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

Certification is required for customer systems who wish to use Mass Order Status functionality in production. Customers and system providers can certify Mass Order Status functionality using the AutoCert+ tool.

Contents

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

Mass Order Status functionality allows client systems to obtain the statuses of all working orders for an iLink session (tag 49-SenderCompID) 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.

*If a MSGW session submits MOSR for all working orders (tag 585-MassStatusReqType=7), CME Globex will send a Business Level Reject with tag 58-Text=FIX field incorrect 'Order Status for all Orders Not Available on Market Segment Session: '7' tag: 585'.
  • Status for all working orders for a market segment (tag 585-MassStatusReqType=100)
Tag 1300-MarketSegmentID is required when tag 585-MassStatusReqType=100. Tag 1300-Market SegmentID should be added to the Order Mass Status Request (tag 35-MsgType=AF) message to specify the market segment for the products customers want to retrieve mass order status. 

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

Market Identifier
(One Required)

Order identifier
(Optional)

Tag 49-SenderCompID (Required)

Tag 585-MassStatusReqType(Required)

Valid Values:

  • 1=Instrument
  • 3=Instrument Group
  • 7=All Orders
  • 100=Market Segment

Tag 59-TimeInForce

Valid Values:

  • 0=Day
  • 1=Good Till
  • Cancel (GTC)
  • 3=Fill and Kill
  • 6=Good Till Date (GTD)

Tag 5000-OrdStatusReqType (Optional)

Valid Values:

  • 100 (SenderSubID)
  • 101 (Account)
  

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.

Tag 5000-OrdStatusReqType Value

Description

100

Return status for all working orders that match tag 50-SenderSubID under tag 49-SenderCompID

101

Return status for all working orders that match tag 1-Account under tag 49-SenderCompID

If tag 5000-OrdStatusReqType is not included in the Order Mass Status Request (tag 35-MsgType=AF) message, CME Globex will return the statuses for all working orders with the indicated tag 49-SenderCompID value, regardless of the tag 1-Account and tag 50-SenderSubID values.

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.

Tag 585-MassStatusReqType Value

Description

1

Return status for all working orders that match the instrument (tag 107-SecurityDec) under tag 49-SenderCompID

3

Return status for all working orders that match instrument group (tag 55-Symbol) under tag 49-SenderCompID

7

Return status for all working orders under tag 49-SenderCompID

The Order Mass Status Request (35=AF) message must include a valid combination for tag 585-MassStatusReqType and each tag 55-Symbol and tag 107-SecurityDesc.

For example, if the client system submits a Order Mass Status Request (tag 35=AF) message for an instrument (tag 585-MassStatusReqType=1) and includes an invalid combination of tag 107-SecurityDesc and tag 55-Symbol, CME Globex will ignore the value in tag 55-Symbol and return statuses for all working orders for the instrument specified in tag 107-SecurityDesc.

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 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 Acknowledgement (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 Acknowledgement [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.

Tag 912=LastRptRequested indicates that a message is the last reporting message response to a Order Mass Status Request (tag 35-MsgType=AF) message.

  Mass Order Status

Sample Messages

Order Mass Status  Request

8=FIX.4.2|9=702|35=AF|34=1371912|49=ZZA147N|50=147|52=20101017-14:22:00.542|56=CME|57=G|142=US,IL|
369=15880|584=BFGW12ed8hqt|585=3|55=GE|60=20101017-14:22:00.260|1028=N|10=184

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

8=FIX.4.2|9=326|35=8|34=5040|369=188|52=20120509-20:18:17.347|97=N|43=N|49=CME|50=G|56=ZZA650N|
57=650|143=650|1=FalconOrder3|6=0|11=HICAGOBOARDOPTIONSEXCHANGESSFLLC|14=0|17=0|20=3|
584=BFGW12ed8hqt|37=50373411|38=15|39=C|40=2|44=22.5|54=1|55=ZE|58=NA|59=3|60=20120509-20:18:16.877|107=GEM3 P0500|110=0|150=I|151=0|167=OPT|912=N|1028=N|9717=HICAGOMERCANTILEEXCHANGEGROUPINC|10=080

Execution Report - Order Status Request Acknowledgment (Last Message)

8=FIX.4.2|9=326|35=8|34=5040|369=188|52=20120509-20:18:17.347|97=N|43=N|49=CME|50=G|
56=ZZA650N|57=650|143=650|1=FalconOrder3|6=0|11=HICAGOBOARDOPTIONSEXCHANGESSFLLC|
14=0|17=0|20=3|584=BFGW12ed8hqt|37=50373411|38=15|39=C|40=2|44=22.5|54=1|55=ZE|58=NA|59=3|60=20120509-20:18:16.877|107=GEM3 P0500|110=0|150=I|151=0|167=OPT|912=Y|1028=N|9717=HICAGOMERCANTILEEXCHANGEGROUPINC|10=080

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