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Comment: Published by Scroll Versions from this space and version 1.5.37

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Warning

In-flight mitigation (IFM) is an optional feature on CME Globex that allows client systems submitting cancel/replace messages to prevent overfilling in the event that the original order is filled while the cancel/replace message is "in-flight" during processing.

https://www.cmegroup.com/confluence/display/EPICSANDBOX/iLink+Order+Cancel-Replace+and+In-Flight+Mitigation

This feature is currently disabled by default via Whisperer. If clients wish to utilise this feature, they should ensure that their MultilegOrderCancelReplaceRequest message includes:

  • BodyPassthruKey   = "OFMOverride"

  • BodyPassthruValue = "Y"

Refer to Passthru Fields above for details.


Trade Correct/Cancel

A trade correct/cancel message can be sent on ExecutionReports with ExecType=Trade to notify the clients of any trade amendments or cancellations. 

Trade amendments are limited to the below ExecutionReport fields :

  • LegLastPx

The correct/cancel messages to the clients are ExecutionReports with

  • ExecType=TradeCancel or ExecType=TradeCorrect
  • ExecRefID refers back to the ExecID of the original ExecutionReport for the trade being corrected or canceled. 

Whisperer supports the trade correct/cancel on a best efforts basis.  Order attributes such as OrdType, TimeInForce, OrdStatus, LegCumQty, LegLeavesQty, LegAvgPx, will not be populated on these messages.