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In the negative IFM scenario, the cancel/replace quantity is less than that of the quantity filled against the resting order while the Order Cancel/Replace Request (tag 35-MsgType=G) message is 'in flight'. With IFM enabled, the following example shows how CME Globex updates the working quantity.

1.  Original Order Buy Quantity 10 @ 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=10 | 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=049 |

Buy 10@ 885

LOU2 C7750




Bid
Ask
QuantityPricePriceQuantity

10

885

889

12

7

887

891

8

15

888

893

15


2.  Incoming Sell order matches for 6 @ 885, Buy quantity 4 remains working

Buy 1 @ 885

LOU2 C7750




Bid
Ask
QuantityPricePriceQuantity

4

885

889

12

7

887

891

8

15

888

893

15


3.  Cancel/Replace the original order with an order to buy 5 @ 885 - CME Globex cancels the order because the new quantity of 5 is less than the filled quantity of 6..

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=Brio-7101025 |11=qa51994 |21=1 |37=565870255 |38=5 |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