Imported from previous forum
In terms of the Exchange and ECN Working Group’s Recommended Practices for Continuous Mass Quoting (version 1.00, page 16), “The response to a quote cancellation is a Mass Quote Acknowledgement when multiple quotes are cancelled and a Quote Status Report when a single quote is cancelled”.
What is the appropriate response to a Quote Cancel that seeks to cancel multiple quotes (e.g. QuoteCancelType (298) = Cancel for Underlying (3)) if the mass cancel request is rejected in its entirety?
In terms of pages 225 and 226 of Volume 7 (FIX 5.0 Service Pack 2), the appropriate response is a Quote Status Report. Given that the mass cancellation would, if successful, be confirmed by a Mass Quote Acknowledgement, wouldn’t it be more appropriate to reject it via a Mass Quote Acknowledgement (and not a Quote Status Report)?
I believe this is subject to bilateral agreement and depends on your specific implementation. If you look at pages 212 and 213 you will find a discussion of both options. The table on page 213 explicitly lists both a Quote Status Report and a Mass Quote Acknowledgement as a possible response when cancelling multiple quotes.
The diagrams on page 225 and 226 simply chose one of the two options for illustration purposes.
In terms of the Exchange and ECN Working Group’s Recommended Practices
for Continuous Mass Quoting (version 1.00, page 16), “The response to
a quote cancellation is a Mass Quote Acknowledgement when multiple
quotes are cancelled and a Quote Status Report when a single quote is
cancelled”.What is the appropriate response to a Quote Cancel that seeks to cancel
multiple quotes (e.g. QuoteCancelType (298) = Cancel for Underlying (3))
if the mass cancel request is rejected in its entirety?In terms of pages 225 and 226 of Volume 7 (FIX 5.0 Service Pack 2), the
appropriate response is a Quote Status Report. Given that the mass
cancellation would, if successful, be confirmed by a Mass Quote
Acknowledgement, wouldn’t it be more appropriate to reject it via a Mass
Quote Acknowledgement (and not a Quote Status Report)?