iLink 2 customers who wish to initiate trading for an instrument can submit an iLink iLink 2 Quote Request message to trigger a market data Request for Quote (RFQ), to which authorized Mass Quote customers can respond with a quote or customers can submit a iLink 2 New Order message.
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The CME Globex platform may reject a Quote Request message and send a Business Level Reject (tag 35-MsgType=j) message.
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Customers who wish to request quotes must implement two CME iLink 2 messages from the FIX 4.2 specification:
Quote Request (tag 35-MsgType=R) message.
Quote Acknowledgment (tag 35-MsgType=b) message which notifies the customer of accept/reject of a Quote Request (tag 35-MsgType=R) message.
In the Quote Acknowledgment (tag 35-MsgType=b), the value in tag 131-QuoteReqID is returned with the same tag value from the Quote Request (tag 35-MsgType=R) message.
However, tag 9770-ExchangeQuoteReqID in the Quote Acknowledgment (tag 35-MsgType=b) contains the value broadcast to the market from tag 131-QuoteReqID in the Quote Request (tag 35-MsgType=R) message.
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Customers who wish to receive RFQs must be able to process the market data Request for Quote (tag 35-MsgType=R) message. |
The following table highlights the iLink Quote Request and MDP messages.
Function / Component | Quote Request Functionality |
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iLink | |
Quote Request (tag 35-MsgType=R) message | The Quote Request (tag 35-MsgType=R) message allows users to submit the following Quote Request types:
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Quote Acknowledgment (tag 35-MsgType=b) message | The Quote Acknowledgment message is sent to the customer to acknowledge the Quote Request message:
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Business Level Reject (tag 35-MsgType=j) message | Notifies client of business-level message reject. |
MDP | |
Request for Quote (tag 35-MsgType=R) message | Allows the customer to match the Quote Request (tag 35-MsgType=R) message with the iLink Quote Request (tag 35-MsgType=R) message. Tag 131-QuoteReqID contains the value returned from the iLink Quote Acknowledgment (tag 35-MsgType=b) in tag 9770-ExchangeQuoteReqID. |
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Order Status Requests cannot be performed on Quote Requests. |