MQP Session Linking Scenario 3
This scenario shows Mass Quote Protection (MQP) is triggered at the product group level with no resting quotes in the same product group on linked sessions.
MQP Setting:
Session ABC, BCD, CDE under Firm ID 001 are linked into MQP Group 1
Deltas:
Product Group E2 - 0.15
Product Group E5 - 0.20
Product Line Protection Disabled
SenderCompID | Product Line | Product Group | Traded Quantity | Fill % | Delta (D) |
|---|---|---|---|---|---|
ABC001
| Disabled
| E2 | 200 | 105 | 50 |
E5 | 250 | 105 | 75 | ||
BCD001
| Disabled
| E2 | 150 | 90 | 50 |
E5 | 250 | 105 | 75 | ||
CDE001
| Disabled
| E2 | 250 | 110 | 50 |
E5 | 250 | 105 | 75 |
Given:
Incoming order - Sell 200@15 for the E2 product group matches against resting bid from session ABC:
Product Group E2 | Session | Bid | Offer | Traded Quantity | Fill % | Delta |
|---|---|---|---|---|---|---|
Quote 1 | ABC | 200@15 | 100@20 | 200 - MQP Triggered at Product Group Level | 100 | 30 |
Product Group E5 | Session | Bid | Offer | Traded Quantity | Fill % | Delta |
Quote 2 | CDE | 100@20 | 200@25 |
|
|
|
Result:
Product Group E2:
Upon a Mass Quote Protection (MQP) trigger, all resting quotes for the E2 product group are automatically cancelled across associated sessions.
Triggering Session (ABC): Quotes are cancelled with Tag 9775 (UnsolicitedCancelType) = F (Cancellation has been triggered by Mass Quote Protection).
Linked Sessions (BCD and CDE) without Resting Quotes: No Quote Cancel Acknowledgement message is generated for session BCD and CDE. However, MQP is still activated, and both session BCD and CDE must submit an MQP reset to resume quoting.
Once the MQP is active, any subsequent Mass Quote messages submitted for the E2 product group from any associated sessions (ABC, BCD, CDE) will be rejected.
To resume quoting, each individual session must reset its MQP by submitting a Mass Quote (tag 35-MsgType=i) message with tag 9773-MMProtectionReset = 1.
Product Group E5:
Unaffected: Product Group E5 is outside the scope of this MQP trigger. All resting quotes and incoming messages for the E5 product group remain active.