This message requests the cancellation of the remaining quantity of a group of orders matching the criteria specified. It cannot be used to partially reduce the order quantity.
This message is acknowledged using an Order Mass Cancel Report <35=r>, but each affected order will result in an Execution Report <35=8> or an Order Cancel Reject <35=9>.
Each request is assigned a ClOrdID (11) and is treated as a separate entity. The Order Mass Cancel Report <35=r> will contain the ClOrdID (11) from the request. The ClOrdID (11) must be unique amongst the ClOrdID (11)s used across all message types.
An immediate response to this message is required. It is recommended that an Execution Report <35=8> with ExecType (150) = "pending cancel" be sent unless the request can be immediately accepted or rejected.
Order cancellation criteria are specified using the MassCancelRequestType (530) field:
| Field Value | Description | Explanation |
|---|---|---|
| 1 | Cancel orders that match the Instrument component | |
| 2 | Cancel orders that match the UnderlyingInstrument component | |
| 3 | Cancel orders for a Product (460) | |
| 4 | Cancel orders for a CFICode (461) | |
| 5 | Cancel orders for a SecurityType (167) | |
| 6 | Cancel orders for a TradingSessionID (336) | |
| 7 | Cancel all orders |
| Tag | Name | Type | Required | Description |
|---|---|---|---|---|
| Component | ||||
| 11 | String | Unique ID of Order Mass Cancel Request as assigned by the institution | ||
| 526 | String | |||
| 530 | Char Enum | Specifies the type of cancellation requested | ||
| 336 | String Enum | Trading Session in which orders are to be canceled | ||
| 625 | String Enum | |||
| Component | The set of "Parties" (firm identification) fields defined in "common components of application messages" | |||
| Component | Can be used to specify the parties to whom the Order Mass Cancel should apply | |||
| Component | ||||
| Component | ||||
| 1301 | Exchange | Required for MassCancelRequestType = 8 (Cancel orders for a market) | ||
| 1300 | String | Required for MassCancelRequestType = 9 (Cancel orders for a market segment) | ||
| 54 | Char Enum | 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 | UTCTimestamp | Time this order request was initiated/released by the trader or trading system | ||
| 58 | String | |||
| 354 | Length | Must be set if EncodedText field is specified and must immediately precede it | ||
| 355 | Data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field | ||
| Component |