iLink 2 customers who wish to initiate trading for an instrument can submit an iLink iLink 2 Quote Request message to trigger a market data Request for Quote (RFQ), to which authorized Mass Quote customers can respond with a quote or customers can submit a iLink 2 New Order message.
Contents
The CME Globex platform may reject a Quote Request message and send a Business Level Reject (tag 35-MsgType=j) message.
Overview
CME Group customers who wish to trade an instrument for which the order book is blank or stale can request a quote to create or refresh the book using an iLink iLink 2 Quote Request message. An accepted quote request is acknowledged with an iLink iLink 2 Quote Acknowledgment message and disseminated to the market with the Request for Quote (tag 35-MsgType=R) message.
Once the Quote Request (tag 35-MsgType=R) message is disseminated, market participants can respond with an iLink iLink 2 Mass Quote message or an iLink iLink 2 New Order message to populate the book.
Additionally, creation of a UDS with the iLink iLink 2 Security Definition Request message will generate a market data Request for Quote (tag 35-MsgType=R) message at instrument creation.
Customers who wish to request quotes must implement two CME iLink 2 messages from the FIX 4.2 specification:
- Quote Request (tag 35-MsgType=R) message.
- Quote Acknowledgment (tag 35-MsgType=b) message which notifies the customer of accept/reject of a Quote Request (tag 35-MsgType=R) message.
- In the Quote Acknowledgment (tag 35-MsgType=b), the value in tag 131-QuoteReqID is returned with the same tag value from the Quote Request (tag 35-MsgType=R) message.
- However, tag 9770-ExchangeQuoteReqID in the Quote Acknowledgment (tag 35-MsgType=b) contains the value broadcast to the market from tag 131-QuoteReqID in the Quote Request (tag 35-MsgType=R) message.
Customers who wish to receive RFQs must be able to process the market data Request for Quote (tag 35-MsgType=R) message.
The following table highlights the iLink Quote Request and MDP messages.
Function / Component | Quote Request Functionality |
|---|---|
iLink | |
Quote Request (tag 35-MsgType=R) message | The Quote Request (tag 35-MsgType=R) message allows users to submit the following Quote Request types:
|
Quote Acknowledgment (tag 35-MsgType=b) message | The Quote Acknowledgment message is sent to the customer to acknowledge the Quote Request message:
|
Business Level Reject (tag 35-MsgType=j) message | Notifies client of business-level message reject. |
MDP | |
Request for Quote (tag 35-MsgType=R) message | Allows the customer to match the Quote Request (tag 35-MsgType=R) message with the iLink Quote Request (tag 35-MsgType=R) message. Tag 131-QuoteReqID contains the value returned from the iLink Quote Acknowledgment (tag 35-MsgType=b) in tag 9770-ExchangeQuoteReqID. |
Order Status Requests cannot be performed on Quote Requests.