Mass Quote Messaging Best Practices

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