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An Order Mass Action Request is sent by the client system to cancel working orders for a particular SenderCompID.

35=CA

Tag

Name

Binary Type

Binary Length

Req

Enumeration

Description

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.
2422OrderRequestIDuInt648Y

Use OrderRequestID to identify a request to enter, modify, or delete an order. Echoed back on the Order Mass Action Report response.

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

9726SeqNumuInt324Y

Sequence number assigned to this message.

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

5392SenderIDString20Req20Y

For futures and options markets: represents Operator ID.

For EBS and 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.

1373MassActionTypeMassAction0Y
  • Cancel=3

Specifies the type of action requested.

5297SendingTimeEpochuInt648Y
Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.
1151SecurityGroupStringLength66N

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

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.

Note: this field is optional for EBS Market and eFIX Matching Service instruments.

48SecurityIDInt32NULL4N

Conditionally required if MassActionScope=”Instrument” (tag 1374=1). Will be ignored if present for any MassActionScope other than Instrument.

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

Specifies the scope of the action.

1300MarketSegmentIDuInt8NULL1N

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

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 all orders belonging to Session and Firm combination will be cancelled for specified MassActionScope.

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

If present only orders belonging to one side will be cancelled.

If absent orders belonging to both sides will be cancelled.

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

If present 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 present then only orders with this qualifier will be cancelled.

If absent then all Day & GT orders will be cancelled.

9373LiquidityFlagBooleanNULL1N
  • 0=False
  • 1=True

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

Applicable only for EU BrokerTec.