FIX 4.3 : Order Mass Cancel Request <q> message

Structure | Related Messages

Description

The Order Mass Cancel Request <q> message requests the cancelation of all of the remaining quantity of a group of orders matching criteria specified within the request. NOTE: This message can only be used to cancel messages (reduce the full quantity).

An order mass cancel request is assigned a ClOrdID <11> and is treated as a separate entity. The order mass cancel request is acknowledged using an Order Mass Cancel Report <r>. The Order Mass Cancel Report <r> will contain the ClOrdID <11> that was specified on the Order Mass Cancel Request <q>. The ClOrdID <11> assigned to the cancel request must be unique amongst the ClOrdID <11> assigned to regular orders, replacement orders, cancel requests, and order mass cancel requests.

An immediate response to this message is required. It is recommended that an ExecutionRpt with ExecType <150>=Pending Cancel be sent unless the Order Mass Cancel Request <q> can be immediately accepted (ExecutionRpt with ExecType <150>=Canceled) or rejected (Order Cancel Reject <9> message).

Specifying order cancellation criteria is specified using the MassCancelRequestType <530> field:

Field Value

Description

Explanation

1

Cancel orders for a security

Cancel orders that match the security identification block, all fields required to uniquely qualify the security should be specified.

2

Cancel orders for an Underlying security

Cancel orders that match the underlying security identification block, all fields required to uniquely identify the underlying security should be populated

3

Cancel orders for a Product <460>

Cancel orders for a specific type of Product <460> (high-level security classification), Only Product <460> should be specified

4

Cancel orders for a CFICode <461>

Cancel orders for a specific type of CFICode <461> (security classification), Only CFICode <461> should be specified

5

Cancel orders for a SecurityType <167>

Cancel orders for a specific type of security, Only SecurityType <167> should be specified

6

Cancel orders for a trading session

Cancel orders for a specific trading session, TradingSessionID <336> must be specified.

7

Cancel all orders

Cancel all orders for the firm identified using this FIX connection

Example uses of MassCancelRequestType <530> with Qualifiers:

  • Cancel for a Symbol <55>
  • Cancel for an underlying
  • Cancel orders on one side of a market for a symbol
  • Cancel orders for a specific option series
  • Cancel all orders
  • Cancel all orders on one side of a market
  • Cancel all money market orders
  • Cancel all common stock orders
  • Cancel all orders for a trading session
  • Cancel all orders for a trading session on one side of a market
  • Cancel all orders for a trading session for an underlying on one side of a market

Structure

Tag Field Name Req'd Comments
<MessageHeader> Y MsgType <35> = q
11 ClOrdID Y

Unique ID of Order Mass Cancel Request <q> as assigned by the institution.

526 SecondaryClOrdID N
530 MassCancelRequestType Y

Specifies the type of cancellation requested

336 TradingSessionID N

Trading Session in which orders are to be canceled

625 TradingSessionSubID N
Component Block - <Instrument> N

Insert here the set of "<Instrument>" (symbology) fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

Component Block - <UnderlyingInstrument> N

Insert here the set of "<UnderlyingInstrument>" (underlying symbology) fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

54 Side N

Optional qualifier used to indicate the side of the market for which orders are to be canceled. Absence of this field indicates that orders are to be canceled regardless of side.

60 TransactTime Y

Time this order request was initiated/released by the trader or trading system.

58 Text N
354 EncodedTextLen N

Must be set if EncodedText <355> field is specified and must immediately precede it.

355 EncodedText N

Encoded (non-ASCII characters) representation of the Text <58> field in the encoded format specified via the MessageEncoding <347> field.

<MessageTrailer> Y

 

Related Messages

Onix Solutions