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This topic describes:

Restrictions to Quote Modification

  1. The customer can modify their resting quotes by sending in another Mass Quote message with the same tag 107-SecurityDesc and tag 299-QuoteEntryID.
  2. 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.
  3. 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.
  4. Incoming quotes replace resting quotes from the same customer provided they have the same tag 299-QuoteEntryID.
  5. 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.
  6. 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
  7. 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.
  8. 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