The Mass Quote Acknowledgment message is used as the response to a Mass Quote to notify customers of accepted and rejected quotes.
Bolded red text indicates support for EBS Market.
35=b, 297=0,5
Tag | Name | Binary Type | Binary Length | Req | Enumeration | Description |
|---|---|---|---|---|---|---|
| 9726 | SeqNum | uInt32 | 4 | Y | Sequence number assigned to this message. The max value is 999999999 which is 1 short of 1 billion. | |
| 39001 | UUID | uInt64 | 8 | Y | Matches Establish.UUID used to establish the connection. | |
| 58 | Text | String256 | 256 | N | Reject reason details. Used only for descriptive rejects. | |
| 5392 | SenderID | String20Req | 20 | Y | For futures and options markets: represents Operator ID. For EBS and fixed income markets: represents the Entering Trader. For EBS this value must be 3 characters. This value represents the individual or team submitting the message and is subject to registration requirements and character limits as required by Rule 576 and the Advisory below: https://www.cmegroup.com/rulebook/files/cme-group-Rule-576.pdf In FirmSoft and Global Command Center queries for order status and cancellations, this value must be exact, including preceding and following spaces. This tag value is always uppercase, regardless of the case in the inbound message tag. Client systems are not required to submit capitalized identifier to CME Globex. | |
| 1505 | PartyDetailsListReqID | uInt64 | 8 | Y | The unique identifier of the Party Details Definition Request Acknowledgment associated with this message; this is the value submitted on the inbound message. For pre-registered messages:
For on-demand messages:
| |
| 5979 | RequestTime | uIn64 | 8 | Y | Time (UTC) the request was received by the MSGW. UTC timestamps are sent in number of nanoseconds since the UNIX epoch with microsecond precision. | |
| 5297 | SendingTimeEpoch | uInt64 | 8 | Y | Time when the message is sent. 64-bit integer expressing the number of nanoseconds since midnight January 1, 1970. | |
131 | QuoteReqID | uInt64NULL | 8 | N | Conditionally present when Mass Quote was sent in response to Request for Quote. | |
| 9537 | Location | String5Req | 5 | Y | ISO identifier of the physical location of the individual or team head trader identified by the tag 5392 (SenderID) in the message. The first two bytes as per ISO 3166-1, identify the country (e.g., JP = Japan, CN = China). The next three bytes indicate a comma-delimited state or province code (e.g., CA = California, QC = Quebec). For valid values, refer to ftp.cmegroup.com/fix/coo. Market Regulation requires only the submission of the two first characters of tag 9537-Location for all countries with the exception of Canada. For Canada, the 5 bytes including the province code must be submitted. Note: this field is optional for EBS Market and eFIX Matching Service instruments. | |
| 117 | QuoteID | uInt32 | 4 | Y | Unique identifier for Mass Quote populated by the client system. | |
300 | QuoteRejectReason | uInt16NULL | 2 | N | 1=Unknown symbol (security) 2=Exchange (Security) closed 3=Quote request exceeds limit 5=Unknown quote 6=Duplicate quote 7=Invalid bid/ask spread 8=Invalid price 9=Not authorized to quote security 98=Market maker protection* 99=Missing account number or 'other' reason* *CME defined value | Contains reason (error code) the corresponding Mass Quote message has been rejected. When this tag is returned, all quotes in the corresponding Mass Quote message are rejected. |
| 5904 | DelayDuration | uInt16NULL | 2 | N | Not currently being used. | |
297 | QuoteStatus | QuoteAckStatus | 1 | Y |
| Indicates acceptance or rejection of Mass Quote message. |
| 1028 | ManualOrderIndicator | ManualOrdIndReq | 1 | Y |
| Indicates if the message was initially received manually. '0' indicates the message was generated by automated trading logic. iLink messages containing a value other than '0' or '1' in this tag will be rejected. This tag is subject to Rule 536.B.2 Electronic Audit Trail Requirements for Electronic Order Routing/Front-End Systems. https://www.cmegroup.com/rulebook/files/cme-group-Rule-536-B-Tag1028.pdf |
| 9772 | NoProcessedEntries | uInt8 | 1 | Y | Number of quotes that have been accepted from the corresponding inbound message. | |
| 9773 | MMProtectionReset | BooleanFlag | 1 | Y |
| Set to Y on the first Quote Acknowledgment sent after Market Maker Protection reset. |
| 9553 | SplitMsg | SplitMsg | 1 | N |
| Indicates if a message was delayed as a result of:
If absent, the message was not delayed and was neither split nor received out of order. |
| 9373 | LiquidityFlag | BooleanNULL | 1 | N |
| Indicates if an order was submitted for market making obligation as required for MIFID. Applicable only for EU BrokerTec. |
| 5409 | ShortSaleType | ShortSaleType | 1 | N |
| Indicates the type of short sale on Sell orders only as required for MiFID. Should not be used for Buy orders. Applicable only for EU fixed income markets. Note The Short-Selling Field is only required from Participants when BrokerTec EU has a regulatory obligation (pursuant to Article 26(5) of MiFIR) to conduct transaction reporting on behalf of the Participant. This obligation only applies to BrokerTec EU when the relevant participant is exempt from MiFIR (typically non-EEA (European Economic Area) firms, corporate entities or certain asset managers). Please reach out to TradingVenueCompliance@cmegroup.com for guidance. |
| 304 | TotNoQuoteEntries | uInt8NULL | 1 | N | Total number of quotes for the quote set across all messages. Populated only for enumerated rejects. | |
| 9765 | PossRetransFlag | BooleanFlag | 1 | Y |
| Flags message as possible retransmission or duplicate Indicates if message is an original transmission or duplicate in response to Retransmission Request or possible duplicate Used when original messages are interleaved with Retransmission responses Possible duplicate means the same message may have been sent again with different sequence number |
| 7552 | DelayToTime | uInt64NULL | 8 | N | Indicates the amount of time in nanoseconds that a message was subject to additional processing as a result of being:
Subtracting this number from tag 60-TransactTime will represent original received time of in-flight message. | |
9182 | QuoteEntryOpen | BooleanNULL | 1 | N | A boolean value indicating whether or not new quotes should be rejected for the SenderComp for whom quotes are being cancelled; also used to reset such a block on Mass Quotes being sent by the blocked SenderComp. | |
| 295 | NoQuoteEntries | groupSize | 3 | N | The number of quote entries for a quote set. Populated only for enumerated rejects. | |
| →299 | QuoteEntryID | uInt32 | 4 | Y | Unique identifier for a quote. The QuoteEntryID stays with the quote as a static identifier even if the quote is updated. For fills this value is transposed into tag 11-ClOrdID. | |
| →48 | SecurityID | Int32 | 4 | Y | Security ID as defined in the market data Security Definition message. | |
| →302 | QuoteSetID | uInt16 | 2 | Y | Unique ID for the Quote Set. Customers must assign an identifier between 1-999. | |
| →368 | QuoteEntryRejectReason | uInt8 | 1 | Y | Reject codes | Reason (error code) quote has been rejected. |
Tag 368-QuoteEntryRejectReason
Rejection Code | Description |
|---|---|
1 | Unknown symbol (Security) |
2 | Exchange (Security) closed |
3 | Quote exceeds limit |
5 | Unknown quote |
6 | Duplicate quote |
7 | Invalid bid/ask spread |
8 | Invalid price |
9 | Not authorized to quote security |
51* | Unknown symbol (Security) and cancel resting quote |
52* | Exchange (Security) closed and cancel resting quote |
53* | Quote exceeds limit and cancel resting quote |
54* | Too late to enter and cancel resting quote |
55* | Unknown quote and cancel resting quote |
56* | Duplicate quote and cancel resting quote |
57* | Invalid bid/ask spread and cancel resting quote |
58* | Invalid price and cancel resting quote |
59* | Not authorized to quote security and cancel resting quote |
89* | Order price is outside daily limit and cancel resting quote. |
98* | Mass Quote Protection |
99* | Other |
| 100 | Quote entry quantity is outside of the allowable range |
| 101 | Order quantity is outside the allowable range ‘Quantity 10000 Max: 9999 Min:1 |
| 102* | Self Match Prevention ID is not associated with the given Firm ID |
131* | Order price is outside bands and cancel resting quote |
*=CME-defined