Traded Quantity (Z)

Traded quantity-based MQP. Tallies the number of lots traded.

Example

A resting 20-lot bid-side quote fully trades so the Z MQP tallies to +20.

1. The traded quantity for a bid-side quote and an ask-side quote always tallies as a positive integer.

2. Spreads tally according to the spread’s traded lot-size (e.g., 10-lot straddle quote trade tallies as +10).

3. The assigned futures portion of a premium-quoted covered trade or a vol-quoted trade is not factored into the Traded Quantity MQP tally.

4. The Z tally can exceed the threshold value by a quote side’s total quantity minus a 1-lot. For example:

   1. MQP Z threshold value = 100

   2. MQP Z tally = 99

   3. Resting 10-lot bid-side quote is filled

   4. MQP Z tallies to 109 and MQP functionality is triggered

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:

• A bid-side quote quantity =10 trades as a partially fill for 2 and the Fill % (F) MQP tallies to 20%. 

• The remaining (resting )bid-side quotes quantity = 8  

• If the resting bid-side quotes quantity is modified to 20, then  trades as a partially fill for 3, the Fill % (F) MQP tallies  to15%, and the cumulative Fill % will equal 35%

MQP functionality will be triggered after the cumulative Fill % (F) sum value equals or exceeds the Fill % (F) threshold.

• Resting quotes are cancelled

• Subsequent quote submission are rejected pending submission of the MQP Reset.

• Upon reset, quotes are accepted again.

 Delta (D)

Traded delta-based MQP.

• The delta protection is a counter that tallies the net delta (equivalent futures) from each trade within the set time interval, e.g. 1 second. Positive deltas (Long Call,  Short Put) increment the counter and Negative Deltas (Short Call, Long Put) decrement the counter.

  • Deltas are calculated every 15 seconds throughout the trading session.

• The D threshold value is set by customers in absolute terms. The value is entered as a positive integer but is evaluated at the positive and negative integer equivalents (e.g. a delta threshold value set at '5' equates to +5  or -5).

• Deltas are netted for option spread trades (e.g. an option spread trade with leg deltas of +0.30 and -0.40 nets to -0.10).

• The D tally can exceed the threshold value by a resting quote's total delta minus (or plus) 1 delta.

Example

A 20-lot call bid-quote with a +0.15 delta fully trades. The D MQP tallies to +3 (or +20 lot * +0.15 delta).

Quote 1

150

100

66.67%

Quote 2

100

40

40.0%

106.67% - MQP Activated at Product Group Level

Quote 1

150

50

33.33%

33.33%

33.33%

Quote 2

100

40

40.0%

73.33%

73.33%

Quote 1

60

20

33.33%

33.33%

106.66%

Quote 2

120

120

100%

133.33% - MQP Activated at Product Line Level

206.66%

Quote 1

150

50

33.33%

33.33%

33.33%

Quote 2

100

40

40.0%

73.33%

73.33%

Quote 1

60

20

33.33%

33.33%

106.66%

Quote 2

120

60

50%

83.33%

156.66%  - MQP Activated at Product Line Level

Group Code

A set of related option products as configured by the GCC.

Example: E-mini S&P 500 outright option products with expiration listing cycles for Serial/Quarterly, End-of-Month and all Weekly variations each have their own CME Globex Product Code but share the same Group Code.

CME Group requires that a customer utilizes at least one MQP type at the Group Code level. The customer’s Clearing Firm Admin sets the threshold value for each MQP type that they want their customer to utilize.

If a Group Code’s MQP tally triggers the customer's threshold value, then the customer’s resting quotes for that Group Code are auto-cancelled by CME Globex.

Product Line 

A set of related Group Codes as configured by the GCC.

Example: The Corn Product Line equates to the Group Codes for Corn options, Corn Calendar Spread options, Corn Weekly options, Weekly New Crop Corn options, Short-Dated Options on New Crop Corn options and all related option spreads.

Product Line is an MQP feature that a customer’s Clearing Firm Admin has the choice to utilize. If utilized, the Clearing Firm Admin has two configuration choices:

(1) Product Line enabled with no Product Line MQP values.

If a Group Code is part of the Product Line and the Group Code’s MQP tally triggers the customer’s threshold value, then the customer’s resting quotes for the Product Line are auto-cancelled by CME Globex.

(2) Product Line enabled with Product Line MQP values (aka. Aggregate Product Line)

The Clearing Firm Admin establishes MQP threshold values at the Product Line level. If a customer uses the same MQP type at the Group Code and Product Line levels, then a tally to the more restrictive MQP threshold value will trigger MQP functionality. The customer’s resting quotes for the Product Line are auto-cancelled by CME Globex if either of the following occurs:

• The Group Code is part of the Product Line and the Group Code’s MQP tally triggers the customer’s threshold value.

• A Product Line’s MQP tally triggers the customer’s threshold value.