Mass Cancel Order Message Fields

Request a mass cancellation of a group of orders. Note that this does not apply to open orders across multiple sessions.

Mass Cancel Order messages for GTC and GTD orders may continue to be issued anytime after the trading session ends. All other order message types received after the market closes will be rejected. See Port Types for more details on when orders are allowed to be cancelled following the close of trading.

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

When specifying the RiskRoot field, using the underlying symbol is strongly recommended. Mass cancellations are always performed at the risk root (underlying) level.

The system limits the rate at which identical Mass Cancel Order requests can be submitted to the system. Requests are restricted to 10 messages per second per port.

An identical Mass Cancel Order 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.