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MQP Types (reference value)Definition

New Quote Fill (X)


Tallies when a quote’s bid or ask initially trades.

Example

A bid-side quote initially trades as a partial fill and the X MQP tallies to +1. The remaining (resting) bid-side quote subsequently trades again but the X MQP tally remains at +1. The ask-side quote for the same strike initially trades and the X MQP tallies to +2.

The initial trade always tallies as a value of +1 regardless of whether it is a bid-side or ask-side quote.

Note:

If an instrument is re-quoted following a fill, either by quote modification or new quote submission, the X tally will increment again upon execution.

Triangulation Note:

The X tally cannot exceed its threshold value in premium-quoted only markets. The X tally can exceed its threshold by a value of "1" in Triangulation markets in scenarios where the client has resting quotes in both the premium-quoted and vol-quoted instruments and, in turn, both instruments are part of the same Triangulation futures match event.

 Execution (Y)

Tallies each time a quote’s bid or ask trades.

  • For a resting quote - Execution (Y) is incremented by one for trades with a single aggressor, regardless of partial fills
  • For an aggressing quote - Execution (Y) is incremented by one for the entire event that this quote traded as aggressor, regardless of partial fills
Info
For triangulation implied trades that occur in the futures order book, the number of executions increments only once per aggressor order. See Triangulation for examples.

Example: An incoming sell order is matched with implied buy orders in the order book

A bid-side quote initially trades as a partial fill and the Y MQP tallies to +1. The remaining (resting) bid-side quote subsequently trades again and the Y MQP remains at +1. (The count is not incremented since the same aggressor is trading with implied orders.)

  1. A quote trade always tallies as a value of +1 regardless of whether the quote’s bid or ask trades.
  2. The Y tally cannot exceed its threshold value in FIFO matching algorithm markets. The Y tally can exceed its threshold in Pro-Rata type matching algorithm markets because CME Globex generates a partial fill execution for each Pro-Rata round within a match event.

 Traded Quantity (Z)

Traded quantity-based MQP. Tallies the number of lots traded.

Example

A resting 20-lot bid-side quote fully trades so the Z MQP tallies to +20.

  1. The traded quantity for a bid-side quote and an ask-side quote always tallies as a positive integer.
  2. Spreads tally according to the spread’s traded lot-size (e.g., 10-lot straddle quote trade tallies as +10).
  3. The assigned futures portion of a premium-quoted covered trade or a vol-quoted trade is not factored into the Traded Quantity MQP tally.
  4. The Z tally can exceed the threshold value by a quote side’s total quantity minus a 1-lot. For example:
    1. MQP Z threshold value = 100
    2. MQP Z tally = 99
    3. Resting 10-lot bid-side quote is filled
    4. MQP Z tallies to 109 and MQP functionality is triggered

 Buy/Sell (Sides)

Traded quantity-based MQP. Tallies a net traded quantity from each trade.

Example

A resting 20-lot ask fully trades and the Sides MQP tallies to -20; a resting 15-lot bid fully trades and the Sides MQP tallies to -5.

  1. A spread trade nets the option leg quantities before being applied to the MQP tally (e.g. Vertical 5-lot buy or sell trade tallies as “0”; Straddle 5-lot buy trade tallies as “+10”).
  2. The Sides threshold value is entered as a positive integer but is evaluated at the positive and negative integer equivalents (e.g. a threshold value of “100” equates to +100 Buy and -100 Sell).
  3. The Sides tally can exceed the threshold value by a quote side’s total quantity minus (or plus) a 1-lot. For example:
    1. MQP Sides threshold value = 1000
    2. MQP Sides tally = 999
    3. Resting 10-lot bid quote is filled
    4. MQP Sides tallies to 1009 and MQP functionality is triggered

 Delta (D)

Traded delta-based MQP.

  • The delta protection is a counter that tallies the net delta (equivalent futures) from each trade within the set time interval, e.g. 1 second. Positive deltas (Long Call,  Short Put) increment the counter and Negative Deltas (Short Call, Long Put) decrement the counter.
  • The D threshold value is set by customers in absolute terms. The value is entered as a positive integer but is evaluated at the positive and negative integer equivalents (e.g. a delta threshold value set at '5' equates to +5  or -5).
  • Deltas are netted for option spread trades (e.g. an option spread trade with leg deltas of +0.30 and -0.40 nets to -0.10).
  • The D tally can exceed the threshold value by a resting quote's total delta minus (or plus) 1 delta.

Example

A 20-lot call bid-quote with a +0.15 delta fully trades. The D MQP tallies to +3 (or +20 lot * +0.15 delta).

Volatility Quoted Options Specifics:

  • For triangulation implied trades that occur in the futures order book, the PQO delta MQP is incremented but the VQO delta MQP is not incremented.
  • Premium-quoted instrument delta values are dynamically calculated throughout the trading day and are not necessarily reflective of the actual delta when the trade occurs. Vol-quoted instrument delta values are determined when the trade occurs.
  • The assigned futures for a premium-quoted covered trade or a vol-quoted trade are factored into the D MQP tally.

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