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The Quote Cancel message is used by a market maker to cancel all quotes or a partial set of quotes submitted during a specific session which are still tradeable and have not been rejected or expired. This message can be used to:

  • Cancel all active quotes
  • Cancel all active quotes for a Product Group
  • Cancel individual quotes for an instrument
  • Cancel all active quotes for a Quote Set per side
  • Quote Cancel messages are processed upon receipt by CME regardless of whether the corresponding resting quotes are completely or partially filled

35=Z

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.
5297SendingTimeEpochuInt648Y


Time when the message is sent. 64-bit integer expressing the number of nano seconds since midnight January 1, 1970.
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.

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.

117QuoteIDuInt324Y

Client system generated identifier of the Quote Cancel message.

Must be unique per message trading session.

298QuoteCancelTypeQuoteCxlTyp1Y
  • 1=Cancel for Instrument
  • 3=Cancel for Security Group
  • 4=Cancel All Quotes
  • 100=Cancel for Quote Set

Identifies the type of Quote Cancel. Cancel can an be by instrument, quote set, product group, or all.

9373LiquidityFlagBooleanNULL1N
  • 0=False
  • 1=True

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

Applicable only for EU BrokerTec.

295NoQuoteEntriesgroupSize3Y
  • minValue=1
  • maxValue=15

The number of quote entries for quote sets, instruments, product group, or cancel all.

298=1 → 1 to 15

298=3 → 1

298=4 → 1

298=100 → 1 (for cancel by quote set a product group has to be specified here)

→1151SecurityGroupStringLength66Y

A designation assigned a group of related securities which may be concurrently affected by market events and actions.

Must be first field in the repeating group.

Should contain [N/A] for cancel all.

All quote sets and individual instruments must belong to a specific product group; the first determines the group to be applied for the rest of the repeating group entries.

→48SecurityIDInt32NULL4N

Should be conditionally populated only for 298=1 (cancel for instrument).

Will be ignored if present for any QuoteCancelType other than Instrument.

296NoQuoteSetsgroupSize3N
  • minValue=1
  • maxValue=15

The number of sets of quotes in the message. Conditionally required if 298=100.

Set the groupSize to 0 when not required.

→134BidSizeuInt32NULL4N

Should be conditionally populated and set to zero only for 298=100 (cancel for Quote Set) to cancel all buy side quotes for Quote Set ID.

Will be ignored if present for any QuoteCancelType other than Quote Set.

→135OfferSizeuInt32NULL4N

Should be conditionally populated and set to zero only for 298=100 (cancel for Quote Set) to cancel all sell side quotes for Quote Set ID.

Will be ignored if present for any QuoteCancelType other than Quote Set.

→302QuoteSetIDuInt162Y

Should be conditionally populated only for 298=100 (cancel for Quote Set).

Will be ignored if present for any QuoteCancelType other than Quote Set.