MQP Session Linking Scenario 10
This scenario shows Mass Quote Protection (MQP) is triggered at aggregate product line level with resting quotes in the same product line on all 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 Groups under the Product Line: E2, E5
Product Line Protection Enabled on all sessions
Session ABC - with MQP thresholds set at the product line level
Sesson BCD and CDE - with no MQP thresholds set at the product line level
SenderCompID | Product Line | Product Group | Traded Quantity | Fill % | Delta (D) |
|---|---|---|---|---|---|
ABC001
| Enabled
|
| 250 | 180 | 80 |
E2 | 200 | 105 | 50 | ||
E5 | 200 | 105 | 75 | ||
BCD001
| Enabled
| E2 | 150 | 90 | 50 |
E5 | 250 | 105 | 75 | ||
CDE001
| Enabled
| E2 | 250 | 110 | 50 |
E5 | 250 | 105 | 75 |
Given:
Incoming order 1 - Sell 150 @15 for the E2 product group matches against resting bid from session ABC:
Incoming order 2 - Sell 100 @20 for the E5 product group matches against resting bid from session ABC:
Product Group E2 | Session | Bid | Offer | Traded Quantity | Cumulative Traded Quantity at Product Line Level | Fill % | Delta |
|---|---|---|---|---|---|---|---|
Quote 1 | ABC | 200@15 | 100@20 | 150 | 150 | 75% | 22.5 |
Quote 2 | BCD | 100@14 | 100@21 |
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Quote 3 | CDE | 100@12 | 200@22 |
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Product Group E5 | Session | Bid | Offer | Traded Quantity |
| Fill % | Delta |
Quote 4 | ABC | 150@20 | 200@25 | 100 | 250 - MQP Triggered at Product Line Level | 66.67% | 20 |
Quote 5 | BCD | 100@18 |
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Quote 6 | CDE | 100@17 | 200@27 |
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Result:
Product Line Scope (E2 and E5): Since the aggregate product line protection is enabled on the triggering session ABC, CME Globex will enforce the mass quote protections at the aggregate product line level.
Upon a Mass Quote Protection (MQP) trigger, all resting quotes for the E2 and E5 product group are automatically cancelled across associated sessions.
Triggering Session (ABC): Quotes in the E2 product group are cancelled with Tag 9775 (UnsolicitedCancelType) = F (Cancellation has been triggered by Mass Quote Protection).
Linked Sessions (BDC and CDE): Quotes in the E2 product group are cancelled with Tag 9775 (UnsolicitedCancelType) = K (Cancellation has been triggered by Mass Quote Protection on Linked Session).
Once the MQP is active, any subsequent Mass Quote messages submitted for the product line (E2 and E5) 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 for each product group (E2 and E5).