Positive Acknowledgment with Some or All Quotes Rejected
The following tags are associated with this positive acknowledgment (2 Tiers-Fat Ack).
Repeating groups are designated within the message by the (→) symbol.
Tag | FIX Name | Req | Binary Type | Description |
|---|---|---|---|---|
58 | Text | N | String256 | Contains reason (error text) the corresponding Mass Quote message has been rejected. |
131 | QuoteReqID | N | uInt64NULL | Same as tag 131-QuoteReqID from the corresponding Mass Quote message. |
117 | QuoteID | Y | uInt32 | Tag 117-QuoteID of the corresponding Mass Quote message. |
300 | QuoteRejectReason | N | uInt16NULL | Contains reason (error code) the corresponding Mass Quote message has been rejected. When this tag is returned, all quotes in the corresponding Mass Quote message have been rejected. |
297 | QuoteAckStatus | Y | QuoteAckStatus | '0' (accepted) |
9772 | NoProcessedEntries | Y | uInt8 | Number of quotes that have been accepted from the corresponding Mass Quote message. |
9773 | MQProtectionReset | N | BooleanFlag | This tag is sent and set to 'Y' on the first quote acknowledgment sent after the Mass Quoting Protection has been reset by CME Globex platform. |
304 | TotQuoteEntries | Y | uInt8NULL | Always identical to tag 295-NoQuoteEntries. |
295 | NoQuoteEntries | Y | groupSize | The number of invalid quotes for this underlying contract (QuoteSet). |
→299 | QuoteEntryID | Y | uInt32 | Uniquely identifies a quote (and option contract). CME recommends that client applications supporting options instruments limit the length
|
→48 | Symbol | N | Int32 | Security ID as defined in the market data Security Definition message. |
→302 | QuoteSetID | Y | uInt16 | Tag 302-QuoteSetID containing invalid quotes in the corresponding Mass Quote message. |
→368 | QuoteEntryRejectReason | Y | uInt8 | This tag contains the reason (error code) why the quote has been rejected. |
Y = Required N = Not required
Reject Codes - Tag 368-QuoteLevelReject
If a positive acknowledgment contains quotes rejected at the quote level (e.g. due to price banding - error code = 8, invalid price), the reject reason is contained in tag 368-QuoteRejectReason in the 3rd tier. Tag 9772-NoProcessedEntries in the 1st tier contains the number of accepted quotes.
Quote level rejections do not contain error text.
See Tag 368-QuoteEntryRejectReason for the codes.
Common Rejection Scenarios
The following table contains the most common price and validation scenarios in which the CME Globex platform rejects quotes at the quote level.
Reject Scenario | Tag 368-QuoteEntryRejectReason |
|---|---|
Incoming quote received with the same tag 107-SecurityDesc as a resting quote from the same Mass Quote customer but with a different tag 299-QuoteEntryID. | 5 |
An incoming quote has an invalid tag 107-SecurityDesc. | 1 |
An incoming quote has invalid quantity information. | 3 OR 53* (if resting quote) |
An incoming quote has invalid price information. | 8 OR 58* (if resting quote) |
A Mass Quote message contains quotes with a different Product Code than the first valid quote in the message. | 1 |
An incoming quote has crossed prices. | 7 OR 57* (if resting quote) |
*CME Group -defined
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