Submit a Mass Quote 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.
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The → symbol indicates a repeating tag.
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MultiExcerptName | rptgrej |
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nopanel | true |
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PageWithExcerpt | Quote Request |
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Tag | Name | FIX Type | Enumeration | Req | Description |
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Standard Header - Client System to CME Globex |
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| 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) |
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| 117 | QuoteID | Y\* | | String (10) | Client system generated identifier of the message. Must be unique per mass quote message per trading session. |
| 9771 | MMAccount | Y\* | | String (12) | Account number of Mass Quoting firm. |
| 1028 \\ | ManualOrderIndicator \\ | Y\* \\ | Y=manual \\
N=automated \\ | Boolean(1) \\ | Indicates if the quote was sent manually or generated by automated trading logic. |
| -->204 | CustomerOrFirm | Y\* | 0=Customer \\
1=Firm | Int (1) | This tag is used in conjunction with tag 9702-CtiCode. The type of business conducted determines the CtiCode/CustomerOrFirm combination. If you are unsure of which combination to use, contact the CME Regulatory Division at 312-341-7970 for further information. |
| ¿9702 | CtiCode | Y\* | 1 = Broker/trader trading for own account \\
2 = Broker/trader trading for clearing member firm's house account. \\
3 = Broker/trader trading for the account of another broker/trader present on the trading floor or controlled by such broker/trader. \\
4 = Broker/trader trading for any other customer's account or for the account of a broker/trader not present on the floor. | Char (1) | Customer Type Indicator. \\
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This tag is used in conjunction with tag 204-CustomerOrFirm. The CtiCode/CustomerOrFirm combination is determined by the type of business being conducted. If you are unsure of which combination to use, contact the CME Regulatory Division at 312-341-7970 for further information. |
| 9773 | MMProtectionReset | N | Y=Reset \\
N=Do not reset | Char (1) | When Mass Quoting Protection is triggered, CME Globex will not accept any new quotes from the Mass Quoter for the given product group until it receives a Mass Quote message with the tag 9773-MMPReset flag set to 'Y' to reset protection. \\
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See [Mass Quote Protection Monitoring Mode|EPICSANDBOX:Enabling Mass Quote Protection Monitoring Mode]. |
| 296 | NoQuoteSets | Y | | Int (3) | The number of quote sets in the message. |
| ¿302 | QuoteSetID | Y\* | | String (3) | 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 | UnderlyingSecurityDescq | N | | String (20) | Instrument identifier for underlying futures contract (e.g. ESH0). |
| ¿304 | TotQuoteEntries | Y | | Int (3) | Total quote entries. \\
Must have the same value as tag 295-NoQuoteEntries. |
| ¿295 | NoQuoteEntries | Y | | Int (3) | The number of quotes for the quote set. |
| ¿¿299 | QuoteEntryID | Y | | String (10) | Client system provided unique identifier for quote in this repeating group. Must be the first tag in the repeating group. |
| ¿¿55 | Symbol | Y\* | | String (6) | This tag contains the instrument group code of the instrument. |
| ¿¿107 | SecurityDesc | Y\* | | String (20) | Instrument identifier. \\
Option Example: |
| ¿¿167 | SecurityType | Y\* | FUT=Future \\
OPT=Option | String (3) | Indicates instrument is future or option. |
| ¿¿48 | SecurityID | N | | Int (12) | Identifier of the instrument defined in tag 107-SecurityDesc. |
| ¿¿22 | SecurityIDSource | N | 8=Exchange symbol | Char (1) | Identifies class or source of the tag 48-SecurityID value. |
| ¿¿60 | TransactTime | N | | UTCTimestamp (210 | UTC format YYYYMMDD-HH:MM:SS.sss \\
e.g. 20091216-19:21:41.109 |
| ¿¿132 | BidPx | N | | Price (20) | Quoted bid price. \\
Tag 132-BidPx cannot be submitted without the tag 134-BidSize. |
| ¿¿134 | BidSize | N | | Int (9) | Quoted bid size. \\
Tag 134-BidSize cannot be submitted without the tag 132-BidPx. \\
A value of '0' sent in this tag cancels quotes on this side for the given instrument. |
| ¿¿133 | OfferPx | N | | Price (20) | Quoted offer price. \\
Ta 133-OfferPx cannot be submitted without the tag 135-OfferSize. |
| ¿¿135 | OfferSize | N | | Int (9) | Quoted offer size. \\
Tag 135-OfferSize cannot be sbmitted without the tag 133-OfferPx. \\
A value of '0' sent in thsi tag cancels quotes on this side for the given instrument. |
| [EPICSANDBOX:Standard Trailer] | | Y | | | End of message. |
Y: Required by FIX protocol, Y*: Required by CME Globex (not by FIX protocol), N: Not Required, C: Conditionally
{table-plus} | 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 N=automated | 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 | N | Defines source of original order. | 204 | CustomerOrFirm | Int(1) | 0=Customer 1=Firm | Y* | The type of business conducted. Info |
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| - If the order is sent by a customer of a clearing firm, then tag 204 = 0 (Customer)
- If the order is sent by a proprietary trader within a clearing firm, then tag 204 = 1 (Firm)
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| 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: - CTI 1: Applies to orders entered or trades executed by an individual member for their own account, for an account they controls, or for an account in which they have an ownership or financial interest. However, transactions initiated and executed by a member for the proprietary account of a member firm must be designated as CTI 2 transactions.
- CTI 2: Applies to orders entered or trades executed for the proprietary accounts of a member firm, including Rule 106.H., I., N., R. and S. firms.
- CTI 3: Applies to orders entered by a member or a nonmember terminal operator for the account of another individual member or an account controlled by such individual member.
- CTI 4: Applies to all orders and transactions not included in CTI categories 1, 2, or 3. These typically are orders entered by or on behalf of nonmember entities.
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 |
| 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 | String(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. Must have the same value as tag 295-NoQuoteEntries. | →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. Option Example: ESU8 C2425 | →→167 | SecurityType | String(3) | FUT=Future OPT=Option | Y* | Indicates instrument is future or 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 e.g. 20091216-19:21:41.109 UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy. | →→132 | BidPx | Price(20) |
| N | Quoted bid price. Tag 132-BidPx cannot be submitted without the tag 134-BidSize. 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. Tag 134-BidSize cannot be submitted without the tag 132-BidPx. A value of '0' sent in this tag cancels quotes on this side for the given instrument. | →→133 | OfferPx | Price(20) |
| N | Quoted offer price. Ta 133-OfferPx cannot be submitted without the tag 135-OfferSize. 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. Tag 135-OfferSize cannot be submitted without the tag 133-OfferPx. A value of '0' sent in this tag cancels quotes on this side for the given instrument. | Standard Message Trailer |
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| End of message. |
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Y: Required by FIX protocol, Y*: Required by CME Globex (not by FIX protocol), N: Not Required, C: Conditionally