Message Impact

Blocked Messages

The following message types are blocked when a kill is being enforced:

  • New Order
  • Cancel Replace
  • New Order Cross
  • Cancel
  • Order Status
  • Quote Request
  • Security Definition Request (to create a UDS – determine exchange ID based on first leg since although there could be multiple groups there are no inter-exchange UDS)
  • Mass Quote (determine exchange ID based on first leg since there is only one exchange ID per instrument group)
  • Quote Cancel (applies only to cancel quotes for a specific instrument & instrument group)
  • Mass Cancel (applies only to cancel orders for a specific instrument & instrument group)

If a message is blocked due to kill switch, an order reject message will be generated for the customer.

Non-Blocked Messages

These messages will not be blocked since they could potentially encompass an exchange which is not supposed to be blocked:

  • Quote Cancel (cancel all quotes)
  • This message covers the entire options market. It is not possible to block this message based on a Kill Switch invocation of any one exchange or group of exchanges since the market maker could have working quotes belonging to exchanges which do not come under the domain of that particular Kill Switch command.
  • Mass Cancel (cancel all orders for a market segment ID [match engine])
  • Market segments potentially envelope multiple exchanges. It is therefore not possible to block the Mass Cancel message based on a Kill Switch invocation for one exchange or group of exchanges, as a segment could be hosting other exchanges which do not fall within the domain of that particular Kill Switch command.

Administrative messages which the trading entity uses to maintain its connection to Globex are allowed (for example, heartbeat, sequence reset, resend).