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This topic provides the Order Mass Action Report (tag 35-MsgType=BZ) message specification.

Order Mass Action Report (tag 35-MsgType=BZ) is sent by the CME Globex platform to the client system to confirm the number of orders cancelled by the Order Mass Action Request.

Tag

Name

FIX Type

Enumeration

Req

Description

Standard Header - CME Globex to Client System




35MsgTypeString(2)BZ=Order Mass Action ReportYHeader tag identifying message type.

11

ClOrdID

String(32)


Y

Unique ID of Order Mass Action Request as assigned by the customer.

1369

MassActionReportID

String(20)


Y

Unique ID of Order Mass Action Report. If fragmented then all messages must have the same value.

1373

MassActionType

Int(1)

3=Cancel Orders

Y

Specifies the type of action requested.

1374

MassActionScope

Int(1)

1=Instrument

9=Market Segment

10=Group Code

Y

Specifies the scope of the action.


1375

MassActionResponse

Int(1)

1=Accepted

Y

Indicates if request was accepted.

533

TotalAffectedOrders

Int(7)


Y

Total number of orders affected by the Order Mass Action Request. Will be returned as zero for rejects or if request is accepted but no orders could be cancelled. If fragmented, then this is the sum of NoAffectedOrders across all messages with the same MassActionReportID. Otherwise will have same value as NoAffectedOrders when one or more orders is cancelled.  

534

NoAffectedOrders

Int(7)


N

Total number of order identifiers affected by the Order Mass Action Request. Only used if orders could actually be cancelled. Must be followed by OrigCIOrdID.

→41

OrigCIOrdID

String(20)


C

Required if NoAffectedOrders > 0 and must be the first repeating field in the group. Indicates the CIOrdID of an order cancelled by this request.

→84

CxlQty

Qty(9)

C

Total quantity cancelled for this order.

535

AffectedOrderID

String(17)

C

Order ID of an order cancelled by a mass action request.

1300

MarketSegmentID

Int(2)


C

Specifies the market segment for which working orders should be cancelled.

55

Symbol

String(6)


C

Specifies the Group Code for which working orders should be cancelled.

107

SecurityDesc

String(20)


C

Specifies the Instrument for which working orders should be cancelled.

6115

MassCancelRequestType

Int(3)

100=SenderSubID

101=Account

N

Specifies the scope of the Order Mass Action Request within the context of Sender Comp ID. If absent then all orders belonging to Sender Comp ID will be cancelled for specified Mass Action Scope.

1

Account

String(12)


C

If provided then orders belonging to Account & Sender Comp ID will be cancelled for specified Mass Action Scope.

54

Side

Char(1)

1=Buy

2=Sell

N

If present then only orders belonging to one side will be cancelled. If not sent, orders belonging to both sides will be cancelled.

40

OrdType

Char(1)

1=Market Protect

2=Limit

4=Stop Limit

K=Market Limit

N

If provided then only orders of this type will be cancelled. If absent then all orders will be cancelled. Stop Protect orders rest on the book as Stop Limit. Market Protect & Market Limit orders rest on the book as Limit but are required to be referenced as Market Protect & Market Limit only.

59

TimeInForce

Char(1)

0=Day

1=Good Till Cancel (GTC)

6=Good Till Date (GTD)

N

If present then only orders with this qualifier will be cancelled. If not present, all Day & GT orders will be cancelled.

Note: FAK orders are not cancelled since they do not rest on the book.        

60

TransactTime

UTCTimestamp(21)


Y

Time of execution/creation; expressed in UTC.

1028

ManualOrderIndicator

Boolean(1)

N=No (Electronic)

Y=Yes (Manual)

Y*

Indicates if the request was initially received manually (as opposed to electronically).

893LastFragmentBoolean(1)

N=Not Last Message

Y=Last Message
YIndicates whether the message is the last message in a sequence of messages to support fragmentation.

58

Text

String(200)


N

Reason orders could not be cancelled.

5979RequestTimeInt(20)
NInformation carried on a response to convey the time (UTC) when the request was received by the MSGW application. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.
Standard Message Trailer



End of message.
Y: Required by FIX protocol, Y*: Required by CME Globex (not by FIX protocol), N: Not Required, C: Conditionally