Purge Orders Message Fields
The PurgeOrdersUSOptionsV2 message supported on C1, C2, and EDGX Options Exchanges.
Request to cancel a group of orders across all the firm’s sessions. This differs from a mass cancel request sent via a Mass Cancel Order message as the purge is applied across all of the firm’s sessions, not just the session on which the message was received.
Purge Orders message requires the MassCancelInst field to be populated. The ClearingFirm (EFID) is also required if a list of configured/allowed EFIDS has not been configured on the session. If a list of configured EFIDs is present, sending a blank (0x00) ClearingFirm value along with setting the first character of MassCancelInst to Awill result in the purge applying to all configured EFIDs. In addition, a firm may choose to further filter the purge to target specific orders using either the CustomGroupID or RiskRoot fields. If both RiskRoot and a list of CustomGroupID values are specified, the Purge Orders message request will be rejected. The items below should also be considered.
- Users must specify the MassCancelId if the Acknowledgement Style is set to S or B.
- Users may Initiate a self-imposed, risk lockout using the MassCancelInst field.
- EFID values specified in the ClearingFirm field that are not allowed to clear for the firm will be rejected.
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On BZX, Purge messages are available only on a unitized purge port. Note that this may result in self-imposed, risk lockouts occurring on the selected units while other units are still trading.
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On C1, C2, and EDGX, CustomGroupID or EFID (ClearingFirm) purges with no RiskRoot may be directed to a specific matching unit using the TargetMatchingUnit field. If TargetMatchingUnit is zero or not specified, these purge types will be sent to all matching units starting with unit 1. Note that this may result in self-imposed, risk lockouts occurring on select units while other units are still trading.
When specifying the RiskRoot field, using the underlying symbol is strongly recommended. Mass cancellations are always performed at the risk root (underlying) level.
All Members that send purges must include the SendTime field. This is required to ensure that a valid cancellation send time is captured and reported to CAT.
The system limits the rate at which identical Purge Orders requests can be submitted to the system. Requests are restricted to 10 messages per second per port.
An identical purge message is defined as a message having all of the same CustomGroupID, Symbol, Clearing Firm, Lockout Instruction, Instrument Type Filter and GTC Order Filter field values, as a previously received message.