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The Quote Cancel (tag 35-MsgType=Z) message is used for Mass Quote - Cancellation.

The → symbol indicates a repeating tag.

Tag

Name

FIX Type

Enumeration

Req

Description

Standard Header - Client System to CME Globex




35MsgTypeString(2)Z=Quote CancelYHeader tag identifying message type.

117

QuoteID

String(10)


Y

Client system generated identifier of the message.
Should be unique per message trading session.

298

QuoteCancelType

Int(1)

1=Cancel per instrument

3=Cancel per group code

4=Cancel all quotes

100=Cancel per quote set

Y

Specifies level of quote cancel - by instrument, Product Code, Quote Set ID, or all.

See Mass Quotes - Cancellation.

1028

ManualOrderIndicator

Boolean(1)

Y=manual
N=automated

Y*

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

iLink messages containing a value other than 'Y' or 'N' 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.

5149MemoString(75)
N

Allows users to submit a free-form Note tag with a customer order and persists from order entry through clearing

Note: if tag 5149-Memo value on inbound messages exceeds the max length of 75 bytes, iLink will return a truncated 75 bytes from the right on the response.

295NoQuoteEntriesInt(3)
Y

The number of quotes for the quote set.

→55

Symbol

String(6)

  • For cancel per instrument, cancel per Product Code, and cancel Quote Set, must contain Product Code of contract.
  • Always [N/A] for Cancel All.

Y

Must be the first tag in the repeating group.
This tag contains the Group Code of the instrument.

→107

SecurityDesc

String(20)

Instrument to be cancelled.

C

Instrument identifier.
Example: ESZ0 C115

→302QuoteSetIDString(3)
N*Client system generated identifier of the message. Must be unique per mass quote message per trading session.
→134BidSize

Int(9)


NA value of '0' sent in this tag cancels quotes on this side for the given instrument.
→135OfferSize

Int(9)


NA value of '0' sent in this tag cancels quotes on this side for the given instrument.

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