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Quote Cancel Acknowledgment message is used in response to a Quote Cancel message to either accept it or reject it.

35=b, 297=1,3,4,100

Tag

Field Name

Binary Type

Binary Length

Req

Enumeration

Description

9726SeqNumuInt324Y
Sequence number assigned to this message.
39001UUIDuInt648Y
Matches Establish.UUID used to establish the connection.
58TextString256256N


Reject reason details.

Used only for descriptive rejects.

5392SenderIDString20Req20Y

For futures and options markets:

Operator ID.

Should be unique per Firm ID.

Assigned value used to identify specific message originator.

Represents last individual or team responsible for the system that modifies the order prior to submission to CME Globex.

For fixed income markets: represents the Entering Trader.

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 Ack message will be sent along with the business message and will immediately precede it
  • PartyDetailsListRequestID=0.
5979RequestTimeuIn648Y
Time (UTC) the request was received by the MSGW. UTC timestamps are sent in number of nanoseconds since the UNIX epoch with microsecond precision.
5297SendingTimeEpochuInt648Y
Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970.
9774CancelledSymbolStringLength66Y
Security Group cancelled for a Quote Cancel acknowledgment.
9537LocationString5Req5Y
Text describing sender's location (i.e. geographic location and/or desk).

117

QuoteID

uInt32

4

Y
Unique identifier for Quote Cancel message.

300

QuoteRejectReason

uInt16NULL

2

N1=Unknown symbol (security)
2=Exchange (Security) closed
3=Quote request exceeds limit
5=Unknown quote
6=Duplicate quote
7=Invalid bid/ask spread
8=Invalid price
9=Not authorized to quote security
20=Too many rejects and cancel Product Code*
98=Market maker protection*
99=Missing account number or 'other' reason*
*CME defined value
Contains reason (error code) the corresponding Request for Quote message has been rejected.
5904DelayDurationuInt16NULL2N

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 5979-RequestTime will represent original received time of in-flight message.

1028ManualOrderIndicatorManualOrdIndReq1Y
  • 0=Automated
  • 1=Manual
Indicates if the message was initially received manually.
297QuoteStatusQuoteCxlStatus1Y
  • 1=Cancel per Instrument
  • 3=Cancel for Security Group
  • 4=Cancel All Quotes
  • 5=Rejected
  • 100=Cancel per Quote Set

Identifies the type of Quote Cancel. A working quote can be cancelled by providing either it's instrument, quote set, product group, or by cancelling all.

9772NoProcessedEntriesuInt81Y
Number of quotes that have been accepted from the corresponding inbound message.
9773MMProtectionResetBooleanFlag1Y
  • 0=False
  • 1=True

Set to '1' on the Quote Cancel Acknowledgment message sent after Market Maker Protection is triggered and all resting quotes are cancelled for that particular group (tag 297=3).

9765PossRetransFlagBooleanFlag1Y
  • 0=False
  • 1=True

Flags message as possible retransmission.

This will convey whether a message is an original transmission or duplicate in response to Retransmission Request.

Used when original messages are interleaved with Retransmission responses.

9775UnsolicitedCancelTypeCharNULL1NTag 9775-UnsolicitedCancelTypes Table of ValuesType of Quote Cancel generated by CME. Returned only for unsolicited quote cancels.
9553SplitMsgSplitMsg
N
  • 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 then the message was not delayed, split, or received out of order.

304TotNoQuoteEntriesuInt8NULL1N

Total number of quotes for the quote set across all messages.

Will be populated only for enumerated rejects for Cancel by Instrument.

9373LiquidityFlagBooleanNULL1N
  • 0=False
  • 1=True
Represents the market making MiFID obligation reporting.
295NoQuoteEntriesgroupSize3N
  • minValue=1
  • maxValue=15

The number of quote entries for a quote set.

Populated only for enumerated rejects for Cancel by Instrument.

→299QuoteEntryIDuInt324Y
Unique identifier for a quote. The QuoteEntryID stays with the quote as a static identifier even if the quote is updated. For fills, this value is transposed into client order ID (tag 11).
→48SecurityIDInt324Y
Security ID as defined in the market data Security Definition message.
→368QuoteEntryRejectReasonuInt81YReject codesReason (error code) quote has been rejected.
296NoQuoteSetsgroupSize3N


The number of sets of quotes in the message.

Will be populated only for enumerated rejects for Cancel by Quote Set.

→302QuoteSetIDuInt162Y
Unique ID for the Quote Set.
→9030QuoteErrorCodeuInt162Y
Reason (error code) quote set cancel has been rejected.

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