Mass Quote Protections (MQPs) are a post-trade evaluation function designed to auto-cancel a customer’s resting quotes and force a Mass Quote submission time-out within a Group Code or across related Group Codes. This function is specific to CME Globex options on futures, applies only to quote trades (not order trades), and is subject to business rules specific to each option asset class. Please contact the CME Group asset class option business line manager for more information.
A customer's MQP evaluation occurs when a Mass Quote entry is traded. All quotes traded during the one-second evaluation window are tallied and compared against its MQP threshold value. If a traded quote causes its MQP tally to trigger its threshold value, then MQP functionality will execute as follows:
- CME Globex auto-cancels the customer’s resting quotes.
- CME Globex rejects the customer’s submitted Mass Quote messages. Subsequent submitted Mass Quote messages will be processed after the customer sends a Mass Quote message with a “reset” instruction.
Watch this video for an overview of Mass Quote protections and levels at which MQPs can be set.
All MQP thresholds are subject to an exchange-defined time interval during which MQPs are counted and enforced.
- The timer is triggered by an initial Mass Quote fill; If a breach occurs during the time interval, all remaining quotes are cancelled.
- If no thresholds are triggered during the time interval, MQP tallies are reset after the interval.
- Customer sets Traded Quantity threshold to 1000 for the SOFR Options Group Code.
- Exchange sets time interval to 1 second.
- In the first 500 milliseconds, customer quote is filled for 500. Traded Quantity tally= 500.
- No further fills occur within the 1 second interval.
- At start of next 1 second interval, Traded Quantity tally reset to zero.
The table below summarizes the CME Globex MQP types. Permission to use MQPs is coordinated through GAM and implemented through CME Account Manager.
Contact your Global Account Manager for setup and further information.
A resting quote that trades and an aggressing (arriving) quote that trades will both cause the customer’s MQP(s) to tally.
- If a resting quote causes the customer’s MQP tally to trigger their MQP threshold value, then the customer’s resting quotes will be cancelled.
- If an aggressing quote causes the customer’s MQP tally to trigger their MQP threshold value, then the customer’s resting quotes including the remaining unprocessed quotes in the inbound Mass Quote message will be cancelled.
|MQP Types (reference value)
New Quote Fill (X)
Tallies when a quote’s bid or ask initially trades.
A bid-side quote initially trades as a partial fill and the X MQP tallies to +1. The remaining (resting) bid-side quote subsequently trades again but the X MQP tally remains at +1. The ask-side quote for the same strike initially trades and the X MQP tallies to +2.
The initial trade always tallies as a value of +1 regardless of whether it is a bid-side or ask-side quote.
If an instrument is re-quoted following a fill, either by quote modification or new quote submission, the X tally will increment again upon execution.
Tallies each time a quote’s bid or ask trades.
Example: An incoming sell order is matched with implied buy orders in the order book
A bid-side quote initially trades as a partial fill and the Y MQP tallies to +1. The remaining (resting) bid-side quote subsequently trades again and the Y MQP increments to +2.
Traded Quantity (Z)
Traded quantity-based MQP. Tallies the number of lots traded.
A resting 20-lot bid-side quote fully trades so the Z MQP tallies to +20.
Traded quantity-based MQP. Tallies a net traded quantity from each trade.
A resting 20-lot ask fully trades and the Sides MQP tallies to -20; a resting 15-lot bid fully trades and the Sides MQP tallies to -5.
Traded delta-based MQP.
A 20-lot call bid-quote with a +0.15 delta fully trades. The D MQP tallies to +3 (or +20 lot * +0.15 delta).
MQP Enforcement Levels
All MQP types are available at the Group Code and Product Line levels.
A set of related option products as configured by the GCC.
Example: E-mini S&P 500 outright option products with expiration listing cycles for Serial/Quarterly, End-of-Month and all Weekly variations each have their own CME Globex Product Code but share the same Group Code.
CME Group requires that a customer utilizes at least one MQP type at the Group Code level. The customer’s Clearing Firm Admin sets the threshold value for each MQP type that they want their customer to utilize.
If a Group Code’s MQP tally triggers the customer's threshold value, then the customer’s resting quotes for that Group Code are auto-cancelled by CME Globex.
A set of related Group Codes as configured by the GCC.
Example: The Corn Product Line equates to the Group Codes for Corn options, Corn Calendar Spread options, Corn Weekly options, Weekly New Crop Corn options, Short-Dated Options on New Crop Corn options and all related option spreads.
Product Line is an MQP feature that a customer’s Clearing Firm Admin has the choice to utilize. If utilized, the Clearing Firm Admin has two configuration choices:
(1) Product Line enabled with no Product Line MQP values.
If a Group Code is part of the Product Line and the Group Code’s MQP tally triggers the customer’s threshold value, then the customer’s resting quotes for the Product Line are auto-cancelled by CME Globex.
(2) Product Line enabled with Product Line MQP values
The Clearing Firm Admin establishes MQP threshold values at the Product Line level. If a customer uses the same MQP type at the Group Code and Product Line levels, then a tally to the more restrictive MQP threshold value will trigger MQP functionality. The customer’s resting quotes for the Product Line are auto-cancelled by CME Globex if either of the following occurs:
Mass Quote Message Reset
CME Globex evaluates customer MQP(s) during one-second intervals which are native to each customer. A customer’s initial quote trade both begins their one-second interval and tallies their MQP(s). Once the one-second interval has been initiated then the customer has no means to prematurely end its full one-second duration or reset their MQP tally to zero unless MQP functionality is triggered by a threshold breach.
If a customer's quote trade(s) have not triggered their MQP during a one-second interval, then their MQP tally(s) will be reset by CME Globex at the end of the one-second interval.
If a customer’s quote trade(s) tally and trigger their MQP threshold during a one-second interval, then they must submit a Mass Quote message (tag 35-MsgType=i) with tag 9773-MMProtectionReset = Y.
Failure to send the reset tag will cause their Mass Quote messages to be rejected. The Mass Quote message reset tag both resets the customer's MQP tally(s) to zero and allows their subsequently submitted Mass Quote messages to be processed.
MQP Trigger and Reset
This diagram shows a scenario in which MQP is triggered, all resting quotes are canceled, and subsequent Mass Quotes are rejected pending submission of the MQP Reset. Upon reset, quotes are accepted again.
Assume this scenario occurs during a single Time Interval.
The assigned group values per product line are sent in tag 1151-SecurityGroup of the market data Security Definition message.
Product Lines are configurable by the GCC only. For questions regarding product line configuration, contact the GCC.