Mass Quote Protections

Mass Quote Protections (MQPs) are a post-trade evaluation function designed to auto-cancel a customer’s resting quotes and force a Mass Quote submission time-out within a Group Code or across related Group Codes. This function is specific to CME Globex options on futures, applies only to quote trades (not order trades), and is subject to business rules specific to each option asset class. Please contact the CME Group asset class option business line manager for more information.   

A customer's MQP evaluation occurs when a Mass Quote entry is traded. All quotes traded during the one-second evaluation window are tallied and compared against its MQP threshold value. If a traded quote causes its MQP tally to trigger its threshold value, then MQP functionality will execute as follows:  

  1. CME Globex auto-cancels the customer’s resting quotes.

  2. CME Globex rejects the customer’s submitted Mass Quote messages. Subsequent submitted Mass Quote messages will be processed after the customer sends a Mass Quote message with a “reset” instruction. 

Contents

Video Overview

Watch this video for an overview of Mass Quote protections and levels at which MQPs can be set.

Time Interval

All MQP thresholds are subject to an exchange-defined time interval during which MQPs are counted and enforced.

  • The timer is triggered by an initial Mass Quote fill; If a breach occurs during the time interval, all remaining quotes are cancelled.

  • If no thresholds are triggered during the time interval, MQP tallies are reset after the interval.

Example

  • Customer sets Traded Quantity threshold to 1000 for the SOFR Options Group Code.

  • Exchange sets time interval to 1 second.

  • In the first 500 milliseconds, customer quote is filled for 500. Traded Quantity tally= 500.

  • No further fills occur within the 1 second interval.

  • At start of next 1 second interval, Traded Quantity tally reset to zero.

MQP Types

The table below summarizes the CME Globex MQP types. Permission to use MQPs is coordinated through GAM and implemented through CME Account Management Service.

Contact your Global Account Manager for setup and further information.

A resting quote that trades and an aggressing (arriving) quote that trades will both cause the customer’s MQP(s) to tally.

  • If a resting quote causes the customer’s MQP tally to trigger their MQP threshold value, then the customer’s resting quotes will be cancelled.

  • If an aggressing quote causes the customer’s MQP tally to trigger their MQP threshold value, then the customer’s resting quotes including the remaining unprocessed quotes in the inbound Mass Quote message will be cancelled.

The table's “reference value” is an operational, shorthand term and not a CME Globex message value.

MQP Types (reference value)

Definition

MQP Types (reference value)

Definition

New Quote Fill (X)

 

Tallies when a quote’s bid or ask initially trades.

Example

A bid-side quote initially trades as a partial fill and the X MQP tallies to +1. The remaining (resting) bid-side quote subsequently trades again but the X MQP tally remains at +1. The ask-side quote for the same strike initially trades and the X MQP tallies to +2.

The initial trade always tallies as a value of +1 regardless of whether it is a bid-side or ask-side quote.

Note:

If an instrument is re-quoted following a fill, either by quote modification or new quote submission, the X tally will increment again upon execution.

 Execution (Y)

Tallies each time a quote’s bid or ask trades.

  • For a resting quote - Execution (Y) is incremented by one for trades with a single aggressor, regardless of partial fills

  • For an aggressing quote - Execution (Y) is incremented by one for the entire event that this quote traded as aggressor, regardless of partial fills

Example: An incoming sell order is matched with implied buy orders in the order book

A bid-side quote initially trades as a partial fill and the Y MQP tallies to +1. The remaining (resting) bid-side quote subsequently trades again and the Y MQP increments to +2. 

  1. A quote trade always tallies as a value of +1 regardless of whether the quote’s bid or ask trades.

  2. The Y tally cannot exceed its threshold value in FIFO matching algorithm markets. The Y tally can exceed its threshold in Pro-Rata type matching algorithm markets because CME Globex generates a partial fill execution for each Pro-Rata round within a match event.

 Traded Quantity (Z)

Traded quantity-based MQP. Tallies the number of lots traded.

Example

A resting 20-lot bid-side quote fully trades so the Z MQP tallies to +20.

  1. The traded quantity for a bid-side quote and an ask-side quote always tallies as a positive integer.

  2. Spreads tally according to the spread’s traded lot-size (e.g., 10-lot straddle quote trade tallies as +10).

  3. The assigned futures portion of a premium-quoted covered trade or a vol-quoted trade is not factored into the Traded Quantity MQP tally.

  4. The Z tally can exceed the threshold value by a quote side’s total quantity minus a 1-lot. For example:

    1. MQP Z threshold value = 100

    2. MQP Z tally = 99

    3. Resting 10-lot bid-side quote is filled

    4. MQP Z tallies to 109 and MQP functionality is triggered

Fill % (F)

The cumulative sum of each quotes 's execution quantity relative to its original quote quantity during a single MQP duration. 

Tallies each time a quote's bid or ask trades. 

The Original Booked Quantity of the quote is retained for calculating the fill percentage for all partial trades during the MQP duration.  

Any modifications to quote quantity,  percentage of trades as percentage original quote are retained and modified quote is treated as a new quote for calculations.

Example:

  • A bid-side quote quantity =10 trades as a partially fill for 2 and the Fill % (F) MQP tallies to 20%. 

  • The remaining (resting )bid-side quotes quantity = 8  

  • If the resting bid-side quotes quantity is modified to 20, then  trades as a partially fill for 3, the Fill % (F) MQP tallies  to15%, and the cumulative Fill % will equal 35%

MQP functionality will be triggered after the cumulative Fill % (F) sum value equals or exceeds the Fill % (F) threshold.

  • Resting quotes are cancelled

  • Subsequent quote submission are rejected pending submission of the MQP Reset.

  • Upon reset, quotes are accepted again.

Fill % (F) will default to a null value. If utilized, the value will default to 90%. Customers can only edit it to a value more than 90%.

 Buy/Sell (Sides)

Traded quantity-based MQP. Tallies a net traded quantity from each trade.

Example

A resting 20-lot ask fully trades and the Sides MQP tallies to -20; a resting 15-lot bid fully trades and the Sides MQP tallies to -5.

  1. A spread trade nets the option leg quantities before being applied to the MQP tally (e.g. Vertical 5-lot buy or sell trade tallies as “0”; Straddle 5-lot buy trade tallies as “+10”).

  2. The Sides threshold value is entered as a positive integer but is evaluated at the positive and negative integer equivalents (e.g. a threshold value of “100” equates to +100 Buy and -100 Sell).

  3. The Sides tally can exceed the threshold value by a quote side’s total quantity minus (or plus) a 1-lot. For example:

    1. MQP Sides threshold value = 1000

    2. MQP Sides tally = 999

    3. Resting 10-lot bid quote is filled

    4. MQP Sides tallies to 1009 and MQP functionality is triggered

 Delta (D)

Traded delta-based MQP.

  • The delta protection is a counter that tallies the net delta (equivalent futures) from each trade within the set time interval, e.g. 1 second. Positive deltas (Long Call,  Short Put) increment the counter and Negative Deltas (Short Call, Long Put) decrement the counter.

    • Deltas are calculated every 15 seconds throughout the trading session.

  • The D threshold value is set by customers in absolute terms. The value is entered as a positive integer but is evaluated at the positive and negative integer equivalents (e.g. a delta threshold value set at '5' equates to +5  or -5).

  • Deltas are netted for option spread trades (e.g. an option spread trade with leg deltas of +0.30 and -0.40 nets to -0.10).

  • The D tally can exceed the threshold value by a resting quote's total delta minus (or plus) 1 delta.

Example

A 20-lot call bid-quote with a +0.15 delta fully trades. The D MQP tallies to +3 (or +20 lot * +0.15 delta).

Current MQP Type Decommission

Effective Sunday, October 13, 2024, the following MQP types will be decommissioned: 

  • New Quote Fill (X) 

  • Execution (Y)

  • Buy/Sell (Sides)

  • Delta (D)

CME Group will continue to support the existing MQP type - Traded Quantity (Z).

Fill % (F) Example

Example 1: Fill % (F) at Product Group Level

Mass Quote customers set in violation of MQP at the product group level, violation was triggered when Cumulative% Value at Product Group Level equals or exceeds configured value at Product Group threshold.

MQP Setting:

  • Fill % (F) Threshold  = 100%

  • Time Interval to 1 second.

E-Mini S&P 500 Options Product Group EW

Bid

Offer

Trade

Fill %

Cumulative Fill % at Product Group Level

E-Mini S&P 500 Options Product Group EW

Bid

Offer

Trade

Fill %

Cumulative Fill % at Product Group Level

Quote 1

150

 

100

66.67%

 

Quote 2

 

100

40

40.0%

106.67% - MQP Activated at Product Group Level

Example 2:  Fill % (F) at Product Line Level

Mass Quote customers set in violation of MQP at the product group level, violation was triggered when Cumulative% Value at Product Group Level equals or exceeds configured value at Product Group threshold.

Product Groups under the Product Line:  EW, EO. 

MQP Setting:

  • Group Fill % (F) Threshold  =100%

  • Product Line Protection Enabled

  • Time Interval to 1 second

E-Mini S&P 500 Options Product Group EW

Bid

Offer

Trade

Fill %

Cumulative Fill% at Product Group Level

Cumulative Fill % at Product Line Level

E-Mini S&P 500 Options Product Group EW

Bid

Offer

Trade

Fill %

Cumulative Fill% at Product Group Level

Cumulative Fill % at Product Line Level

Quote 1

150

 

50

33.33%

33.33%

33.33%

Quote 2

 

100

40

40.0%

73.33%

73.33%

MICRO MINI SP EOM Product Group EO

Bid

Offer

Trade

Fill %

Cumulative Fill % at Product Group Level

Cumulative Fill % at Product Line Level

Quote 1

 

60

20

33.33%

33.33%

106.66%

Quote 2

120

 

120

100%

133.33% - MQP Activated at Product Line Level

206.66%

Example 3:  Fill % (F) at Aggregate Product Line Level

Mass Quote customers set in violation of MQP at the aggregate product line level, violation was triggered when Cumulative% Value at Product Line Level  equals or exceeds configured value at Aggregate Product Line threshold.

Product Groups under the Product Line:  EW, EO. 

MQP Setting:

  • Group Fill % (F) Threshold = 100%

  • Aggregate Fill % (F) Threshold  = 150%

  • Time Interval to 1 second

E-Mini S&P 500 Options Product Group EW

Bid

Offer

Trade

Fill %

Cumulative Fill % at Product Group Level

Cumulative Fill % at Product Line Level

E-Mini S&P 500 Options Product Group EW

Bid

Offer

Trade

Fill %

Cumulative Fill % at Product Group Level

Cumulative Fill % at Product Line Level

Quote 1

150

 

50

33.33%

33.33%

33.33%

Quote 2

 

100

40

40.0%

73.33%

73.33%

MICRO MINI SP EOM Product Group EO

Bid

Offer

Trade

Fill %

Cumulative Fill % at Product Group Level

Cumulative Fill % at Product Line Level 

Quote 1

 

60

20

33.33%

33.33%

106.66%

Quote 2

120

 

60

50%

83.33%

156.66%  - MQP Activated at Product Line Level

MQP Enforcement Levels

All MQP types are available at the Group Code and Product Line levels.

MQP Level

Description

MQP Level

Description

Group Code

A set of related option products as configured by the GCC.

Example: E-mini S&P 500 outright option products with expiration listing cycles for Serial/Quarterly, End-of-Month and all Weekly variations each have their own CME Globex Product Code but share the same Group Code.

CME Group requires that a customer utilizes at least one MQP type at the Group Code level. The customer’s Clearing Firm Admin sets the threshold value for each MQP type that they want their customer to utilize.

If a Group Code’s MQP tally triggers the customer's threshold value, then the customer’s resting quotes for that Group Code are auto-cancelled by CME Globex.

Product Line 

 

A set of related Group Codes as configured by the GCC.

Example: The Corn Product Line equates to the Group Codes for Corn options, Corn Calendar Spread options, Corn Weekly options, Weekly New Crop Corn options, Short-Dated Options on New Crop Corn options and all related option spreads.

Product Line is an MQP feature that a customer’s Clearing Firm Admin has the choice to utilize. If utilized, the Clearing Firm Admin has two configuration choices:

(1) Product Line enabled with no Product Line MQP values.

If a Group Code is part of the Product Line and the Group Code’s MQP tally triggers the customer’s threshold value, then the customer’s resting quotes for the Product Line are auto-cancelled by CME Globex.

(2) Product Line enabled with Product Line MQP values (aka. Aggregate Product Line)

The Clearing Firm Admin establishes MQP threshold values at the Product Line level. If a customer uses the same MQP type at the Group Code and Product Line levels, then a tally to the more restrictive MQP threshold value will trigger MQP functionality. The customer’s resting quotes for the Product Line are auto-cancelled by CME Globex if either of the following occurs:

  • The Group Code is part of the Product Line and the Group Code’s MQP tally triggers the customer’s threshold value.

  • A Product Line’s MQP tally triggers the customer’s threshold value.

Mass Quote Message Reset

CME Globex evaluates customer MQP(s) during one-second intervals which are native to each customer. A customer’s initial quote trade both begins their one-second interval and tallies their MQP(s). Once the one-second interval has been initiated then the customer has no means to prematurely end its full one-second duration or reset their MQP tally to zero unless MQP functionality is triggered by a threshold breach.  

If a customer's quote trade(s) have not triggered their MQP during a one-second interval, then their MQP tally(s) will be reset by CME Globex at the end of the one-second interval. 

If a customer’s quote trade(s) tally and trigger their MQP threshold during a one-second interval, then they must submit a Mass Quote message (tag 35-MsgType=i) with tag 9773-MMProtectionReset = Y.

Failure to send the reset tag will cause their Mass Quote messages to be rejected. The Mass Quote message reset tag both resets the customer's MQP tally(s) to zero and allows their subsequently submitted Mass Quote messages to be processed.

MQP Trigger and Reset

This diagram shows a scenario in which MQP is triggered, all resting quotes are canceled, and subsequent Mass Quotes are rejected pending submission of the MQP Reset. Upon reset, quotes are accepted again.

Product Lines

The assigned group values per product line are sent in tag 1151-SecurityGroup of the market data Security Definition message.

Product Lines are configurable by the GCC only. For questions regarding product line configuration, contact the GCC.

 




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