Authorized client systems can submit Mass Quotes (tag 35-MsgType=i) messages to generate bid/ask pairs and two-sided markets for multiple instruments for CME Group options.
The → symbol indicates a repeating tag.
Tag | Name | Enumeration | Req | Description | |
|---|---|---|---|---|---|
| iLink 2 Standard Header - Client System to CME Globex | |||||
| 35 | MsgType | String(2) | i=Mass Quote | Y | Header tag identifying message type. |
131 | QuoteReqID | String(23) | N | If a quote entry is in response to a Quote Request, this tag should contain the QuoteReqID of the corresponding Request for Quote (tag 35-MsgType=R) market data message. | |
117 | QuoteID | String(10) | Y | Client system generated identifier of the message. Must be unique per mass quote message per trading session. | |
9771 | MMAccount | String(12) | Y* | Account number of Mass Quoting firm. | |
1028 | ManualOrderIndicator | Boolean(1) | Y=manual | Y* | 'N' indicates the message was generated by automated trading logic. Note: iLink messages containing a value other than 'Y' or 'N' in this tag will be rejected. This tag is subject to Rule 536.B.2 Electronic Audit Trail Requirements for Electronic Order Routing/Front-End Systems. |
| 1031 | CustOrderHandlingInst | String(1) | W - Desk Y - Electronic (Default) C - Vendor-provided Platform billed by Executing Broker G - Sponsored Access via Exchange API or FIX provided by Executing Broker H - Premium Algorithmic Trading Provider billed by Executing Broker D - Other, including Other-provided Screen | Y | Defines source of original order. |
204 | CustomerOrFirm | Int(1) | 0=Customer | Y* | The type of business conducted. Note
|
| 7928 | SelfMatchPreventionID | String(12) | N | This tag is required when market participants elect to use the optional Self Match Prevention functionality. Non-implied orders with the same Self-Match Prevention identifier submitted with the same Executing Firm Identifier (subcomponent of tag 49-SenderCompID) will not match on CME Globex. | |
9702 | CtiCode | Char(1) | 1=CTI 1 2=CTI 2 3-CTI 3 4=CTI 4 | Y* | Customer Type Indicator (CTI) For electronic trading CTI codes are defined as:
This tag is subject to Rule 536.D Customer Type Indicator (CTI) Codes and to 536.B.2 Electronic Audit Trail Requirements for Electronic Order Routing/Front-End Systems. If you are unsure of which value to use, contact CME Group Market Regulation. |
| 9773 | MMProtectionReset | Char(1) | Y=Reset N=Do not reset | N | When Mass Quoting Protection is triggered, CME Globex will not accept any new quotes from the Mass Quote customer for the given product group until it receives a Mass Quote message with the tag 9773-MMPReset flag set to 'Y' to reset protection. See Mass Quote Protections. |
| 1731 | AvgPxGroupID | String(20) | N | Used to identify account numbers or orders for grouping trades together for average price calculations. If incoming value is greater than max length, iLink will return the right-most twenty bytes. | |
| 1598 | ClearingTradePriceType | String(1) | 0 – Trade Clearing at Execution Price 1 – Trade Clearing at Alternate Clearing Price | N | Indicates whether spread differential trade is clearing at execution price (tag 31-LastPx) or alternate clearing price (i.e. previous day’s settlement price). |
| 819 | AvgPXIndicator | Int(3) | 0 – No Average Pricing (Default) 1 – Trade is part of an Average Price Group Identified by the AvgPxGroupID 3 - Notional Value Average Pricing with Average Price Group Identified by the AvgPxGroupID | N | Indicates if the resulting trade is to be average priced. This tag is also used to indicate type of average price grouping. |
| 5149 | Memo | String(75) | N | Allows users to submit a free-form Note tag with a customer order and persists from order entry through clearing Note: if tag 5149-Memo value on inbound messages exceeds the max length of 75 bytes, iLink will return a truncated 75 bytes from the right on the response. | |
| 296 | NoQuoteSets | Int(2) | Y | The number of quote sets that follow in this message. | |
→302 | QuoteSetID | String(3) | Y | Sequential number for the quote set. For a given QuoteID, assumed to start at '1'. Must be the first tag in the repeating group. | |
→307 | UnderlyingSecurityDesc | String(20) | N | Instrument identifier for underlying futures contract (e.g. ESH0). | |
→304 | TotQuoteEntries | Int(3) | Y | Total quote entries. | |
→295 | NoQuoteEntries | Int(3) | Y | The number of quotes for the quote set. | |
→→299 | QuoteEntryID | String(10) | Y | Client system provided unique identifier for quote in this repeating group. Must be the first tag in the repeating group. | |
→→55 | Symbol | String(6) | Y* | This tag contains the Group Code of the instrument. | |
→→107 | SecurityDesc | String(20) | Y* | Instrument identifier. | |
→→167 | SecurityType | String(3) | OPT=Option | Y* | Indicates instrument is an option. |
→→48 | SecurityID | Int(12) | N | Identifier of the instrument defined in tag 107-SecurityDesc. | |
→→22 | SecurityIDSource | Char(1) | 8=Exchange symbol | N | Identifies class or source of the tag 48-SecurityID value. |
→→60 | TransactTime | UTCTimestamp(21) | N | UTC format YYYYMMDD-HH:MM:SS.sss | |
→→132 | BidPx | Price(20) | N | Quoted bid price. The decimal, and if applicable the negative sign of the price are each one character. Client systems should not supply more than 9 characters to the left and 9 characters to the right of the decimal. | |
→→134 | BidSize | Int(9) | N | Quoted bid size. | |
→→133 | OfferPx | Price(20) | N | Quoted offer price. The decimal, and if applicable the negative sign of the price are each one character. Client systems should not supply more than 9 characters to the left and 9 characters to the right of the decimal.. | |
→→135 | OfferSize | Int(9) | N | Quoted offer size. | |
End of message. |