Mass Quote Protections (MQPs) are a post-trade evaluation function designed to auto-cancel a customer’s resting quotes and force a Mass Quote submission time-out within a Group Code or across related Group Codes. This function is specific to CME Globex options on futures, applies only to quote trades (not order trades), and is subject to business rules specific to each option asset class. Please contact the CME Group asset class option business line manager for more information.
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| MQP Level | Description | |
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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:
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Mass Quote Message Reset
CME Globex evaluates customer MQP(s) during one-second intervals which are native to each customer. A customer’s initial quote trade both begins their one-second interval and tallies their MQP(s). Once the one-second interval has been initiated then the customer has no means to prematurely end its full one-second duration or reset their MQP tally to zero unless MQP functionality is triggered by a threshold breach.
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Failure to send the reset tag will cause their Mass Quote messages to be rejected. The Mass Quote message reset tag both resets the customer's MQP tally(s) to zero and allows their subsequently submitted Mass Quote messages to be processed.
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A single Mass Quote message reset applies to all Group Codes for which the MQP was triggered. For instance, if the customer is enabled to submit quotes for all Group Codes within the SOFR Product Line then sending a single Mass Quote message with a reset instruction will then allow them to quote all Group Codes within that Product Line. |
MQP Trigger and Reset
This diagram shows a scenario in which MQP is triggered, all resting quotes are canceled, and subsequent Mass Quotes are rejected pending submission of the MQP Reset. Upon reset, quotes are accepted again.
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