CME Group recommends that client systems incorporate these behaviors to enhance their quote management and related performance.
Recommended Behaviors
- Maintain a Quote-Entry-to-Volume ratio of at least 1000:1 on a per Session basis during RTH
- Send a single, static working order or quote for a strike priced at its minimum tick or cabinet value
- Use the Market Segment Gateway (MSGW) if sensitive to round-trip performance
- Submit complete iLink 2 Mass Quote messages that fit within a TCP packet to ensure optimal round-trip performance
- See iLink Architecture for more information
- Update a resting quote with a new quote (one-step message process) rather than submitting a quote cancel followed by a new quote (two-step message process)
- Use the correct quote cancellation or quote modification construct relative to business need:
- See Quote Cancel/Modify for more information
- See Cancel by Quote Set ID for more information
- Manage Mass Quote message rates to remain below CME Globex’s Message Control threshold values
Discouraged Behaviors
- Send a new quote entry with the same price and quantity as the resting quote
- Send multiple quote cancels for the same resting quote
- Cancelling and resubmitting an entire quote set when only a subset requires updating
- Set Mass Quote Protections with values that are triggered after a single match