Purge Orders
Request to cancel a group of orders across all of the firm’s sessions. Purge Orders messages are only accepted on dedicated BOE Purge Ports. The MassCancelInst optional field is required and must be selected and populated. In addition, a firm may choose to implement one or more filters:
- ClearingFirm Filter - optionally cancel based on ClearingFirm. This is required for any self-imposed lockouts or for service bureaus. Set using first character of MassCancelInst and sending ClearingFirm.
- Symbol Filter - optionally cancel based on symbol. Set by sending a valid symbol. Cannot be combined with RiskGroupID filter.
- RiskGroupID Filter - optionally cancel based on RiskGroupID. A maximum of 10 RiskGroupIDs may be included on a single Purge Orders message. Set by populating RiskGroupIDCnt to a non-zero value. Cannot be combined with symbol filter.
TargetMatchingUnit Filter - RiskGroupID or MPID purges with no Symbol filter may be directed to a specific matching unit using the TargetMatchingUnit field. If TargetMatchingUnit is zero or not specified, then these purge types will be sent to all matching units. Note that this may result in self-imposed, risk lockouts occurring on select units while other units are still trading.
A firm may use the second character of MassCancelInst to set the acknowledgment style. If a single Purge Acknowledgment message is selected, then MassCancelID must be sent.
A firm may also impose a lockout using the third character of MassCancelInst, which cancels any open orders and causes inbound orders received after the lockout to be rejected. A self-imposed lockout requires an MPID (ClearingFirm) to be sent. The firm may also choose to lockout by symbol or RiskGroupID but not by both.
The system limits the rate at which identical Purge Orders message requests can be submitted to the system. Requests are restricted to twenty (20) messages per second per port.
An identical purge message is defined as a message having all of the same RiskGroupID, Symbol, ClearingFirm, TargetMatchingUnit, and Lockout Instruction field values, as a previously received message.