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The Mass Quote message contains two levels of repeating group parameters:

  • The first level, Quote Set, contains information for a set of underlying contracts (e.g. ESU6). 
  • The second level, Quote Entry, is nested within the Quote Set and contains the individual quote entries (e.g. ESU6 C1200). 

Accordingly, Mass Quotes have the following parameter restrictions:

  1. A Mass Quote message can contain a maximum of 15 quote entries on multiple instruments.
  2. A Mass Quote message can contain a maximum of 15 quote sets.
  3. A Mass Quote message can only contain quotes for instruments belonging to the same Product Code. The Product Code of the Mass Quote message is determined by the first quote of the message. The CME Globex platform rejects all quotes belonging to a different Product Code than that defined in the initial quote in the message.
     

    GCC has the ability to configure options products from different product groups to the same Product Code. It is therefore possible for a given Mass Quote message to include quotes for different options products, provided they have the same Product Code. Contact the GCC for Product Code configuration information.

  4. CME Globex platform rejects Mass Quote messages if the first quote has an invalid tag 107-SecurityDesc.
  5. If a customer submits a Mass Quote with several quotes on the same contract, only the first quote is accepted; all other quotes are rejected.
  6. A Mass Quote customer can only have one active resting quote per instrument (no laddering supported).
  7. Quotes are treated as atomic operations. If one side of a quote is invalid, the full quote is rejected.
  8. Quotes can be submitted with either one or both sides (buy/sell). Each side can have a different price or size.
  9. Successfully accepted quotes act as limit session orders.