iLink - Positive IFM Scenario - IFM CXR Order Quantity Greater than Filled Quantity

In the positive IFM scenario, the cancel/replace quantity is greater than that of the quantity filled against the resting order while cancel/replace request is 'in flight'.

IFM is enabled by having tag 9768-OFMOverride=Y in the Order Cancel/Replace Request (tag 35-MsgType=G) message.

The following example shows how CME Globex updates the working quantity with IFM ennabled.

1. Original Order - Buy quantity 5 @ 885.

Example Message

8=FIX.4.2|9=217|35=D|34=1993|49=qa5649P|50=dummy|52=20091216-19:21:41.109|56=CME|142=Brio|
1=Brio-7101025|11=qa51993|21=1|38=5|40=2|44=885.0000000|54=1|55=LO|57=G|59=0|
60=20091216-19:21:41.109|107=LOU2 C7750|204=1|9702=1|9717= qa51993|10=049A

Assume one order at given price level 885.

LOU2 C7750

LOU2 C7750
Bid		Ask
Quantity	Price	Price	Quantity
5	885	889	12
7	887	891	8
15	887	891	15

2. Incoming sell order matches for 4 @ 885 - Buy quantity 1 remains working.
Order Matches 4 @ 885

LOU2 C7750

LOU2 C7750
Bid		Ask
Quantity	Price	Price	Quantity
1	885	889	12
7	887	891	8
15	888	893	15

3. Cancel/Replace the original order with an order to buy 10 @ 885 - CME Globex keeps 6 on the book (new quantity 10 - filled quantity 4).

Example Message

8=FIX.4.2|9=248|35=G|34=1994|49=qa5649P|50=dummy|52=20091216-19:22:14.338|56=CME|142=Brio|1=Brio7101025| 11=qa51994|21=1|37=565870255|38=10|40=2|41=qa51993|44=885.0000000|54=1|55=LO|57=G|59=0|60=20091216-19:22:14.338|107=LOU2 C7750|204=1|9702=1|9717=qa51993|9768=Y|10=190

Keep 6 on the Book

LOU2 C7750

LOU2 C7750
Bid		Ask
Quantity	Price	Price	Quantity
6	885	889	12
7	887	891	8
15	888	893	15