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:

1. 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.

2. 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.

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)

Example 2 - Add Quotes to Existing Quote Set

 1. MQ1 tag 302-QuoteSetID=1 (ESU6 C1200), tag 302-QuoteSetID=2 (ESU6 P1100)

• Total 2 resting quotes

2. MQ2 tag 302-QuoteSetID=1 (ESZ6 C1400), tag 302-QuoteSetID=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

Custom FIX Tags for the Mass Quote Message

The Mass Quote message contains the following custom FIX tags.

Messaging Example

The following diagram illustrates the basic message processing between the Mass Quote customer and CME Globex for a Mass Quote message.