Mass Quote Messaging Best Practices
- Space Sync for Confluence
CME Group recommends that client systems incorporate these behaviors to enhance their quote management and related performance.
Recommended Behaviors
Maintain a Quote-Entry-to-Volume ratio of at least 1000:1 on a per Session basis during RTH
Send a single, static working order or quote for a strike priced at its minimum tick or cabinet value
Use the Market Segment Gateway (MSGW) if sensitive to round-trip performance
Submit complete iLink 2 Mass Quote messages that fit within a TCP packet to ensure optimal round-trip performance
See iLink Architecture for more information
Update a resting quote with a new quote (one-step message process) rather than submitting a quote cancel followed by a new quote (two-step message process)
Use the correct quote cancellation or quote modification construct relative to business need:
See Quote Cancel/Modify for more information
See Cancel by Quote Set ID for more information
Manage Mass Quote message rates to remain below CME Globex’s Message Control threshold values
Discouraged Behaviors
Send a new quote entry with the same price and quantity as the resting quote
Send multiple quote cancels for the same resting quote
Cancelling and resubmitting an entire quote set when only a subset requires updating
Set Mass Quote Protections with values that are triggered after a single match
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