...
The Quote Set ID is the value associated with the quote set submitted by the client system in tag 302-QuoteSetID in the Mass Quote (tag 35-MsgType=i) message.
| Noteinfo |
|---|
The client system is responsible for the uniqueness of each Quote Set ID. |
| Noteinfo |
|---|
Mass Quotes submitted with a Quote Set ID value greater than 3 characters in length will be rejected. CME Globex will send a Business Level Reject (tag 35-MsgType=j) message including tag 58=<Reject Reason>. |
Cancel by Quote Set functionality supports cancellation of quote sets with a single Quote Cancel (tag 35-MsgType=Z) message as follows:
...
Cancel by Quote Set ID functionality utilizes iLink messages as follows.
| Noteinfo |
|---|
A Quote Set Cancel instruction submitted without tag 134-BidSize or tag 135-OfferSize will cancel both sides. |
| Quote Cancel (tag 35-MsgType=Z) | Description | |||||
|---|---|---|---|---|---|---|
tag 302-QuoteSetID | Identifies quote set to cancel with value submitted on original Mass Quote (tag 35-MsgType=i) message tag 302-QuoteSetID. | |||||
| tag 134-BidSize | Instruction to cancel all Buy quotes for the Quote Set ID: tag 134=0 (cancel all bids) | |||||
tag 135-OfferSize | Instruction to cancel all Sell quotes for the Quote Set ID: tag 135=0 (cancel all offers) | |||||
| tag 298-Quote Cancel type | Enumeration to indicate that Quote Cancel is for a particular quote set ID. tag 298=100 (Cancel by quote set ID) | |||||
| Quote Acknowledgment (tag 35-MsgType=b) | ||||||
| tag 297-QuoteAckStatus | Enumeration to indicate that Quote Cancel Acknowledgement is for Cancel by quote set ID:
| |||||
...
- First, the client system submits a Mass Quote message containing three Quote Sets. CME Globex accepts all quotes.
- The client system then submits a Quote Cancel message to cancel the Offer side for QuoteSetID=500.
- CME Globex accepts the Quote Cancel request and sends the Quote Cancel Acknowledgment with the canceled Quote Set ID=500.
| Gliffy | ||||||
|---|---|---|---|---|---|---|
|
Sample Messages
From Client System to CME Globex
...