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An order qualifier defines additional characteristics for the order type defined in tag 40-OrdType of the New Order or Cancel/Replace Request (tag 35-MsgType=G) messages.

Order qualifiers include:

Used in combination with tag 59-TimeInForce=3 (FAK) as the minimum quantity for immediate execution.

Display quantity for the order to show on the order book at any given time. When the quantity of the order shown on the book reaches zero, the quantity will be reinstated as this value at the bottom of the order book until the entire quantity is filled.

In CME Eurodollar futures products, the maximum display ratio is 1:60.


Watch this video for an overview and demonstration of Display Quantity Order behavior.

Display Quantity Order video

Feature Files

Expand for logical Display Quantity scenarios.

Max Show Accept
Feature: Configure Max Show Ratio

  Scenario: 1 OriginalQuantity/MaxShowQuantity in order is less than configured maxshowratio, order is accepted
    Given the following:
        * Instrument Group Configurations:
           | groupName |
           | GE        |
        * Contracts:
           | symbol |
           | GEZ0   |
    When the following events occur:
        * instrument group configurations updated in real time:
           | groupName | maxShowRatio |
           | GE        | 60           |
        * the following attributes are updated for contract(s) in real time:
           | securityDescription | settlementPrice |
           | GEZ0                | 9968            |
        * these "new order" message(s) are sent to Globex:
           | identifier | securityDescription | price  | side | orderQty | timeInForce | ordType | maxShow |
           | newOrder1  | GEZ0                | 9968.0 | bid  | 100      | session     | limit   | 2       |
           #Order Quantity/Max Show = 100/2 = 50 which is less than configured Max Show ratio.
    Then the following should happen:
        * expect execution message(s) with values:
           | messageType | securityDescription |
           | order ack   | GEZ0                |

Max Show Reject
Feature: Configure Max Show Ratio

  Scenario: 3 OriginalQuantity/MaxShowQuantity in order is greater than configured maxshowratio, order is rejected
    Given the following:
        * Instrument Group Configurations:
           | groupName |
           | GE        |
        * Contracts:
           | symbol |
           | GEZ0   |
     
    When the following events occur:
        * instrument group configurations updated in real time:
           | groupName | maxShowRatio |
           | GE        | 60           |
        * the following attributes are updated for contract(s) in real time:
           | securityDescription | settlementPrice |
           | GEZ0                | 9968            |
        * these "new order" message(s) are sent to the Globex:
           | identifier | securityDescription | price  | side | orderQty | timeInForce | ordType | maxShow |
           | newOrder1  | GEZ0                | 9968.0 | bid  | 100      | session     | limit   | 1       |
           #Order Quantity/Max Show = 100/1 = 100 which is greater than configured Max Show ratio.
    Then the following should happen:
        * expect execution message(s) with values:
           | messageType  | securityDescription | text                                                                                                                  | ordRejReason |
           | order reject | GEZ0                | Message rejected due to MaxShow ratio violation. 'MaxShow ratio of 100:1 does not meet the ratio requirement of 60:1' | 2190         |

  • 0=Day - order expires at the end of the trading day. This is the default order qualifier; New Order or Cancel/Replace Request messages sent without tag 59-TimeInForce are by default a Day order.
  • 1=Good 'till Cancelled (GTC) - order remains working until cancelled.
  • 6=Good 'till Date (GTD) - order remains working until the end of the trading session of the local market date specified in tag 432-ExpireDate (expire time is not supported).
  • 3=Fill and Kill (FAK) and Fill or Kill (FOK) - order is immediately executed against any available quantity and any remaining quantity is eliminated (FAK) or order is filled completely or else eliminated (FOK).

FOR IMMEDIATE OR CANCEL (IOC) ORDER TYPES (FOK AND FAK) CME GROUP RECOMMENDS THE FOLLOWING:

For proper FAK order submission, tag 59-TimeInForce should be sent=3

For proper FOK order submission, the message format includes tag 110-MinQty with a value that is equal to that submitted in tag 38-Quantity.

See the following for examples of FAK and FOK order behavior:

An FAK order is immediately executed against any available quantity and any remaining quantity is eliminated. FAK orders are accepted during the Open market state only; they will be rejected during any other market state. An FAK order can match according to the following scenarios:

In this example, the FAK buy order matches completely with multiple sell orders at the 8595 price level.

iLink-Order-Qualifiers-FAK-Complete-Fill-Multiple-Orders

In this example, the FAK order matches completely with a single sell order at the 8595 price level.

iLink-Order-Qualifiers-FAK-Complete-Fill-Single-Order

  1. The client receives an Execution Report - Confirmation/Acknowledgment (tag 35-MsgType = 8) where tag 39-OrdStatus and tag 150-ExecType=0, 'New', and tag 151-LeavesQty is set to the original order quantity.
  2. The client then receives an Execution Report - Fill Notice (tag 35-MsgType=8) for a complete fill.

In this example, there is insufficient quantity at the price level of the FAK buy order, so the order is eliminated.

iLink-Order-Qualifiers-FAK-No-Fill

In this example, the FAK buy order matches partially with all available quantity on the book and the remainder is eliminated.

iLink-Order-Qualifiers-FAK-Partial-Fill


An FOK order is either immediately and completely filled against resting orders or eliminated. FOK orders are accepted during the Open market state only; they will be rejected during any other market state.

This example shows how an FOK order is processed when there is insufficient quantity available to completely fill the order.

When an FOK order is unfilled and the order eliminated, the Execution Report sent to the client system is for an eliminated order.

iLink-Order-Qualifiers-Fill-or-Kill