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An Order Mass Action Report is used to acknowledge an Order Mass Action Request.

35=BZ

Tag

Name

Binary Type

Binary Length

Req

Enumeration

Description

9726SeqNumuInt324Y

Sequence number assigned to this message.

The max value is 999999999 which is 1 short of 1 billion.

39001UUIDuInt648Y
Matches Establish.UUID used to establish the connection.
5392SenderIDString20Req20Y

For futures and options markets: represents Operator ID.

For fixed income markets: represents the Entering Trader.

This value represents the individual or team submitting the message and is subject to registration requirements and character limits as required by Rule 576 and the Advisory below: 

https://www.cmegroup.com/rulebook/files/cme-group-Rule-576.pdf

In FirmSoft and Global Command Center queries for order status and cancellations, this value must be exact.

1505PartyDetailsListReqIDuInt648Y

The unique identifier of the Party Details Definition Request Acknowledgment associated with this message; this is the value submitted on the inbound message.

For pre-registered messages:

  • Unique ID from Party Details Definition Request Acknowledgment message
  • PartyDetailsListRequestID≠0.

For on-demand messages:

  • If not registered beforehand through iLink then Party Details Definition Request message will be sent along with the business message and will immediately precede it
  • PartyDetailsListRequestID=0.
60TransactTimeuInt648Y

Time the transaction represented by this Execution Report (35=8) occurred. Expressed as nanoseconds since epoch time.

UNDER DEVELOPMENT. Currently sent in microseconds.

5297SendingTimeEpochuInt648Y
Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.
2422OrderRequestIDuInt648Y

OrderRequestID used to identify an OrderMassActionRequest and echo the value on the corresponding OrderMassActionReport

For the unsolicited events (e.g. fills and end of day  eliminations), echo the value on the ExecutionReport representing the last accepted OrderRequestID on the corresponding order.

1369MassActionReportIDuInt648Y
Unique ID of Order Mass Action Report as assigned by CME. If fragmented, then all messages must have the same value.
1373MassActionTypeMassAction0Y
  • Cancel=3

Specifies the type of action requested.

Constant value.

1151SecurityGroupStringLength66N

Specifies the Product Group for which working orders should be cancelled. Conditionally present if MassActionScope=“Product Group” (tag 1374=10).

9537LocationString5Req5Y

ISO identifier of the physical location of the individual or team head trader identified by the tag 5392 (SenderID) in the message.

The first two bytes as per ISO 3166-1, identify the country (e.g., JP = Japan, CN = China).

The next three bytes indicate a comma-delimited state or province code (e.g., CA = California, QC = Quebec).

For valid values, refer to ftp.cmegroup.com/fix/coo

Market Regulation requires only the submission of the two first characters of tag 9537-Location for all countries with the exception of Canada. For Canada, the 5 bytes including the province code must be submitted.
48SecurityIDInt32NULL4N

Conditionally present if MassActionScope=”Instrument” (tag 1374=1).

5904DelayDurationuInt16NULL2N

Not currently being used.

1375MassActionResponseMassActionResponse1Y
  • 0=Rejected
  • 1=Accepted
Specifies the action taken by CME when it received the Order Mass Action Request.
1028ManualOrderIndicatorManualOrdIndReq1Y
  • 0=Automated
  • 1=Manual

Indicates if the message was initially received manually.

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

iLink messages containing a value other than '0' or '1' 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.

https://www.cmegroup.com/rulebook/files/cme-group-Rule-536-B-Tag1028.pdf

1374MassActionScopeMassActionScope1Y
  • 1=Instrument
  • 7=All
  • 9=Market Segment ID
  • 10=Product Group
  • 100=Quote Set ID (for future use)

Specifies the scope of the action.

533TotalAffectedOrdersuInt81Y

Total number of orders affected by the Order Mass Action Request. Will be returned as zero for rejects or if 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.

893LastFragmentBooleanFlag1Y
  • 0=Not Last Message
  • 1=Last Message
Indicates whether the message is the last message in a sequence of messages to support fragmentation.
1376MassActionRejectReasonuInt8NULL1N
Not currently being used.
1300MarketSegmentIDuInt8NULL1N

Specifies the market segment (physical match engine partition) for which working orders should be cancelled. Conditionally present if MassActionScope=”Market Segment” (tag 1374=9)

6115MassCancelRequestTypeMassCxlReqTyp1N
  • MassCancelRequestType=100 (Operator ID)

  • MassCancelRequestType=101 (Account) 

If present – specifies the scope of the Order Mass Action Request within the context of Session and Firm. If absent then all orders belonging to Session and Firm combination will be cancelled for specified MassActionScope.

54SideSideNULL1N
  • Side=1 (Buy)
  • Side=2 (Sell)

If provided then only orders belonging to one side will be cancelled. If absent then orders belonging to both sides will be cancelled.

40OrdTypeMassActionOrdTyp1N
  • OrdType=2 (Limit)
  • OrdType=4 (StopLimit)

If provided then only orders of this type will be cancelled. If absent then all order types will be cancelled.

59TimeInForceMassCancelTIF1N
  • TimeInForce=0 (Day)
  • TimeInForce=1 (GTC)
  • TimeInForce=6 (GTD)

If provided then only orders with this qualifier will be cancelled. If absent then all Day & GT orders will be cancelled.

9553SplitMsgSplitMsg1N
  • 0=Split Msg Delayed
  • 1=Out of Order Msg Delayed
  • 2=Complete Msg Delayed

Indicates if a message was delayed as a result of:

  • being split among multiple packets (0)
  • TCP re-transmission (1)
  • due to a previously submitted split or out of order message (2).

If absent, the message was not delayed and was neither split nor received out of order.

9373LiquidityFlagBooleanNULL1N
  • 0=False
  • 1=True

Indicates if an order was submitted for market making obligation as required for MIFID.

Applicable only for EU BrokerTec.

9765PossRetransFlagBooleanFlag1Y
  • 0=False
  • 1=True

Flags message as possible retransmission or duplicate

Indicates if message is an original transmission or duplicate in response to Retransmission Request or possible duplicate

Used when original messages are interleaved with Retransmission responses

Possible duplicate means the same message may have been sent again with different sequence number

534NoAffectedOrdersgroupSize3N
Total number of order identifiers affected by the Order Mass Action Request. Only used if orders could actually be cancelled ,otherwise will be set to zero. Must be followed by OrigCIOrdID.
→41OrigCIOrdIDString20Req20Y
Contains the ClOrd of the cancelled order.
→535AffectedOrderIDuInt648Y
Order ID of an order cancelled by a Mass Action Request.
→84CxlQuantityuInt324Y
Total quantity cancelled for this order.
7552DelayToTimeuInt64NULL8N

Indicates the amount of time in nanoseconds that a message was subject to additional processing as a result of being:

  • split among multiple packets (tag 9553=0)
  • out-of-order (tag 9553=1)
  • a previously submitted split message (tag 9553=2)

Subtracting this number from tag 60-TransactTime will represent original received time of in-flight message.