Quote Cancel (Z) message is used by an originator of quotes to cancel his quotes and related orders.
The Quote Cancel message supports cancelation of:
- All quotes
- Quotes for a specific symbol
- All quotes for a security kind (like futures, options)
- By QuoteSetID
- By base Currency of the instruments
- By Delta range
QuoteCancelType (298) field and optional additional parameters.
The message is equivalent of the private/cancel_quotes and shares the same semantic, so it is quite different from the other exchanges. The same as the Websockets “alter-ego” it is acknowledged only via list (possibly empty) of cancelled orders, namely as the Order Mass Cancel Report (r) with ClOrdID equal to the QuoteMsgID of the request, with the affected order ID’s and subsequent Execution Report (8)-s for each individual cancelled order if there are any.
| Tag | Name | Type | Required | Comments |
|---|---|---|---|---|
| 1166 | QuoteMsgID | String | No | Optionally used to supply a message identifier for a quote cancel. |
| 298 | QuoteCancelType | int | No | Default is 4. Identifies the type of Quote Cancel (Z) request. 1 = Cancel for Symbol(55), 2 = Cancel for SecurityType (167), 4 = Cancel All Quotes, 5 = for Currency (5), 6 = for QuoteSetID (302), 7 = for Delta range defined by MinDelta and MaxDelta see below |
| 55 | Symbol | String | Required if QuoteCancelType = 1 | Common, “human understood” representation of the security, e.g., BTC-28JUL17, see instrument naming convention for more details. |
| 15 | Currency | String | if QuoteCancelType = 2, 5 or 7 | Currency |
| 9031 | FreezeQuotes | Boolean | No | Whether or not to reject incoming quotes for 1 second after cancelling |
| 167 | SecurityType | String | If QuoteCancelType=2 | Describes type of security. Possible values:
|
| 302 | QuoteSetID | String | Required if QuoteCancelType = 6 | Identifier for the Quote Set |
| 9032 | MinDelta | float | Required if QuoteCancelType = 7 | Min Delta to cancel by delta range |
| 9033 | MaxDelta | float | Required if QuoteCancelType = 7 | Max Delta to cancel by delta range |