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Only designated Market Makers customers are permissioned by their iLink 2.X session ID to submit Mass Quote messages for designated products at the Instrument Group level (i.e., E-mini S&P outright options). Market Makers . Mass Quote messages from other market participants are rejected.

Info

Client systems cannot submit quotes for futures via this options path

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Mass Quote messages are accepted only during the Continuous Trading market state. All resting quotes are cancelled during post-session processing.

Quote Parameters

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Quote Modification

  1. The Market Maker 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. CME Globex platform rejects incoming quotes if there is a resting quote from the same Market Maker with a different tag 299-QuoteEntryID.
  4. Incoming quotes replace resting quotes from the same Market Maker 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 and quantity of a quote by setting both to '0', the quote is cancelled.
  7. Market Makers 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 Entry message.

The following scenario illustrates how original quote entries and subsequent modifications are maintained in the customer's order book. A Market Maker submits a quote message with three quote entries. See the quote message details below:

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

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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

 

 

Modification of bid side quantity for quote entry 00001
(submitted in quote message 0001/ quote set 1111);
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 1111).

 

 

00003

ES Z6
C1150

30

100

16

175

Modification of bid side price and offer side quantity
for quote entry 00003 (submitted in quote message 0001
/ set ID 1111).

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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

30

100

16

175

Note: For description of Quantity and Price field validation scenarios, see the table, Reject Codes. Mass Quotes Processing Rules contain the following topics: