The following iLink 2 messages support Mass Quotes:

  • The Mass Quote (tag 35-MsgType=i) message contains a set of quotes for a given Product Code. This message is used to enter new quotes, modify quotes, and cancel quotes.
  • The Quote Cancel (tag 35-MsgType=Z) message is used to cancel all quotes or a partial set of quotes submitted during a specific session.
  • The Quote Acknowledgment (tag 35-MsgType=b) message is used to positively and negatively acknowledge Mass Quote and Quote Cancel messages.
  • An Execution Report - Fill Notice (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2) and Execution Report - Order Cancel (tag 35-MsgType=8, tag 39-OrdStatus=4) messages notify client systems of fills and trade cancellations resulting from quotes.

The following table provides a summary of the iLink 2 message functionality.



Mass Quote (tag 35-MsgType = i) message

Allows authorized customers to submit two-sided quotes for one or more instruments.
Can also be used to cancel resting quotes if sent with a zero price.

Quote Cancel (tag 35-MsgType=Z) message

Allows authorized customers to:
Cancel all active quotes
Cancel all active quotes for an Product Code
Cancel individual quotes

Quote Acknowledgment (tag 35-MsgType=b) message

Sent in response to:
Mass Quote
Quote Cancel
Quote Request

Execution Report (tag 35-MsgType=8) message

Confirms receipt of a quote, confirms changes to an existing quote, relays quote status information, relays fill information, quote rejection.
Enhanced to include QuoteEntryID in tag 11-ClOrdID to indicate:
Fill notice resulting from a quote
Trade Cancellation