Mass Quote Protection Enhancements
Effective Sunday, June 30, 2024Â (trade date Monday, July 1), in addition to current Mass Quote Protection (MQP) types, CME Group will provide the new Fill % (F) MQP type at the Group Code and Product Line levels.Â
The current and new MQP types will be supported in parallel until Sunday, October 13, 2024. All iLink Mass Quote customers are encouraged to migrate to the new Fill % (F) type as early as possible prior to the existing MQP types decommission.  Only the existing MQP type - Traded Quantity (Z) will continue to supported with the new MQP type - Fill % (F).Â
Contents
Revision History
Date | Description |
|---|---|
June 5, 2024 | 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%. |
April 3, 2024 | Initial version of this content published. |
Key Events and Dates
Date | Milestone |
|---|---|
Thursday, April 18, 2024 | New Release |
Sunday, June 16, 2024 | Mass Quote Protections Application Configuration |
Sunday, June 30, 2024 | Available in AutoCert+ |
Sunday, June 30, 2024 | Production |
Sunday, October 13, 2024 | Current MQP Type Decommission |
Testing and Certification
Certification for the new FIll % (F) MQP type is not mandatory for client systems already certified for the Mass Quote test suite.
New MQP Type
The table below summarizes the new Fill % (F) MQP type. Permission to use MQPs is coordinated through Global Account Management (GAM) and implemented through by your Clearing firm through CME Customer Center (MQP UI).
Contact your Global Account Manager for setup and further information.
New MQP Type (reference value) | Definition |
|---|---|
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:
MQP functionality will be triggered after the cumulative Fill % (F) sum value equals or exceeds the Fill % (F) threshold.
Fill % (F) will default to a null value. Â If utilized, the value will default to 90%. Customers can only edit it to a value more than 90%. |
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 |
|---|---|---|---|---|---|
Quote 1 | 150 | 100 | 66.67% | ||
Quote 2 | 100 | 40 | 40.0% | 106.67% - MQP Activated at Product Group Level |
Example 2: Â 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:Â Â EW, EO.Â
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 |
|---|---|---|---|---|---|---|
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: Â 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:Â Â EW, EO.Â
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 |
|---|---|---|---|---|---|---|
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% Â - MQP Activated at Product Line Level |
Current MQP Type Decommission
Effective Sunday, October 13, 2024, the following MQP types will be decommissioned:Â
New Quote Fill (X)Â
Execution (Y)
Buy/Sell (Sides)
Delta (D)
CME Group will continue to support the existing MQP type - Traded Quantity (Z).
Contact Information
For technical development support, contact Certification Support for Electronic Trading (CSET).
For production requests, please contact the Global Command Center (GCC).
For all other inquiries, please contact Global Account Management (GAM).
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