Effective Sunday, June 30, 2024 (trade date Monday, July 1), in addition to current Mass Quote Protection (MQP) types, CME Group will provide the new Fill % (F) MQP type at the Group Code and Product Line levels.
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Revision History
| Date | Description |
|---|---|
| June 5, 2024 | Fill % (F) changed to default of 90% and customers can only edit to a value greater than 90%. |
| April 3, 2024 | Initial version of this content published. |
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Testing and Certification
Certification for the new FIll % (F) MQP type is not mandatory for client systems already certified for the Mass Quote test suite.
New MQP Type
The table below summarizes the new Fill % (F) MQP type. Permission to use MQPs is coordinated through Global Account Management (GAM) and implemented through by your Clearing firm through CME Customer Center (MQP UI).
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New MQP Type (reference value) | Definition | ||
|---|---|---|---|
Fill % (F) | The cumulative sum of each quotes 's execution quantity relative to its original quote quantity during a single MQP duration. Tallies each time a quote's bid or ask trades. The Original Booked Quantity of the quote is retained for calculating the fill percentage for all partial trades during the MQP duration. Any modifications to quote quantity, percentage of trades as percentage original quote are retained and modified quote is treated as a new quote for calculations. Example:
MQP functionality will be triggered after the cumulative Fill % (F) sum value equals or exceeds the Fill % (F) threshold.
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Fill % (F) Example
Example 1: Fill % (F) at Product Group Level
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