetransFlag

BooleanFlag

1

Y

• 0=False

• 1=True

Flags message as possible retransmission or duplicate

Indicates if message is an original transmission or duplicate in response to Retransmission Request or possible duplicate

Used when original messages are interleaved with Retransmission responses

Possible duplicate means the same message may have been sent again with different sequence number

9775

UnsolicitedCancelType

CharNULL

1

N

iLink 2 Tag 9775-UnsolicitedCancelTypes Table of Values

Type of Quote Cancel generated by CME. Returned only for unsolicited quote cancels.

9553

SplitMsg

SplitMsg

N

• 0=Split Msg Delayed

• 1=Out of Order Msg Delayed

• 2=Complete Msg Delayed

Indicates if a message was delayed as a result of:

• being split among multiple packets (0)

• TCP re-transmission (1)

• due to a previously submitted split or out of order message (2).

If absent then the message was not delayed, split, or received out of order.

304

TotNoQuoteEntries

uInt8NULL

1

N

Total number of quotes for the quote set across all messages.

Will be populated only for enumerated rejects for Cancel by Instrument.

9373

LiquidityFlag

BooleanNULL

1

N

• 0=False

• 1=True

Indicates if an order was submitted for market making obligation as required for MIFID.

Applicable only for EU BrokerTec.

295

NoQuoteEntries

groupSize

3

Y

The number of quote entries for a quote set.

Populated only for enumerated rejects for Cancel by Instrument.

→299

QuoteEntryID

uInt32

4

Y

Unique identifier for a quote. The QuoteEntryID stays with the quote as a static identifier even if the quote is updated. For fills, this value is transposed into client order ID (tag 11).

→48

SecurityID

Int32

4

Y

Security ID as defined in the market data Security Definition message.

→368

QuoteEntryRejectReason

uInt8

1

Y

Reject codes

Reason (error code) quote has been rejected.

296

NoQuoteSets

groupSize

3

N

The number of sets of quotes in the message.

Will be populated only for enumerated rejects for Cancel by Quote Set.

→302

QuoteSetID

uInt16

2

Y

Unique ID for the Quote Set.

Customers must assign an identifier between 1-999

→9030

QuoteErrorCode

uInt16

2

Y

1=Unknown symbol (Security)

2=Exchange (Security) closed

4=Too late to enter

6=Duplicate quote set ID (if CME Globex already processed this quote set ID in the same message)

9=Not authorized to quote security

Reason (error code) quote set cancel has been rejected.

7552

DelayToTime

uInt64NULL

8

N

Indicates the amount of time in nanoseconds that a message was subject to additional processing as a result of being:

• split among multiple packets (tag 9553=0)

• out-of-order (tag 9553=1)

• a previously submitted split message (tag 9553=2)

Subtracting this number from tag 60-TransactTime will represent original received time of in-flight message.

9937

OrigOrderUser

String8

8

N

Represents the original SenderComp for whom orders or quotes are to be cancelled.

2807

CancelText

String8

8

N

Represents the SenderComp which initiates the cancellation of orders or quotes for the original SenderComp.

9182

QuoteEntryOpen

BooleanNULL

1

N

A boolean value indicating whether or not new quotes should be rejected for the SenderComp for whom quotes are being cancelled; also used to reset such a block on Mass Quotes being sent by the blocked SenderComp.