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Mass Quote functionality allows authorized customers to generate two-sided markets on one or more options instruments within a single message. A Mass Quote message can include up to 15 two-sided quotes for instruments within the same Security Group as defined in tag 1151-SecurityGroup of the market data Security Definition message.

The Mass Quote message contains two levels of repeating groups:

  1. The first repeating group is a Quote Set. Each Quote Set must contain an identifier, and all instruments quoted within the Quote Set must have the same underlying contract (e.g. ESU6). Multiple Quote Sets are allowed within a single Mass Quote message, however the components of all Quote Sets must be from the same Security Group.
  2. The second repeating group is nested within the Quote Set, and contains each individual quote entry. Each quote entry is uniquely identified by tag 299-QuoteEntryID. Each quote entry will containf one instrument, and can be a bid, offer, or both.

A Mass Quote can only contain instruments from the same Security Group, however, for UDS instruments, a Security Group may contain instruments created from different yet related security groups.

See User Defined Spread Composition for more information.

The following examples show how Quote Sets and Quote Entries are associated and updated.

Example 1 - Submit Mass Quote Message

MQ1 tag 302-QuoteSetID=1 (ESU6 C1200 | ESU6 P1100), tag 302-QuoteSetID=2 (ESU6 P1100), tag 302-QuoteSetID=3 (ESM6 C1300)

FIX Message

Quote Set

Tag 302-QuoteSetID

Tag 299-QuoteEntryID

Firm IDTrader IDSenderComp IDNumber of Quotes

Mass Quote




ESU6

1

ESU6 C1200

3503E0LT593504

ESU6 P1100


ESZ6

2

ESZ6 P1100

ESM6

3

ESM6 C1300


Example 2 - Add Quotes to Existing Quote Set

 1. MQ1 tag 302-QuoteSetID=1 (ESU6 C1200), tag 302-QuoteSetID=2 (ESU6 P1100)

FIX Message

Quote Set

Tag 302-QuoteSetID

Tag 299-QuoteEntryID

Firm IDTrader IDSenderComp IDNumber of Quotes

Mass Quote


ESU6

1

ESU6 C1200

3503E0LT593502

ESU6

2

ESU6 P1100


  • Total 2 resting quotes

2. MQ2 tag 302-QuoteSetID=1 (ESZ6 C1400), tag 302-QuoteSetID=2 (ESZ6 P1300)

FIX Message

Quote Set

Tag 302-QuoteSetID

Tag 299-QuoteEntryID

Firm IDTrader IDSenderComp IDNumber of Quotes
Mass QuoteESU61ESU6 C12003503E0LT593504
ESU62ESU6 P1100

Mass Quote


ESZ6

1

ESZ6 C1400

ESZ6

2

ESZ6 P1300

  • Total 4 resting quotes

Example 3 - Cancel by Quote Set

For the quote sets in Example 2, send a Quote Cancel message, with tag 302-QuoteSetID=1

  • 2 quotes remain active after quote cancel is submitted

FIX Message

Quote Set

Tag 302-QuoteSetID

Tag 299-QuoteEntryID

Firm IDTrader IDSenderComp IDNumber of Quotes

Mass Quote Cancel

ESU6

2

ESU6 P1100

3503E0LT593502
ESZ62ESZ6 P1300



Warning

Within the Mass Quote message, there are three identifiers that the client system must ensure have unique values that contain no space characters:

  • QuoteID
  • QuoteSetID
  • QuoteEntryID

Custom FIX Tags for the Mass Quote Message

The Mass Quote message contains the following custom FIX tags.

Tag

FIX Name

Description

9771

MMAccount

Mass Quote customer account ID

9773

MMProtectionReset

See Mass Quote Protections: MQP Resetting Monitoring Mode  

Messaging Example

The following diagram illustrates the basic message processing between the Mass Quote customer and CME Globex for a Mass Quote message.

Mass Quote Submission