This topic describes:
Restrictions to Quote Modification
- The customer can modify their resting quotes by sending in another Mass Quote message with the same tag 107-SecurityDesc and tag 299-QuoteEntryID.
- Unique Quote IDs:
- Tag 299-QuoteEntryID must be unique per session per day. This unique identifier is the responsibility of the customer and is not validated.
- Tag 117-QuoteID must be unique per session per day.
- Tag 302-QuoteSetID must be unique per message.
- If there is a resting quote from the same customer with a different tag 299-QuoteEntryID, CME Globex platform rejects incoming quotes and cancels the resting quote for the same instrument.
- Incoming quotes replace resting quotes from the same customer provided they have the same tag 299-QuoteEntryID.
- A modification of a quote entails changing either or both of the values associated with the price and quantity of one or more sides of a quote.
- If you modify price of a quote by setting it to "0", the new quote will be rejected and the resting quote will be cancelled
- Customers may perform the following types of modifications:
- Modify both sides of an existing quote.
- Modify one side of an existing quote and leave the opposite side unchanged.
- Cancel one side of a resting quote and leave the opposite side unchanged.
- Cancel one side of a resting quote and modify the opposite side.
- Cancel both sides of a resting quote.
- Modify only one side (bid or sell) of a resting quote by using the appropriate bid or offer quantity and price tags in a new Mass Quote message.
The following scenario illustrates how original quote entries and subsequent modifications are maintained in the customer's order book. A customer submits a Mass Quote message with three quote entries described in the following table.
Quote ID | Quote Set ID | Quote Entry ID | Instrument | Tag 132-BidPx | Tag 134-BidSize | Tag 133-OfferPx | Tag 135-OfferSize | Status of Quote Entry |
|---|---|---|---|---|---|---|---|---|
00001 | ES Z6 C1115 | 50 | 100 | 51 | 100 | Original quote entry | ||
111 | 1 | 00002 | ES Z6 C1130 | 34 | 100 | 36 | 100 | Original quote entry |
00003 | ES Z6 C1150 | 14 | 100 | 16 | 100 | Original quote entry |
Later, the customer submits another quote message containing modifications described in the following table. This mass quote modifications were submitted with Mass Quote message 00002.
Quote ID | Quote Set ID | Quote Entry ID | Instrument | Tag 132-BidPx | Tag 134-BidSize | Tag 133-OfferPx | Tag 135-OfferSize | Status of Quote Entry |
|---|---|---|---|---|---|---|---|---|
00001 | ES Z6 C1115 | 50 | 250 | 51 | 100 | Modification of bid side quantity for quote entry 00001 (submitted in quote message 0001/ quote set 111); original offer side is not affected. | ||
112 | 1 | 00002 | ES Z6 C1130 | 34 | 100 | 0 | 0 | Cancellation of offer side of quote 00002 (submitted in quote message 0001/ quote set 111). |
00003 | ES Z6 C1150 | 12 | 100 | 16 | 175 | Modification of bid side price and offer side quantity for quote entry 00003 (submitted in quote message 0001 / set ID 111). |
Following the validation of quote modifications submitted in quote message 0002, the values in the customer's book for the instruments are:
Customer's Order Book Quantity and Price Values
Quote Entry ID | Instrument | Bid Price | Bid Qty | Offer Price | Offer Qty |
|---|---|---|---|---|---|
00001 | ES Z6 C1115 | 50 | 250 | 51 | 100 |
00002 | ES Z6 C1130 | 34 | 100 | 0 | 0 |
00003 | ES Z6 C1150 | 12 | 100 | 16 | 175 |
For description of Quantity and Price field validation scenarios, see Quote Entry Reject Reasons .
Quote Overlay and Loss of Priority
The following modifications (overlays) to a resting quote will cause the quote to lose priority in the queue at its given price level.
- Account change
- Increased quantity
- Price change