Mass Cancel Order

A Mass Cancel Order message is a request to cancel a group of orders or quotes. A Mass Cancel Order message sent to a Unit port will only cancel orders on that port's unit.

Mass cancellation of a group of orders or quotes requires sending MassCancelInst which comprises filters used to specify the set of orders to cancel.

• If the Clearing Firm Filter is set to F, the ClearingFirm optional field must not be blank or the Cancel Order request will be rejected.
• If the Acknowledgement Style is set to S or B, or in combination with M, the MassCancelId must not be blank or the Mass Cancel Order request will be rejected.
• If the ProductName field is not blank then only orders for instruments associated with the product (e.g., VX) are cancelled.
• If Lockout Instruction is set to L, the Mass Cancel message will be rejected.

The system limits the rate at which identical Mass Cancel Order and Purge Orders requests can be submitted to the system. Requests are restricted to twenty (20) messages per second per port.

An identical Mass Cancel message is defined as a message having all of the same Symbol, Clearing Firm, Instrument Type Filter and GTC Order Filter field values, as a previously received message.