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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
  • 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:
  • 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