iLink 2 Mass Quote functionality allows authorized customers to generate two-sided markets on one or more options instruments within a single message. A iLink 2 Mass Quote message can include up to 15 two-sided quotes for instruments within the same Security Group as defined in tag 1151-SecurityGroup of the market data Security Definition message.
The Mass Quote message contains two levels of repeating groups:
- The first repeating group is a Quote Set. Each Quote Set must contain an identifier, and all instruments quoted within the Quote Set must have the same underlying contract (e.g. ESU6). Multiple Quote Sets are allowed within a single Mass Quote message, however the components of all Quote Sets must be from the same Security Group.
- The second repeating group is nested within the Quote Set, and contains each individual quote entry. Each quote entry is uniquely identified by tag 299-QuoteEntryID. Each quote entry will contain one instrument, and can be a bid, offer, or both.
A Mass Quote can only contain instruments from the same Security Group, however, for UDS instruments, a Security Group may contain instruments created from different yet related security groups.
See User Defined Spread Composition for more information.
The following examples show how Quote Sets and Quote Entries are associated and updated.
Example 1 - Submit Mass Quote Message
MQ1 tag 302-QuoteSetID=1 (ESU6 C1200 | ESU6 P1100), tag 302-QuoteSetID=2 (ESU6 P1100), tag 302-QuoteSetID=3 (ESM6 C1300)
| FIX Message | Quote Set | Tag 302-QuoteSetID | Instrument | Firm ID | Trader ID | SenderComp ID | Number of Quotes |
|---|---|---|---|---|---|---|---|
Mass Quote | ESU6 | 1 | ESU6 C1200 | 350 | 3E0L | T59350 | 4 |
ESU6 P1100 | |||||||
ESZ6 | 2 | ESZ6 P1100 | |||||
ESM6 | 3 | ESM6 C1300 | |||||
Example 2 - Add Quotes to Existing Quote Set
1. MQ1 tag 302-QuoteSetID=1 (ESU6 C1200), tag 302-QuoteSetID=2 (ESU6 P1100)
| FIX Message | Quote Set | Tag 302-QuoteSetID | Instrument | Firm ID | Trader ID | SenderComp ID | Number of Quotes |
|---|---|---|---|---|---|---|---|
Mass Quote | ESU6 | 1 | ESU6 C1200 | 350 | 3E0L | T59350 | 2 |
ESU6 | 2 | ESU6 P1100 | |||||
- Total 2 resting quotes
2. MQ2 tag 302-QuoteSetID=1 (ESZ6 C1400), tag 302-QuoteSetID=2 (ESZ6 P1300)
| FIX Message | Quote Set | Tag 302-QuoteSetID | Instrument | Firm ID | Trader ID | SenderComp ID | Number of Quotes |
|---|---|---|---|---|---|---|---|
| Mass Quote | ESU6 | 1 | ESU6 C1200 | 350 | 3E0L | T59350 | 4 |
| ESU6 | 2 | ESU6 P1100 | |||||
Mass Quote | ESZ6 | 1 | ESZ6 C1400 | ||||
ESZ6 | 2 | ESZ6 P1300 | |||||
- Total 4 resting quotes
Example 3 - Cancel by Quote Set
For the quote sets in Example 2, send a Quote Cancel message, with tag 302-QuoteSetID=1
- 2 quotes remain active after quote cancel is submitted
| FIX Message | Quote Set | Tag 302-QuoteSetID | Instrument | Firm ID | Trader ID | SenderComp ID | Number of Quotes |
|---|---|---|---|---|---|---|---|
Mass Quote Cancel | ESU6 | 2 | ESU6 P1100 | 350 | 3E0L | T59350 | 2 |
| ESZ6 | 2 | ESZ6 P1300 |
Warning
Within the Mass Quote message, there are three identifiers that the client system must ensure have unique values that contain no space characters:
- QuoteID
- QuoteSetID
- QuoteEntryID
Custom FIX Tags for the Mass Quote Message
The Mass Quote message contains the following custom FIX tags.
Tag | FIX Name | Description |
|---|---|---|
9771 | MMAccount | Mass Quote customer account ID |
9773 | MMProtectionReset |
Messaging Example
The following diagram illustrates the basic message processing between the Mass Quote customer and CME Globex for a Mass Quote message.