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Mass Order Cancel provides CME Globex customers an efficient way to cancel all working orders with a single request.

Contents

Client System Implementation Summary

Client implementation of Mass Order Cancel functionality includes the following system considerations:

iLink

Inbound and outbound messages:

Drop Copy

Outbound message:

  • Order Mass Action Report (tag 35-MsgType = BZ)
Market Data Platform

Security Definition (tag 35-MsgType=d) tag 1300-MarketSegmentID

  • A two-byte market segment identifier

Testing and Certification

Certification is required for iLink customers to use Mass Order Cancel functionality in production. Customers and system providers can certify Mass Order Cancel functionality on the AutoCert+ tool.

Certification is required for all Drop Copy customers.

Contact Information

For technical development support, please contact:

 Click here to expand...

Certification Support for Electronic Trading (CSET)

Phone:

United States 312.930.2322

Asia +65 6593-5593

Email: cset@cmegroup.com

For all other inquiries, please contact:

GAM

Email: globalaccountmanagement@cmegroup.com

Global Account Management (GAM)

CME Global Account Management – Chicago

20 S. Wacker Dr.                   
Chicago, IL 60606
Phone: 312.634.8700
Fax: 312.634.1568

CME Global Account Management – London

One New Change, 4th Floor EC4M 9AF London UK
Phone: +44 20 3379 3754
Fax: +44 20 3379 3888

CME Global Account Management – Asia

One Raffles Quay

#27-10 South Tower

Singapore 048583

Phone: +65 6593 5555
Fax: +65 6550 9898

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

Mass Order Cancel does not cancel Mass Quotes.

The Mass Order Cancel allows customers to cancel all working orders for an iLink session (identified by the value in tag 49-SenderCompID) via the Order Mass Action Request message (tag 35-MsgType = CA & tag 1373-MassActionType=3) at the following levels:

  • Cancel orders per instrument (tag 1374-MassActionScope=1)
  • Cancel orders per Instrument Group (tag 1374-MassActionScope=10)
  • Cancel orders per Market Segment ID basis (tag 1374-MassActionScope=9)
Tag 1300-MarketSegmentID is a new FIX tag added in the market data Security Definition (tag 35-MsgType=d) message to allow the client to specify the market segment for which orders will be cancelled on iLink.

Client systems can also optionally specify if they want to exclude the following conditions from being cancelled:

  • Day orders, GTC orders, GTD orders (identified by the value in tag 59-TimeInForce)
  • Limit orders, Stop Limit orders (identified by the value in tag 40-OrdType)
For Mass Order Cancel, Market-Limit Order and Market Order with Protection will rest as a Limit Order. Stop Order will rest as a Stop-Limit Order.
  • Buy or Sell side of the market (identified by the value in tag 54-Side)

Cancel Parameters

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

Entity Identifier

Market Identifier

(One Required)

Order Identifier

(Optional)

Tag 49-SenderCompID (Required)

Tag 55-Symbol

Tag 40-OrdType

Tag 50-SenderSubID (Optional)

Tag 1300-MarketSegmentID

Tag 59-TimeInForce

Tag 1-Account (Optional)

Tag107-SecurityDesc

Tag 54-Side

Entity Identifier

To cancel all working orders for the specific Tag 50-SenderSubID or Tag 1-Account, client system must include the tag 6115-MassCancelRequestType.

If tag 6115 is absent, then Mass Order cancel will cancel all working orders for all tag 1-Account and tag 50-SenderSubID under tag 49-SenderCompID.

Market Identifier

To cancel all working orders for either Market SegmentID, Instrument Group or Instrument, client system must specify the value for tag 1374-MassActionScope in the Order Mass Action Request (tag 35-MsgType=CA) .

Mass Order Cancel must include a valid combination for tag 1374-MassActionScope and each Market Identifier (tag 1300-MarketSegmentID, tag 55-Symbol, tag 107-SecurityDesc).
For example, if the client system submits Order Mass Action Request (tag 35-MsgType=CA) for MarketSegmentID (tag1374-MassActionScope=9) and includes both tag 1300-MarketSegementID and tag 55-Symbol, CME Globex will ignore the value in tag 55-Symbol and cancel all working orders for the market segment specified in tag 1300-MarketSegementID.

Order Identifiers

The use of order identifier parameters is optional.

  • If any order identifiers (tag40-OrdType, tag 59-TimeInForce, tag54-Side) are present, only working orders that meet the criteria will be cancelled.
  • If none are present, all working orders in that Mass Order Scope will be cancelled.

Fragmentation

If there are too many entries within a repeating group to fit into one Order Mass Action Report, then the entries can be continued in another Order Mass Action Report with  these parameters:

  • Tag 1369-MassActionReportID

- If fragmented, then all messages must have the same value.

  • Tag 533-TotalAffected Orders

- If fragmented, then this is the sum of NoAffectedOrders across all messages with the same MassActionReportID.

  • Tag 534-NoAffectedOrders
  • Tag 893-LastFragment

- Fragment tag to indicate if the report is complete.

The maximum number of cancelled orders listed in one Order Mass Action Report is configured to 200.

Examples

  • Mass Action Report ID=7450, Total Affected Orders=350, NoAffectedOrders=200, Last Fragment=N
  • Mass Action Report ID=7450, Total Affected Orders=350, NoAffectedOrders=150, Last Fragment=Y

Messaging Scenarios

Upon submission of an Order Mass Action Request, CME Globex will respond to indicate whether the request is successful or not as follows.

Request Accepted, All Orders Processed

The Order Mass Cancel Report (tag 35-MsgTyp=BZ & tag 1375-MassActionResponse=1) message will contain a repeating tag group identifying the attributes of each cancelled order including:

  • tag 41-OrigClOrdID
  • tag 84-CxlQty
  • tag 535-AffectedOrderID

Request Accepted, No Orders Cancelled

If the Order Mass Action Request is accepted but order cancels cannot be processed e.g. due to a restricted instrument state, the Order Mass Action Report message will indicate that no orders could be cancelled (tag 533-TotalAffectedOrders=0).

Request Accepted, Some Orders Cancelled

If a subset of orders could not be cancelled, the Order Mass Action Report message will contain a list of successfully cancelled orders only.

The individual cancel reject messages will not be sent and nor will the Report explicitly call out which orders could not be cancelled.

Request Rejected

If the Order Mass Action Request is rejected, the reason will be specified in the Business Level Reject (tag 35-MsgTyp = j).

The following diagram illustrates the conditions described above .

MassOrderCancelFlow

Sample Error TEXT (tag 58)

 Click here to expand a list of error text examples

Client Order ID

Missing – CltOrdId (11) tag is not present

All Spaces – tag CltOrdId (11) cannot contain spaces only

Mass Action Type

Missing – MassActionType (1373) tag is not present

All Spaces – tag MassActionType (1373) cannot contain spaces only

Mass Action Scope

Missing – MassActionScope (1374) tag is not present

All Spaces – tag MassActionScope (1374) cannot contain spaces only

Unrecognized – FIX field incorrect 'Unhandled mass action scope: '2' tag: 1374'

Market Segment ID

Conditionally Required Missing – MarketSegmentID (1300) tag is not present

Unrecognized – FIX field incorrect 'Invalid market segment ID: '90' tag: 1300' (could be extended to apply to all invalid values such as all spaces or greater than max length)

Symbol

Conditionally Required Missing – Symbol (55) tag is not present

Unrecognized – FIX field incorrect 'Invalid symbol: 'DOL' tag: 55' (could be extended to apply to all invalid values such as all spaces or greater than max length)

Security Desc

Conditionally Required Missing – Security Desc (107) tag is not present

Unrecognized – FIX field incorrect 'Invalid security desc: 'BOVAR1' tag: 107' (could be extended to apply to all invalid values such as all spaces or greater than max length)

Drop Copy

Mass Order Cancel messaging will send one new message type, Order Mass Action Report (tag 35-MsgType=BZ) for Drop Copy processing as shown in the diagram below.

The Order Mass Action Report (tag35-MsgType=BZ) message sent over Drop Copy contains the header tags (e.g. tag 797-CopyMsgInd) of  Drop Copy Application messages to support management of Source session application message sequencing.

 

MassOrderCancelMessageFlow

Market Data Platform

Tag 1300-MarketSegmentIDon the market data Security Definition (tag 35-MsgType=d) message identifies the market segment by which an order can be cancelled.

Security Definition (tag 35-MsgType=d)

Tag

FIX Name

Valid Values

Format

Description

1300

MarketSegmentID

 

Int

Identifies the market segment. Populated for all CME Globex instruments.

Sample Messages

Order Mass Action Request

8=FIX.4.2|9=702|35=CA|34=1371912|49=ZZA147N|50=147|52=20101017-14:22:00.542|56=CME|57=G|142=US,IL|369=15880|11=BFGW12ed8hqt|1373=3|1374=9|1300=50|6115=100|54=1|60=20101017-14:22:00.260|1028=N|10=184

Order Mass Action Report Accepted

8=FIX.4.2|9=702|35=BZ|34=1371913|49=CME|50=G|52=20101017-14:22:00.942|56=ZZA147N|57=147|143=US,IL|11=BFGW12ed8hqt|1369=7450|1373=3|1374=9|1375=1|533=3|534=3| 41=ORD:50659-34450659|84=10|535=743067542|41=ORD:50659-34450660|84=15|535=743067543|41=ORD:50659-34450661|84=20|535=743067544|893=Y|1300=50|6115=100|54=1|60=20101017-14:22:00.960|1028=N|10=184

Business Level Reject

8=FIX.4.2|9=169|35=j|34=45007|369=42527|52=20130405-16:24:14.470|49=CME|50=G|56=PPX125N|57=JIM|143=CH,IL|45=42527|58=MassActionScope (1374) tag is not Present|372=CA|379=PPX42527|380=0|10=236

Order Mass Action Report Accepted (no orders cancelled)

8=FIX.4.2|9=702|35=BZ|34=1371913|49=CME|50=G|52=20101017-14:22:00.942|56=ZZA147N|57=147|143=US,IL|11=BFGW12ed8hqt|1369=7450|1373=3|1374=9|1375=1|533=0||893=Y|1300=50|6115=100|54=1|60=20101017-14:22:00.960|1028=N| 10=184

Order Mass Action Report Accepted - Fragmented Report

8=FIX.4.2|9=255|35=BZ|34=0|49=CME|50=G|52=20130604-12:49:32.222|56=SM1123N|57=DUMMY|143=CH,IL|1028=N|11=SM1578596|1369=501080:110|1373=3|1374=10|1375=1|533=6|534=5|41=SM1578590|84=1|535=50753460|41=SM1578591|84=2|535=50753461|41=SM1578592|84=3|535=50753462|41=SM1578593|84=4|535=50753463|41=SM1578594|84=5|535=50753464|893=N|55=F5|60=20130604-12:49:32.044|10=109|

8=FIX.4.2|9=131|35=BZ|34=0|49=CME|50=G|52=20130604-12:49:32.223|56=SM1123N|57=DUMMY|143=CH,IL|1028=N|11=SM1578596|1369=501080:110|1373=3|1374=10|1375=1|533=6|534=1|41=SM1578595|84=6|535=50753465|893=Y|55=F5|60=20130604-12:49:32.044|10=055|
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