MQP Session Linking Scenario 7
This scenario shows Mass Quote Protection (MQP) is triggered at the product line level--affecting resting quotes within the same product line across all linked sessions, even though one session has MQP enabled at the product group level.
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 session ABC and CDE
Product Line Protection Disabled on session BCD
SenderCompID | Product Line | Product Group | Traded Quantity | Fill % | Delta (D) |
|---|---|---|---|---|---|
ABC001 | Enabled
| E2 | 200 | 105 | 50 |
E5 | 250 | 105 | 75 | ||
BCD001
| Disabled
| E2 | 150 | 90 | 50 |
E5 | 250 | 105 | 75 | ||
CDE001
| Enabled
| 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 Line Level | 100 | 30 |
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 | CDE | 100@20 | 200@25 |
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Quote 5 | ABC | 150@18 | 100@27 |
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Quote 6 | BCD | 100@18 |
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Result:
Product Line Scope (E2 and E5):
Upon a Mass Quote Protection (MQP) trigger, all resting quotes for the product line (E2 and E5) are automatically cancelled across associated sessions.
Triggering Session (ABC): Quotes in the E2 and E5 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 and E5 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 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).